public SaveBidAndOfferHandler(string symbol,
OrderBookContext orderBook,
int maxIndex,
ILogger logger)
{
this.symbol = symbol;
this.orderBook = orderBook;
this.logger = logger;
this.currentIndex = 0;
this.maxIndex = maxIndex;
this.orderBook.OnQuotesUpdate += new SymbolDataUpdatedNotification(OnChange);
}
/// <summary>
///
/// </summary>
/// <param name="strategyHeader">Стратегия</param>
/// <param name="orderBook"></param>
/// <param name="signalQueue">Обозреваемая очередь сигналов</param>
/// <param name="tradingData">Торговых данных контекст</param>
/// <param name="logger">Логгер</param>
public OpenPositionOnOrderBookChange(StrategyHeader strategyHeader,
OrderBookContext orderBook,
ObservableQueue <Signal> signalQueue,
TradingDataContext tradingData,
ILogger logger)
{
this.strategyHeader = strategyHeader;
this.orderBook = orderBook;
this.signalQueue = signalQueue;
this.tradingData = tradingData;
this.logger = logger;
this.orderBook.OnQuotesUpdate += new SymbolDataUpdatedNotification(OnChange);
}
private void InternalGetOrderBook(IOrderBookProvider provider, OrderBookContext context, bool priceLessThan1)
{
var r = AsyncContext.Run(() => provider.GetOrderBookAsync(context));
Assert.IsTrue(r != null, "Null response returned");
if (r.IsReversed)
{
Trace.WriteLine("Asset pair is reversed");
}
// Assert.IsTrue(r.Pair.Equals(context.Pair), "Incorrect asset pair returned");
Assert.IsTrue(r.Asks.Count > 0, "No asks returned");
Assert.IsTrue(r.Bids.Count > 0, "No bids returned");
Assert.IsTrue(r.Asks.Count <= context.MaxRecordsCount, "Incorrect number of ask order book records returned");
Assert.IsTrue(r.Bids.Count <= context.MaxRecordsCount, "Incorrect number of bid order book records returned");
//if (context.MaxRecordsCount == Int32.MaxValue)
// Assert.IsTrue(r.Count > 0, "No order book records returned");
//else
// Assert.IsTrue(r.Asks.Count == context.MaxRecordsCount && r.Bids.Count == context.MaxRecordsCount, "Incorrect number of order book records returned");
Trace.WriteLine($"Highest bid: {r.HighestBid}");
Trace.WriteLine($"Lowest ask: {r.LowestAsk}");
var records = new List <OrderBookRecord>()
{
r.LowestAsk, r.HighestBid
};
foreach (var record in records)
{
if (priceLessThan1) // Checks if the pair is reversed (price-wise).
{
Assert.IsTrue(record.Price < 1, "Reverse check failed. Price is expected to be < 1");
}
else
{
Assert.IsTrue(record.Price > 1, "Reverse check failed. Price is expected to be > 1");
}
}
Trace.WriteLine($"Order book data ({r.Asks.Count} asks, {r.Bids.Count} bids): ");
foreach (var obr in r.Asks.Concat(r.Bids))
{
Trace.WriteLine($"{obr.UtcUpdated} : {obr}");
}
}
private void GetOrderBook(IOrderBookProvider provider, AssetPair pair, bool priceLessThan1, int recordsCount = 100)
{
try
{
var context = new OrderBookContext(pair, recordsCount);
InternalGetOrderBook(provider, context, priceLessThan1);
context = new OrderBookContext(pair, Int32.MaxValue);
InternalGetOrderBook(provider, context, priceLessThan1);
}
catch (Exception e)
{
Assert.Fail(e.Message);
}
}
public static double GetBidVolumeSum(this OrderBookContext orderBook, string symbol, int depth = 50)
{
double sum = 0;
if (depth > orderBook.Depth)
{
depth = orderBook.Depth;
