private async Task PlaceLimitOrdersTillFulfilled(List <string> soldAssetNames, List <string> boughtAssetNames)
{
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd-MM-yyyy HH:mm:ss")}]Cryptos revendues: " + string.Join(" / ", soldAssetNames));
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd-MM-yyyy HH:mm:ss")}]Cryptos achetées: " + string.Join(" / ", boughtAssetNames));
MinutesSinceLastPosition = 0;
foreach (var asset in soldAssetNames.Concat(boughtAssetNames))
{
if (OrdersToProcess.Any(o => o.Symbol.ToLower() == asset))
{
continue;
}
bool isSold = soldAssetNames.Contains(asset);
decimal price = 0.0m;
if (!_parameters.DoPlaceMarketOrders)
{
price = isSold ? _binanceWsClient.UpdatedBookTickers[asset].BestAskPrice ?? 0.0m : _binanceWsClient.UpdatedBookTickers[asset].BestBidPrice ?? 0.0m;
}
decimal lastPrice = 0;
lastPrice = (decimal)_binanceWsClient.WholeMarketKlines[asset].Last().Kline.ClosePrice;
int minTakenRank = 1 + (int)Math.Floor(_parameters.MinTakenRank * (CurrRatios.Count(x => x.Value != null) - 1));
int maxTakenRank = 1 + (int)Math.Floor(_parameters.MaxTakenRank * (CurrRatios.Count(x => x.Value != null) - 1));
decimal qty = isSold ? CurrentHoldBaseAssetPos[asset].Qty
: Math.Round(CurrentInvestedAmount / (lastPrice * (maxTakenRank - minTakenRank + 1)),
ExchangeInfo.Symbols.FirstOrDefault(s => asset == $"{s.BaseAsset.ToLower()}{s.QuoteAsset.ToLower()}")?.QuantityPrecision ?? 1, MidpointRounding.ToZero);
OrdersToProcess.Add(new BinanceBotOrder
{
//OrderId = Guid.NewGuid().ToString(),
Price = price,
Qty = qty,
Side = (sbyte)(isSold ? -1 : 1),
Symbol = asset,
LastModifed = DateTime.UtcNow,
IsClosingPosition = _parameters.DoPlaceMarketOrders && isSold
});
if (isSold)
{
CurrentHoldBaseAssetPos[asset].IsBeingLiquidated = true;
}
if (_parameters.DoPlaceMarketOrders)
{
if (isSold)
{
CurrentHoldBaseAssetPos[asset] = new SingleAssetPosition {
Qty = 0.0m, AvgEntryPrice = 0.0m, Side = 0, IsBeingLiquidated = true
}
}
;
else
{
CurrentHoldBaseAssetPos[asset] = new SingleAssetPosition {
Qty = qty, AvgEntryPrice = price, Side = 1, IsBeingLiquidated = false
}
};
}
}
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd - MM - yyyy hh: mm:ss")}] Avant envoi ordre: " + string.Join(" / ", OrdersToProcess.Select(o => $"{o.Symbol}: qty = " + (o.Side == -1 ? "-" : "") + $"{o.Qty} ")));
List <BinanceFuturesPlacedOrderResponse> responses = new List <BinanceFuturesPlacedOrderResponse>();
#region Process orders till all filled
if (_parameters.DoPlaceMarketOrders)
{
List <string> liquidatedSymbols = CurrentHoldBaseAssetPos.Where(kvp => kvp.Value.IsBeingLiquidated).Select(kvp => kvp.Key.ToLower()).ToList();
foreach (var symbol in liquidatedSymbols)
{
var cancelResponse = await _binanceWsClient.CancelAllOpenOrders(symbol);
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd - MM - yyyy hh: mm:ss")}] Annulation de l'asset liquidé {symbol}: {JsonConvert.SerializeObject(cancelResponse, new JsonSerializerSettings { Formatting = Formatting.None })}");
//await Task.Delay(DELAY_BETWEEN_ORDERS_IN_MILLISECS);
}
var marketOrders = OrdersToProcess.Select(o => new BinanceFuturesPlacedOrder
{
Symbol = o.Symbol,
