public async Task BestPathConversion()
{
var marketProfile = new Core.Domain.MarketProfile();
var btcUsdBid = 8600;
var slrUsdAsk = 0.4508;
// USD wights are lower than CHF, so best par from BTC to SLR is through USD.
var feedData = new List <FeedData>
{
new FeedData {
Asset = "BTCUSD", Ask = 9000, Bid = btcUsdBid, DateTime = DateTime.UtcNow
},
new FeedData {
Asset = "SLRUSD", Ask = slrUsdAsk, Bid = 0.0003, DateTime = DateTime.UtcNow
},
new FeedData {
Asset = "BTCCHF", Ask = 0.98599, Bid = 0.97925, DateTime = DateTime.UtcNow
},
new FeedData {
Asset = "SLRCHF", Ask = 0.4466, Bid = 0.0005, DateTime = DateTime.UtcNow
},
};
marketProfile.Profile = feedData;
var amountInBase = await _service.GetAmountInBaseWithProfile("BTC", 1, "SLR", marketProfile);
Assert.Equal((btcUsdBid / slrUsdAsk).TruncateDecimalPlaces(TestsUtils.CryptoAccuracy), amountInBase);
}
public async Task <double> GetAmountInBaseWithProfile(
string assetFrom,
double amount,
string assetTo,
Core.Domain.MarketProfile marketProfile)
{
if (assetFrom == assetTo)
{
return(amount);
}
if (Math.Abs(amount) < double.Epsilon)
{
return(0);
}
var marketProfileData = marketProfile ?? await GetMarketProfileRemoteAsync();
var pricesData = _crossPairsCalculator.PrepareForConversion(marketProfileData);
return(GetCrossPairsAmountInBase(
assetFrom,
amount,
assetTo,
pricesData));
}
internal Dictionary <string, NodeInfo> PrepareForConversion(Core.Domain.MarketProfile marketProfile)
{
var result = new Dictionary <string, NodeInfo>();
var assetIdsToBuild = new HashSet <string>();
foreach (var feedData in marketProfile.Profile)
{
var pair = _assetPairsReadModelRepository.TryGet(feedData.Asset);
if (pair == null)
{
continue;
}
result[$"{pair.BaseAssetId}_{pair.QuotingAssetId}"] = new NodeInfo
{
Straight = true,
Bid = feedData.Bid,
Ask = feedData.Ask,
};
result[$"{pair.QuotingAssetId}_{pair.BaseAssetId}"] = new NodeInfo
{
Straight = false,
Bid = feedData.Bid,
Ask = feedData.Ask,
};
if (!_links.ContainsKey(pair.BaseAssetId))
{
_links.TryAdd(pair.BaseAssetId, new ConcurrentDictionary <string, byte>());
}
if (!_links.ContainsKey(pair.QuotingAssetId))
{
_links.TryAdd(pair.QuotingAssetId, new ConcurrentDictionary <string, byte>());
}
bool added = _links[pair.BaseAssetId].TryAdd(pair.QuotingAssetId, 0);
if (added)
{
assetIdsToBuild.Add(pair.BaseAssetId);
}
added = _links[pair.QuotingAssetId].TryAdd(pair.BaseAssetId, 0);
if (added)
{
assetIdsToBuild.Add(pair.QuotingAssetId);
}
}
foreach (var assetId in assetIdsToBuild)
{
BuildBestAssetIdLinks(assetId);
}
return(result);
}
public async Task Is_GetAmountInBase_Inverted_Correct()
{
var marketProfile = new Core.Domain.MarketProfile();
var feedData = new List <FeedData>
{
new FeedData {
Asset = "USDCHF", Ask = 0.98599, Bid = 0.97925, DateTime = DateTime.UtcNow
}
};
marketProfile.Profile = feedData;
var amountInBase = await _service.GetAmountInBaseWithProfile("CHF", 1, "USD", marketProfile);
Assert.Equal(1.01, amountInBase);
}
public async Task Is_GetAmountInBase_Correct()
{
var marketProfile = new Core.Domain.MarketProfile();
var feedData = new List <FeedData>
{
new FeedData {
Asset = "BTCUSD", Ask = 2656.381, Bid = 2652, DateTime = DateTime.UtcNow
}
};
marketProfile.Profile = feedData;
var amountInBase = await _service.GetAmountInBaseWithProfile("BTC", 1, "USD", marketProfile);
Assert.Equal(2652, amountInBase);
}
public async Task StraightFalseFalseConversion()
{
var marketProfile = new Core.Domain.MarketProfile();
var btcAsk = 9000;
var chfAsk = 0.98599;
var feedData = new List <FeedData>
{
new FeedData {
Asset = "BTCUSD", Ask = btcAsk, Bid = 8600, DateTime = DateTime.UtcNow
},
new FeedData {
Asset = "USDCHF", Ask = chfAsk, Bid = 0.97925, DateTime = DateTime.UtcNow
},
};
marketProfile.Profile = feedData;