}
for (int i = 0; i < depth; i++)
{
sum += orderBook.GetBidVolume(symbol, i);
}
return(sum);
}
public BuySpreadOnQuoteChange(OrderBookContext quotesProvider,
IEnumerable <StrategyHeader> leftLeg,
IEnumerable <StrategyHeader> rightLeg,
SpreadSettings spreadSettings,
IDataContext dataContext,
ObservableQueue <Signal> signalQueue,
ILogger logger)
{
this.quotesProvider = quotesProvider;
this.leftLeg = leftLeg;
this.rightLeg = rightLeg;
this.spreadSettings = spreadSettings;
this.tradingData = dataContext;
this.signalQueue = signalQueue;
this.logger = logger;
this.quotesProvider.OnQuotesUpdate += new SymbolDataUpdatedNotification(quotesProvider_OnQuotesUpdate);
}
public void Setup()
{
this.strategyHeader = this.tradingData.Get <IEnumerable <StrategyHeader> >().Single(s => s.Id == 1);
this.orderBook = new OrderBookContext();
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick("RTS-12.13_FT", new DateTime(2013, 12, 3, 10, 0, 0), 138000, 3600));
this.orderBook.Update(0, this.strategyHeader.Symbol, 138000, 100, 138010, 50);
FollowTrendOnTick handler =
new FollowTrendOnTick(this.strategyHeader,
30,
50,
this.orderBook,
this.tradingData,
this.signalQueue,
new NullLogger());
}
public FollowTrendOnTick(StrategyHeader strategyHeader,
int seconds,
double priceSpan,
OrderBookContext orderBook,
IDataContext tradingData,
ObservableQueue <Signal> signalQueue,
ILogger logger)
: base(tradingData.Get <ObservableCollection <Tick> >())
{
this.strategyHeader = strategyHeader;
this.seconds = seconds;
this.priceSpan = priceSpan;
this.orderBook = orderBook;
this.tradingData = tradingData;
this.signalQueue = signalQueue;
this.logger = logger;
}
public void Setup()
{
this.leftLeg = new List <StrategyHeader>();
this.rigthLeg = new List <StrategyHeader>();
this.leftStrategy = new StrategyHeader(1, "Left leg", "BP12345-RF-01", "AB", 10);
this.rightStrategy = new StrategyHeader(2, "Right leg", "BP1235-RF-01", "BA", 10);
this.leftLeg.Add(this.leftStrategy);
this.rigthLeg.Add(this.rightStrategy);
this.spreadSettings = new SpreadSettings();
this.arbitrageSettings = new ArbitrageSettings(1, this.leftLeg, this.rigthLeg, this.spreadSettings);
this.orderBook = new OrderBookContext();
this.tradingData = new TradingDataContext();
CalculateSpreadOnOrderBookChange handler =
new CalculateSpreadOnOrderBookChange(this.arbitrageSettings, this.orderBook, this.tradingData, new NullLogger());
}
private void InternalGetOrderBook(IOrderBookProvider provider, OrderBookContext context, bool priceLessThan1)
{
var r = AsyncContext.Run(() => provider.GetOrderBookAsync(context));
Assert.IsTrue(r != null, "Null response returned");
if (r.Pair.Reversed.Equals(context.Pair))
{
Trace.WriteLine("Asset pair is reversed");
}
// Assert.IsTrue(r.Pair.Equals(context.Pair), "Incorrect asset pair returned");
if (context.MaxRecordsCount == Int32.MaxValue)
{
Assert.IsTrue(r.Count > 0, "No order book records returned");
}
else
{
Assert.IsTrue(r.Asks.Count == context.MaxRecordsCount && r.Bids.Count == context.MaxRecordsCount, "Incorrect number of order book records returned");
}
foreach (var record in r.Asks.Take(1).Concat(r.Bids.Take(1)))
{
if (priceLessThan1) // Checks if the pair is reversed (price-wise).