Side = o.Side == 1 ? "BUY" : "SELL",
Quantity = o.Qty,
Type = "MARKET"
});
responses = await _binanceWsClient.PlaceBatchOrder(marketOrders.ToList());
OrdersToProcess.Clear();
}
else
{
responses = await _binanceWsClient.PlaceBatchOrder(OrdersToProcess.Select(o => new BinanceFuturesPlacedOrder
{
Symbol = o.Symbol,
Side = o.Side == 1 ? "BUY" : "SELL",
Price = o.Price,
Quantity = o.Qty,
//NewClientOrderId = o.OrderId,
TimeInForce = "GTX",
Type = "LIMIT"
})
.ToList());
}
#endregion
foreach (var response in responses)
{
if (response.IsSuccess && response.Code == null)
{
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd-MM-yyyy HH:mm:ss")}]Vente/achat envoyé: {JsonConvert.SerializeObject(response, new JsonSerializerSettings { Formatting = Formatting.None })}");
if (!_parameters.DoPlaceMarketOrders)
{
var order = OrdersToProcess.FirstOrDefault(o => o.Symbol.ToLower() == response.Symbol.ToLower());
order.OrderId = response.OrderId;
order.LastModifed = DateTime.UtcNow;
}
}
else
{
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd-MM-yyyy HH:mm:ss")}]Vente/achat non-envoyé: {JsonConvert.SerializeObject(response, new JsonSerializerSettings { Formatting = Formatting.None })}");
}
}
if (_parameters.DoPlaceMarketOrders)
{
foreach (var symbol in CurrentHoldBaseAssetPos.Keys)
{
CurrentHoldBaseAssetPos[symbol].IsBeingLiquidated = false;
}
}
}
//private decimal GetDrawdownThreshold(int minutesSinceLastPosition)
//{
// decimal p = (decimal)Math.Min(1, Math.Pow((MinutesSinceLastPosition-1) / _parameters.AverageDrawbackRunLength, _parameters.DrawbackDecayRate));
// return (1 - p) * _parameters.StartDrawbackRate + p * _parameters.EndDrawbackRate;
//}
private async Task ReprocessWaitingOrder(BinanceBotOrder matchingOrder, BinanceBookTicker newTicker)
{
if (newTicker.BestBidPrice == null || newTicker.BestAskPrice == null)
{
return;
}
matchingOrder.IsBeingReplaced = true;
string asset = newTicker.Symbol.ToLower();
bool isSold = matchingOrder.Side == -1;
int symbolPricePrecision = ExchangeInfo.Symbols.FirstOrDefault(s => s.Symbol.ToLower() == asset).PricePrecision;
//decimal midPrice = newTicker.BestAskPrice != null && newTicker.BestBidPrice != null
// ? (decimal)(0.5m * newTicker.BestAskPrice + 0.5m * newTicker.BestBidPrice)
// : newTicker.BestBidPrice == null ? (decimal)newTicker.BestAskPrice
// : newTicker.BestAskPrice == null ? (decimal)newTicker.BestBidPrice : 0.0m;
//decimal price = isSold
// ? Math.Min(Math.Round(midPrice, symbolPricePrecision, MidpointRounding.ToZero) + (decimal)Math.Pow(0.1d, symbolPricePrecision), newTicker.BestAskPrice ?? 0.0m)
// : Math.Max(Math.Round(midPrice, symbolPricePrecision, MidpointRounding.ToZero), newTicker.BestBidPrice ?? 0.0m);
var lastTickers = _binanceWsClient.UpdatedBookTickersHistory[asset].TakeLast(_parameters.LastTickersNbForRepricing).ToList();
decimal expectedNextBestBidDelta = (decimal)Enumerable.Range(0, _parameters.LastTickersNbForRepricing - 2).Sum(i => (lastTickers[i + 1].BestBidPrice - lastTickers[i].BestBidPrice) * (decimal)Math.Pow((double)(i + 2 - _parameters.LastTickersNbForRepricing), (double)((-1) * _parameters.RepricingDecay))) * _parameters.RepricingCoefficient;
