private static bool CalculateProfits(out IEnumerable <SimpleArbitrage> simpleArbitrages, IEnumerable <MarketOrder> buyOrders, IEnumerable <MarketOrder> sellOrders, int?exchangeId = null)
{
try
{
var founded = false;
var simpleArbitrageList = new List <SimpleArbitrage>();
simpleArbitrages = simpleArbitrageList.AsEnumerable();
/*var marketBuyOrders = new List<ValuePair<MarketOrder>();
* var marketSellOrders = new List<MarketOrder>();*/
var arbitragePairs = new List <KeyValuePair <MarketOrder, MarketOrder> >();
if (exchangeId == null)
{
var marketBuyOrder = sellOrders.FirstOrDefault();
var marketSellOrder = buyOrders.FirstOrDefault();
if (marketBuyOrder == null || marketSellOrder == null)
{
return(false);
}
if (marketBuyOrder.QuoteCurrency != marketSellOrder.QuoteCurrency)
{
throw new InvalidOperationException("The quote currency between buy and sell orders must be equal.");
}
if (marketBuyOrder.BaseCurrency != marketSellOrder.BaseCurrency)
{
throw new InvalidOperationException("The base currency between buy and sell orders must be equal.");
}
arbitragePairs.Add(new KeyValuePair <MarketOrder, MarketOrder>(
marketBuyOrder,
marketSellOrder
));
}
else
{
var exchangeBuyOrder = buyOrders.Where(o => o.ExchangeId == exchangeId).SingleOrDefault();
var exchangeSellOrder = sellOrders.Where(o => o.ExchangeId == exchangeId).SingleOrDefault();
if (exchangeBuyOrder == null && exchangeSellOrder == null)
{
return(false);
}
if (exchangeBuyOrder != null)
{
foreach (var sellOrder in sellOrders)
{
arbitragePairs.Add(new KeyValuePair <MarketOrder, MarketOrder>(
sellOrder,
exchangeBuyOrder
));
}
}
if (exchangeSellOrder != null)
{
foreach (var buyOrder in buyOrders)
{
arbitragePairs.Add(new KeyValuePair <MarketOrder, MarketOrder>(
exchangeSellOrder,
buyOrder
));
}
}
}
foreach (var pair in arbitragePairs)
{
var marketBuyOrder = pair.Key;
var marketSellOrder = pair.Value;
decimal room;
var maxAmountsToBuy = marketBuyOrder.Quantity > marketSellOrder.Quantity ? marketSellOrder.Quantity : marketBuyOrder.Quantity;
// The amounts of base currency received must calculate the charging fee.
var receivingBaseCurrencyAmount = maxAmountsToBuy - maxAmountsToBuy * marketBuyOrder.TradingFee;
// The amounts of base currency we lose which we selled is the amount we get from excuted buy order.
var losingBaseCurrencyAmount = receivingBaseCurrencyAmount;
// The amounts of quote currency we get are equal to the selling profit which are calculated with charging fee too.
var receivingQuoteCurrencyAmount = marketSellOrder.Price * losingBaseCurrencyAmount * (1 - marketSellOrder.TradingFee);
// The amounts of quote currency we lost are equal to the amounts that using to exchange base currency.
var losingQuoteCurrencyAmount = marketBuyOrder.Price * maxAmountsToBuy;
room = receivingQuoteCurrencyAmount - losingQuoteCurrencyAmount;
#if DEBUG
var arbitrageBuyOrder = new MarketOrder(
marketBuyOrder.ExchangeId,
marketBuyOrder.TradingFee,
marketBuyOrder.BaseCurrency,
marketBuyOrder.QuoteCurrency,
marketBuyOrder.Price,
maxAmountsToBuy
);
var arbitrageSellOrder = new MarketOrder(
marketSellOrder.ExchangeId,
marketSellOrder.TradingFee,
marketSellOrder.BaseCurrency,
marketSellOrder.QuoteCurrency,
marketSellOrder.Price,
losingBaseCurrencyAmount
);
var simpleArbitrage = new SimpleArbitrage(arbitrageBuyOrder, arbitrageSellOrder, room);
/*Debug.WriteLine(
* "Time:" + DateTime.UtcNow.ToShortTimeString() + "\n"
+ "Market:" + simpleArbitrage.BuyOrder.BaseCurrency + simpleArbitrage.BuyOrder.QuoteCurrency + "\n"
+ "Buy From:" + "ExchangeId => " + simpleArbitrage.BuyOrder.ExchangeId + "\n"
+ "Buy Price:" + simpleArbitrage.BuyOrder.Price + "\n"
+ "Buy Amount:" + simpleArbitrage.BuyOrder.Quantity + "\n"
+ "Sell To:" + "ExchangeId => " + simpleArbitrage.SellOrder.ExchangeId + "\n"
+ "Sell Price:" + simpleArbitrage.SellOrder.Price + "\n"
