/// <summary>
/// order_System2 version 2.0
/// spring 주문을 굳이 나눠서 하지 않고 한번에 넣어야 좋을듯함...
/// 이것도 나쁘지 않음...
/// 초 급등에 대한 대응이 없음... 초 급등 할때도 소폭의 이익만 챙기게됨...
/// spring의 적게주고 margin을 적게줌 : 안전하게 자주 먹는 시스템임... 아무리 그래도 step가 올라가면 어쩔수 없음..
/// 급등을 먹을려고 하면 spring의 값을 넓게 주고 margin 값을 높이 줌 => 이것도 괜츦을듯 만들어보자..
/// </summary>
public void order_System2(double limit_trad_price, List <bitmex_bucketed> bitemex_Bucketeds, bitemex_position bitemex_position)
{
//[1-1] setting
#region setting
int step1_Qty; double step1_spring; double _margin1; // 7025.0 ( 35,125,000)
int step2_Qty; double step2_spring; double _margin2; // 7037.5 ( 70,375,000)
int step3_Qty; double step3_spring; double _margin3; // 7068.75 (141,375,000)
int step4_Qty; double step4_spring; double _margin4;
int step5_Qty; double step5_spring; double _margin5;
int step6_Qty; double step6_spring; double _margin6;
int step7_Qty; double step7_spring; double _margin7;
int step8_Qty; double step8_spring; double _margin8;
int step9_Qty; double step9_spring; double _margin9;
if (true)//limit_trad_price < 1000
{
step1_Qty = 2500; step1_spring = 5.0; _margin1 = 15.0;
step2_Qty = 3500; step2_spring = 8.0; _margin2 = 15.0;
step3_Qty = 3500; step3_spring = 15.0; _margin3 = 23.0;
step4_Qty = 3500; step4_spring = 30.0; _margin4 = 40.0;
step5_Qty = 5500; step5_spring = 55.0; _margin5 = 60.0;
step6_Qty = 400; step6_spring = 80.0; _margin6 = 100.0;
step7_Qty = 50; step7_spring = 140.0; _margin7 = 160.0;
step8_Qty = 50; step8_spring = 180.0; _margin8 = 210.0;
step9_Qty = 50; step9_spring = 250.0; _margin9 = 250.0;
}
//else if (limit_trad_price < 2000)
//{
// step1_Qty = 110; step1_spring = 5.0; _margin1 = 15.0;
// step2_Qty = 110; step2_spring = 8.0; _margin2 = 15.0;
// step3_Qty = 110; step3_spring = 15.0; _margin3 = 23.0;
// step4_Qty = 220; step4_spring = 30.0; _margin4 = 40.0;
// step5_Qty = 220; step5_spring = 55.0; _margin5 = 60.0;
// step6_Qty = 220; step6_spring = 80.0; _margin6 = 100.0;
// step7_Qty = 220; step7_spring = 140.0; _margin7 = 160.0;
// step8_Qty = 220; step8_spring = 180.0; _margin8 = 210.0;
// step9_Qty = 220; step9_spring = 250.0; _margin9 = 250.0;
//}
//else if (limit_trad_price < 4000)
//{
// step1_Qty = 120; step1_spring = 5.0; _margin1 = 15.0;
// step2_Qty = 120; step2_spring = 8.0; _margin2 = 15.0;
// step3_Qty = 120; step3_spring = 15.0; _margin3 = 23.0;
// step4_Qty = 240; step4_spring = 30.0; _margin4 = 40.0;
// step5_Qty = 240; step5_spring = 55.0; _margin5 = 60.0;
// step6_Qty = 240; step6_spring = 80.0; _margin6 = 100.0;
// step7_Qty = 240; step7_spring = 140.0; _margin7 = 160.0;
// step8_Qty = 240; step8_spring = 180.0; _margin8 = 210.0;
// step9_Qty = 240; step9_spring = 250.0; _margin9 = 250.0;
//}
//else if (limit_trad_price < 8000)
//{
// step1_Qty = 150; step1_spring = 5.0; _margin1 = 15.0;
// step2_Qty = 150; step2_spring = 8.0; _margin2 = 15.0;
// step3_Qty = 150; step3_spring = 15.0; _margin3 = 23.0;
// step4_Qty = 300; step4_spring = 30.0; _margin4 = 40.0;
// step5_Qty = 300; step5_spring = 55.0; _margin5 = 60.0;
// step6_Qty = 300; step6_spring = 80.0; _margin6 = 100.0;
// step7_Qty = 300; step7_spring = 140.0; _margin7 = 160.0;
// step8_Qty = 300; step8_spring = 180.0; _margin8 = 210.0;
// step9_Qty = 300; step9_spring = 250.0; _margin9 = 250.0;
//}
//else if (limit_trad_price < 16000)
//{
// step1_Qty = 220; step1_spring = 5.0; _margin1 = 15.0;
// step2_Qty = 220; step2_spring = 8.0; _margin2 = 15.0;
// step3_Qty = 220; step3_spring = 15.0; _margin3 = 23.0;
// step4_Qty = 440; step4_spring = 30.0; _margin4 = 40.0;
// step5_Qty = 440; step5_spring = 55.0; _margin5 = 60.0;
// step6_Qty = 440; step6_spring = 80.0; _margin6 = 100.0;
// step7_Qty = 440; step7_spring = 140.0; _margin7 = 160.0;
// step8_Qty = 440; step8_spring = 180.0; _margin8 = 210.0;
// step9_Qty = 440; step9_spring = 250.0; _margin9 = 250.0;
//}
//else if (limit_trad_price < 32000) // 이정도 안정권에서는 운영해야할듯함...
