public void DBGProcessOrderAdded(CUserOrder userOrder)
{
string msg = "[ORDBOX_OrderAdded] ";
msg += GetUserOrderBoxString(userOrder);
Log(msg);
}
public void DBGExecPartFilled(EnmOrderAction ordAct, CUserOrder userOrder)
{
string msg = "[ORDBOX_Exec_or_PartFilled] ";
msg += String.Format(@" [{0}] ", ordAct);
msg += GetUserOrderBoxString(userOrder);
Log(msg);
}
private string GetUserOrderBoxString(CUserOrder userOrder)
{
return(String.Format("Amount={0} BotID={1} Instrument={2} OrderActionLast={3} OrderId={4}",
userOrder.Amount, //0
userOrder.BotId, //1
userOrder.Instrument, //2
userOrder.OrderActionLast, //3
userOrder.OrderId //4
));
}
public void Test()
{
Stopwatch sw1 = new Stopwatch();
Stopwatch sw2 = new Stopwatch();
List <string> lstInstruments = new List <string>();
lstInstruments.Add("tBTCUSD");
lstInstruments.Add("tLTCUSD");
lstInstruments.Add("tETHUSD");
lstInstruments.Add("tZECUSD");
lstInstruments.Add("tXMRUSD");
//_lstInstruments.Add("tDASHUSD");
//_lstInstruments.Add("tIOTAUSD");
lstInstruments.Add("tEOSUSD");
lstInstruments.Add("tSANUSD");
lstInstruments.Add("tOMGUSD");
lstInstruments.Add("tBCHUSD");
lstInstruments.Add("tNEOUSD");
// _lstInstruments.Add("tUTPUSD");
//_lstInstruments.Add("tQTUMUSD");
lstInstruments.Add("tEDOUSD");
lstInstruments.Add("tAVTUSD");
sw1.Restart();
for (int i = 1; i < 1000; i++)
{
int botId = _random.Next(100, 10000);
int iInstr = _random.Next(0, lstInstruments.Count - 1);
CUserOrder userOrder = new CUserOrder
{
Amount = 1234,
BotId = botId,
OrderId = _random.Next(10000000, 20000000),
Instrument = lstInstruments[iInstr]
};
_userOrderLog.Update(userOrder);
}
sw1.Stop();
long ordIdCtrl = _random.Next(10000000, 20000000);
CUserOrder userOrderCntrl = new CUserOrder
{
Amount = 1234,
BotId = 5000,
OrderId = ordIdCtrl,
Instrument = "tBTCUSD"
};
_userOrderLog.Update(userOrderCntrl);
sw2.Restart();
int botIdTest = _userOrderLog.GetBotId("tBTCUSD", ordIdCtrl);
sw2.Stop();
if (botIdTest != 0)
{
System.Threading.Thread.Sleep(0);
}
}
/// <summary>
///
///
/// Algorithm is described here:
/// https://github.com/bitfinexcom/bitfinex-api-node/issues/153
/// </summary>
/// <param name="respOrders"></param>
/// <param name="orderAction"></param>
public void ProcessOrder(ResponseOrders respOrders, EnmOrderAction orderAction)
{
//TODO normal
string instrument = respOrders.Symbol.Remove(0, 1);
int decimalsOfVolume = _client.GetDecimalVolume(instrument);
//int iAmount = (int)Math.Abs(CUtilConv.GetIntVolume((decimal)respOrders.Amount, decimalsOfVolume));
//int iAmountOrig = (int)Math.Abs(CUtilConv.GetIntVolume((decimal)respOrders.AmountOrig, decimalsOfVolume));
decimal amount = Convert.ToDecimal(Math.Abs((double)respOrders.Amount));
decimal amountOrig = Convert.ToDecimal(Math.Abs((double)respOrders.AmountOrig));
//int iAmountRest = (int) CBfxUtils.GetIntVolume( Math.Abs((decimal)respOrders.AmountOrig) - Math.Abs((decimal)respOrders.Amount),decimalsOfVolume);
DateTime momentOrderCreate = CUtilTime.DateTimeFromUnixTimestampMillis((long)respOrders.MtsCreate);
DateTime momentOrderUpdate = CUtilTime.DateTimeFromUnixTimestampMillis((long)respOrders.MtsUpdate);
//check advance data in status field
//Could by like "Cancelled" or more complex "EXECUTED @ 10908.0(-0.0)
EnmBfxOrderStatus orderStatus = CBfxUtils.GetOrderStatus(respOrders.OrderStatus);
//common parametters same for all order update type
CRawOrdersLogStruct userOrdLogStruct = new CRawOrdersLogStruct
{
Id_ord = respOrders.Id,
Ext_id = (int)respOrders.Gid,
Price = Math.Abs((decimal)respOrders.Price),
// Amount = (int)iAmount,
// Amount_rest = iAmountRest,
Instrument = instrument,
Action = (sbyte)BfxOrdStatusToEnmOrderAction(orderStatus),
// Moment = momentOrderCreate
};
//case of add order
if (orderAction == EnmOrderAction.Added)
{
//2018-04-04 NOTE. Added order could be two cases:
//1) Jast Added limit order - we do use amount
//2) Put limit order by market and it is partialy filled - we alse do
// use amount as we initial order in bot with rest of order.
