private async Task CheckApi(string key, ILiquidityEngineClient client)
{
if (_lastTime == default(DateTime))
{
_lastTime = DateTime.UtcNow.Subtract(Interval);
}
var fromDate = _lastTime;
var toDate = DateTime.UtcNow;
Log.Info($"Check api Start. summary. Api: {key}. LastTime: {_lastTime:yyyy-MM-dd HH:mm:ss}");
var sb = new StringBuilder();
sb.AppendLine($"=== {fromDate:yyyy/MM/dd HH:mm:ss} ===");
sb.AppendLine($"=== {toDate:yyyy/MM/dd HH:mm:ss} ===");
sb.Append(Environment.NewLine);
sb.AppendLine("Liquidity Engine Summary Statistics");
sb.Append(Environment.NewLine);
var countTrade = 0;
try
{
var data = await client.Reports.GetPositionsReportAsync(fromDate, toDate, int.MaxValue);
var report = data
.Where(x => x.IsClosed)
.Where(x => x.CloseDate > fromDate)
.Where(x => x.CloseDate <= toDate)
.ToList();
var summary = await client.Reports.GetBalanceIndicatorsReportAsync();
var markups = await client.InstrumentMarkupsApi.GetAllAsync();
var grouped = report.GroupBy(x => x.AssetPairId).OrderBy(x => x.Key);
var result = new List <string>();
var totalPl = 0m;
var totalTurnover = 0m;
foreach (var assetPairTrades in grouped)
{
var assetPairId = assetPairTrades.Key;
var count = assetPairTrades.Count();
var buyVolume = assetPairTrades.Where(x => x.Type == PositionType.Long).Sum(x => x.Volume);
var sellVolume = assetPairTrades.Where(x => x.Type == PositionType.Short).Sum(x => x.Volume);
var isPnLInUsd = assetPairTrades.All(x => x.PnLUsd.HasValue);
var pnLInUsd = isPnLInUsd ? assetPairTrades.Sum(x => x.PnLUsd ?? 0) : (decimal?)null;
var pnL = assetPairTrades.Sum(x => x.PnL ?? 0);
var assetPair = await _assetsServiceWithCache.TryGetAssetPairAsync(assetPairId);
var quoteAssetId = assetPair?.QuotingAssetId;
var asset = await _assetsServiceWithCache.TryGetAssetAsync(quoteAssetId);
var quoteAssetDisplayId = quoteAssetId == null ? null : asset.Id;
var quoteAssetStr = string.IsNullOrWhiteSpace(quoteAssetDisplayId) ? "[quote asset]" : quoteAssetDisplayId;
var pnLStr = pnLInUsd.HasValue ? $"{Math.Round(pnLInUsd.Value, 4)}$" : $"{Math.Round(pnL, 4)} {quoteAssetStr}";
var lastTrade = assetPairTrades.Where(e => e.PnLUsd.HasValue && e.PnLUsd.Value > 0).OrderByDescending(e => e.ClosePrice).FirstOrDefault();
var latsUsdPrice = (lastTrade != null && lastTrade.PnLUsd.HasValue && lastTrade.PnL.HasValue)
? lastTrade.PnLUsd.Value / lastTrade.PnL.Value
: 0m;
decimal turnover = assetPairTrades.Sum(e => e.Volume * e.ClosePrice) ?? 0m;
var turnoverUsd = turnover * latsUsdPrice;
var assetPairMessage = $"{assetPairId}; " +
$"PL={pnLStr}; " +
$"Turnover: {Math.Round(turnoverUsd, 0)} $; ";
result.Add(assetPairMessage);
assetPairMessage = $". Count: {count}; " +
$"Sell: {Math.Round(sellVolume, 6)}; " +
$"Buy: {Math.Round(buyVolume, 6)}; ";
var markup = markups.SingleOrDefault(x => x.AssetPairId == assetPairId);
if (markup != null)
{
var bidMarkup = $"{markup.TotalBidMarkup*100:0.##}%";
var askMarkup = markup.TotalAskMarkup == -1 ? "stopped" : $"{markup.TotalAskMarkup*100:0.##}%";
assetPairMessage += $"BidMarkup: {bidMarkup}, AskMarkup: {askMarkup}";
}
result.Add(assetPairMessage);
totalPl += pnLInUsd ?? 0m;
totalTurnover += turnoverUsd;
}
sb.AppendLine(string.Join(Environment.NewLine, result));
sb.Append($"");
var fee = totalTurnover > 0 ? totalPl / totalTurnover : 0m;
sb.Append($"Total PL: {Math.Round(totalPl, 2)} $, Turnover: {Math.Round(totalTurnover, 2)} $, fee: {Math.Round(fee * 100, 2)} %");
_lastTime = DateTime.UtcNow;
await SendMessage(sb.ToString());
var summaryMessage = $"Equity: {(int) summary.Equity} $. RiskExposure: {(int) summary.RiskExposure} $";
await SendMessage(summaryMessage);
var fiatSettlement = await client.Trades.GetSettlementTradesAsync();
if (fiatSettlement.Any(e => !e.IsCompleted))
{
sb.Clear();
sb.AppendLine("Detect fiat trades without settlement in lykke: ");
foreach (var model in fiatSettlement.Where(e => !e.IsCompleted))
{
sb.AppendLine($"{model.AssetPair}, {model.Type}, price: {model.Price}, volume: {model.Volume}");
}