//{
// step1_Qty = 230; step1_spring = 5.0; _margin1 = 15.0;
// step2_Qty = 230; step2_spring = 8.0; _margin2 = 15.0;
// step3_Qty = 230; step3_spring = 15.0; _margin3 = 23.0;
// step4_Qty = 460; step4_spring = 30.0; _margin4 = 40.0;
// step5_Qty = 460; step5_spring = 55.0; _margin5 = 60.0;
// step6_Qty = 460; step6_spring = 80.0; _margin6 = 100.0;
// step7_Qty = 460; step7_spring = 140.0; _margin7 = 160.0;
// step8_Qty = 460; step8_spring = 180.0; _margin8 = 210.0;
// step9_Qty = 460; step9_spring = 250.0; _margin9 = 250.0;
//}
//else if (limit_trad_price < 64000)
//{
// step1_Qty = 600; step1_spring = 5.0; _margin1 = 15.0;
// step2_Qty = 600; step2_spring = 8.0; _margin2 = 15.0;
// step3_Qty = 600; step3_spring = 15.0; _margin3 = 23.0;
// step4_Qty = 1200; step4_spring = 30.0; _margin4 = 40.0;
// step5_Qty = 1200; step5_spring = 55.0; _margin5 = 60.0;
// step6_Qty = 1200; step6_spring = 80.0; _margin6 = 100.0;
// step7_Qty = 1200; step7_spring = 140.0; _margin7 = 160.0;
// step8_Qty = 1200; step8_spring = 180.0; _margin8 = 210.0;
// step9_Qty = 1200; step9_spring = 250.0; _margin9 = 250.0;
//}
//else if (limit_trad_price < 128000)
//{
// step1_Qty = 800; step1_spring = 5.0; _margin1 = 15.0;
// step2_Qty = 800; step2_spring = 8.0; _margin2 = 15.0;
// step3_Qty = 800; step3_spring = 15.0; _margin3 = 23.0;
// step4_Qty = 1600; step4_spring = 30.0; _margin4 = 40.0;
// step5_Qty = 1600; step5_spring = 55.0; _margin5 = 60.0;
// step6_Qty = 1600; step6_spring = 80.0; _margin6 = 100.0;
// step7_Qty = 1600; step7_spring = 140.0; _margin7 = 160.0;
// step8_Qty = 1600; step8_spring = 180.0; _margin8 = 210.0;
// step9_Qty = 1600; step9_spring = 250.0; _margin9 = 250.0;
//}
//else if (limit_trad_price < 256000)
//{
// step1_Qty = 1500; step1_spring = 5.0; _margin1 = 15.0;
// step2_Qty = 1500; step2_spring = 8.0; _margin2 = 15.0;
// step3_Qty = 1500; step3_spring = 15.0; _margin3 = 23.0;
// step4_Qty = 3000; step4_spring = 30.0; _margin4 = 40.0;
// step5_Qty = 3000; step5_spring = 55.0; _margin5 = 60.0;
// step6_Qty = 3000; step6_spring = 80.0; _margin6 = 100.0;
// step7_Qty = 3000; step7_spring = 140.0; _margin7 = 160.0;
// step8_Qty = 3000; step8_spring = 180.0; _margin8 = 210.0;
// step9_Qty = 3000; step9_spring = 250.0; _margin9 = 250.0;
//}
//else
//{
// //limit_trad_price < 512000
// step1_Qty = 3000; step1_spring = 5.0; _margin1 = 15.0;
// step2_Qty = 3000; step2_spring = 8.0; _margin2 = 15.0;
// step3_Qty = 3000; step3_spring = 15.0; _margin3 = 23.0;
// step4_Qty = 6000; step4_spring = 30.0; _margin4 = 40.0;
// step5_Qty = 6000; step5_spring = 55.0; _margin5 = 60.0;
// step6_Qty = 6000; step6_spring = 80.0; _margin6 = 100.0;
// step7_Qty = 6000; step7_spring = 140.0; _margin7 = 160.0;
// step8_Qty = 6000; step8_spring = 180.0; _margin8 = 210.0;
// step9_Qty = 6000; step9_spring = 250.0; _margin9 = 250.0;
//}
#endregion
//[1-2] setting
iniinitial_value = bitemex_Bucketeds[0].open;
//[2]
#region 주문 넣기
//[2-1] 기존 주문 삭제
bitemex.DeleteAllOrders("{\"clOrdID\":\"" + (no - 1) + "\"}");
//[2-2] 주문 넣기
List <bitmex_order> list_bitmex_order = new List <bitmex_order>();
bitmex_order _bitmex_order;
double price = 0.0;
#region step1
price = bitemex_Bucketeds[0].close <= iniinitial_value - step1_spring ? bitemex_Bucketeds[0].close - 1.5 : iniinitial_value - step1_spring;
if (bitemex_position.currentQty <= 0 || (bitemex_position.currentQty > 0 && bitemex_position.marginCallPrice < price && bitemex_position.avgCostPrice > price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Buy";
_bitmex_order.clOrdID = no.ToString();
_bitmex_order.orderQty = step1_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
list_bitmex_order.Add(_bitmex_order);
}
price = bitemex_Bucketeds[0].close >= iniinitial_value + step1_spring ? bitemex_Bucketeds[0].close + 1.5 : iniinitial_value + step1_spring;
if (bitemex_position.currentQty >= 0 || (bitemex_position.currentQty < 0 && bitemex_position.marginCallPrice > price && bitemex_position.avgCostPrice < price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Sell";
_bitmex_order.clOrdID = no.ToString();
_bitmex_order.orderQty = step1_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