// One important thing - we do override Action from "Partialy filled" to "OrderAccepted"
userOrdLogStruct.Amount = amount;
userOrdLogStruct.Dir = respOrders.Amount > 0 ? (sbyte)EnmOrderDir.Buy : (sbyte)EnmOrderDir.Sell;
//Override to "OrderAccepted" for "partially filled" case
if (orderStatus == EnmBfxOrderStatus.PartiallyFilled)
{
userOrdLogStruct.Action = (sbyte)EnmOrderAction.Added;
}
_client.TriggerRecalculateBot(userOrdLogStruct.Ext_id,
userOrdLogStruct.Instrument,
EnmBotEventCode.OnOrderAccepted,
userOrdLogStruct);
//added 2018-06-06
//first process deal if exist
//old place of CheckForDealsWithNoBotId before 2018-08-03
CUserOrder userOrder = new CUserOrder
{
Amount = amount,
BotId = userOrdLogStruct.Ext_id,
Instrument = userOrdLogStruct.Instrument,
OrderActionLast = EnmOrderAction.Added,
OrderId = userOrdLogStruct.Id_ord,
Status = respOrders.OrderStatus
};
_userOrderLog.Update(userOrder);
//2018-06-03 move AFTER adding order (as is _userOrderLog later)
_client.CheckForDealsWithNoBotId(userOrdLogStruct.Id_ord, userOrdLogStruct.Ext_id);
_dbg.DBGProcessOrderAdded(userOrder);
}
//case of fully deleted order
else if (orderAction == EnmOrderAction.Deleted && orderStatus == EnmBfxOrderStatus.Canceled)
{
//just tell bot to cancell order
_client.TriggerRecalculateBot(userOrdLogStruct.Ext_id,
userOrdLogStruct.Instrument,
EnmBotEventCode.OnOrderCancel,
userOrdLogStruct);
//added 2018-05-13
//first process deal if exist
//old place of CheckForDealsWithNoBotId before 2018-08-03
//no order is not need even for "very late" update.
//2018-05-31 removed (user cancel before "te" and "tu"- having a problem)
//_userOrderLog.Delete(userOrdLogStruct.Ext_id,
// userOrdLogStruct.Instrument,
// userOrdLogStruct.Id_ord);
//2018-05-31 set order deleted
CUserOrder userOrder = new CUserOrder
{
Amount = amount,
BotId = userOrdLogStruct.Ext_id,
Instrument = userOrdLogStruct.Instrument,
OrderActionLast = EnmOrderAction.Deleted,
OrderId = userOrdLogStruct.Id_ord,
Status = respOrders.OrderStatus
};
_userOrderLog.Update(userOrder);
//2018-06-03 move AFTER adding order (as is _userOrderLog later)
_client.CheckForDealsWithNoBotId(userOrdLogStruct.Id_ord, userOrdLogStruct.Ext_id);
_dbg.DBGDeleted(userOrdLogStruct);
//TODO check not processed deals
}
//case of full or partial executed order
else if ((orderAction == EnmOrderAction.Deleted && orderStatus == EnmBfxOrderStatus.Executed) ||
//case of partial filled
(orderAction == EnmOrderAction.Update && orderStatus == EnmBfxOrderStatus.PartiallyFilled))
{
decimal amountUse = amountOrig - amount;
//check for partially filled
userOrdLogStruct.Dir = respOrders.AmountOrig > 0 ? (sbyte)EnmOrderDir.Buy : (sbyte)EnmOrderDir.Sell;
//2018-04-04 possible cases:
//1) Deleted and executed order by market when limit order was not set yet, on that case amount=0
// but as no order exist in BotBase.MonitorOrders - nothing happens
//2) Deal for order that exists, we do encrease amounts of orders on that case -NOT TESTED-
userOrdLogStruct.Amount = amount;
//first tell bot order deal
_client.TriggerRecalculateBot(userOrdLogStruct.Ext_id,
userOrdLogStruct.Instrument,
EnmBotEventCode.OnOrderDeal,
userOrdLogStruct);
//_userOrderTracker.Update(userOrdLogStruct.Ext_id, userOrdLogStruct.Id_ord, respOrders.OrderStatus);
//2018-06-13 the same as in all two other conditions
//old place of CheckForDealsWithNoBotId before 2018-08-03
EnmOrderAction ordActUse = EnmOrderAction.Unknown;
if (orderStatus == EnmBfxOrderStatus.Executed)
{
ordActUse = EnmOrderAction.Deal;
}
else if (orderStatus == EnmBfxOrderStatus.PartiallyFilled)
{
ordActUse = EnmOrderAction.PartialFilled;
}
CUserOrder userOrder = new CUserOrder
{
Amount = amount,
BotId = userOrdLogStruct.Ext_id,
Instrument = userOrdLogStruct.Instrument,
OrderActionLast = ordActUse,
OrderId = userOrdLogStruct.Id_ord,
Status = respOrders.OrderStatus
};
_userOrderLog.Update(userOrder);
_client.CheckForDealsWithNoBotId(userOrdLogStruct.Id_ord, userOrdLogStruct.Ext_id);
_dbg.DBGExecPartFilled(ordActUse, userOrder);
}
}
