private async Task CancelOrder(string currentOrderId)
{
await _trader.CancelOrder(currentOrderId);
_levelsByOrder.Remove(currentOrderId);
}
public async Task PlaceToMarketAsync()
{
var level = _levels.FirstOrDefault(l => l.Status == MarketLevelStatus.Empty);
while (level != null)
{
var side =
(level.Side == MarketSide.Long && level.Type == MarketLevelType.Direct) ||
(level.Side == MarketSide.Short && level.Type == MarketLevelType.Compensate)
? MarketSide.Long
: MarketSide.Short;
var price = level.Type == MarketLevelType.Direct ? level.Price : level.PriceCompensate;
var scope = _levels.Where(l => l.Status == MarketLevelStatus.Placed && l.OrderSide != side);
var crossLevel =
side == MarketSide.Long
? scope.Where(l => l.Price <= price).OrderBy(l => l.Price).FirstOrDefault() :
scope.Where(l => l.Price >= price).OrderByDescending(l => l.Price).FirstOrDefault();
if (crossLevel != null)
{
crossLevel.CurrentOrderId = string.Empty;
crossLevel.Status = MarketLevelStatus.Empty;
crossLevel.Type = crossLevel.Type == MarketLevelType.Direct ? MarketLevelType.Compensate : MarketLevelType.Direct;
if (crossLevel.Status == MarketLevelStatus.Placed)
{
await _trader.CancelOrder(crossLevel.CurrentOrderId);
_levelsByOrder.Remove(crossLevel.CurrentOrderId);
}
Console.WriteLine($"flip level. Price: {level.Price}, Side: {level.Side}, Type: {level.Type}, Id: {level.CurrentOrderId}");
level.CurrentOrderId = string.Empty;
level.Status = MarketLevelStatus.Empty;
level.Type = level.Type == MarketLevelType.Direct ? MarketLevelType.Compensate : MarketLevelType.Direct;
Console.WriteLine($"flip level. Price: {level.Price}, Side: {level.Side}, Type: {level.Type}");
}
else
{
var orderId = await _trader.PlaceOrderAsync(
_symbol,
price,
level.OriginalSize,
side);
if (!string.IsNullOrEmpty(orderId))
{
level.CurrentOrderId = orderId;
level.Status = MarketLevelStatus.Placed;
level.OrderSide = side;
Console.WriteLine(
$"Placed. Price: {level.Price}, Type: {level.Side}/{level.Type}, O-Price: {price}, O-Side: {side}, O-Id: {level.CurrentOrderId}");
_levelsByOrder[orderId] = level;
}
}
level = _levels.FirstOrDefault(l => l.Status == MarketLevelStatus.Empty);
}
}
private async void HandleNonFilledOrder(ExchangeOrderResult orderResult, Candle candle)
{
ExchangeOrderResult result = null;
Ticker ticker;
switch (orderResult.Result)
{
case ExchangeAPIOrderResult.FilledPartially:
Log($"Partially filled order quantity filled {orderResult.AmountFilled} of {orderResult.Amount}");
/*
*
* PARTIALLY FILLED
*
* 1. Save the initial order and what was filled
* 2. Check in thrity seconds for any more filling of it
* 3. Add a new order against this position
* 4. If not filled after two more queries, cancel it
*
*/
// 1. Save
SavePosition(SaveOrder(orderResult, GetTimeStamp(candle.Timestamp)));
// 2. Check in 30 seconds twice
int counter = 0;
while (counter < 3)
{
Log("Waiting 30 seconds..");
Pause(30);
++counter;
result = await CheckOrderStatus(orderResult.OrderId);
if (result.Result == ExchangeAPIOrderResult.Filled) // if status now is now filled great
{
Log($"Remaining quanity of order filled");
SaveOrder(orderResult, GetTimeStamp(candle.Timestamp));
UpdatePositionQuantity();
return;
}
else
{
if (counter == 2) // this is the last time & it wasn't filled
{
Log($"Remaining quanity of order not filled after waiting 90 seconds, cancelling the order, exchange order id {orderResult.OrderId}, message: {orderResult.Message}");
_trader.CancelOrder(orderResult.OrderId);
// TODO: Could look at putting in another order for the outstanding quantity
// Get the minimum quantity for the currency
// if the outstanding quantity is more than the minimum quantity