list_bitmex_order.Add(_bitmex_order);
}
#endregion
#region step2
price = bitemex_Bucketeds[0].close <= iniinitial_value - step2_spring ? bitemex_Bucketeds[0].close - 1.5 : iniinitial_value - step2_spring;
if (bitemex_position.currentQty <= 0 || (bitemex_position.currentQty > 0 && bitemex_position.marginCallPrice < price && bitemex_position.avgCostPrice > price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Buy";
_bitmex_order.clOrdID = no.ToString();
_bitmex_order.orderQty = step2_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
_bitmex_order.text = no.ToString();
list_bitmex_order.Add(_bitmex_order);
}
price = bitemex_Bucketeds[0].close >= iniinitial_value + step2_spring ? bitemex_Bucketeds[0].close + 1.5 : iniinitial_value + step2_spring;
if (bitemex_position.currentQty >= 0 || (bitemex_position.currentQty < 0 && bitemex_position.marginCallPrice > price && bitemex_position.avgCostPrice < price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Sell";
_bitmex_order.clOrdID = no.ToString();
_bitmex_order.orderQty = step2_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
_bitmex_order.text = no.ToString();
list_bitmex_order.Add(_bitmex_order);
}
#endregion
#region step3
price = bitemex_Bucketeds[0].close <= iniinitial_value - step3_spring ? bitemex_Bucketeds[0].close - 1.5 : iniinitial_value - step3_spring;
if (bitemex_position.currentQty <= 0 || (bitemex_position.currentQty > 0 && bitemex_position.marginCallPrice < price && bitemex_position.avgCostPrice > price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Buy";
_bitmex_order.clOrdID = no.ToString();
_bitmex_order.orderQty = step3_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
_bitmex_order.text = no.ToString();
list_bitmex_order.Add(_bitmex_order);
}
price = bitemex_Bucketeds[0].close >= iniinitial_value + step3_spring ? bitemex_Bucketeds[0].close + 1.5 : iniinitial_value + step3_spring;
if (bitemex_position.currentQty >= 0 || (bitemex_position.currentQty < 0 && bitemex_position.marginCallPrice > price && bitemex_position.avgCostPrice < price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Sell";
_bitmex_order.clOrdID = no.ToString();
_bitmex_order.orderQty = step3_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
_bitmex_order.text = no.ToString();
list_bitmex_order.Add(_bitmex_order);
}
#endregion
#region step4
price = bitemex_Bucketeds[0].close <= iniinitial_value - step4_spring ? bitemex_Bucketeds[0].close - 1.5 : iniinitial_value - step4_spring;
if (bitemex_position.currentQty <= 0 || (bitemex_position.currentQty > 0 && bitemex_position.marginCallPrice < price && bitemex_position.avgCostPrice > price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Buy";
_bitmex_order.clOrdID = no.ToString();
_bitmex_order.orderQty = step4_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
_bitmex_order.text = no.ToString();
list_bitmex_order.Add(_bitmex_order);
}
price = bitemex_Bucketeds[0].close >= iniinitial_value + step4_spring ? bitemex_Bucketeds[0].close + 1.5 : iniinitial_value + step4_spring;
if (bitemex_position.currentQty >= 0 || (bitemex_position.currentQty < 0 && bitemex_position.marginCallPrice > price && bitemex_position.avgCostPrice < price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Sell";
_bitmex_order.clOrdID = no.ToString();
_bitmex_order.orderQty = step4_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
_bitmex_order.text = no.ToString();
list_bitmex_order.Add(_bitmex_order);
}
#endregion
#region step5
price = bitemex_Bucketeds[0].close <= iniinitial_value - step5_spring ? bitemex_Bucketeds[0].close - 1.5 : iniinitial_value - step5_spring;
if (bitemex_position.currentQty <= 0 || (bitemex_position.currentQty > 0 && bitemex_position.marginCallPrice < price && bitemex_position.avgCostPrice > price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Buy";
_bitmex_order.clOrdID = no.ToString();
_bitmex_order.orderQty = step5_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
_bitmex_order.text = no.ToString();
list_bitmex_order.Add(_bitmex_order);
}
price = bitemex_Bucketeds[0].close >= iniinitial_value + step5_spring ? bitemex_Bucketeds[0].close + 1.5 : iniinitial_value + step5_spring;
