public ArbitrageData CalculateWithTransaction(ArbitrageTransaction arbitrageTransaction)
{
if (arbitrageTransaction == null)
{
throw new ArgumentNullException(nameof(arbitrageTransaction));
}
if (arbitrageTransaction.OriginalOrderType == null)
{
throw new ArgumentNullException(nameof(arbitrageTransaction.OriginalOrderType));
}
if (arbitrageTransaction.OriginalOrderType == OrderType.BUY_LIMIT)
{
var baseCurrencyFee = arbitrageTransaction.CommisionPaid;
var baseCurrencyGet = arbitrageTransaction.Volume - baseCurrencyFee;
var quoteCurrencyLost = arbitrageTransaction.Price * arbitrageTransaction.Volume;
decimal finalBaseCurrencyQty = this.FinalBaseCurrencyQuantity + baseCurrencyGet;
decimal finalQuoteCurrencyQty = this.FinalQuoteCurrencyQuantity - quoteCurrencyLost;
return(new ArbitrageData(
this.BaseCurrency,
this.QuoteCurrency,
this.OriginalBaseCurrencyQuantity,
this.OriginalQuoteCurrencyQuantity,
finalBaseCurrencyQty,
finalQuoteCurrencyQty
));
}
else if (arbitrageTransaction.OriginalOrderType == OrderType.SELL_LIMIT)
{
var quoteCurrencyFee = arbitrageTransaction.CommisionPaid;
var quoteCurrencyGet = arbitrageTransaction.Volume - quoteCurrencyFee;
var baseCurrencyLost = arbitrageTransaction.Volume;
decimal finalBaseCurrencyQty = this.FinalBaseCurrencyQuantity - baseCurrencyLost;
decimal finalQuoteCurrencyQty = this.FinalQuoteCurrencyQuantity + quoteCurrencyGet;
return(new ArbitrageData(
this.BaseCurrency,
this.QuoteCurrency,
this.OriginalBaseCurrencyQuantity,
this.OriginalQuoteCurrencyQuantity,
finalBaseCurrencyQty,
finalQuoteCurrencyQty
));
}
else
{
throw new ArgumentOutOfRangeException($"Arbitrage order type \"{arbitrageTransaction.OriginalOrderType}\" is currently not supported.");
}
}
public void OrderFilled(Order order)
{
if (order == null)
{
throw new ArgumentNullException(nameof(order));
}
if (order.ArbitrageId != this.ArbitrageId)
{
throw new InvalidOperationException($"Created order's arbitrage Id \"{order.ArbitrageId}\" doesn't match the simple arbitrage's Id \"{this.ArbitrageId}\".");
}
if (order.BaseCurrency != this.ArbitrageData.BaseCurrency || order.QuoteCurrency != this.ArbitrageData.QuoteCurrency)
{
throw new InvalidOperationException($"The base currency or quote currency between the filled order and the simple arbitrage must be the same.");
}
if (this.Status.Id == SimpleArbitrageStatus.Opened.Id || this.Status.Id == SimpleArbitrageStatus.OrderFullFilled.Id || this.Status.Id == SimpleArbitrageStatus.Closed.Id)
{
throw new InvalidOperationException("Order can only be filled when the simple arbitrage's status is in \"OrderPartiallyCreated\" or \"OrderFullCreated\" or \"OrderPartiallyFilled\".");
}
var orderFilledAmounts = this.GetOrderFilledAmounts(order.OrderId);
var trxVolume = order.QuantityFilled - orderFilledAmounts;
if (trxVolume <= 0)
{
throw new InvalidOperationException("The transaction volume must more than zero.");
}
var orderPaidFees = this.GetOrderPaidFees(order.OrderId);
var trxCommisionFees = order.CommisionPaid - orderPaidFees;
if (trxCommisionFees < 0)
{
throw new InvalidOperationException("The transaction fee should be zero or above.");
}
var transaction = new ArbitrageTransaction(
this.ArbitrageId,
order.ExchangeId,
order.OrderType.Id,
order.BaseCurrency,
order.QuoteCurrency,
order.Price,
trxVolume,
trxCommisionFees
);
this._transactions.Add(transaction);
this.ArbitrageData = this.ArbitrageData.CalculateWithTransaction(transaction);
if (order.OrderType == OrderType.BUY_LIMIT)
{
if (this.GetOrderFilledAmounts(order.OrderId) >= this.BuyOrder.Quantity)
{
if (this.Status.Id == SimpleArbitrageStatus.OrderPartiallyFilled.Id)
{
//this.Status = SimpleArbitrageStatus.OrderFullFilled;
this._simpleArbitrageStatusId = SimpleArbitrageStatus.OrderFullFilled.Id;
}
else
{
//this.Status = SimpleArbitrageStatus.OrderPartiallyFilled;
this._simpleArbitrageStatusId = SimpleArbitrageStatus.OrderPartiallyFilled.Id;
}
}
}
if (order.OrderType == OrderType.SELL_LIMIT)
{
if (this.GetOrderFilledAmounts(order.OrderId) >= this.SellOrder.Quantity)
{
if (this.Status.Id == SimpleArbitrageStatus.OrderPartiallyFilled.Id)
{
//this.Status = SimpleArbitrageStatus.OrderFullFilled;
this._simpleArbitrageStatusId = SimpleArbitrageStatus.OrderFullFilled.Id;
}
else
{
//this.Status = SimpleArbitrageStatus.OrderPartiallyFilled;
this._simpleArbitrageStatusId = SimpleArbitrageStatus.OrderPartiallyFilled.Id;
}
}
}
}