var amountInBase = await _service.GetAmountInBaseWithProfile("CHF", 1, "BTC", marketProfile);
Assert.Equal((1 / chfAsk / btcAsk).TruncateDecimalPlaces(TestsUtils.CryptoAccuracy), amountInBase);
}
public async Task StraightTrueFalseConversion()
{
var marketProfile = new Core.Domain.MarketProfile();
var btcBid = 8600;
var slrAsk = 0.4508;
var feedData = new List <FeedData>
{
new FeedData {
Asset = "BTCUSD", Ask = 9000, Bid = btcBid, DateTime = DateTime.UtcNow
},
new FeedData {
Asset = "SLRUSD", Ask = slrAsk, Bid = 0.0003, DateTime = DateTime.UtcNow
},
};
marketProfile.Profile = feedData;
var amountInBase = await _service.GetAmountInBaseWithProfile("BTC", 1, "SLR", marketProfile);
Assert.Equal((btcBid / slrAsk).TruncateDecimalPlaces(TestsUtils.CryptoAccuracy), amountInBase);
}
public async Task StraightTrueTrueConversion()
{
var marketProfile = new Core.Domain.MarketProfile();
var btcBid = 8600;
var chfBid = 0.97925;
var feedData = new List <FeedData>
{
new FeedData {
Asset = "BTCUSD", Ask = 9000, Bid = btcBid, DateTime = DateTime.UtcNow
},
new FeedData {
Asset = "USDCHF", Ask = 0.98599, Bid = chfBid, DateTime = DateTime.UtcNow
},
};
marketProfile.Profile = feedData;
var amountInBase = await _service.GetAmountInBaseWithProfile("BTC", 1, "CHF", marketProfile);
Assert.Equal((btcBid * chfBid).TruncateDecimalPlaces(TestsUtils.FiatAccuracy), amountInBase);
}
private ConversionResult GetMarketAmountInBase(
OrderAction orderAction,
IEnumerable <IOrderBook> orderBooks,
AssetWithAmount from,
string assetTo,
IReadOnlyDictionary <string, Assets.Client.Models.v3.Asset> assetsDict,
IEnumerable <Assets.Client.Models.v3.AssetPair> assetPairs,
Core.Domain.MarketProfile marketProfile)
{
var result = new ConversionResult();
var assetPair = GetPairWithAssets(assetPairs, from.AssetId, assetTo);
if (!IsInputValid(from, assetTo, assetsDict) || assetPair == null)
{
result.Result = OperationResult.InvalidInputParameters;
return(result);
}
if (from.AssetId == assetTo)
{
result.From = result.To = from;
result.Price = result.VolumePrice = 1;
result.Result = OperationResult.Ok;
return(result);
}
orderAction = IsInverted(assetPair, assetTo) ? orderAction.ViceVersa() : orderAction;
var isBuy = orderAction == OrderAction.Buy;
var orderBook = orderBooks.FirstOrDefault(x => x.AssetPair == assetPair.Id && x.IsBuy == isBuy);
if (orderBook == null)
{
result.Result = OperationResult.NoLiquidity;
return(result);
}
if (IsInverted(assetPair, assetTo))
{
orderBook.Invert();
}
orderBook.Order();
double sum = 0;
double priceSum = 0;
int n = 0;
var neededSum = double.MaxValue;
foreach (var line in orderBook.Prices)
{
if (n != 0 && sum >= neededSum)
{
break;
}
sum += Math.Abs(line.Volume);
priceSum += line.Price;
n++;
neededSum = from.Amount * GetRate(assetTo, assetPair, priceSum / n);
}
if (n == 0)
{
result.Result = OperationResult.NoLiquidity;
return(result);
}
var price = priceSum / n;
result.From = from;
var rate = GetRate(assetTo, assetPair, price);
var displayRate = GetRate(from.AssetId, assetPair, price);
result.To = new AssetWithAmount
{
AssetId = assetTo,
Amount = (rate * from.Amount).TruncateDecimalPlaces(assetsDict[assetTo].Accuracy,
orderAction == OrderAction.Buy)
};
result.Result = sum < neededSum ? OperationResult.NoLiquidity : OperationResult.Ok;
result.Price = GetRate(
from.AssetId,
assetPair,
marketProfile.GetPrice(assetPair.Id, orderAction).GetValueOrDefault());
result.VolumePrice = displayRate;
return(result);
}
public async Task <double> GetAmountInBaseWithProfile(string assetFrom, string assetTo, double amount, [FromBody] Core.Domain.MarketProfile marketProfile)
{
return(await _rateCalculatorService.GetAmountInBaseWithProfile(assetFrom, amount, assetTo, marketProfile));
}