if (bitemex_position.currentQty >= 0 || (bitemex_position.currentQty < 0 && bitemex_position.marginCallPrice > price && bitemex_position.avgCostPrice < price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Sell";
_bitmex_order.clOrdID = no.ToString();
_bitmex_order.orderQty = step5_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
_bitmex_order.text = no.ToString();
list_bitmex_order.Add(_bitmex_order);
}
#endregion
#region step6
price = bitemex_Bucketeds[0].close <= iniinitial_value - step6_spring ? bitemex_Bucketeds[0].close - 1.5 : iniinitial_value - step6_spring;
if (bitemex_position.currentQty <= 0 || (bitemex_position.currentQty > 0 && bitemex_position.marginCallPrice < price && bitemex_position.avgCostPrice > price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Buy";
_bitmex_order.clOrdID = no.ToString();
_bitmex_order.orderQty = step6_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
_bitmex_order.text = no.ToString();
list_bitmex_order.Add(_bitmex_order);
}
price = bitemex_Bucketeds[0].close >= iniinitial_value + step6_spring ? bitemex_Bucketeds[0].close + 1.5 : iniinitial_value + step6_spring;
if (bitemex_position.currentQty >= 0 || (bitemex_position.currentQty < 0 && bitemex_position.marginCallPrice > price && bitemex_position.avgCostPrice < price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Sell";
_bitmex_order.clOrdID = no.ToString();
_bitmex_order.orderQty = step6_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
_bitmex_order.text = no.ToString();
list_bitmex_order.Add(_bitmex_order);
}
#endregion
#region step7
price = bitemex_Bucketeds[0].close <= iniinitial_value - step7_spring ? bitemex_Bucketeds[0].close - 1.5 : iniinitial_value - step7_spring;
if (bitemex_position.currentQty <= 0 || (bitemex_position.currentQty > 0 && bitemex_position.marginCallPrice < price && bitemex_position.avgCostPrice > price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Buy";
_bitmex_order.clOrdID = no.ToString();
_bitmex_order.orderQty = step7_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
_bitmex_order.text = no.ToString();
list_bitmex_order.Add(_bitmex_order);
}
price = bitemex_Bucketeds[0].close >= iniinitial_value + step7_spring ? bitemex_Bucketeds[0].close + 1.5 : iniinitial_value + step7_spring;
if (bitemex_position.currentQty >= 0 || (bitemex_position.currentQty < 0 && bitemex_position.marginCallPrice > price && bitemex_position.avgCostPrice < price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Sell";
_bitmex_order.clOrdID = no.ToString();
_bitmex_order.orderQty = step7_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
_bitmex_order.text = no.ToString();
list_bitmex_order.Add(_bitmex_order);
}
#endregion
#region step8
price = bitemex_Bucketeds[0].close <= iniinitial_value - step8_spring ? bitemex_Bucketeds[0].close - 1.5 : iniinitial_value - step8_spring;
if (bitemex_position.currentQty <= 0 || (bitemex_position.currentQty > 0 && bitemex_position.marginCallPrice < price && bitemex_position.avgCostPrice > price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Buy";
_bitmex_order.clOrdID = no.ToString();
_bitmex_order.orderQty = step8_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
_bitmex_order.text = no.ToString();
list_bitmex_order.Add(_bitmex_order);
}
price = bitemex_Bucketeds[0].close >= iniinitial_value + step8_spring ? bitemex_Bucketeds[0].close + 1.5 : iniinitial_value + step8_spring;
if (bitemex_position.currentQty >= 0 || (bitemex_position.currentQty < 0 && bitemex_position.marginCallPrice > price && bitemex_position.avgCostPrice < price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Sell";
_bitmex_order.clOrdID = no.ToString();
_bitmex_order.orderQty = step8_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
_bitmex_order.text = no.ToString();
list_bitmex_order.Add(_bitmex_order);
}
#endregion
#region step9
price = bitemex_Bucketeds[0].close <= iniinitial_value - step9_spring ? bitemex_Bucketeds[0].close - 1.5 : iniinitial_value - step9_spring;
if (bitemex_position.currentQty <= 0 || (bitemex_position.currentQty > 0 && bitemex_position.marginCallPrice < price && bitemex_position.avgCostPrice > price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Buy";
