private Execution ExecuteArbitrageParallel(Arbitrage arbitrage)
{
Execution execution = new Execution(arbitrage);
Parallel.ForEach(execution.GetSequence(), sequence =>
{
Int32 offset = sequence.Item1;
TriangulationStep x = sequence.Item2;
TriangulationStep y = sequence.Item3;
if (!Config.TradingEnabled)
{
m_ExchangeEngine.TestOrder(x.Position, x.Symbol, arbitrage.GetQuantity(offset));
return;
}
OrderResult result = m_ExchangeEngine.PlaceOrder(x.Position, x.Symbol, arbitrage.GetQuantity(offset));
if (x.Position == Position.Buy)
{
x.Out = result.OtherQuantity;
y.In = result.ExecutedQuantity;
}
else
{
x.Out = result.ExecutedQuantity;
y.In = result.OtherQuantity;
}
execution.Fees += result.Fees;
});
return(execution);
}
private static Arbitrage DetectArbitrage(Trade trade, Decimal quantity, SortedOrderBook[] orderBooks)
{
try
{
DateTime referenceTime = orderBooks.Min(x => x.UpdateTime);
Arbitrage arbitrage = new Arbitrage(referenceTime, trade);
foreach ((Int32 offset, TriangulationStep x, TriangulationStep y) in arbitrage.GetSequence())
{
if (x.Position == Position.Buy)
{
SortedOrderBook orderBook = orderBooks[offset];
Decimal dustedQuantity = OrderBookConversion(false, quantity, x.ReferenceAsset, y.ReferenceAsset, orderBook);
y.In = CalculateDustless(dustedQuantity, x.DustDecimals);
x.Out = OrderBookConversion(true, y.In, y.ReferenceAsset, x.ReferenceAsset, orderBook);
}
else
{
x.Out = CalculateDustless(quantity, x.DustDecimals);
y.In = OrderBookConversion(false, x.Out, x.ReferenceAsset, y.ReferenceAsset, orderBooks[offset]);
}
quantity = y.In;
}
return(arbitrage);
}
catch
{
return(null);
}
}
private Execution ExecuteArbitrageSequential(Arbitrage arbitrage)
{
Decimal? recalculatedQuantity = null;
Execution execution = new Execution(arbitrage);
foreach ((Int32 offset, TriangulationStep x, TriangulationStep y) in execution.GetSequence())
{
Decimal quantity = recalculatedQuantity ?? arbitrage.GetQuantity(offset);
if (!Config.TradingEnabled)
{
m_ExchangeEngine.TestOrder(x.Position, x.Symbol, quantity);
continue;
}
OrderResult result = m_ExchangeEngine.PlaceOrder(x.Position, x.Symbol, quantity);
if (x.Position == Position.Buy)
{
x.Out = result.OtherQuantity;
y.In = result.ExecutedQuantity;
SortedOrderBook orderBook = m_ExchangeEngine.GetOrderBook(y.Symbol);
recalculatedQuantity = CalculateDustless(OrderBookConversion(false, y.In, y.QuoteAsset, y.BaseAsset, orderBook), y.DustDecimals);
}
else
{
x.Out = result.ExecutedQuantity;
y.In = result.OtherQuantity;
recalculatedQuantity = CalculateDustless(y.In, y.DustDecimals);
}
execution.Fees += result.Fees;
}
return(execution);
}
private void DetectArbitrages()
{
if (m_Trading)
{
m_MessagePump.Signal(Utilities.FormatMessage(Resources.CycleSkipped, Config.TradingCyclesDelay));
return;
}
m_Trading = true;
DateTime start = DateTime.Now;
ICollection <Trade> trades = m_ExchangeEngine.GetTrades();
IDictionary <String, SortedOrderBook> orderBooks = m_ExchangeEngine.GetOrderBooks();
Parallel.ForEach(trades, trade =>
{
SortedOrderBook orderBook1 = orderBooks[trade.Leg1.Symbol];
if (orderBook1.Invalid)
{
return;
}
SortedOrderBook orderBook2 = orderBooks[trade.Leg2.Symbol];
if (orderBook2.Invalid)
{
return;
}
SortedOrderBook orderBook3 = orderBooks[trade.Leg3.Symbol];
if (orderBook3.Invalid)
{
return;
}
Arbitrage bestArbitrage = null;
SortedOrderBook[] orderBooksArray = { orderBook1, orderBook2, orderBook3 };
for (Decimal quantity = Config.InvestmentMinimum; quantity <= Config.InvestmentMaximum; quantity += Config.InvestmentStep)
{
Arbitrage arbitrage = DetectArbitrage(trade, quantity, orderBooksArray);
if ((arbitrage == null) || (arbitrage.Profit <= 0M))
{
continue;
}
if ((bestArbitrage == null) || (arbitrage.Profit > bestArbitrage.Profit))
{
