private void RunObservatoin(Observation observation, CancellationToken token)
{
while (!token.IsCancellationRequested)
{
if (!_running || observation.RunningStatus != RunningStatus.Running)
{
Thread.Sleep(2 * 1000);
continue;
}
try
{
var bookBuy = _exchangeDataService.GetOrderBook(observation.FromExchangeName, observation.CurrencyPair);
var bookSell = _exchangeDataService.GetOrderBook(observation.ToExchangeName, observation.CurrencyPair);
var timeFrom = _exchangeDataService.GetLastUpdated(observation.FromExchangeName);
var timeTo = _exchangeDataService.GetLastUpdated(observation.ToExchangeName);
var ts = Math.Abs((timeFrom - timeTo).TotalSeconds);
var ts2 = Math.Abs((DateTime.UtcNow - timeFrom).TotalSeconds);
if (Math.Max(ts, ts2) > 10)
{
_logger.LogError("Date is not updated");
continue;// the data has no be udpated recently;
}
if (bookBuy.Bids.Count > 0 && bookSell.Asks.Count > 0)
{
var buy_ask_0 = bookBuy.Asks[0]; //the sell price of the exchange which we want to buy.
var sell_bid_0 = bookSell.Bids[0]; //the buy price of the exchange which we wat to sell.
var spreadValue = sell_bid_0.Price - buy_ask_0.Price; //some one buy price is greater than the price some one want to sell. then we have a chance to make a arbitrage
var spreadVolume = Math.Min(sell_bid_0.Volume, buy_ask_0.Volume);
var info = new ArbitrageInfo
{
SpreadValue = spreadValue,
SpreadVolume = spreadVolume,
FromPrice = buy_ask_0.Price,
ToPrice = sell_bid_0.Price,
};
var canArbitrage = _opportunityService.CheckCurrentPrice(observation, info);
var lastArbitrage = _opportunityService.CheckLastArbitrage(observation.Id);
if (canArbitrage & lastArbitrage)
{
DoArbitrage(observation, info);
}
}
Thread.Sleep(200);
}
catch (Exception ex)
{
_messageService.Error(observation.Id, observation.Name, "Get an unhandled exception" + ex.ToString());
observation.RunningStatus = RunningStatus.Error;
_observationService.Update(observation);
_logger.LogCritical(ex, "RunObservation failed.");
}
}
}
private void DoArbitrage(Observation observation, ArbitrageInfo info)
{
var volume = Math.Min(observation.PerVolume, observation.AvailabeVolume);
volume = Math.Min(volume, info.SpreadVolume);
var orderBuyId = Guid.NewGuid();
var orderSellId = Guid.NewGuid();
var buyRequest = new OrderRequest()
{
ClientOrderId = orderBuyId.ToString(),
CurrencyPair = observation.CurrencyPair,
OrderType = OrderType.Market,
Price = 0m,
TradeType = TradeType.Buy,
Volume = volume,
};
var sellRequest = new OrderRequest()
{
ClientOrderId = orderSellId.ToString(),
CurrencyPair = observation.CurrencyPair,
OrderType = OrderType.Market,
Price = 0m,
TradeType = TradeType.Sell,
Volume = volume,
};
var buyResult = _exchangeTradeService.MakeANewOrder(observation.FromExchangeName, buyRequest);
var sellResult = _exchangeTradeService.MakeANewOrder(observation.ToExchangeName, sellRequest);
if (!buyResult.IsSuccessful)
{
var message = $"Make a buy failed {buyResult.Message} {observation.GetName()}";
_messageService.Error(observation.Id, observation.Name, message);
observation.RunningStatus = RunningStatus.Error;
_logger.LogError(message);
}
if (!sellResult.IsSuccessful)
{
var message = $"Make a sell order failed {sellResult.Message} {observation.GetName()}";
_messageService.Error(observation.Id, observation.Name, message);
observation.RunningStatus = RunningStatus.Error;
_logger.LogError(message);
}
if (buyResult.IsSuccessful ^ sellResult.IsSuccessful)
{
var message = $"only one order is executed!!!! buy {buyResult.IsSuccessful} sell {sellResult.IsSuccessful} {observation.GetName()}";
_messageService.Error(observation.Id, observation.Name, message);
_logger.LogCritical(message);
}
if (buyResult.IsSuccessful && sellResult.IsSuccessful)
{
_observationService.SubtractAvailabeVolume(observation.Id, volume);
var arbitrage = new Arbitrage
{
DateCreated = DateTime.UtcNow,
Id = Guid.NewGuid(),
ObservationId = observation.Id,
ObservationName = observation.Name,
Volume = volume,
Spread = info.SpreadValue
};
_arbitrageService.Add(arbitrage);
var buyOrder = new Order
{
ArbitrageId = arbitrage.Id,
ObservationId = arbitrage.ObservationId,
ObservationName = arbitrage.ObservationName,
DateCreated = DateTime.UtcNow,
ExchangeName = observation.FromExchangeName,
Id = Guid.NewGuid(),
OrderStatus = buyResult.Data.Status,
Price = info.FromPrice,
RemoteId = buyResult.Data.Id,
CurrencyPair = observation.CurrencyPair,
TradeType = TradeType.Buy,
Volume = volume,
};
var sellOrder = new Order
{
ArbitrageId = arbitrage.Id,
ObservationId = arbitrage.ObservationId,
ObservationName = arbitrage.ObservationName,
DateCreated = DateTime.UtcNow,
ExchangeName = observation.ToExchangeName,
Id = Guid.NewGuid(),
OrderStatus = buyResult.Data.Status,
Price = info.ToPrice,
RemoteId = buyResult.Data.Id,
CurrencyPair = observation.CurrencyPair,
TradeType = TradeType.Sell,
Volume = volume
};
_orderService.Add(buyOrder, sellOrder);
_messageService.Write(observation.Id, observation.Name, $"{observation.Name} do a arbitrage spreadValue:{info.SpreadValue:f2} volume:{volume:f5} {DateTime.UtcNow}");
}
}