_bitmex_order.clOrdID = no.ToString();
_bitmex_order.orderQty = step9_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
_bitmex_order.text = no.ToString();
list_bitmex_order.Add(_bitmex_order);
}
price = bitemex_Bucketeds[0].close >= iniinitial_value + step9_spring ? bitemex_Bucketeds[0].close + 1.5 : iniinitial_value + step9_spring;
if (bitemex_position.currentQty >= 0 || (bitemex_position.currentQty < 0 && bitemex_position.marginCallPrice > price && bitemex_position.avgCostPrice < price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Sell";
_bitmex_order.clOrdID = no.ToString();
_bitmex_order.orderQty = step9_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
_bitmex_order.text = no.ToString();
list_bitmex_order.Add(_bitmex_order);
}
#endregion
string _result = bitemex.PostOrders_bulk(list_bitmex_order);
#endregion
//[3] 청산
if (no > 1)
{
List <bitmex_order> recent_orders = new List <bitmex_order>();
string clOrdID = (no - 1).ToString();
var json_result = bitemex.GetOrders("XBTUSD", "", 100, true, "");
recent_orders = JsonConvert.DeserializeObject <List <bitmex_order> >(json_result);
list_bitmex_order = new List <bitmex_order>();
foreach (var item in recent_orders.Where(p => p.clOrdID == (clOrdID) && p.cumQty > 0))
{
_bitmex_order = new bitmex_order();
string side = "";
if (item.side == "Buy")
{
side = "Sell";
if (item.cumQty <= step1_Qty)
{
price = item.price + _margin1;
}
else if (item.cumQty <= step2_Qty)
{
price = item.price + _margin2;
}
else if (item.cumQty <= step3_Qty)
{
price = item.price + _margin3;
}
else if (item.cumQty <= step4_Qty)
{
price = item.price + _margin4;
}
else if (item.cumQty <= step5_Qty)
{
price = item.price + _margin5;
}
else if (item.cumQty <= step6_Qty)
{
price = item.price + _margin6;
}
else if (item.cumQty <= step7_Qty)
{
price = item.price + _margin7;
}
else if (item.cumQty <= step8_Qty)
{
price = item.price + _margin8;
}
else
{
price = item.price + _margin9;
}
}
else
{
side = "Buy";
if (item.cumQty <= step1_Qty)
{
price = item.price - _margin1;
}
else if (item.cumQty <= step2_Qty)
{
price = item.price - _margin2;
}
else if (item.cumQty <= step3_Qty)
{
price = item.price - _margin3;
}
else if (item.cumQty <= step4_Qty)
{
price = item.price - _margin4;
}
else if (item.cumQty <= step5_Qty)
{
price = item.price - _margin5;
}
else if (item.cumQty <= step6_Qty)
{
price = item.price - _margin6;
}
else if (item.cumQty <= step7_Qty)
{
price = item.price - _margin7;
}
else if (item.cumQty <= step8_Qty)
{
price = item.price - _margin8;
}
else
{
price = item.price - _margin9;
}
}
if (recent_orders.Where(p => p.side == side && p.price == price && p.ordStatus == "new" && p.text == "end").Count() != 0)
{
string orderID = recent_orders.Where(p => p.side == side && p.price == price && p.ordStatus == "new" && p.text == "end").FirstOrDefault().orderID;
int orderQty = recent_orders.Where(p => p.side == side && p.price == price && p.ordStatus == "new" && p.text == "end").FirstOrDefault().orderQty + item.cumQty;
bitemex.PostOrders_PUT(orderID, price, orderQty);
}
else
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = side;
_bitmex_order.orderQty = item.cumQty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
_bitmex_order.text = "end";
list_bitmex_order.Add(_bitmex_order);
}
}
bitemex.PostOrders_bulk(list_bitmex_order);
}
// [ end ]
pre_timestamp = bitemex_Bucketeds[0].timestamp;
no++;
}
public void order_System3(bitemex_position bitemex_position, double iniinitial_value, int mody_Qty1, int mody_Qty2)
{
//[1-1] setting
#region setting
int step1_Qty; double step1_spring; double _margin1; // 7025.0 ( 35,125,000)
int step2_Qty; double step2_spring; double _margin2; // 7037.5 ( 70,375,000)
int step3_Qty; double step3_spring; double _margin3; // 7068.75 (141,375,000)
int step4_Qty; double step4_spring; double _margin4;
int step5_Qty; double step5_spring; double _margin5;
int step6_Qty; double step6_spring; double _margin6;
int step7_Qty; double step7_spring; double _margin7;
int step8_Qty; double step8_spring; double _margin8;
int step9_Qty; double step9_spring; double _margin9;
