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}");
}
}