protected virtual double SuggestSellPrice(IMarketDepthResponse<Order> market)
{
const double MIN_WALL_VOLUME = 0.1;
double sumVolume = 0.0;
foreach (var ask in market.Asks)
{
//Don't count self
if (ask.Price.eq(_sellOrderPrice) && ask.Amount.eq(_sellOrderAmount))
{
continue;
}
//Skip SELL orders with tiny amount
sumVolume += ask.Amount;
if (sumVolume < MIN_WALL_VOLUME)
{
continue;
}
if (ask.Price > _executedBuyPrice + _minDifference)
{
return ask.Price.eq(_sellOrderPrice)
? _sellOrderPrice
: ask.Price - 0.001;
}
}
//All SELL orders are too low (probably some terrible fall). Suggest SELL order with minimum profit and hope :-( TODO: maybe some stop-loss strategy
return _executedBuyPrice + _minDifference;
}
//TODO: Clear candidate for movement to parent class
protected virtual double SuggestBuyPrice(IMarketDepthResponse<Order> market)
{
const double MIN_WALL_VOLUME = 0.1;
double sumVolume = 0.0;
foreach (var bid in market.Bids)
{
//Don't count self
if (bid.Price.eq(_buyOrderPrice) && bid.Amount.eq(_buyOrderAmount))
{
continue;
}
//Skip BUY orders with tiny amount
sumVolume += bid.Amount;
if (sumVolume < MIN_WALL_VOLUME)
{
continue;
}
if (bid.Price < _executedSellPrice - MIN_DIFFERENCE)
{
return bid.Price.eq(_buyOrderPrice)
? _buyOrderPrice
: bid.Price + 0.001;
}
}
//All BUY orders are too high (probably some wild race). Suggest BUY order with minimum profit and hope
return _executedSellPrice - MIN_DIFFERENCE;
}
//TODO: To TraderBase
protected virtual double SuggestBuyPrice(IMarketDepthResponse<Order> market)
{
double sum = 0;
var lowestAsk = market.Asks.First().Price;
foreach (var bid in market.Bids)
{
if (sum + _operativeAmount > _volumeWall && bid.Price + _minDifference < lowestAsk)
{
double buyPrice = Math.Round(bid.Price + 0.001, 3);
//The difference is too small and we'd be not first in BUY orders. Leave previous price to avoid server call
if (-1 != _buyOrderId && buyPrice < market.Bids[0].Price && Math.Abs(buyPrice - _buyOrderPrice) < _minPriceUpdate)
{
log(String.Format("DEBUG: BUY price {0} too similar, using previous", buyPrice));
return _buyOrderPrice;
}
return buyPrice;
}
sum += bid.Amount;
//Don't consider volume of own order
if (bid.Price.eq(_buyOrderPrice))
{
sum -= _buyOrderAmount;
}
}
//Market too dry, use BUY order before last, so we see it in chart
var price = market.Bids.Last().Price + 0.01;
if (-1 != _buyOrderId && Math.Abs(price - _buyOrderPrice) < _minPriceUpdate)
{
return _buyOrderPrice;
}
return Math.Round(price, 3);
}
protected virtual double SuggestSellPrice(IMarketDepthResponse<MarketOrder> market)
{
foreach (var ask in market.Asks)
{
//Don't count self
if (ask.Price.eq(_sellOrderPrice) && ask.Amount.eq(_sellOrderAmount))
{
continue;
}
if (ask.Price > _executedBuyPrice + _minDifference)
{
return ask.Price.eq(_sellOrderPrice)
? _sellOrderPrice
: ask.Price - _minPriceUpdate;
}
}
//All SELL orders are too low (probably some terrible fall). Suggest SELL order with minimum profit and hope :-( TODO: maybe some stop-loss strategy
return _executedBuyPrice + _minDifference;
}