int step10_Qty; double step10_spring; double _margin10;
step1_Qty = 200; step1_spring = 10.0; _margin1 = 6.0;
step2_Qty = 205; step2_spring = 15.0; _margin2 = 11.0;
step3_Qty = 207; step3_spring = 25.0; _margin3 = 21.0;
step4_Qty = 209; step4_spring = 50.0; _margin4 = 46.0;
step5_Qty = 210; step5_spring = 70.0; _margin5 = 66.0;
step6_Qty = 212; step6_spring = 77.0; _margin6 = 73.0;
step7_Qty = 214; step7_spring = 100.0; _margin7 = 73.0;
step8_Qty = 216; step8_spring = 110.0; _margin8 = 73.0;
step9_Qty = 217; step9_spring = 120.0; _margin9 = 73.0;
step10_Qty = 220; step10_spring = 130.0; _margin10 = 73.0;
//step1_Qty = 5000; step1_spring = 50.0; _margin1 = 50.0;
//step2_Qty = 5000; step2_spring = 100.0; _margin2 = 80.0;
//step3_Qty = 5000; step3_spring = 180.0; _margin3 = 130.0;
//step4_Qty = 5000; step4_spring = 220.0; _margin4 = 180.0;
//step5_Qty = 5000; step5_spring = 300.0; _margin5 = 250.0;
//step6_Qty = 5000; step6_spring = 380.0; _margin6 = 300.0;
//step7_Qty = 5000; step7_spring = 460.0; _margin7 = 460.0;
//step8_Qty = 5000; step8_spring = 530.0; _margin8 = 530.0;
//step9_Qty = 5000; step9_spring = 600.0; _margin9 = 600.0;
//step10_Qty = 5000; step10_spring = 800.0; _margin10 = 800.0;
#endregion
//[1-2] setting
//[2]
if (bitemex_position.currentQty + mody_Qty1 == mody_Qty2) //mody_Qty2은 프로그램 최초 실행시 한번 설정되어 바뀌지 않음...
{
//[2-1] 주문 삭제.
bitemex.DeleteAllOrders("{\"clOrdID\":\"Buy_" + (no - 1) + "\"}");
bitemex.DeleteAllOrders("{\"clOrdID\":\"Sell_" + (no - 1) + "\"}");
double price = 0;
//[2-2] 주문 넣기
List <bitmex_order> list_bitmex_order = new List <bitmex_order>();
bitmex_order _bitmex_order;
#region step1
price = iniinitial_value - step1_spring;
if (bitemex_position.currentQty <= 0 || (bitemex_position.currentQty > 0 && bitemex_position.marginCallPrice < price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Buy";
_bitmex_order.clOrdID = "Buy_" + no.ToString();
_bitmex_order.orderQty = step1_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
list_bitmex_order.Add(_bitmex_order);
}
price = iniinitial_value + step1_spring;
if (bitemex_position.currentQty >= 0 || (bitemex_position.currentQty < 0 && bitemex_position.marginCallPrice > price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Sell";
_bitmex_order.clOrdID = "Sell_" + no.ToString();
_bitmex_order.orderQty = step1_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
list_bitmex_order.Add(_bitmex_order);
}
#endregion
#region step2
price = iniinitial_value - step2_spring;
if (bitemex_position.currentQty <= 0 || (bitemex_position.currentQty > 0 && bitemex_position.marginCallPrice < price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Buy";
_bitmex_order.clOrdID = "Buy_" + no.ToString();
_bitmex_order.orderQty = step2_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
list_bitmex_order.Add(_bitmex_order);
}
price = iniinitial_value + step2_spring;
if (bitemex_position.currentQty >= 0 || (bitemex_position.currentQty < 0 && bitemex_position.marginCallPrice > price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Sell";
_bitmex_order.clOrdID = "Sell_" + no.ToString();
_bitmex_order.orderQty = step2_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
list_bitmex_order.Add(_bitmex_order);
}
#endregion
#region step3
price = iniinitial_value - step3_spring;
if (bitemex_position.currentQty <= 0 || (bitemex_position.currentQty > 0 && bitemex_position.marginCallPrice < price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Buy";
_bitmex_order.clOrdID = "Buy_" + no.ToString();
_bitmex_order.orderQty = step3_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
list_bitmex_order.Add(_bitmex_order);
}
price = iniinitial_value + step3_spring;
if (bitemex_position.currentQty >= 0 || (bitemex_position.currentQty < 0 && bitemex_position.marginCallPrice > price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Sell";
_bitmex_order.clOrdID = "Sell_" + no.ToString();
_bitmex_order.orderQty = step3_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
list_bitmex_order.Add(_bitmex_order);
}
#endregion
#region step4
price = iniinitial_value - step4_spring;
