/// <summary>Find the available trade loops</summary>
public void Start(CancellationToken cancel)
{
Debug.Assert(Misc.AssertMainThread());
#if false//todo
// Create a map from coins to pairs involving those coins
var map = new Dictionary <Coin, List <TradePair> >();
foreach (var pair in pairs)
{
map.GetOrAdd(pair.Base, k => new List <TradePair>()).Add(pair);
map.GetOrAdd(pair.Quote, k => new List <TradePair>()).Add(pair);
}
// Don't use CrossExchange pairs to start the loops to guarantee all
// loops have at least one non-CrossExchange pair in them.
Queue
foreach (var exch in Model.TradingExchanges)
{
// Create a seed loop from each pair on each exchange
foreach (var pair in exch.Pairs)
{
Queue.Add(new Loop(pair));
}
}
// Local copy of shared variables
//var pairs = Model.Pairs.ToList();
//var x_exch = Model.CrossExchange;
//var max_loop_count = Settings.MaximumLoopCount;
//var sw = new Stopwatch().StartNow();
// Record the update issue number
Model.Log.Write(ELogLevel.Info, "Finding arbitrage loops ...");
m_rebuild_loops_pending = false;
bool Abort() => m_rebuild_loops_pending || Shutdown.IsCancellationRequested;
if (Abort())
{
return;
}
// Run the background process
ThreadPool.QueueUserWorkItem(_ =>
{
try
{
// Create a producer/consumer queue of partial loops
// Don't use CrossExchange pairs to start the loops to guarantee all
// loops have at least one non-CrossExchange pair in them
var queue = new BlockingCollection <Loop>();
foreach (var pair in pairs.Where(x => x.Exchange != x_exch))
{
queue.Add(new Loop(pair));
}
// Create a map from coins to pairs involving those coins
var map = new Dictionary <Coin, List <TradePair> >();
foreach (var pair in pairs)
{
map.GetOrAdd(pair.Base, k => new List <TradePair>()).Add(pair);
map.GetOrAdd(pair.Quote, k => new List <TradePair>()).Add(pair);
}
// Stop when there are no more partial loops to process
var workers = new List <Completion>();
for (; ;)
{
// If the loops have been invalidated in the meantime, give up
if (Abort())
{
return;
}
// Take a partial loop from the queue
if (!queue.TryTake(out var loop, TimeSpan.FromMilliseconds(50)))
{
// If there are no partial loops to process and
// no running workers we must be done.
workers.RemoveIf(x => x.IsCompleted);
if (workers.Count == 0)
{
break;
}
continue;
}
// Process the partial loop in a worker thread
ThreadPool.QueueUserWorkItem(completion_ =>
{
// - A closed loop is a chain of pairs that go from one currency, through one or more other
// currencies, and back to the starting currency. Note: the ending currency does *NOT* have to
// be on the same exchange.
// - Loops cannot start or end with a cross-exchange pair
// - Don't allow sequential cross-exchange pairs
var completion = (Completion)completion_;
try
{
var beg = loop.Beg;
var end = loop.End;
// Special case for single-pair loops, allow for the first pair to be reversed
if (loop.Pairs.Count == 1)
{
// Get all the pairs that match 'beg' or 'end' and don't close the loop
var links = Enumerable.Concat(
map[beg].Except(loop.Pairs[0]).Where(x => x.OtherCoin(beg).Symbol != end.Symbol),
map[end].Except(loop.Pairs[0]).Where(x => x.OtherCoin(end).Symbol != beg.Symbol));
foreach (var pair in links)
{
if (Abort())
{
break;
}
// Grow the loop
var nue_loop = new Loop(loop);
nue_loop.Pairs.Add(pair);
queue.Add(nue_loop);
}
}
else
{
// Look for a pair to add to the loop
var existing_pairs = loop.Pairs.ToHashSet();
foreach (var pair in map[end].Except(existing_pairs))
{
if (Abort())
{
break;
}
// Don't allow sequential cross-exchange pairs
if (loop.Pairs.Back().Exchange == Model.CrossExchange && pair.Exchange == Model.CrossExchange)
{
continue;
}
// Does this pair close the loop?
if (pair.OtherCoin(end).Symbol == beg.Symbol)
{
// Add a complete loop
var nue_loop = new Loop(loop);
nue_loop.Pairs.Add(pair);
result.TryAdd(nue_loop.HashKey, nue_loop);
}
else if (loop.Pairs.Count < max_loop_count)
{
// Grow the loop
var nue_loop = new Loop(loop);
nue_loop.Pairs.Add(pair);
queue.Add(nue_loop);
}
}
}
if (Abort())
{
completion.Cancelled = true;
}
else
{
completion.Completed();
}
}
catch (Exception ex)
{
completion.Exception = ex;
}
}, workers.Add2(new Completion()));
}
// Update the loops collection
Model.RunOnGuiThread(() =>
{
// If the loops have been invalidated in the meantime, give up
if (Abort())
{
return;
}
Loops.Clear();
Loops.AddRange(result.Values.ToArray());
// Done
Log.Write(ELogLevel.Info, $"{Loops.Count} trading pair loops found. (Taking {sw.Elapsed.TotalSeconds} seconds)");
});
}
catch (Exception ex)
{
Log.Write(ELogLevel.Error, ex, "Unhandled exception in 'FindLoops'");
}
});
}
public void Add(CurveCollection other)
{
Loops.AddRange(other.Loops);
Paths.AddRange(other.Paths);
}