+ "Sell Amount:" + simpleArbitrage.SellOrder.Quantity + "\n"
+ "Estimated Profits:" + simpleArbitrage.EstimatedProfits + "\n"
+ );*/
if (room > 0)
{
simpleArbitrageList.Add(simpleArbitrage);
founded = true;
}
#else
if (room > 0)
{
var arbitrageBuyOrder = new MarketOrder(
marketBuyOrder.ExchangeId,
marketBuyOrder.TradingFee,
marketBuyOrder.BaseCurrency,
marketBuyOrder.QuoteCurrency,
marketBuyOrder.Price,
maxAmountsToBuy
);
var arbitrageSellOrder = new MarketOrder(
marketSellOrder.ExchangeId,
marketSellOrder.TradingFee,
marketSellOrder.BaseCurrency,
marketSellOrder.QuoteCurrency,
marketSellOrder.Price,
losingBaseCurrencyAmount
);
simpleArbitrage = new SimpleArbitrage(arbitrageBuyOrder, arbitrageSellOrder, room);
return(true);
}
#endif
}
simpleArbitrages = simpleArbitrageList.AsEnumerable();
return(founded);
}
catch (Exception ex)
{
Debug.WriteLine(ex.Message);
throw ex;
}
}
/*public static SimpleArbitrage FromOrders(IEnumerable<MarketOrder> buyOrders, IEnumerable<MarketOrder> sellOrders)
* {
*
*
*
* }*/
public SimpleArbitrage TakeBalanceIntoConsideration(decimal buyOrderExchangeQuoteCurrencyBalance, decimal sellOrderExchangeBaseCurrencyBalance)
{
var marketBuyOrder = new MarketOrder(
this.BuyOrder.ExchangeId,
this.BuyOrder.TradingFee,
this.BuyOrder.BaseCurrency,
this.BuyOrder.QuoteCurrency,
this.BuyOrder.Price,
buyOrderExchangeQuoteCurrencyBalance <= 0 ? 0 : buyOrderExchangeQuoteCurrencyBalance * 0.995M / this.BuyOrder.Price
);
var marketSellOrder = new MarketOrder(
this.SellOrder.ExchangeId,
this.SellOrder.TradingFee,
this.SellOrder.BaseCurrency,
this.SellOrder.QuoteCurrency,
this.SellOrder.Price,
sellOrderExchangeBaseCurrencyBalance * 0.995M
);
decimal room;
var maxAmountsToBuy = marketBuyOrder.Quantity > marketSellOrder.Quantity ? marketSellOrder.Quantity : marketBuyOrder.Quantity;
// The amounts of base currency received must be calculated with the charging fee.
var receivingBaseCurrencyAmount = maxAmountsToBuy - maxAmountsToBuy * marketBuyOrder.TradingFee;
// The amounts of base currency we lose which we selled is the amount we get from executed buy order.
var losingBaseCurrencyAmount = receivingBaseCurrencyAmount;
// The amounts of quote currency we get are equal to the selling profit which are calculated with charging fees.
var receivingQuoteCurrencyAmount = marketSellOrder.Price * losingBaseCurrencyAmount * (1 - marketSellOrder.TradingFee);
// The amounts of quote currency we lost are equal to the amounts that using to exchange base currency.
var losingQuoteCurrencyAmount = marketBuyOrder.Price * maxAmountsToBuy;
room = receivingQuoteCurrencyAmount - losingQuoteCurrencyAmount;
var arbitrageBuyOrder = new MarketOrder(
marketBuyOrder.ExchangeId,
marketBuyOrder.TradingFee,
marketBuyOrder.BaseCurrency,
marketBuyOrder.QuoteCurrency,
marketBuyOrder.Price,
maxAmountsToBuy
);
var arbitrageSellOrder = new MarketOrder(
marketSellOrder.ExchangeId,
marketSellOrder.TradingFee,
marketSellOrder.BaseCurrency,
marketSellOrder.QuoteCurrency,
marketSellOrder.Price,
losingBaseCurrencyAmount
);
var simpleArbitrage = new SimpleArbitrage(arbitrageBuyOrder, arbitrageSellOrder, room);
/*Debug.WriteLine(
* "Time:" + DateTime.UtcNow.ToShortTimeString() + "\n"
+ "Market:" + simpleArbitrage.BuyOrder.BaseCurrency + simpleArbitrage.BuyOrder.QuoteCurrency + "\n"
+ "Buy From:" + "ExchangeId => " + simpleArbitrage.BuyOrder.ExchangeId + "\n"
+ "Buy Price:" + simpleArbitrage.BuyOrder.Price + "\n"
+ "Buy Amount:" + simpleArbitrage.BuyOrder.Quantity + "\n"
+ "Sell To:" + "ExchangeId => " + simpleArbitrage.SellOrder.ExchangeId + "\n"
+ "Sell Price:" + simpleArbitrage.SellOrder.Price + "\n"
+ "Sell Amount:" + simpleArbitrage.SellOrder.Quantity + "\n"
+ "Estimated Profits:" + simpleArbitrage.EstimatedProfits + "\n"
+ );*/
return(simpleArbitrage);
}