if (bitemex_position.currentQty <= 0 || (bitemex_position.currentQty > 0 && bitemex_position.marginCallPrice < price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Buy";
_bitmex_order.clOrdID = "Buy_" + no.ToString();
_bitmex_order.orderQty = step4_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
list_bitmex_order.Add(_bitmex_order);
}
price = iniinitial_value + step4_spring;
if (bitemex_position.currentQty >= 0 || (bitemex_position.currentQty < 0 && bitemex_position.marginCallPrice > price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Sell";
_bitmex_order.clOrdID = "Sell_" + no.ToString();
_bitmex_order.orderQty = step4_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
list_bitmex_order.Add(_bitmex_order);
}
#endregion
#region step5
price = iniinitial_value - step5_spring;
if (bitemex_position.currentQty <= 0 || (bitemex_position.currentQty > 0 && bitemex_position.marginCallPrice < price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Buy";
_bitmex_order.clOrdID = "Buy_" + no.ToString();
_bitmex_order.orderQty = step5_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
list_bitmex_order.Add(_bitmex_order);
}
price = iniinitial_value + step5_spring;
if (bitemex_position.currentQty >= 0 || (bitemex_position.currentQty < 0 && bitemex_position.marginCallPrice > price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Sell";
_bitmex_order.clOrdID = "Sell_" + no.ToString();
_bitmex_order.orderQty = step5_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
list_bitmex_order.Add(_bitmex_order);
}
#endregion
#region step6
price = iniinitial_value - step6_spring;
if (bitemex_position.currentQty <= 0 || (bitemex_position.currentQty > 0 && bitemex_position.marginCallPrice < price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Buy";
_bitmex_order.clOrdID = "Buy_" + no.ToString();
_bitmex_order.orderQty = step6_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
list_bitmex_order.Add(_bitmex_order);
}
price = iniinitial_value + step6_spring;
if (bitemex_position.currentQty >= 0 || (bitemex_position.currentQty < 0 && bitemex_position.marginCallPrice > price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Sell";
_bitmex_order.clOrdID = "Sell_" + no.ToString();
_bitmex_order.orderQty = step6_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
list_bitmex_order.Add(_bitmex_order);
}
#endregion
#region step7
price = iniinitial_value - step7_spring;
if (bitemex_position.currentQty <= 0 || (bitemex_position.currentQty > 0 && bitemex_position.marginCallPrice < price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Buy";
_bitmex_order.clOrdID = "Buy_" + no.ToString();
_bitmex_order.orderQty = step7_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
list_bitmex_order.Add(_bitmex_order);
}
price = iniinitial_value + step7_spring;
if (bitemex_position.currentQty >= 0 || (bitemex_position.currentQty < 0 && bitemex_position.marginCallPrice > price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Sell";
_bitmex_order.clOrdID = "Sell_" + no.ToString();
_bitmex_order.orderQty = step7_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
list_bitmex_order.Add(_bitmex_order);
}
#endregion
#region step8
price = iniinitial_value - step8_spring;
if (bitemex_position.currentQty <= 0 || (bitemex_position.currentQty > 0 && bitemex_position.marginCallPrice < price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Buy";
_bitmex_order.clOrdID = "Buy_" + no.ToString();
_bitmex_order.orderQty = step8_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
list_bitmex_order.Add(_bitmex_order);
}
price = iniinitial_value + step8_spring;
if (bitemex_position.currentQty >= 0 || (bitemex_position.currentQty < 0 && bitemex_position.marginCallPrice > price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Sell";
_bitmex_order.clOrdID = "Sell_" + no.ToString();
_bitmex_order.orderQty = step8_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
list_bitmex_order.Add(_bitmex_order);
}
#endregion
#region step9
price = iniinitial_value - step9_spring;
if (bitemex_position.currentQty <= 0 || (bitemex_position.currentQty > 0 && bitemex_position.marginCallPrice < price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Buy";
