public IEnumerable <LykkeArbitrageRow> GetArbitrages(string target, string source, ArbitrageProperty property = default, decimal minValue = 0)
{
IEnumerable <LykkeArbitrageRow> arbitrages;
lock (_lockArbitrages)
{
arbitrages = _arbitrages.ToList();
}
// Filter by minValue
arbitrages = GetFilterdByProperty(arbitrages, minValue, property);
var result = new List <LykkeArbitrageRow>();
// Filter by target
if (!string.IsNullOrWhiteSpace(target))
{
arbitrages = arbitrages.Where(x => x.Target.Name.Equals(target, StringComparison.OrdinalIgnoreCase));
}
var groupedByTarget = arbitrages.GroupBy(x => x.Target);
foreach (var targetPairArbitrages in groupedByTarget)
{
var targetArbitrages = targetPairArbitrages.ToList();
// No target
if (string.IsNullOrWhiteSpace(target))
{
// Best arbitrage for each target
var bestByProperty = GetBestByProperty(targetArbitrages, property);
bestByProperty.SourcesCount = targetArbitrages.Count;
result.Add(bestByProperty);
}
// Target selected
else
{
// No source selected
if (string.IsNullOrWhiteSpace(source))
{
// Group by source
var groupedBySource = targetArbitrages.GroupBy(x => x.Source);
foreach (var group in groupedBySource)
{
// Best arbitrage by target and source
var targetGrouped = group.ToList();
var bestByProperty = GetBestByProperty(targetGrouped, property);
bestByProperty.SynthsCount = targetGrouped.Count;
result.Add(bestByProperty);
}
}
// Source selected
else
{
// Filter by source
targetArbitrages = targetArbitrages.Where(x => x.Source.Name.Equals(source, StringComparison.OrdinalIgnoreCase)).ToList();
var groupedBySource = targetArbitrages.GroupBy(x => x.Source);
foreach (var baseSourcePairsArbitrages in groupedBySource)
{
var baseSourceArbitrages = baseSourcePairsArbitrages.ToList();
result.AddRange(baseSourceArbitrages);
}
}
}
}
result = GetOrderedByProperty(result, property).ToList();
return(result);
}
private static IEnumerable <LykkeArbitrageRow> GetFilterdByProperty(IEnumerable <LykkeArbitrageRow> arbitrages, decimal minValue, ArbitrageProperty property)
{
minValue = Math.Round(minValue, 2);
// Filter by minValue
if (minValue != 0)
{
switch (property)
{
case ArbitrageProperty.Volume: return(arbitrages.Where(x => Math.Round(x.VolumeInUsd.Value, 2) >= minValue));
case ArbitrageProperty.Spread: return(arbitrages.Where(x => Math.Round(Math.Abs(x.Spread), 2) >= minValue));
}
}
return(arbitrages.Where(x => x.PnLInUsd >= minValue));
}
private static IEnumerable <LykkeArbitrageRow> GetOrderedByProperty(IEnumerable <LykkeArbitrageRow> arbitrages, ArbitrageProperty property)
{
switch (property)
{
case ArbitrageProperty.Volume:
return(arbitrages.OrderByDescending(x => x.VolumeInUsd)
.ThenByDescending(x => x.PnLInUsd)
.ThenBy(x => x.Spread));
case ArbitrageProperty.Spread:
return(arbitrages.OrderBy(x => x.Spread)
.ThenByDescending(x => x.PnLInUsd)
.ThenByDescending(x => x.VolumeInUsd));
default:
return(arbitrages.OrderByDescending(x => x.PnLInUsd)
.ThenByDescending(x => x.VolumeInUsd)
.ThenBy(x => x.Spread));
}
}
private static LykkeArbitrageRow GetBestByProperty(IEnumerable <LykkeArbitrageRow> arbitrages, ArbitrageProperty property)
{
switch (property)
{
case ArbitrageProperty.Volume:
return(arbitrages.MaxBy(x => x.VolumeInUsd));
case ArbitrageProperty.Spread:
return(arbitrages.MinBy(x => x.Spread));
default:
return(arbitrages.MaxBy(x => x.PnL));
}
}
/// <inheritdoc />
public async Task <IEnumerable <LykkeArbitrageRow> > LykkeArbitragesAsync(string basePair, string crossPair, string target = "", string source = "", ArbitrageProperty property = default, decimal minValue = 0)
{
return(await _runner.RunAsync(() => _arbitrageDetectorApi.LykkeArbitrages(basePair, crossPair, target, source, property, minValue)));
}
public IActionResult LykkeArbitrages(string basePair, string crossPair, string target = "", string source = "", ArbitrageProperty property = default, decimal minValue = 0)
{
target = string.IsNullOrWhiteSpace(target) ? basePair : target;
source = string.IsNullOrWhiteSpace(source) ? crossPair : source;
var domain = _lykkeArbitrageDetectorService.GetArbitrages(target, source, (Core.Domain.ArbitrageProperty)property, minValue).ToList();
var model = Mapper.Map <IReadOnlyList <LykkeArbitrageRow> >(domain);
return(Ok(model));
}