bestArbitrage = arbitrage;
}
}
if (bestArbitrage != null)
{
m_Arbitrages.Add(bestArbitrage);
}
});
Int32 duration = (DateTime.Now - start).Milliseconds;
if (m_CycleDurations.Count == 300)
{
m_CycleDurations.RemoveAt(0);
}
m_CycleDurations.Add(duration);
m_MessagePump.Signal(Utilities.FormatMessage(Resources.CycleCompleted, duration, $"{(Int32)Math.Round(m_CycleDurations.Average(), 0)}"));
m_Trading = false;
}
private void ExecuteArbitrage(Arbitrage arbitrage)
{
MessageCollection message = new MessageCollection(true, Utilities.FormatMessage(Resources.ArbitrageFound, arbitrage.Identifier, $"{arbitrage.Profit:F4}"));
if (Config.TradingEnabled && (Config.TradingExecutionsCap > 0) && (m_Executions.Count >= Config.TradingExecutionsCap))
{
message.AppendMessage(Utilities.FormatMessage(Resources.ArbitrageDiscardedCap, Config.TradingExecutionsCap));
m_MessagePump.Signal(message);
return;
}
if (arbitrage.Profit < Config.TradingThresholdProfit)
{
message.AppendMessage(Utilities.FormatMessage(Resources.ArbitrageDiscardedProfit, $"{Config.TradingThresholdProfit:F4}"));
return;
}
if (m_ExecutionSymbols.Any(arbitrage.GetReferenceAssets().Contains))
{
message.AppendMessage(Resources.ArbitrageDiscardedAssets);
m_MessagePump.Signal(message);
return;
}
if (m_Executions.Count(x => x.Key >= DateTime.Now.AddSeconds(-1d)) > 1)
{
message.AppendMessage(Resources.ArbitrageDiscardedCooldown);
m_MessagePump.Signal(message);
return;
}
Int32 age = (DateTime.Now - arbitrage.ReferenceTime).Milliseconds;
if (age > Config.TradingThresholdAge)
{
message.AppendMessage(Utilities.FormatMessage(Resources.ArbitrageDiscardedAge, age, Config.TradingThresholdAge));
m_MessagePump.Signal(message);
return;
}
foreach (String referenceAsset in arbitrage.GetReferenceAssets())
{
m_ExecutionSymbols.Add(referenceAsset);
}
try
{
Execution execution;
if (Config.TradingStrategy == Strategy.Parallel)
{
execution = ExecuteArbitrageParallel(arbitrage);
}
else
{
execution = ExecuteArbitrageSequential(arbitrage);
}
m_Executions[DateTime.Now] = execution;
message.AppendMessage(Utilities.FormatMessage(Resources.ArbitrageSucceded, Config.TradingStrategy.ToString().ToUpperInvariant()));
foreach (var zip in arbitrage.GetSequence().Zip(execution.GetSequence(), (e, o) => new { Expected = e, Observed = o }))
{
Int32 offset = zip.Expected.Item1;
TriangulationStep eX = zip.Expected.Item2;
TriangulationStep eY = zip.Expected.Item3;
TriangulationStep oX = zip.Observed.Item2;
TriangulationStep oY = zip.Observed.Item3;
message.AppendMessage(Utilities.FormatMessage(Resources.ArbitrageStep, offset));
message.AppendMessage(Utilities.FormatMessage(Resources.ArbitrageExpectedConversion, $"{eX.Out:F8}", eX.ReferenceAsset, $"{eY.Out:F8}", eY.ReferenceAsset));
message.AppendMessage(Utilities.FormatMessage(Resources.ArbitrageObservedConversion, $"{oX.Out:F8}", oX.ReferenceAsset, $"{oY.Out:F8}", oY.ReferenceAsset));
}
message.AppendMessage(Resources.ArbitrageDeltas);
foreach (TriangulationStep step in execution.GetSteps())
{
Decimal eDelta = step.Delta;
Decimal ePercent = (eDelta / step.Out) * 100M;
message.AppendMessage(Utilities.FormatMessage(Resources.ArbitrageDelta, step.ReferenceAsset, (eDelta < 0M) ? String.Empty : " ", $"{eDelta:F8}", $"{ePercent:F4}"));
}
message.AppendMessage(Resources.ArbitrageOthers);
message.AppendMessage(Utilities.FormatMessage(Resources.ArbitrageCommission, $"{(-1M * execution.Fees):F8}"));
}
catch (Exception e)
{
message.AppendMessage(Utilities.FormatMessage(Resources.ArbitrageFailed, Config.TradingStrategy.ToString().ToUpperInvariant(), Utilities.GetExceptionMessage(e)));
}
foreach (String referenceAsset in arbitrage.GetReferenceAssets())
{
m_ExecutionSymbols.Remove(referenceAsset);
}
m_MessagePump.Signal(message);
}