_bitmex_order.clOrdID = "Buy_" + no.ToString();
_bitmex_order.orderQty = step9_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
list_bitmex_order.Add(_bitmex_order);
}
price = iniinitial_value + step9_spring;
if (bitemex_position.currentQty >= 0 || (bitemex_position.currentQty < 0 && bitemex_position.marginCallPrice > price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Sell";
_bitmex_order.clOrdID = "Sell_" + no.ToString();
_bitmex_order.orderQty = step9_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
list_bitmex_order.Add(_bitmex_order);
}
#endregion
#region step10
price = iniinitial_value - step10_spring;
if (bitemex_position.currentQty <= 0 || (bitemex_position.currentQty > 0 && bitemex_position.marginCallPrice < price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Buy";
_bitmex_order.clOrdID = "Buy_" + no.ToString();
_bitmex_order.orderQty = step10_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
list_bitmex_order.Add(_bitmex_order);
}
price = iniinitial_value + step10_spring;
if (bitemex_position.currentQty >= 0 || (bitemex_position.currentQty < 0 && bitemex_position.marginCallPrice > price))
{
_bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = "Sell";
_bitmex_order.clOrdID = "Sell_" + no.ToString();
_bitmex_order.orderQty = step10_Qty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
list_bitmex_order.Add(_bitmex_order);
}
#endregion
string _result = bitemex.PostOrders_bulk(list_bitmex_order);
no++;
}
else
{
string search_recent_clOrdID = "";
//string search_recent_side = ""; //이거는 활용 안했음=> 초급등후 초급락하면 position이 buy여도 sell도 같이 체결이 된 상태 일수도 있어서...
int _chk = (bitemex_position.currentQty + mody_Qty1) - mody_Qty2;
if (_chk > 0)
{
bitemex.DeleteAllOrders("{\"clOrdID\":\"Sell_" + (no - 1) + "\"}");
search_recent_clOrdID = "Buy_" + (no - 1);
}
else
{
//chk_currentQty < 0
bitemex.DeleteAllOrders("{\"clOrdID\":\"Buy_" + (no - 1) + "\"}");
search_recent_clOrdID = "Sell_" + (no - 1);
}
var json_result = bitemex.GetOrders("XBTUSD", "", 60, true, "");
List <bitmex_order> recent_orders = JsonConvert.DeserializeObject <List <bitmex_order> >(json_result);
List <bitmex_order> list_bitmex_order = new List <bitmex_order>();
foreach (var item in recent_orders)
{
if (item.cumQty > 0 && item.clOrdID == search_recent_clOrdID)
{
double price = 0;
if (item.cumQty == step1_Qty)
{
price = item.side == "Buy" ? item.price + _margin1 : item.price - _margin1;
}
else if (item.cumQty == step2_Qty)
{
price = item.side == "Buy" ? item.price + _margin2 : item.price - _margin2;
}
else if (item.cumQty == step3_Qty)
{
price = item.side == "Buy" ? item.price + _margin3 : item.price - _margin3;
}
else if (item.cumQty == step4_Qty)
{
price = item.side == "Buy" ? item.price + _margin4 : item.price - _margin4;
}
else if (item.cumQty == step5_Qty)
{
price = item.side == "Buy" ? item.price + _margin5 : item.price - _margin5;
}
else if (item.cumQty == step6_Qty)
{
price = item.side == "Buy" ? item.price + _margin6 : item.price - _margin6;
}
else if (item.cumQty == step7_Qty)
{
price = item.side == "Buy" ? item.price + _margin7 : item.price - _margin7;
}
else if (item.cumQty == step8_Qty)
{
price = item.side == "Buy" ? item.price + _margin8 : item.price - _margin8;
}
else if (item.cumQty == step9_Qty)
{
price = item.side == "Buy" ? item.price + _margin9 : item.price - _margin9;
}
else if (item.cumQty == step10_Qty)
{
price = item.side == "Buy" ? item.price + _margin10 : item.price - _margin10;
}
else
{
price = item.side == "Buy" ? item.price + _margin3 : item.price - _margin3;
}
string newOrder_Side = item.side == "Buy" ? "Sell" : "Buy";
if (recent_orders.Where(p => p.ordStatus == "New" && p.side == newOrder_Side && p.orderQty == item.cumQty && p.price == price).Count() == 0)
{
bitmex_order _bitmex_order = new bitmex_order();
_bitmex_order.symbol = "XBTUSD";
_bitmex_order.side = newOrder_Side;
//_bitmex_order.clOrdID = item.clOrdID + "end";
_bitmex_order.orderQty = item.cumQty;
_bitmex_order.price = price;
_bitmex_order.ordType = "Limit";
_bitmex_order.text = "end";
list_bitmex_order.Add(_bitmex_order);
}
}
}
if (list_bitmex_order.Count() > 0)
{
string _result = bitemex.PostOrders_bulk(list_bitmex_order);
}
}
}