{
Assert.IsTrue(record.Price < 1, "Reverse check failed. Price is expected to be < 1");
}
else
{
Assert.IsTrue(record.Price > 1, "Reverse check failed. Price is expected to be > 1");
}
}
Trace.WriteLine($"Order book data ({r.Asks.Count} asks, {r.Bids.Count} bids): ");
foreach (var obr in r.Asks.Concat(r.Bids))
{
Trace.WriteLine($"{obr.UtcUpdated} | For {context.Pair.Asset1}: {obr.Type} {obr.Price.Display}, {obr.Volume} ");
}
}
public async Task <OrderBook> GetOrderBookAsync(OrderBookContext context)
{
var api = ApiProvider.GetApi(context);
var pairCode = context.Pair.ToTicker(this, "");
var rRaw = context.MaxRecordsCount == Int32.MaxValue
? await api.GetOrderBookAsync(pairCode, 0).ConfigureAwait(false)
: await api.GetOrderBookAsync(pairCode, context.MaxRecordsCount).ConfigureAwait(false);
CheckResponseErrors(rRaw);
var r = rRaw.GetContent();
var buyAction = "buy";
var sellAction = "sell";
var buys = context.MaxRecordsCount == Int32.MaxValue
? r.Where(x => x.side.ToLower().Equals(buyAction)).OrderBy(x => x.id).ToList()
: r.Where(x => x.side.Equals(buyAction, StringComparison.OrdinalIgnoreCase)).OrderBy(x => x.id)
.Take(context.MaxRecordsCount).ToList();
var sells = context.MaxRecordsCount == Int32.MaxValue
? r.Where(x => x.side.ToLower().Equals(sellAction)).OrderBy(x => x.id).ToList()
: r.Where(x => x.side.Equals(sellAction, StringComparison.OrdinalIgnoreCase)).OrderBy(x => x.id)
.Take(context.MaxRecordsCount).ToList();
var orderBook = new OrderBook(Network, context.Pair);
foreach (var i in buys)
{
orderBook.AddBid(i.price, i.size);
}
foreach (var i in sells)
{
orderBook.AddAsk(i.price, i.size);
}
return(orderBook);
}
public void Setup()
{
this.qProvider = new OrderBookContext();
this.spreadSettings = new SpreadSettings(1.35, 1.48, 1.18);
this.leftLeg = new List <StrategyHeader>();
this.leftLeg.Add(this.tradingData.Get <IEnumerable <StrategyHeader> >().Single(s => s.Id == 1));
this.rightLeg = new List <StrategyHeader>();
this.rightLeg.Add(this.tradingData.Get <IEnumerable <StrategyHeader> >().Single(s => s.Id == 2));
this.rightLeg.Add(this.tradingData.Get <IEnumerable <StrategyHeader> >().Single(s => s.Id == 3));
CoverSpreadOnQuoteChange handler =
new CoverSpreadOnQuoteChange(this.qProvider,
this.leftLeg,
this.rightLeg,
this.spreadSettings,
this.tradingData,
this.signalQueue,
new NullLogger());
}
private OrderbookMarketParameters marketparams; // рыночные параметры для стратегии
public MarketMakerHandlerOnBidAskNoR(Strategy strategy,
TradingDataContext tradingData,
OrderBookContext orderBook,
ObservableQueue<Signal> signalQueue,
Logger logger)
: base(tradingData.Get<ObservableCollection<BidAsk>>())
{
this.strategy = strategy;
this.orderBook = orderBook;
this.signalQueue = signalQueue;
this.tradingData = tradingData;
this.logger = logger;
this.strategyInitialAmount = this.strategy.Amount;
this.oplimits = this.tradingData.Get<IEnumerable<OpenPositionLimitSettings>>().SingleOrDefault(s => s.StrategyId == this.strategy.Id);
this.obDepth = AppSettings.GetValue<int>("OrderBookDepth");
this.politics = new HashSet<MarketMakerPolitic>(new PoliticCollectionFactory(AppSettings.GetStringValue("politicsFileName")).Make());
this.marketparams = new OrderBookMarketParametersFactory(AppSettings.GetStringValue("marketparamsFileName")).Make().First();
}
public async Task<OrderBook> GetOrderBookAsync(OrderBookContext context)
{
var api = ApiProvider.GetApi(context);
var pairCode = context.Pair.ToTicker(this);
var r = await api.GetOrderBookAsync(pairCode).ConfigureAwait(false);
var orderBook = new OrderBook(Network, context.Pair);
var maxCount = Math.Min(1000, context.MaxRecordsCount);
var response = r.payload;
var asks = response.asks.Take(maxCount);
var bids = response.bids.Take(maxCount);
foreach (var i in bids)
orderBook.AddBid(i.price, i.amount, true);
foreach (var i in asks)
orderBook.AddAsk(i.price, i.amount, true);
return orderBook;
}