// get the current price
// create a new order for the remaining quantity
// update the position with the new quantity received
}
}
}
break;
case ExchangeAPIOrderResult.Canceled:
/*
*
* CANCELLED by exchange
*
* 1. Wait 10 seconds
* 3. Check price now
* 4. Issue a new Buy
*
*/
Log($"Order cancelled by exchange for orderId {orderResult.OrderId}, waiting 10 seconds and retrying, message: {orderResult.Message}");
Log("Waiting 10 seconds");
Pause(10);
ticker = _trader.GetLatestTicker(_inMemoryBot.BaseCoin, _inMemoryBot.Coin);
if (orderResult.IsBuy)
{
Buy(new Candle()
{
Timestamp = DateTime.Now, ClosePrice = ticker.Ask
});
}
else
{
Sell(new Candle()
{
Timestamp = DateTime.Now, ClosePrice = ticker.Bid
});
}
break;
case ExchangeAPIOrderResult.Error:
/*
*
* ERROR
*
* 1. Wait 10 seconds and check again
* 2. If still error, cancel it
* 3. Check price now
* 4. Issue a new Buy
*
*/
Log($"Error reported on exchange for orderId {orderResult.OrderId}, message: {orderResult.Message}");
Log("Waiting 10 seconds to check again");
Pause(10);
result = await CheckOrderStatus(orderResult.OrderId);
Log($"Result.. {result.Result}");
// 2. If not filled, cancel it
if (result.Result != ExchangeAPIOrderResult.Filled)
{
Log($"Not filled, cancelling order {orderResult.OrderId}");
_trader.CancelOrder(orderResult.OrderId);
// 3. Check the price now
ticker = _trader.GetLatestTicker(_inMemoryBot.BaseCoin, _inMemoryBot.Coin);
Log($"Going to order again, latest ticker {JsonConvert.SerializeObject(ticker)} ");
if (orderResult.IsBuy)
{
Buy(new Candle()
{
Timestamp = DateTime.Now, ClosePrice = ticker.Ask
});
}
else
{
Sell(new Candle()
{
Timestamp = DateTime.Now, ClosePrice = ticker.Bid
});
}
}
break;
case ExchangeAPIOrderResult.Pending:
/*
*
* PENDING
*
* 1. Wait 30 seconds and check again
* 2. If still pending, cancel it
* 3. Check price now
* 4. Issue a new Buy
*
*/
Log($"Pending reported on exchange for orderId {orderResult.OrderId}, message: {orderResult.Message}");
// 1. Wait thirty seconds & check
Pause(30);
result = await CheckOrderStatus(orderResult.OrderId);
// 2. If not filled, cancel it
if (result.Result == ExchangeAPIOrderResult.Pending)
{
_trader.CancelOrder(orderResult.OrderId);
// 3. Check the price now
ticker = _trader.GetLatestTicker(_inMemoryBot.BaseCoin, _inMemoryBot.Coin);
Log($"Order still pending after 30 seconds for orderId {orderResult.OrderId}, cancelling and re-ordering at new price {ticker.Ask}");
if (orderResult.IsBuy)
{
Buy(new Candle()
{
Timestamp = DateTime.Now, ClosePrice = ticker.Ask
});
}
else
{
Sell(new Candle()
{
Timestamp = DateTime.Now, ClosePrice = ticker.Bid
});
}
}
break;
case ExchangeAPIOrderResult.Unknown:
/*
*
* UNKNOWN
*
* 1. Wait thirty seconds and check again
* 2. If still unknow, cancel it
* 3. Check price now
* 4. Issue a new Buy
*
*/
Log($"UNKNOWN reported by exchange for orderId {orderResult.OrderId}, message: {orderResult.Message}. Waiting 30 seconds to try again");
// 1. Wait thirty seconds & check
Pause(30);
result = await CheckOrderStatus(orderResult.OrderId);
// 2. If not filled, cancel it
if (result.Result == ExchangeAPIOrderResult.Unknown)
{
_trader.CancelOrder(orderResult.OrderId);
// 3. Check the price now
ticker = _trader.GetLatestTicker(_inMemoryBot.BaseCoin, _inMemoryBot.Coin);
Log($"Order still UNKNOWN after 30 seconds for orderId {orderResult.OrderId}, cancelling and re-ordering at new price {ticker.Ask}");
if (orderResult.IsBuy)
{
Buy(new Candle()
{
Timestamp = DateTime.Now, ClosePrice = ticker.Ask
});
}
else
{
Sell(new Candle()
{
Timestamp = DateTime.Now, ClosePrice = ticker.Bid
});
}
}
break;
}
}
