public void TestBinanceOrderbookDeserializer()
{
//Arrange:
//sample websocket message from Binance for an orderbook refresh:
string sampleWebsocketMessage = "{\"u\":494630706,\"s\":\"XRPETH\",\"b\":\"0.00034050\",\"B\":\"131.00000000\",\"a\":\"0.00034350\",\"A\":\"1358.00000000\"}";
//expected deserialized orderbook:
var expectedOrderbook = new BinanceOrderbook();
expectedOrderbook.Sequence = 494630706;
expectedOrderbook.Symbol = "XRPETH";
expectedOrderbook.OfficialBids = new ConcurrentDictionary <decimal, decimal>();
expectedOrderbook.OfficialBids.TryAdd(0.00034050m, 131m);
expectedOrderbook.OfficialAsks = new ConcurrentDictionary <decimal, decimal>();
expectedOrderbook.OfficialAsks.TryAdd(0.00034350m, 1358m);
//Act: run the sample websocket message through the Huobi OrderbookConverter
IOrderbook testOrderbook = (IOrderbook)JsonSerializer.Deserialize(sampleWebsocketMessage, typeof(BinanceOrderbook));
//Assert: test that the actual outcome matches the expected outcome
Assert.AreEqual(expectedOrderbook.Symbol, testOrderbook.Symbol);
Assert.AreEqual(expectedOrderbook.Sequence, testOrderbook.Sequence);
Assert.IsTrue(expectedOrderbook.OfficialAsks.Count == testOrderbook.OfficialAsks.Count &&
expectedOrderbook.OfficialBids.Count == testOrderbook.OfficialBids.Count);
Assert.IsTrue(CheckLayers(expectedOrderbook, testOrderbook));
}
public bool Merge(IOrderbook update)
{
if (this.Sequence < update.Sequence)
{
this.Sequence = update.Sequence;
this.Timestamp = update.Timestamp;
if (OfficialAsks.Count() != 0 && OfficialBids.Count() != 0)
{
PreviousLowestAsk = OfficialAsks.Keys.Min();
PreviousHighestBid = OfficialBids.Keys.Max();
}
else
{
PreviousLowestAsk = 0;
PreviousHighestBid = decimal.MaxValue;
}
OfficialAsks = update.OfficialAsks;
OfficialBids = update.OfficialBids;
var significantChange = SignificantChange(update);
Exchange.OrderbookUpdateQueue.Enqueue(significantChange);
return(significantChange.Item1);
}
return(false);
}
public OrderManager()
{
this.Orderbook = new FullOrderbook();
this.Orderbook.OnTradeUpdated += WhenTradeUpdated;
this.Orderbook.OnOrderbookUpdated += WhenOrderbookUpdated;
this.Orderbook.OnLimitOrderUpdated += WhenLimitOrderUpdated;
}
public bool Merge(IOrderbook update)
{
if (this.Sequence < update.Sequence)
{
this.Sequence = update.Sequence;
this.Timestamp = update.Timestamp;
if (OfficialAsks.Count() != 0 && OfficialBids.Count() != 0)
{
PreviousLowestAsk = OfficialAsks.Keys.Min();
PreviousHighestBid = OfficialBids.Keys.Max();
}
else
{
PreviousLowestAsk = 0;
PreviousHighestBid = decimal.MaxValue;
}
//Loop through update.asks and update.bids in parallel and either add them to this.asks and this.bids or update the value thats currently there.
update.OfficialAsks.AsParallel().ForAll(UpdateAskLayer);
update.OfficialBids.AsParallel().ForAll(UpdateBidLayer);
var significantChange = SignificantChange(update);
Exchange.OrderbookUpdateQueue.Enqueue(significantChange);
return(significantChange.Item1);
}
return(false);
}
public void Add_offer_queue()
{
var orderbook = new MarketData("btc", 8);
{
IOrderbook ob = orderbook as IOrderbook;
ob.AddOrUpdateOrder(new Order {
Exchange = "bitstamp", BidOfferEnum = BidOfferEnum.Offer, Price = 100, Quantity = 1, Symbol = "btc"
});
ob.AddOrUpdateOrder(new Order {
Exchange = "binance", BidOfferEnum = BidOfferEnum.Offer, Price = 99, Quantity = 2, Symbol = "btc"
});
ob.AddOrUpdateOrder(new Order {
Exchange = "gemini", BidOfferEnum = BidOfferEnum.Offer, Price = 100, Quantity = 90, Symbol = "btc"
});
}
{
ITestFunctions ob = orderbook as ITestFunctions;
var offers = ob.GetOffers();
Assert.AreEqual(true, offers.ContainsKey(99));
Assert.AreEqual(true, offers.ContainsKey(100));
Assert.AreEqual(true, offers[99].ContainsKey("binance"));
Assert.AreEqual(2, offers[100].Values.Count);
Assert.AreEqual(true, offers[100].ContainsKey("gemini"));
Assert.AreEqual(true, offers[100].ContainsKey("bitstamp"));
var bids = ob.GetBids();
Assert.AreEqual(0, bids.Count);
}
}
public IOrderbook DeepCopy()
{
IOrderbook deepCopy = (IOrderbook)this.MemberwiseClone();
deepCopy.OfficialAsks = new ConcurrentDictionary <decimal, decimal>(OfficialAsks);
deepCopy.OfficialBids = new ConcurrentDictionary <decimal, decimal>(OfficialBids);
return(deepCopy);
}
public async Task UnSubscribe(IOrderbook market, IClientWebSocket client)
{
if (client.State == WebSocketState.Open)
{
await Client.SendAsync(
new ArraySegment <byte>(Encoding.ASCII.GetBytes($"{{\"method\": \"unsubscribeOrderbook\",\"params\": {{ \"symbol\": \"{market.Symbol}\" }} }}")),