decimal expectedNextBestAskDelta = (decimal)Enumerable.Range(0, _parameters.LastTickersNbForRepricing - 2).Sum(i => (lastTickers[i + 1].BestAskPrice - lastTickers[i].BestAskPrice) * (decimal)Math.Pow((double)(i + 2 - _parameters.LastTickersNbForRepricing), (double)((-1) * _parameters.RepricingDecay))) * _parameters.RepricingCoefficient;
decimal exactPrice = (decimal)(isSold ? newTicker.BestAskPrice + expectedNextBestAskDelta : newTicker.BestBidPrice + expectedNextBestBidDelta);
decimal price = Math.Round(exactPrice, symbolPricePrecision, MidpointRounding.ToZero);
int minTakenRank = 1 + (int)Math.Floor(_parameters.MinTakenRank * (CurrRatios.Count(x => x.Value != null) - 1));
int maxTakenRank = 1 + (int)Math.Floor(_parameters.MaxTakenRank * (CurrRatios.Count(x => x.Value != null) - 1));
decimal qty = isSold ? matchingOrder.Qty
: Math.Round((decimal)(CurrentInvestedAmount / (price * (maxTakenRank - minTakenRank + 1))),
ExchangeInfo.Symbols.FirstOrDefault(s => asset == $"{s.BaseAsset.ToLower()}{s.QuoteAsset.ToLower()}")?.QuantityPrecision ?? 1, MidpointRounding.ToZero);
matchingOrder.Price = price;
matchingOrder.Qty = qty;
//matchingOrder.LastModifed = DateTime.UtcNow;
long previousOrderId = matchingOrder.OrderId;
//matchingOrder.OrderId = Guid.NewGuid().ToString();
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd - MM - yyyy hh: mm:ss")}] Début annulation de l'ordre {previousOrderId} pour {matchingOrder.Symbol}");
var cancelResponse = await _binanceWsClient.CancelOrder(matchingOrder.Symbol, previousOrderId);
var filledOrder = await _binanceWsClient.QueryOrder(matchingOrder.Symbol.ToLower(), matchingOrder.OrderId);
if (cancelResponse.IsSuccess && cancelResponse.Code == null)
{
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd - MM - yyyy hh: mm:ss")}] Annulation effectuée: {JsonConvert.SerializeObject(cancelResponse)}");
if (filledOrder != null && filledOrder.ExecutedQty > 0) //&& filledOrder.Status == "CANCELED"
{
matchingOrder.Qty -= filledOrder.ExecutedQty ?? 0.0m;
}
Debug.WriteLineIf(filledOrder == null, $"Ordre annulé mais introuvable (symbol: {matchingOrder.Symbol})");
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd - MM - yyyy hh: mm:ss")}] Replacement ordre pour {matchingOrder.Symbol} @{matchingOrder.Price}usdt");
var response = await _binanceWsClient.PlaceOrder(new BinanceFuturesPlacedOrder
{
Symbol = matchingOrder.Symbol,
Side = matchingOrder.Side == 1 ? "BUY" : "SELL",
Price = matchingOrder.Price,
Quantity = matchingOrder.Qty,
//NewClientOrderId = matchingOrder.OrderId,
TimeInForce = "GTX",
Type = "LIMIT"
});
if (response.IsSuccess)
{
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd - MM - yyyy hh: mm:ss")}] Replacement ordre OK");
matchingOrder.OrderId = response.OrderId;
matchingOrder.LastModifed = DateTime.UtcNow;
}
else
{
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd - MM - yyyy hh: mm:ss")}] Replacement ordre ERREUR");
}
}
else
{
if (filledOrder != null && filledOrder.Status == "FILLED")
{
string filledAsset = filledOrder.Symbol.ToLower();
decimal filledQty = filledOrder.OrigQty ?? 0.0m;
decimal filledPrice = filledOrder.Price ?? 0.0m;