public async Task <OrderBook> GetOrderBookAsync(OrderBookContext context)
{
var api = ApiProvider.GetApi(context);
var pairCode = context.Pair.ToTicker(this, "");
var r = context.MaxRecordsCount.HasValue
? await api.GetOrderBookAsync(pairCode, context.MaxRecordsCount.Value).ConfigureAwait(false)
: await api.GetOrderBookAsync(pairCode, 0).ConfigureAwait(false);
var buyAction = "buy";
var sellAction = "sell";
var buys = context.MaxRecordsCount.HasValue
? r.Where(x => x.side.ToLower().Equals(buyAction)).OrderBy(x => x.id)
.Take(context.MaxRecordsCount.Value / 2).ToList()
: r.Where(x => x.side.ToLower().Equals(buyAction)).OrderBy(x => x.id).ToList();
var sells = context.MaxRecordsCount.HasValue
? r.Where(x => x.side.ToLower().Equals(sellAction)).OrderBy(x => x.id)
.Take(context.MaxRecordsCount.Value / 2).ToList()
: r.Where(x => x.side.ToLower().Equals(sellAction)).OrderBy(x => x.id).ToList();
var orderBook = new OrderBook(Network, context.Pair);
foreach (var i in buys)
{
orderBook.Add(new OrderBookRecord(OrderType.Bid, new Money(i.price, context.Pair.Asset2), i.size));
}
foreach (var i in sells)
{
orderBook.Add(new OrderBookRecord(OrderType.Ask, new Money(i.price, context.Pair.Asset2), i.size));
}
return(orderBook);
}
public async Task <OrderBook> GetOrderBookAsync(OrderBookContext context)
{
var api = ApiProvider.GetApi(context);
var pair = context.Pair.ToTicker(this);
var r = context.MaxRecordsCount == Int32.MaxValue
? await api.GetOrderBookAsync(pair).ConfigureAwait(false)
: await api.GetOrderBookAsync(pair, context.MaxRecordsCount).ConfigureAwait(false);
var orderBook = new OrderBook(Network, context.Pair);
foreach (var rAsk in r.asks.Select(ParseOrderBookData))
{
orderBook.AddAsk(rAsk.Price, rAsk.Volume, true);
}
foreach (var rBid in r.bids.Select(ParseOrderBookData))
{
orderBook.AddBid(rBid.Price, rBid.Volume, true);
}
return(orderBook);
}
public async Task <OrderBook> GetOrderBookAsync(OrderBookContext context)
{
CheckInputAssetPair(context.Pair);
var api = ApiProvider.GetApi(context);
var orderBook = new OrderBook(Network, context.Pair);
var maxCount = Math.Min(1000, context.MaxRecordsCount);
var r = await api.GetOrderBookAsync(context.Pair.Asset1.ShortCode.ToLower()).ConfigureAwait(false);
foreach (var rBid in r.bid.Take(maxCount).Select(x => ParseOrderBookRecords(x, context.Pair)))
{
orderBook.AddBid(rBid.Price, rBid.Volume, true);
}
foreach (var rAsk in r.ask.Take(maxCount).Select(x => ParseOrderBookRecords(x, context.Pair)))
{
orderBook.AddAsk(rAsk.Price, rAsk.Volume, true);
}
return(orderBook);
}
public void RecordOrderBooksInDB(Dictionary <string, OrderBook> orderBooks)
{
logger.Debug($"Запущен {MethodBase.GetCurrentMethod()}");
using (var db = new OrderBookContext())
{
var transaction = db.Database.BeginTransaction();
try
{
db.OrderBooks.AddRange(orderBooks.Values);
db.SaveChanges();
transaction.Commit();
logger.Debug($"{MethodBase.GetCurrentMethod()} успешно отработал");
}
catch (Exception ex)
{
logger.Error($"err, при записи OrderBook в бд возникла ошибка: {ex.Message}");
transaction.Rollback();
}
}
}
public void Setup()
{
this.qProvider = new OrderBookContext();
this.leftLeg = new List <string>();
this.rightLeg = new List <string>();
}
public UpdateOrderBookOnBidAsk(OrderBookContext storage, IDataContext context, ILogger logger)
: base(context.Get <ObservableCollection <BidAsk> >())
{
this.storage = storage;
this.logger = logger;
}
public MarketDataProvider(SmartComHandlersDatabase handlers, IDataContext tradingData, OrderBookContext orderBook, ILogger logger)
{
this.handlers = handlers;
this.tradingData = tradingData;
this.logger = logger;
this.orderBook = orderBook;
this.handlers.Add <_IStClient_AddTickEventHandler>(stServer_AddTick);
this.handlers.Add <_IStClient_UpdateBidAskEventHandler>(stServer_UpdateBidAsk);
this.handlers.Add <_IStClient_AddBarEventHandler>(stServer_AddBar);
}
public void Setup()
{
this.orderBook = new OrderBookContext();
}