WebSocketMessageType.Text, true, CancellationToken.None).ConfigureAwait(false);
}
}
public async Task UnSubscribe(IOrderbook market, IClientWebSocket client)
{
if (client.State == WebSocketState.Open)
{
await Client.SendAsync(new ArraySegment <byte>(
Encoding.ASCII.GetBytes($"{{\"sub\": \"market.{market.Symbol.ToLower()}.mbp.150\",\n \"id\": \"id{ID}\"\n }}")
), WebSocketMessageType.Text, true, CancellationToken.None).ConfigureAwait(false);
}
}
public void Change_bid_and_offer_queue()
{
var orderbook = new MarketData("btc", 8);
{
IOrderbook ob = orderbook as IOrderbook;
//add:
ob.AddOrUpdateOrder(new Order {
Exchange = "bitstamp", BidOfferEnum = BidOfferEnum.Bid, Price = 100, Quantity = 1, Symbol = "btc"
});
ob.AddOrUpdateOrder(new Order {
Exchange = "binance", BidOfferEnum = BidOfferEnum.Bid, Price = 99, Quantity = 2, Symbol = "btc"
});
ob.AddOrUpdateOrder(new Order {
Exchange = "gemini", BidOfferEnum = BidOfferEnum.Bid, Price = 100, Quantity = 90, Symbol = "btc"
});
ob.AddOrUpdateOrder(new Order {
Exchange = "bitstamp", BidOfferEnum = BidOfferEnum.Offer, Price = 100, Quantity = 1, Symbol = "btc"
});
ob.AddOrUpdateOrder(new Order {
Exchange = "binance", BidOfferEnum = BidOfferEnum.Offer, Price = 99, Quantity = 2, Symbol = "btc"
});
ob.AddOrUpdateOrder(new Order {
Exchange = "gemini", BidOfferEnum = BidOfferEnum.Offer, Price = 100, Quantity = 90, Symbol = "btc"
});
//change qty from 90 to 3
ob.AddOrUpdateOrder(new Order {
Exchange = "gemini", BidOfferEnum = BidOfferEnum.Bid, Price = 100, Quantity = 3, Symbol = "btc"
});
ob.AddOrUpdateOrder(new Order {
Exchange = "gemini", BidOfferEnum = BidOfferEnum.Offer, Price = 100, Quantity = 3, Symbol = "btc"
});
}
{
ITestFunctions ob = orderbook as ITestFunctions;
var bids = ob.GetBids();
Assert.AreEqual(true, bids.ContainsKey(99));
Assert.AreEqual(true, bids.ContainsKey(100));
Assert.AreEqual(true, bids[99].ContainsKey("binance"));
Assert.AreEqual(2, bids[100].Values.Count);
Assert.AreEqual(true, bids[100].ContainsKey("gemini"));
Assert.AreEqual(true, bids[100].ContainsKey("bitstamp"));
Assert.AreEqual(4, bids[100].Values.Sum(x => x.Quantity)); //should be 4, but not 90.
var offers = ob.GetOffers();
Assert.AreEqual(true, offers.ContainsKey(99));
Assert.AreEqual(true, offers.ContainsKey(100));
Assert.AreEqual(true, offers[99].ContainsKey("binance"));
Assert.AreEqual(2, offers[100].Values.Count);
Assert.AreEqual(true, offers[100].ContainsKey("gemini"));
Assert.AreEqual(true, offers[100].ContainsKey("bitstamp"));
Assert.AreEqual(4, offers[100].Values.Sum(x => x.Quantity)); //should be 4, but not 90.
}
}
public Triangle(IOrderbook firstSymbolOrderbook, IOrderbook secondSymbolOrderbook, IOrderbook thirdSymbolOrderbook, Directions direction, IExchange exch)
{
FirstSymbolOrderbook = firstSymbolOrderbook;
SecondSymbolOrderbook = secondSymbolOrderbook;
ThirdSymbolOrderbook = thirdSymbolOrderbook;
FirstSymbol = firstSymbolOrderbook.Symbol;
SecondSymbol = secondSymbolOrderbook.Symbol;
ThirdSymbol = thirdSymbolOrderbook.Symbol;
Direction = direction;
_logger = new LoggerFactory().CreateLogger <Triangle>();
Exchange = exch;
}
public async Task SubscribeViaQueue(IOrderbook market)
{
market.OfficialAsks.Clear();
market.OfficialBids.Clear();
if (Client.State == WebSocketState.Open) //given the amount of time it takes to complete this for loop, a client could be aborted in process.
{
await Client.SendAsync(
new ArraySegment <byte>(Encoding.ASCII.GetBytes($"{{\"method\": \"subscribeOrderbook\",\"params\": {{ \"symbol\": \"{market.Symbol}\" }} }}")),
WebSocketMessageType.Text, true, CancellationToken.None).ConfigureAwait(false);
Client.Markets.Add(market);
}
}
public async Task SubscribeViaQueue(IOrderbook market)
{
if (Client.State == WebSocketState.Open)
{
await Client.SendAsync(new ArraySegment <byte>(
Encoding.ASCII.GetBytes($"{{\"method\": \"SUBSCRIBE\",\"params\": [\"{market.Symbol.ToLower()}@bookTicker\"], \"id\": {ID} }}")
), WebSocketMessageType.Text, true, CancellationToken.None).ConfigureAwait(false);
ID++;
Client.Markets.Add(market);
}
await Task.Delay(250);
}
public void TestHuobiOrderbookDeserializer()
{
//Arrange:
//sample websocket message from Huobi for an orderbook refresh:
string sampleWebsocketMessage = "{\"ch\":\"market.btcusdt.mbp.refresh.10\",\"ts\":1611504245560,\"tick\":{\"seqNum\":119437040567,\"bids\":[[32115.28,0.02],[32115.13,0.15],[32114.05,0.072382],[32113.94,0.066716],[32113.61,0.02],[32113.52,2.521393],[32113.48,0.117404],[32109.42,0.139009],[32108.76,0.123],[32108.25,0.11175]],\"asks\":[[32115.29,0.005],[32115.69,0.03],[32116.2,0.01759],[32118.17,0.03],[32118.86,0.03],[32119.61,0.12],[32120.41,0.08],[32121.51,0.125775],[32121.64,0.03563],[32124.4,0.001]]}}";