bool filledIsSold = filledOrder.Side == "SELL";
if (filledIsSold)
{
CurrentHoldBaseAssetPos[filledAsset] = new SingleAssetPosition {
Qty = 0.0m, AvgEntryPrice = 0.0m, Side = 0, IsTotallyFilled = false, IsBeingLiquidated = false
}
}
;
else
{
CurrentHoldBaseAssetPos[filledAsset] = new SingleAssetPosition {
Qty = filledQty, AvgEntryPrice = filledPrice, Side = 1, IsTotallyFilled = true, LiquidationPrice = filledPrice * (1 - _parameters.RiskThreshold), IsBeingLiquidated = false
}
};
OrdersToProcess.Remove(matchingOrder);
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd - MM - yyyy hh: mm:ss")}] Ordre {matchingOrder.OrderId} complété --> retrait de la liste OrdersToProcess");
}
else if (filledOrder != null && filledOrder.Status == "EXPIRED")
{
var response = await _binanceWsClient.PlaceOrder(new BinanceFuturesPlacedOrder
{
Symbol = matchingOrder.Symbol,
Side = matchingOrder.Side == 1 ? "BUY" : "SELL",
Price = matchingOrder.Price,
Quantity = matchingOrder.Qty,
//NewClientOrderId = matchingOrder.OrderId,
TimeInForce = "GTX",
Type = "LIMIT"
});
if (response.IsSuccess)
{
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd - MM - yyyy hh: mm:ss")}] Replacement ordre GTX expiré OK (symbol: {matchingOrder.Symbol}, price: {matchingOrder.Price}usdt)");
matchingOrder.OrderId = response.OrderId;
matchingOrder.LastModifed = DateTime.UtcNow;
}
else
{
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd - MM - yyyy hh: mm:ss")}] Replacement ordre GTX ERREUR");
}
}
}
matchingOrder.IsBeingReplaced = false;
}
private async Task ComputeRatiosAndTakePosition(object sender, BinancewholeMarketDataUpdateEventArgs args)
{
if (!IsBotRunning)
{
return;
}
try
{
MinutesSinceLastPosition++;
//if (MinutesSinceLastPosition < _parameters.TimeWindowInMin)
//{
// return;
//}
//else
//{
// MinutesSinceLastPosition = 0;
//}
if (CurrentHoldBaseAssetPos.Any(x => x.Value.Side != 0) && MinutesSinceLastPosition <= _parameters.MaxWaitMinutes)
{
return;
}
//Calculate ratios for each crypto
if (CurrRatios.Count == 0)
{
foreach (var symbol in ActualTradedSymbols)
{
//movingAverages.Add(symbol, null);
CurrRatios.Add(symbol, null);
}
}
//Calcul des indicateurs pour chaque asset
List <string> symbolsKeys = CurrRatios.Keys.ToList();
foreach (var symbol in symbolsKeys)
{
List <Kline> lastSymbolKlines = _binanceWsClient.WholeMarketKlines[symbol].Select(x => x.Kline).ToList();
LastMinuteTimeMark = Math.Max(LastMinuteTimeMark, lastSymbolKlines.Last().KlineCloseTime);
decimal?newMovingAverage = (decimal?)lastSymbolKlines.TakeLast(_parameters.MovingAveragePeriods * _parameters.TimeWindowInMin).Average(k => k.ClosePrice);
decimal?recentMovingAverage = (decimal?)lastSymbolKlines.Last().ClosePrice;
if (!LastMovingAveragesRatios.ContainsKey(symbol))
{
decimal?prevMovingAverage = (decimal?)lastSymbolKlines.TakeLast((_parameters.MovingAveragePeriods + 1) * _parameters.TimeWindowInMin)
.SkipLast(_parameters.TimeWindowInMin).Average(k => k.ClosePrice);
decimal?mostPrevMovingAverage = (decimal?)lastSymbolKlines.TakeLast((_parameters.MovingAveragePeriods + 2) * _parameters.TimeWindowInMin)
.SkipLast(2 * _parameters.TimeWindowInMin).Average(k => k.ClosePrice);