await SendMessage(sb.ToString());
}
}
catch (Exception ex)
{
Log.Error(ex);
}
Log.Info($"Check api complete. Found: {countTrade} asset pairs. Api: {key}. LastTime: {_lastTime:yyyy-MM-dd HH:mm:ss}");
}
private async Task Execute(string key, ILiquidityEngineClient client)
{
Log.Info($"Started checking pnl stop loss engines triggered for LE with key '{key}'.");
var sb = new StringBuilder();
sb.AppendLine("Liquidity Engine PnL Stop Loss Engines Triggered");
var newTriggered = new List <PnLStopLossEngineModel>();
try
{
IReadOnlyList <PnLStopLossEngineModel> current = (await client.PnLStopLossEngines.GetAllAsync()).ToList();
current = current.Where(x => x.Mode == PnLStopLossEngineMode.Active).ToList();
lock (_sync)
{
if (!_lastEnginesStates.ContainsKey(key))
{
newTriggered.AddRange(current);
}
else
{
var previous = _lastEnginesStates[key];
foreach (var engine in current)
{
if (previous.Any(x => x.Id == engine.Id))
{
continue;
}
newTriggered.Add(engine);
}
}
_lastEnginesStates[key] = current;
}
if (!newTriggered.Any())
{
return;
}
foreach (var engine in newTriggered)
{
var passedSinceStart = DateTime.UtcNow - engine.LastTime.Value;
var expectedTime = DateTime.UtcNow + engine.Interval - passedSinceStart;
var remainingTime = expectedTime - DateTime.UtcNow;
var markup = (engine.Markup * 100).ToString("0.##");
sb.AppendLine($"{engine.AssetPairId}: Threshold={engine.Threshold}$, Interval={engine.Interval}, Markup={markup}%. RemainingTime: {remainingTime:hh\\:mm\\:ss}.");
}
await SendMessage(sb.ToString());
}
catch (Exception ex)
{
Log.Error(ex);
}
Log.Info($"Finished checking pnl stop loss engines triggered for LE with key '{key}'.");
}
private async Task CheckApi(string key, ILiquidityEngineClient client)
{
var fromDate = DateTime.UtcNow.Date.AddDays(-1);
var toDate = DateTime.UtcNow.Date.AddDays(+1);
if (!_lastClose.TryGetValue(key, out var lastClose))
{
lastClose = DateTime.UtcNow;
_lastClose[key] = lastClose;
}
Log.Info($"Check api started. Trades. Api: {key}. LastTime: {lastClose:yyyy-MM-dd HH:mm:ss}");
var countTrade = 0;
try
{
var data = await client.Reports.GetPositionsReportAsync(fromDate, toDate, 5000);
var markups = await client.InstrumentMarkupsApi.GetAllAsync();
var positions = data.Where(e => e.CloseDate > lastClose).ToList();
foreach (var position in positions.OrderBy(e => e.CloseDate))
{
var assetPair = await _assetsServiceWithCache.TryGetAssetPairAsync(position.AssetPairId);
var quoteAssetId = assetPair?.QuotingAssetId;
var asset = await _assetsServiceWithCache.TryGetAssetAsync(quoteAssetId);
var quoteAssetDisplayId = quoteAssetId == null ? null : asset.Id;
var quoteAssetStr = string.IsNullOrWhiteSpace(quoteAssetDisplayId) ? "[quote asset]" : quoteAssetDisplayId;
var markupModel = markups.Single(x => x.AssetPairId == position.AssetPairId);
var markupValue = position.Type == PositionType.Short ? markupModel.TotalAskMarkup : markupModel.TotalBidMarkup;
var markup = markupValue == -1 ? "stopped" : (markupValue * 100).ToString("0.##") + "%";
var pnL = position.PnL ?? 0;
var closePrice = position.ClosePrice ?? 0;
var pnLStr = position.PnLUsd.HasValue ? $"{Math.Round(position.PnLUsd.Value, 4)}$" : $"{Math.Round(pnL, 4)} {quoteAssetStr}";
var message =
$"{position.AssetPairId}; " +
$"PL={pnLStr}; " +
$"{(position.Type == PositionType.Short ? "Sell" : "Buy")}; " +
$"Volume: {Math.Round(position.Volume, 6)}; " +
$"OpenPrice: {Math.Round(position.Price, 6)}; " +
$"ClosePrice: {Math.Round(closePrice, 6)}; " +
$"Close: {position.CloseDate:MM-dd HH:mm:ss}; " +
$"Markup: {markup}";
if (positions.Count >= 4800)
{
message += "; !!!max count of position in day, please add limit!!!";
}
await TelegramSender.SendTextMessageAsync(PublisherSettings.ChatId, message);
if (position.CloseDate.HasValue)
{
_lastClose[key] = position.CloseDate.Value;
}
countTrade++;
}
}
catch (Exception ex)
{
Log.Error(ex);
_lastClose[key] = DateTime.UtcNow;
}
Log.Info($"Check api completed. Found: {countTrade} trades. Api: {key}. LastTime: {lastClose:yyyy-MM-dd HH:mm:ss}");
}