//expected deserialized orderbook:
var expectedOrderbook = new HuobiOrderbook();
expectedOrderbook.Sequence = 119437040567;
expectedOrderbook.Symbol = "BTCUSDT";
expectedOrderbook.OfficialBids = new ConcurrentDictionary <decimal, decimal>();
expectedOrderbook.OfficialBids.TryAdd(32115.28m, 0.02m);
expectedOrderbook.OfficialBids.TryAdd(32115.13m, 0.15m);
expectedOrderbook.OfficialBids.TryAdd(32114.05m, 0.072382m);
expectedOrderbook.OfficialBids.TryAdd(32113.94m, 0.066716m);
expectedOrderbook.OfficialBids.TryAdd(32113.61m, 0.02m);
expectedOrderbook.OfficialBids.TryAdd(32113.52m, 2.521393m);
expectedOrderbook.OfficialBids.TryAdd(32113.48m, 0.117404m);
expectedOrderbook.OfficialBids.TryAdd(32109.42m, 0.139009m);
expectedOrderbook.OfficialBids.TryAdd(32108.76m, 0.123m);
expectedOrderbook.OfficialBids.TryAdd(32108.25m, 0.11175m);
expectedOrderbook.OfficialAsks = new ConcurrentDictionary <decimal, decimal>();
expectedOrderbook.OfficialAsks.TryAdd(32115.29m, 0.005m);
expectedOrderbook.OfficialAsks.TryAdd(32115.69m, 0.03m);
expectedOrderbook.OfficialAsks.TryAdd(32116.2m, 0.01759m);
expectedOrderbook.OfficialAsks.TryAdd(32118.17m, 0.03m);
expectedOrderbook.OfficialAsks.TryAdd(32118.86m, 0.03m);
expectedOrderbook.OfficialAsks.TryAdd(32119.61m, 0.12m);
expectedOrderbook.OfficialAsks.TryAdd(32120.41m, 0.08m);
expectedOrderbook.OfficialAsks.TryAdd(32121.51m, 0.125775m);
expectedOrderbook.OfficialAsks.TryAdd(32121.64m, 0.03563m);
expectedOrderbook.OfficialAsks.TryAdd(32124.4m, 0.001m);
//Act: run the sample websocket message through the Huobi OrderbookConverter
IOrderbook testOrderbook = (IOrderbook)JsonSerializer.Deserialize(sampleWebsocketMessage, typeof(HuobiOrderbook));
//Assert: test that the actual outcome matches the expected outcome
Assert.AreEqual(expectedOrderbook.Symbol, testOrderbook.Symbol);
Assert.AreEqual(expectedOrderbook.Sequence, testOrderbook.Sequence);
Assert.IsTrue(expectedOrderbook.OfficialAsks.Count == testOrderbook.OfficialAsks.Count &&
expectedOrderbook.OfficialBids.Count == testOrderbook.OfficialBids.Count);
Assert.IsTrue(CheckLayers(expectedOrderbook, testOrderbook));
}
public async Task SendPong(IOrderbook orderbook) //sends a 'pong' message back to the server if required to maintain connection. Only Huobi (so far) uses this methodology
{
if (Client.State == WebSocketState.Open)
{
try
{
var cts = new CancellationToken();
await Client.SendAsync(new ArraySegment <byte>(Encoding.ASCII.GetBytes($"{{\"pong\": {orderbook.PongValue}}}")), WebSocketMessageType.Text, true, cts);
//_logger.LogDebug($"took {(DateTime.UtcNow - orderbook.Timestamp).TotalMilliseconds}ms to send pong");
orderbook.Pong = false; //set the flag back to false
}
catch (Exception ex)
{
_logger.LogError($"problem sending pong: {ex.Message}");
}
}
}
public async Task SubscribeViaQueue(IOrderbook market)
{
if (Client.State == WebSocketState.Open)
{
try
{
await Client.SendAsync(new ArraySegment <byte>(
Encoding.ASCII.GetBytes($"{{\"sub\": \"market.{market.Symbol.ToLower()}.mbp.refresh.10\",\n \"id\": \"id{ID}\"\n }}")
), WebSocketMessageType.Text, true, CancellationToken.None).ConfigureAwait(false);
ID++;
Client.Markets.Add(market);
} catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
}
await Task.Delay(100);
}
public bool CheckLayers(IOrderbook expected, IOrderbook actual)
{
bool layersMatch = true;
foreach (var layer in expected.OfficialBids)
{
if (actual.OfficialBids.TryGetValue(layer.Key, out var testValue))
{
if (layer.Value != testValue)
{
layersMatch = false;
Assert.Fail($"Expected value {layer.Value} was actually {testValue}");
return(layersMatch);
}
}
else
{
layersMatch = false;
Assert.Fail($"Expected key {layer.Key} not present");
return(layersMatch);
}
}
foreach (var layer in expected.OfficialAsks)
{
if (actual.OfficialAsks.TryGetValue(layer.Key, out var testValue))
{
if (layer.Value != testValue)
{
layersMatch = false;
Assert.Fail($"Expected value {layer.Value} was actually {testValue}");
return(layersMatch);
}
}
else
{
layersMatch = false;
Assert.Fail($"Expected key {layer.Key} not present");
return(layersMatch);
}
}
return(layersMatch);
}
public (bool, string) SignificantChange(IOrderbook updatedOrderbook)
{
if (Exchange.ProfitableSymbolMapping.TryGetValue(Symbol, out var lastProfitable))