decimal?prevRecentMovingAverage = (decimal?)lastSymbolKlines.SkipLast(_parameters.TimeWindowInMin).Last().ClosePrice;
decimal?mostPrevRecentMovingAverage = (decimal?)lastSymbolKlines.SkipLast(2 * _parameters.TimeWindowInMin).Last().ClosePrice;
LastMovingAveragesRatios.Add(symbol, new List <decimal?> {
mostPrevRecentMovingAverage / mostPrevMovingAverage != null ? (decimal)Math.Log((double)(mostPrevRecentMovingAverage / mostPrevMovingAverage)) : null,
prevRecentMovingAverage / prevMovingAverage != null ? (decimal)Math.Log((double)(prevRecentMovingAverage / prevMovingAverage)) : null,
recentMovingAverage / newMovingAverage != null ? (decimal)Math.Log((double)(recentMovingAverage / newMovingAverage)) : null
});
}
else
{
LastMovingAveragesRatios[symbol].Add(recentMovingAverage / newMovingAverage != null ? (decimal)Math.Log((double)(recentMovingAverage / newMovingAverage)) : null);
if (LastMovingAveragesRatios[symbol].Count > 3)
{
LastMovingAveragesRatios[symbol].RemoveAt(0);
}
}
if (LastMovingAveragesRatios[symbol].Any(x => x == null))
{
CurrRatios[symbol] = null;
continue;
}
IEnumerable <Kline> lastTimeWindowKlines = lastSymbolKlines.TakeLast(_parameters.TimeWindowInMin + 1);
decimal lastVariation = (decimal)Math.Log((double)(lastTimeWindowKlines.Last().ClosePrice / lastTimeWindowKlines.First().ClosePrice));
decimal a1 = _parameters.MovAvgRatioMixParam;
decimal a2 = _parameters.MovAvgSecondOrderDiffMixParam;
CurrRatios[symbol] = (1 - a1) * lastVariation + a1 * (1 - a2) * LastMovingAveragesRatios[symbol][2] - a2 * (LastMovingAveragesRatios[symbol][2] - 2 * LastMovingAveragesRatios[symbol][1] + LastMovingAveragesRatios[symbol][0]);
}
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd-MM-yyyy HH:mm:ss")}] Ratios: {string.Join(" -- ", CurrRatios.OrderBy(kvp => kvp.Value ?? 0).Select(kvp => $"{kvp.Key}: {kvp.Value}"))}");
int minTakenRank = 1 + (int)Math.Floor(_parameters.MinTakenRank * (CurrRatios.Count(x => x.Value != null) - 1));
int maxTakenRank = 1 + (int)Math.Floor(_parameters.MaxTakenRank * (CurrRatios.Count(x => x.Value != null) - 1));
List <string> newSelectedAssetNames = CurrRatios.Where(x => x.Value != null).OrderBy(x => x.Value).Select(x => x.Key)
.Skip(minTakenRank - 1).Take(maxTakenRank - minTakenRank + 1).ToList();
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd-MM-yyyy HH:mm:ss")}] New selected cryptos: " + string.Join(" / ", newSelectedAssetNames));
List <string> currHoldAssetNames = CurrentHoldBaseAssetPos.Where(p => p.Value.Side != 0).Select(p => p.Key.ToLower()).ToList();
List <string> soldAssetNames = currHoldAssetNames.Except(newSelectedAssetNames).ToList();
List <string> boughtAssetNames = newSelectedAssetNames.Except(currHoldAssetNames).ToList();
NbTradeCycles += 0.5m * (soldAssetNames.Count + boughtAssetNames.Count) / (maxTakenRank - minTakenRank + 1);
await PlaceLimitOrdersTillFulfilled(soldAssetNames, boughtAssetNames);
}
catch (Exception ex)
{
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd-MM-yyyy HH:mm:ss")}] Erreur dans StartBot: {ex.Message} -- {ex.InnerException} -- {ex.StackTrace}");
//_binanceWsClient.SendFailedWSMail(ex.Message);
//throw ex;
}
}
