public TradingEngine(MessagePump messagePump, ExchangeEngine exchangeEngine)
{
m_MessagePump = messagePump ?? throw new ArgumentNullException(nameof(messagePump));
m_ExchangeEngine = exchangeEngine ?? throw new ArgumentNullException(nameof(exchangeEngine));
if (!m_ExchangeEngine.Initialized)
{
throw new Exception(Resources.EngineNotInitialized);
}
m_Arbitrages = new BlockingCollection <Arbitrage>(new ConcurrentQueue <Arbitrage>());
m_Executions = new Dictionary <DateTime, Execution>();
m_ExecutionSymbols = new HashSet <String>();
m_CycleDurations = new List <Int32>();
String session = Utilities.FormatMessage(Resources.TradingSession, $"{DateTime.Now:yyyy-MM-dd HH:mm:ss}");
String sessionFrame = new String('*', session.Length);
m_MessagePump.Signal(sessionFrame);
m_MessagePump.Signal(session);
m_MessagePump.Signal(sessionFrame);
m_Consumer = Task.Factory.StartNew(() =>
{
foreach (Arbitrage arbitrage in m_Arbitrages.GetConsumingEnumerable())
{
Task.Run(() => ExecuteArbitrage(arbitrage));
}
},
CancellationToken.None, TaskCreationOptions.LongRunning, TaskScheduler.Default);
m_Producer = Task.Factory.StartNew(() =>
{
Thread.Sleep(Config.TradingCyclesDelay * 10);
while (!m_Arbitrages.IsCompleted)
{
Task.Run(() => DetectArbitrages());
Thread.Sleep(Config.TradingCyclesDelay);
}
},
CancellationToken.None, TaskCreationOptions.LongRunning, TaskScheduler.Default);
}
private void ExecuteArbitrage(Arbitrage arbitrage)
{
MessageCollection message = new MessageCollection(true, Utilities.FormatMessage(Resources.ArbitrageFound, arbitrage.Identifier, $"{arbitrage.Profit:F4}"));
if (Config.TradingEnabled && (Config.TradingExecutionsCap > 0) && (m_Executions.Count >= Config.TradingExecutionsCap))
{
message.AppendMessage(Utilities.FormatMessage(Resources.ArbitrageDiscardedCap, Config.TradingExecutionsCap));
m_MessagePump.Signal(message);
return;
}
if (arbitrage.Profit < Config.TradingThresholdProfit)
{
message.AppendMessage(Utilities.FormatMessage(Resources.ArbitrageDiscardedProfit, $"{Config.TradingThresholdProfit:F4}"));
return;
}
if (m_ExecutionSymbols.Any(arbitrage.GetReferenceAssets().Contains))
{
message.AppendMessage(Resources.ArbitrageDiscardedAssets);
m_MessagePump.Signal(message);
return;
}
if (m_Executions.Count(x => x.Key >= DateTime.Now.AddSeconds(-1d)) > 1)
{
message.AppendMessage(Resources.ArbitrageDiscardedCooldown);
m_MessagePump.Signal(message);
return;
}
Int32 age = (DateTime.Now - arbitrage.ReferenceTime).Milliseconds;
if (age > Config.TradingThresholdAge)
{
message.AppendMessage(Utilities.FormatMessage(Resources.ArbitrageDiscardedAge, age, Config.TradingThresholdAge));
m_MessagePump.Signal(message);
return;
}
foreach (String referenceAsset in arbitrage.GetReferenceAssets())
{
m_ExecutionSymbols.Add(referenceAsset);
}
try
{
Execution execution;
if (Config.TradingStrategy == Strategy.Parallel)
{
execution = ExecuteArbitrageParallel(arbitrage);
}
else
{
execution = ExecuteArbitrageSequential(arbitrage);
}
m_Executions[DateTime.Now] = execution;
message.AppendMessage(Utilities.FormatMessage(Resources.ArbitrageSucceded, Config.TradingStrategy.ToString().ToUpperInvariant()));
foreach (var zip in arbitrage.GetSequence().Zip(execution.GetSequence(), (e, o) => new { Expected = e, Observed = o }))
{
Int32 offset = zip.Expected.Item1;
TriangulationStep eX = zip.Expected.Item2;
TriangulationStep eY = zip.Expected.Item3;
TriangulationStep oX = zip.Observed.Item2;
TriangulationStep oY = zip.Observed.Item3;
message.AppendMessage(Utilities.FormatMessage(Resources.ArbitrageStep, offset));
message.AppendMessage(Utilities.FormatMessage(Resources.ArbitrageExpectedConversion, $"{eX.Out:F8}", eX.ReferenceAsset, $"{eY.Out:F8}", eY.ReferenceAsset));
message.AppendMessage(Utilities.FormatMessage(Resources.ArbitrageObservedConversion, $"{oX.Out:F8}", oX.ReferenceAsset, $"{oY.Out:F8}", oY.ReferenceAsset));
}
message.AppendMessage(Resources.ArbitrageDeltas);
foreach (TriangulationStep step in execution.GetSteps())
{
Decimal eDelta = step.Delta;
Decimal ePercent = (eDelta / step.Out) * 100M;
message.AppendMessage(Utilities.FormatMessage(Resources.ArbitrageDelta, step.ReferenceAsset, (eDelta < 0M) ? String.Empty : " ", $"{eDelta:F8}", $"{ePercent:F4}"));
}
message.AppendMessage(Resources.ArbitrageOthers);
message.AppendMessage(Utilities.FormatMessage(Resources.ArbitrageCommission, $"{(-1M * execution.Fees):F8}"));
}
catch (Exception e)
{
message.AppendMessage(Utilities.FormatMessage(Resources.ArbitrageFailed, Config.TradingStrategy.ToString().ToUpperInvariant(), Utilities.GetExceptionMessage(e)));
}
foreach (String referenceAsset in arbitrage.GetReferenceAssets())
{
m_ExecutionSymbols.Remove(referenceAsset);
}
m_MessagePump.Signal(message);
}