{
if (DateTime.UtcNow - lastProfitable < TimeSpan.FromMinutes(1)) //if the symbol had a profitable triangle in the last minute
{
return(true, "Symbol had a profitable triangle within the last minute");
}
else
{
if (OfficialAsks.Keys.Min() < PreviousLowestAsk || OfficialBids.Keys.Max() > PreviousHighestBid)
{
return(true, "Price improved");
}
else //price got worse or did not change
{
return(false, "Price worsened");
}
}
}
else //symbol is not mapped as profitable - update is only significant if the bottom bid/ask layers changed, and the price improved
{
if (OfficialAsks.Count < 1 || OfficialBids.Count < 1)
{
return(false, "No OfficialAsks/Bids");
}
if (OfficialAsks.Keys.Min() < PreviousLowestAsk || OfficialBids.Keys.Max() > PreviousHighestBid) //if the lowest ask price got lower, or the highest bid got higher, this is a universally better price that will always improve profitability
{
return(true, "Price improved");
}
else //price got worse or did not change
{
return(false, "Price worsened");
}
}
}
public void Place_Single_New_Sell_Order()
{
orderbook = new FullOrderbook();
var orderId = "order1";
var isBid = false;
var quantity = 10;
var price = 100;
var timestamp = DateTimeOffset.Now;
var order = new LimitOrder(
orderId,
isBid,
quantity,
price,
timestamp);
orderbook.PlaceOrder(order);
Assert.IsNotNull(orderbook.AskLevels);
Assert.IsNotNull(orderbook.BestAskLevel);
Assert.AreEqual(quantity, orderbook.BestAskLevel.TotalLevelQuantity);
Assert.AreEqual(price, orderbook.BestAskLevel.LimitPrice);
Assert.AreEqual(isBid, orderbook.BestAskLevel.IsBid);
Assert.AreEqual(1, orderbook.BestAskLevel.NumberOfOrders);
Assert.IsNotNull(orderbook.BestAskLevel.Orders);
Assert.IsNotNull(orderbook.BestAskLevel.Orders.List);
Assert.AreEqual(1, orderbook.BestAskLevel.Orders.List.Count);
Assert.AreEqual(orderId, orderbook.BestAskLevel.Orders.List.First.Value.OrderId);
Assert.AreEqual(isBid, orderbook.BestAskLevel.Orders.List.First.Value.IsBid);
Assert.AreEqual(quantity, orderbook.BestAskLevel.Orders.List.First.Value.Quantity);
Assert.AreEqual(price, orderbook.BestAskLevel.Orders.List.First.Value.LimitPrice);
Assert.AreEqual(timestamp, orderbook.BestAskLevel.Orders.List.First.Value.ReceivedTimestamp);
Assert.IsNotNull(orderbook.BestAskLevel.Orders.Table);
Assert.AreEqual(1, orderbook.BestAskLevel.Orders.Table.Count);
Assert.AreSame(orderbook.BestAskLevel.Orders.Table[orderId],
orderbook.BestAskLevel.Orders.List.First);
}
public OrderbookEventArgs(IOrderbook orderbook)
{
Orderbook = orderbook;
}
public void Place_New_Sell_Order_And_Match_Exist_Buy_Orders()
{
orderbook = new FullOrderbook();
var bid_orderId_1 = "bid_order_1";
var bid_isBid_1 = true;
var bid_quantity_1 = 5;
var bid_price_1 = 23;
var bid_timestamp_1 = DateTimeOffset.Now;
var bid_order_1 = new LimitOrder(
bid_orderId_1,
bid_isBid_1,
bid_quantity_1,
bid_price_1,
bid_timestamp_1);
var bid_orderId_2 = "bid_order_2";
var bid_isBid_2 = true;
var bid_quantity_2 = 5;
var bid_price_2 = 22;
var bid_timestamp_2 = DateTimeOffset.Now;
var bid_order_2 = new LimitOrder(
bid_orderId_2,
bid_isBid_2,
bid_quantity_2,
bid_price_2,
bid_timestamp_2);
var bid_orderId_3 = "bid_order_3";
var bid_isBid_3 = true;
var bid_quantity_3 = 5;
var bid_price_3 = 21;
var bid_timestamp_3 = DateTimeOffset.Now;
var bid_order_3 = new LimitOrder(
bid_orderId_3,
bid_isBid_3,
bid_quantity_3,
bid_price_3,
bid_timestamp_3);
var bid_orderId_4 = "bid_order_4";
var bid_isBid_4 = true;
var bid_quantity_4 = 5;
var bid_price_4 = 21;
var bid_timestamp_4 = DateTimeOffset.Now;
var bid_order_4 = new LimitOrder(
bid_orderId_4,
bid_isBid_4,
bid_quantity_4,
bid_price_4,
bid_timestamp_4);
var bid_orderId_5 = "bid_order_5";
var bid_isBid_5 = true;
var bid_quantity_5 = 5;
var bid_price_5 = 21;
var bid_timestamp_5 = DateTimeOffset.Now;
var bid_order_5 = new LimitOrder(
bid_orderId_5,
bid_isBid_5,
bid_quantity_5,
bid_price_5,
bid_timestamp_5);
var ask_orderId = "ask_order";
var ask_isBid = false;
var ask_quantity = 16;
var ask_price = 21;
var ask_timestamp = DateTimeOffset.Now;
var ask_order = new LimitOrder(
ask_orderId,
ask_isBid,
ask_quantity,
ask_price,
ask_timestamp);
orderbook.PlaceOrder(bid_order_1);
orderbook.PlaceOrder(bid_order_2);
orderbook.PlaceOrder(bid_order_3);
orderbook.PlaceOrder(bid_order_4);
orderbook.PlaceOrder(bid_order_5);
orderbook.PlaceOrder(ask_order);
//<1>. Should have only one bid level at $21 left.
//<2>. Two orders at this level, with Quantity 4 and 5.
//<3>. TotalLevelQuantity at this level should be 9.
