/// <summary>
/// cancel old orders and place the new ones
/// </summary>
private void DoActAsMarketMaker(Ticker ticker)
{
// cancel all the previous orders
SendMassCancelRequest(ticker.Id);
// place new orders
var sides = new[] { OrderSide.Buy, OrderSide.Sell };
foreach (var side in sides)
{
var sign = side == OrderSide.Buy ? 1 : -1;
var priceBase = priceMaker.GetFairPrice(ticker.Id, side, settings.PricingSets);
for (var i = 0; i < settings.TradeSets.MarketLevelsCount; i++)
{
var price = priceBase + sign * i * ticker.PriceStep;
var priceRounded = ticker.RoundAndScalePrice(price);
var volume = ticker.RoundAndScaleVolume(ticker.MinVolume * settings.TradeSets.MarketMakerOrderLots);
var req = new OrderRequest
{
AutoCancel = AutoCancel.ON,
OrderType = OrderType.LIMIT,
TimeInForce = TimeInForce.GTK,
ClearingAccountId = ClearingAccountId,
TraderAccountId = AccountId,
Flags = 0,
InstrumentId = ticker.Id,
Comment = "MM",
OrderSide = side,
Price = priceRounded,
Amount = volume
};
SendNewOrderRequest(req);
}
}
}
/// <summary>
/// calculate price for an order being placed
/// </summary>
private void CalculateOrderPrice(Ticker ticker, OrderRequest req)
{
var marketPrice = priceMaker.GetFairPrice(ticker.Id, req.OrderSide, settings.PricingSets);
req.Price = ticker.RoundAndScalePrice(marketPrice);
}
