public Task <ExchangeTrade> MarketTrade(MarketTradeRequest request)
{
if (!Prices.TryGetValue(request.Market, out var price))
{
throw new Exception($"Cannot found MOCK price for {request.Market}");
}
var oppVol = double.Parse(((decimal)price * (decimal)request.Volume * -1m).ToString(CultureInfo.InvariantCulture));
var trade = new ExchangeTrade()
{
Id = Guid.NewGuid().ToString("N"),
Price = price,
Side = request.Side,
Volume = request.Volume,
Market = request.Market,
OppositeVolume = oppVol,
Timestamp = DateTime.UtcNow,
ReferenceId = request.ReferenceId,
Source = Name,
};
Trades[Name].Add(trade);
return(Task.FromResult(trade));
}
public async Task <ExchangeTrade> MarketTrade(MarketTradeRequest request)
{
try
{
using var action = MyTelemetry.StartActivity("FTX Market Trade");
request.AddToActivityAsJsonTag("request");
var refId = request.ReferenceId ?? Guid.NewGuid().ToString("N");
refId.AddToActivityAsTag("reference-id");
var size = (decimal)Math.Abs(request.Volume);
var resp = await _restApi.PlaceOrderAsync(request.Market,
request.Side == OrderSide.Buy?SideType.buy : SideType.sell, 0, OrderType.market,
size, refId, true);
resp.AddToActivityAsJsonTag("marketOrder-response");
if (!resp.Success && resp.Error != "Duplicate client order ID")
{
throw new Exception(
$"Cannot place marketOrder. Error: {resp.Error}. Request: {JsonConvert.SerializeObject(request)}. Reference: {refId}");
}
action?.AddTag("is-duplicate", resp.Error == "Duplicate client order ID");
var tradeData = await _restApi.GetOrderStatusByClientIdAsync(refId);
if (!tradeData.Success)
{
throw new Exception(
$"Cannot get order state. Error: {resp.Error}. Request: {JsonConvert.SerializeObject(request)}. Reference: {refId}");
}
if (tradeData.Result.Status != "closed")
{
await _restApi.CancelOrderByClientIdAsync(refId);
}
tradeData = await _restApi.GetOrderStatusByClientIdAsync(refId);
tradeData.AddToActivityAsJsonTag("order-status-response");
if (!tradeData.Success)
{
throw new Exception(
$"Cannot get second order state. Error: {resp.Error}. Request: {JsonConvert.SerializeObject(request)}. Reference: {refId}");
}
size = tradeData.Result.FilledSize ?? 0;
if (tradeData.Result.Side == "sell")
{
size = size * -1;
}
var trade = new ExchangeTrade()
{
Id = (tradeData.Result.Id ?? 0).ToString(CultureInfo.InvariantCulture),
Market = tradeData.Result.Market,
Side = tradeData.Result.Side == "buy" ? OrderSide.Buy : OrderSide.Sell,
Price = (double)(tradeData.Result.AvgFillPrice ?? 0),
ReferenceId = tradeData.Result.ClientId,
Source = FtxConst.Name,
Volume = (double)size,
Timestamp = tradeData.Result.CreatedAt
};
trade.AddToActivityAsJsonTag("response");
if (resp.Error == "Duplicate client order ID")
{
_logger.LogInformation("Ftx trade is Duplicate. Request: {requestJson}. Trade: {tradeJson}",
JsonConvert.SerializeObject(request), JsonConvert.SerializeObject(trade));
}
else
{
_logger.LogInformation("Ftx trade is done. Request: {requestJson}. Trade: {tradeJson}",
JsonConvert.SerializeObject(request), JsonConvert.SerializeObject(trade));
}
return(trade);
}
catch (Exception ex)
{
_logger.LogError(ex, "Cannot execute trade. Request: {requestJson}",
JsonConvert.SerializeObject(request));
throw;
}
}