Assert.IsNull(orderbook.BestAskLevel);
//Assert <1>
Assert.IsNotNull(orderbook.BestBidLevel);
var bestBidLevels = orderbook.GetBestBidLevels(3);
Assert.AreEqual(1, bestBidLevels.Count);
Assert.AreEqual(21, orderbook.BestBidLevel.LimitPrice);
//Assert <2>
Assert.AreEqual(2, orderbook.BestBidLevel.NumberOfOrders);
var firstBidOrderNode = orderbook.BestBidLevel.Orders.List.First;
Assert.IsNotNull(firstBidOrderNode);
Assert.AreEqual(4, firstBidOrderNode.Value.Quantity);
var secondBidOrderNode = firstBidOrderNode.Next;
Assert.IsNotNull(secondBidOrderNode);
Assert.AreEqual(5, secondBidOrderNode.Value.Quantity);
//Assert <3>
Assert.AreEqual(9, orderbook.BestBidLevel.TotalLevelQuantity);
}
public void Place_Mutiple_Buy_Orders_With_Same_Price()
{
orderbook = new FullOrderbook();
var limitPrice = 100;
var isBid = true;
var orderId_1 = "order1";
var isBid_1 = isBid;
var quantity_1 = 10;
var price_1 = limitPrice;
var timestamp_1 = DateTimeOffset.Now;
var order_1 = new LimitOrder(
orderId_1,
isBid_1,
quantity_1,
price_1,
timestamp_1);
var orderId_2 = "order2";
var isBid_2 = isBid;
var quantity_2 = 20;
var price_2 = limitPrice;
var timestamp_2 = DateTimeOffset.Now;
var order_2 = new LimitOrder(
orderId_2,
isBid_2,
quantity_2,
price_2,
timestamp_2);
var orderId_3 = "order3";
var isBid_3 = isBid;
var quantity_3 = 30;
var price_3 = limitPrice;
var timestamp_3 = DateTimeOffset.Now;
var order_3 = new LimitOrder(
orderId_3,
isBid_3,
quantity_3,
price_3,
timestamp_3);
orderbook.PlaceOrder(order_1);
orderbook.PlaceOrder(order_2);
orderbook.PlaceOrder(order_3);
Assert.IsNotNull(orderbook.BidLevels);
Assert.IsNotNull(orderbook.BestBidLevel);
Assert.AreEqual(quantity_1 + quantity_2 + quantity_3, orderbook.BestBidLevel.TotalLevelQuantity);
Assert.AreEqual(limitPrice, orderbook.BestBidLevel.LimitPrice);
Assert.AreEqual(isBid, orderbook.BestBidLevel.IsBid);
Assert.AreEqual(3, orderbook.BestBidLevel.NumberOfOrders);
Assert.IsNotNull(orderbook.BestBidLevel.Orders);
Assert.IsNotNull(orderbook.BestBidLevel.Orders.List);
Assert.AreEqual(3, orderbook.BestBidLevel.Orders.List.Count);
Assert.IsTrue(orderbook.BestBidLevel.Orders.List.Contains(order_1));
Assert.IsTrue(orderbook.BestBidLevel.Orders.List.Contains(order_2));
Assert.IsTrue(orderbook.BestBidLevel.Orders.List.Contains(order_3));
Assert.AreEqual(3, orderbook.BestBidLevel.Orders.Table.Count);
}
public void Place_Mutiple_Sell_Orders_With_Different_Prices()
{
orderbook = new FullOrderbook();
var isBid = false;
var orderId_1 = "order1";
var isBid_1 = isBid;
var quantity_1 = 10;
var price_1 = 100;
var timestamp_1 = DateTimeOffset.Now;
var order_1 = new LimitOrder(
orderId_1,
isBid_1,
quantity_1,
price_1,
timestamp_1);
var orderId_2 = "order2";
var isBid_2 = isBid;
var quantity_2 = 20;
var price_2 = 200;
var timestamp_2 = DateTimeOffset.Now;
var order_2 = new LimitOrder(
orderId_2,
isBid_2,
quantity_2,
price_2,
timestamp_2);
var orderId_3 = "order3";
var isBid_3 = isBid;
var quantity_3 = 30;
var price_3 = 300;
var timestamp_3 = DateTimeOffset.Now;
var order_3 = new LimitOrder(
orderId_3,
isBid_3,
quantity_3,
price_3,
timestamp_3);
List <LimitOrder> testOrders = new List <LimitOrder>()
{
order_1, order_2, order_3
};
orderbook.PlaceOrder(order_1);
orderbook.PlaceOrder(order_2);
orderbook.PlaceOrder(order_3);
Assert.IsNotNull(orderbook.AskLevels);
Assert.IsNotNull(orderbook.BestAskLevel);
var bestAsksFromGetBestAskLevels = orderbook.GetBestAskLevels(3);
Assert.IsNotNull(bestAsksFromGetBestAskLevels);
Assert.AreEqual(3, bestAsksFromGetBestAskLevels.Count);
var askLevelEnumerator = orderbook.AskLevels.GetEnumerator();
for (int i = 0; i < 3; i++)
{
Assert.IsTrue(askLevelEnumerator.MoveNext());
var askLevel = askLevelEnumerator.Current;
var testOrder = testOrders[i];
Assert.AreEqual(testOrder.Quantity, askLevel.TotalLevelQuantity);
Assert.AreEqual(testOrder.LimitPrice, askLevel.LimitPrice);
Assert.AreEqual(1, askLevel.NumberOfOrders);
Assert.IsNotNull(askLevel.Orders);
Assert.IsNotNull(askLevel.Orders.List);
Assert.AreEqual(1, askLevel.Orders.List.Count);
Assert.AreEqual(testOrder.OrderId, askLevel.Orders.List.First.Value.OrderId);
Assert.AreEqual(isBid, askLevel.Orders.List.First.Value.IsBid);
Assert.AreEqual(testOrder.Quantity, askLevel.Orders.List.First.Value.Quantity);
Assert.AreEqual(testOrder.LimitPrice, askLevel.Orders.List.First.Value.LimitPrice);
Assert.AreEqual(testOrder.ReceivedTimestamp, askLevel.Orders.List.First.Value.ReceivedTimestamp);
Assert.IsNotNull(askLevel.Orders.Table);
Assert.AreEqual(1, askLevel.Orders.Table.Count);
Assert.AreSame(askLevel.Orders.Table[testOrder.OrderId],
askLevel.Orders.List.First);
Assert.AreSame(askLevel, bestAsksFromGetBestAskLevels[i]);
}
}
public void Remove_Order_By_OrderId()
{
orderbook = new FullOrderbook();
var bid_orderId_1 = "bid_order_1";
var bid_isBid_1 = true;
var bid_quantity_1 = 5;
var bid_price_1 = 23;
var bid_timestamp_1 = DateTimeOffset.Now;
var bid_order_1 = new LimitOrder(
bid_orderId_1,
bid_isBid_1,
bid_quantity_1,
bid_price_1,
bid_timestamp_1);
var bid_orderId_2 = "bid_order_2";
var bid_isBid_2 = true;
var bid_quantity_2 = 5;
var bid_price_2 = 22;
var bid_timestamp_2 = DateTimeOffset.Now;
var bid_order_2 = new LimitOrder(
bid_orderId_2,
bid_isBid_2,
bid_quantity_2,
bid_price_2,
bid_timestamp_2);
var bid_orderId_3 = "bid_order_3";
var bid_isBid_3 = true;
var bid_quantity_3 = 5;
var bid_price_3 = 21;
var bid_timestamp_3 = DateTimeOffset.Now;
var bid_order_3 = new LimitOrder(
bid_orderId_3,
bid_isBid_3,
bid_quantity_3,
bid_price_3,
bid_timestamp_3);
var bid_orderId_4 = "bid_order_4";
var bid_isBid_4 = true;
var bid_quantity_4 = 5;
var bid_price_4 = 21;
var bid_timestamp_4 = DateTimeOffset.Now;
var bid_order_4 = new LimitOrder(
bid_orderId_4,
bid_isBid_4,
bid_quantity_4,
bid_price_4,
bid_timestamp_4);
var bid_orderId_5 = "bid_order_5";
var bid_isBid_5 = true;
var bid_quantity_5 = 5;
var bid_price_5 = 21;
var bid_timestamp_5 = DateTimeOffset.Now;
var bid_order_5 = new LimitOrder(
bid_orderId_5,
bid_isBid_5,
bid_quantity_5,
bid_price_5,
bid_timestamp_5);
orderbook.PlaceOrder(bid_order_1);
orderbook.PlaceOrder(bid_order_2);
orderbook.PlaceOrder(bid_order_3);
orderbook.PlaceOrder(bid_order_4);
orderbook.PlaceOrder(bid_order_5);
var orderToRemove = new LimitOrder();
orderToRemove.SetOrderId(bid_order_3.OrderId);
orderbook.RemoveOrderByOrderId(orderToRemove);
//<1>. Should have 3 level of Bids, $23, $22, $21
//<2>. At level $21, there are two orders left, with Quantity 5 and 5.
//<3>. TotalLevelQuantity at this level should be 10.
//Assert <1>
Assert.IsNotNull(orderbook.BestBidLevel);
var bestBidLevels = orderbook.GetBestBidLevels(3);
Assert.AreEqual(3, bestBidLevels.Count);
Assert.AreEqual(23, bestBidLevels[0].LimitPrice);
Assert.AreEqual(22, bestBidLevels[1].LimitPrice);
Assert.AreEqual(21, bestBidLevels[2].LimitPrice);
//Assert <2>
var targetLevel = bestBidLevels[2];
Assert.AreEqual(2, targetLevel.NumberOfOrders);
var firstBidOrderNode = targetLevel.Orders.List.First;
Assert.IsNotNull(firstBidOrderNode);
Assert.AreEqual(5, firstBidOrderNode.Value.Quantity);
var secondBidOrderNode = firstBidOrderNode.Next;
Assert.IsNotNull(secondBidOrderNode);
Assert.AreEqual(5, secondBidOrderNode.Value.Quantity);
//Assert <3>
Assert.AreEqual(10, targetLevel.TotalLevelQuantity);
}
public static void MapHelper(string firstDirection, string secondDirection, string thirdDirection, IOrderbook firstMarket, IOrderbook secondMarket, IOrderbook thirdMarket, IExchange Exchange)
{
var direction = (Triangle.Directions)Enum.Parse(typeof(Triangle.Directions), $"{firstDirection}{secondDirection}{thirdDirection}");
var newTriangle = new Triangle(firstMarket, secondMarket, thirdMarket, direction, Exchange);
//Console.WriteLine($"{exchangeName}: {firstDirection} {firstMarket.symbol}, {secondDirection} {secondMarket.symbol}, {thirdDirection} {thirdMarket.symbol}");
UniqueTriangleCount++;
TriarbEligibleMarkets.Add(firstMarket.Symbol);
TriarbEligibleMarkets.Add(secondMarket.Symbol);
TriarbEligibleMarkets.Add(thirdMarket.Symbol);
Exchange.OfficialOrderbooks.TryAdd(firstMarket.Symbol, firstMarket);
Exchange.OfficialOrderbooks.TryAdd(secondMarket.Symbol, secondMarket);
Exchange.OfficialOrderbooks.TryAdd(thirdMarket.Symbol, thirdMarket);
foreach (var marketName in new List <string> {
firstMarket.Symbol, secondMarket.Symbol, thirdMarket.Symbol
})
{
if (!Exchange.TriarbMarketMapping.Keys.Contains(marketName))
{
Exchange.TriarbMarketMapping.AddOrUpdate(marketName, new List <Triangle>()
{
newTriangle
}, (key, triangleList) =>
{
if (key == marketName && !triangleList.Contains(newTriangle))
{
triangleList.Add(newTriangle);
}
return(triangleList);
});
}
else
{
Exchange.TriarbMarketMapping.TryGetValue(marketName, out var triangles);
if (!triangles.Contains(newTriangle))
{
Exchange.TriarbMarketMapping.AddOrUpdate(marketName, new List <Triangle>()
{
newTriangle
}, (key, triangleList) =>
{
if (key == marketName && !triangleList.Contains(newTriangle))
{
triangleList.Add(newTriangle);
}
return(triangleList);
});
}
}
}
}
public void Update_Order_Price()
{
orderbook = new FullOrderbook();
decimal newPrice = 22;
var bid_orderId_1 = "bid_order_1";
var bid_isBid_1 = true;
var bid_quantity_1 = 5;
var bid_price_1 = 23;
var bid_timestamp_1 = DateTimeOffset.Now;
var bid_order_1 = new LimitOrder(
bid_orderId_1,
bid_isBid_1,
bid_quantity_1,
bid_price_1,
bid_timestamp_1);
var bid_orderId_2 = "bid_order_2";
var bid_isBid_2 = true;
var bid_quantity_2 = 5;
var bid_price_2 = 22;
var bid_timestamp_2 = DateTimeOffset.Now;
var bid_order_2 = new LimitOrder(
bid_orderId_2,
bid_isBid_2,
bid_quantity_2,
bid_price_2,
bid_timestamp_2);
var bid_orderId_3 = "bid_order_3";
var bid_isBid_3 = true;
var bid_quantity_3 = 4;
var bid_price_3 = 21;
var bid_timestamp_3 = DateTimeOffset.Now;
var bid_order_3 = new LimitOrder(
bid_orderId_3,
bid_isBid_3,
bid_quantity_3,
bid_price_3,
bid_timestamp_3);
var bid_orderId_4 = "bid_order_4";
var bid_isBid_4 = true;
var bid_quantity_4 = 5;
var bid_price_4 = 21;
var bid_timestamp_4 = DateTimeOffset.Now;
var bid_order_4 = new LimitOrder(
bid_orderId_4,
bid_isBid_4,
bid_quantity_4,
bid_price_4,
bid_timestamp_4);
var bid_orderId_5 = "bid_order_5";
var bid_isBid_5 = true;
var bid_quantity_5 = 3;
var bid_price_5 = 21;
var bid_timestamp_5 = DateTimeOffset.Now;
var bid_order_5 = new LimitOrder(
bid_orderId_5,
bid_isBid_5,
bid_quantity_5,
bid_price_5,
bid_timestamp_5);
orderbook.PlaceOrder(bid_order_1);
orderbook.PlaceOrder(bid_order_2);
orderbook.PlaceOrder(bid_order_3);
orderbook.PlaceOrder(bid_order_4);
orderbook.PlaceOrder(bid_order_5);
var updated_bid_order_3 = new LimitOrder(
bid_order_3.OrderId,
bid_order_3.IsBid,
bid_order_3.Quantity,
newPrice,
DateTimeOffset.Now
);
orderbook.PlaceOrder(updated_bid_order_3);
//<1>. Should have 3 level of Bids, $23, $22, $21
//<2>. At level $22, there are two orders left, with Quantity 5 and 4.
//<3>. At level $21, there is two order left, with Quantity 5 and 3.
//Assert <1>
Assert.IsNotNull(orderbook.BestBidLevel);
var bestBidLevels = orderbook.GetBestBidLevels(3);
Assert.AreEqual(3, bestBidLevels.Count);
Assert.AreEqual(23, bestBidLevels[0].LimitPrice);
Assert.AreEqual(22, bestBidLevels[1].LimitPrice);
Assert.AreEqual(21, bestBidLevels[2].LimitPrice);
//Assert <2>
var targetLevel_22 = bestBidLevels[1];
Assert.AreEqual(2, targetLevel_22.NumberOfOrders);
var firstBidOrderNode_22 = targetLevel_22.Orders.List.First;
Assert.IsNotNull(firstBidOrderNode_22);
Assert.AreEqual(5, firstBidOrderNode_22.Value.Quantity);
var secondBidOrderNode_22 = firstBidOrderNode_22.Next;
Assert.IsNotNull(secondBidOrderNode_22);
Assert.AreEqual(4, secondBidOrderNode_22.Value.Quantity);
Assert.AreEqual(9, targetLevel_22.TotalLevelQuantity);
//Assert <3>
var targetLevel_21 = bestBidLevels[2];
Assert.AreEqual(2, targetLevel_21.NumberOfOrders);
var firstBidOrderNode_21 = targetLevel_21.Orders.List.First;
Assert.IsNotNull(firstBidOrderNode_21);
Assert.AreEqual(5, firstBidOrderNode_21.Value.Quantity);
var secondBidOrderNode_21 = firstBidOrderNode_21.Next;
Assert.IsNotNull(secondBidOrderNode_21);
Assert.AreEqual(3, secondBidOrderNode_21.Value.Quantity);
Assert.AreEqual(8, targetLevel_21.TotalLevelQuantity);
}
public void Place_New_Buy_Order_And_Match_Exist_Sell_Orders()
{
orderbook = new FullOrderbook();
var ask_orderId_1 = "ask_order_1";
var ask_isBid_1 = false;
var ask_quantity_1 = 5;
var ask_price_1 = 10;
var ask_timestamp_1 = DateTimeOffset.Now;
var ask_order_1 = new LimitOrder(
ask_orderId_1,
ask_isBid_1,
ask_quantity_1,
ask_price_1,
ask_timestamp_1);
var ask_orderId_2 = "ask_order_2";
var ask_isBid_2 = false;
var ask_quantity_2 = 5;
var ask_price_2 = 11;
var ask_timestamp_2 = DateTimeOffset.Now;
var ask_order_2 = new LimitOrder(
ask_orderId_2,
ask_isBid_2,
ask_quantity_2,
ask_price_2,
ask_timestamp_2);
var ask_orderId_3 = "ask_order_3";
var ask_isBid_3 = false;
var ask_quantity_3 = 5;
var ask_price_3 = 11;
var ask_timestamp_3 = DateTimeOffset.Now;
var ask_order_3 = new LimitOrder(
ask_orderId_3,
ask_isBid_3,
ask_quantity_3,
ask_price_3,
ask_timestamp_3);
var ask_orderId_4 = "ask_order_4";
var ask_isBid_4 = false;
var ask_quantity_4 = 5;
var ask_price_4 = 12;
var ask_timestamp_4 = DateTimeOffset.Now;
var ask_order_4 = new LimitOrder(
ask_orderId_4,
ask_isBid_4,
ask_quantity_4,
ask_price_4,
ask_timestamp_4);
var bid_orderId = "bid_order";
var bid_isBid = true;
var bid_quantity = 17;
var bid_price = 12;
var bid_timestamp = DateTimeOffset.Now;
var bid_order = new LimitOrder(
bid_orderId,
bid_isBid,
bid_quantity,
bid_price,
bid_timestamp);
orderbook.PlaceOrder(ask_order_1);
orderbook.PlaceOrder(ask_order_2);
orderbook.PlaceOrder(ask_order_3);
orderbook.PlaceOrder(ask_order_4);
orderbook.PlaceOrder(bid_order);
//<1>. Should have only one ask level at $12 left.
//<2>. Only one order at this level.
//<3>. TotalLevelQuantity at this level should be 3.
Assert.IsNull(orderbook.BestBidLevel);
//Assert <1>
Assert.IsNotNull(orderbook.BestAskLevel);
var bestAskLevels = orderbook.GetBestAskLevels(3);
Assert.AreEqual(1, bestAskLevels.Count);
Assert.AreEqual(12, orderbook.BestAskLevel.LimitPrice);
//Assert <2>
Assert.AreEqual(1, orderbook.BestAskLevel.NumberOfOrders);
//Assert <3>
Assert.AreEqual(3, orderbook.BestAskLevel.TotalLevelQuantity);
}
private async Task BackgroundProcessing(CancellationToken stoppingToken)
{
while (Client.State == WebSocketState.Open && !stoppingToken.IsCancellationRequested)
{
var buffer = WebSocket.CreateClientBuffer(1024 * 64, 1024);
using (var ms = new MemoryStream())
{
string payload = string.Empty;
WebSocketReceiveResult result = null;
var receiptTask = Task.Run(() =>
{
result = Client.ReceiveAsync(ms, buffer, CancellationToken.None).Result;
});
bool successfulReceiveAsync = receiptTask.Wait(TimeSpan.FromMilliseconds(10000));
if (!successfulReceiveAsync)
{
_logger.LogError($"ReceiveAsync Timed Out");
continue;
}
if (result.MessageType == WebSocketMessageType.Text) //hitbtc, binance
{
var reader = new StreamReader(ms, Encoding.UTF8);
payload = await reader.ReadToEndAsync();
}
else if (result.MessageType == WebSocketMessageType.Binary) //huobi global sends all data in a compressed GZIP format
{
payload = ReadBinarySocketMessage(ms);
}
else if (result.MessageType == WebSocketMessageType.Close)
{
_logger.LogError($"{Exchange.ExchangeName}: Socket connection closed because {result.CloseStatusDescription}");
await HandleWebsocketClose();
continue;
}
IOrderbook orderbook = (IOrderbook)JsonSerializer.Deserialize(payload, OrderbookType);
if (orderbook.Pong == true)
{
SendPong(orderbook); //do not await this task; the listener should move on in reading other websocket messages
continue;
}
if (Exchange.OfficialOrderbooks.TryGetValue(orderbook.Symbol, out IOrderbook OfficialOrderbook))
{
bool shouldRecalculate = false;
lock (OfficialOrderbook.OrderbookLock) //lock the orderbook when the orderbook is being modified
{
shouldRecalculate = OfficialOrderbook.Merge(orderbook);
}
if (shouldRecalculate)
{
if (Exchange.TriarbMarketMapping.TryGetValue(orderbook.Symbol, out List <Triangle> impactedTriangles)) //get all of the impacted triangles
{
foreach (var impactedTriangle in impactedTriangles)
{
var triangleSnapshot = CreateTriangleSnapshot(impactedTriangle);
Exchange.TrianglesToRecalculate.Enqueue(triangleSnapshot);
}
}
}
}
}
}
await HandleWebsocketClose();
}
public void Update_Order_Quantity()
{
orderbook = new FullOrderbook();
decimal newQty = 10;
var bid_orderId_1 = "bid_order_1";
var bid_isBid_1 = true;
var bid_quantity_1 = 5;
var bid_price_1 = 23;
var bid_timestamp_1 = DateTimeOffset.Now;
var bid_order_1 = new LimitOrder(
bid_orderId_1,
bid_isBid_1,
bid_quantity_1,
bid_price_1,
bid_timestamp_1);
var bid_orderId_2 = "bid_order_2";
var bid_isBid_2 = true;
var bid_quantity_2 = 5;
var bid_price_2 = 23;
var bid_timestamp_2 = DateTimeOffset.Now;
var bid_order_2 = new LimitOrder(
bid_orderId_2,
bid_isBid_2,
bid_quantity_2,
bid_price_2,
bid_timestamp_2);
var bid_orderId_3 = "bid_order_3";
var bid_isBid_3 = true;
var bid_quantity_3 = 5;
var bid_price_3 = 23;
var bid_timestamp_3 = DateTimeOffset.Now;
var bid_order_3 = new LimitOrder(
bid_orderId_3,
bid_isBid_3,
bid_quantity_3,
bid_price_3,
bid_timestamp_3);
orderbook.PlaceOrder(bid_order_1);
orderbook.PlaceOrder(bid_order_2);
orderbook.PlaceOrder(bid_order_3);
var updated_bid_order_2 = bid_order_2.DeepCopyWithQtyChanged(newQty);
orderbook.PlaceOrder(updated_bid_order_2);
//<1>. Should have only one bid level.
//<2>. At this level, the Quantities are 5, 10, 5.
//Assert <1>
Assert.IsNotNull(orderbook.BestBidLevel);
var bestBidLevels = orderbook.GetBestBidLevels(3);
Assert.AreSame(orderbook.BestBidLevel, bestBidLevels[0]);
Assert.AreEqual(1, bestBidLevels.Count);
Assert.AreEqual(23, bestBidLevels[0].LimitPrice);
//Assert <2>
Assert.AreEqual(3, orderbook.BestBidLevel.NumberOfOrders);
var firstBidOrderNode = orderbook.BestBidLevel.Orders.List.First;
Assert.IsNotNull(firstBidOrderNode);
Assert.AreEqual(5, firstBidOrderNode.Value.Quantity);
var secondBidOrderNode = firstBidOrderNode.Next;
Assert.IsNotNull(secondBidOrderNode);
Assert.AreEqual(newQty, secondBidOrderNode.Value.Quantity);
var thirdBidOrderNode = secondBidOrderNode.Next;
Assert.IsNotNull(thirdBidOrderNode);
Assert.AreEqual(5, thirdBidOrderNode.Value.Quantity);
Assert.AreEqual(20, orderbook.BestBidLevel.TotalLevelQuantity);
}