public async Task Execute()
{
var spreadMiddle = 0M;
var lastUpdate = new DateTime();
// BEGIN EXECUTION LOOP:
while (true)
{
// Place new/Replace tiered orders, then pause
if (DateTime.Now - lastUpdate > SETTINGS.OrderExecDelay)
{
spreadMiddle = await ReplaceSpreadOrders("XLMUSDT", spreadMiddle);
lastUpdate = DateTime.Now;
}
else if (userDATA.UserUpdateQueue.IsEmpty)
{
Thread.Sleep(100);
}
// PROCESS ORDER UPDATES, MAKE DECISIONS BASED ON ExecutionType:
while (!userDATA.UserUpdateQueue.IsEmpty)
{
// DeQueue next order update:
bool tryDQ = false;
var userMsg = new UserDataUpdate();
do
{
tryDQ = userDATA.UserUpdateQueue.TryDequeue(out userMsg);
} while (!tryDQ);
if (userMsg.TradeOrderData != null) // (!= balance update msg)
{
var clientID = userMsg.TradeOrderData.NewClientOrderId.Split('_');
if (clientID[0] == "bin2")
{
await StrategyP2.HandleTradeMsg(userMsg.TradeOrderData, clientID);
continue;
}
else if (clientID[0] != "bina")
{
continue;
}
switch (userMsg.TradeOrderData.ExecutionType)
{
case ExecutionType.New:
// UPDATE UNCONFIRMED BUY/SELL OrderInfo in openOrders LIST:
var orderInfo = new OrderInfo(userMsg.TradeOrderData);
if (clientID[1] == "Buy")
{
OpenBUYorders[OpenBUYorders.IndexOf(OpenBUYorders.First(o => o.ClientID == userMsg.TradeOrderData.NewClientOrderId))] = orderInfo;
}
else if (clientID[1] == "Sell")
{
OpenSELLorders[OpenSELLorders.IndexOf(OpenSELLorders.First(o => o.ClientID == userMsg.TradeOrderData.NewClientOrderId))] = orderInfo;
}
break;
case ExecutionType.Trade:
if (userMsg.TradeOrderData.OrderStatus == OrderStatus.Filled)
{
// UPDATE ORDERS StratStatus in OpenDATAorders:
var order = new OrderInfo(userMsg.TradeOrderData);
if (clientID[1] == "Buy")
{
// HANDLE RAPID TP-ORDER HERE
if (order.StratState == StrategyState.OPEN_FILLED)
{
// place TP order, update to TP_ENTERED
var tpPrice = Math.Round(order.Price * (1 + SETTINGS.TakeProfitMargin), PriceRoundDigits);
var tpQty = order.Qty;
var ord = new CreateOrderRequest()
{
Side = OrderSide.Sell,
Symbol = order.Symbol,
Price = tpPrice,
Quantity = tpQty,
NewClientOrderId = order.ClientID
};
var resp = await BinaREST.CreateLimitOrder(ord);
if (resp != null)
{
Log.Debug($">>> [BUY] Take-Profit submitted");
}
// update order info
order = new OrderInfo(ord, StrategyState.TP_UNCONFIRMED);
}
OpenBUYorders[OpenBUYorders.IndexOf(OpenBUYorders.First(o => o.ClientID == userMsg.TradeOrderData.NewClientOrderId))] = order;
}
else if (clientID[1] == "Sell")
{
// HANDLE RAPID TP-ORDER HERE
if (order.StratState == StrategyState.OPEN_FILLED)
{
// place TP order, update to TP_ENTERED
var tpPrice = Math.Round(order.Price * (1 - SETTINGS.TakeProfitMargin), PriceRoundDigits);
var tpQty = Math.Round(Convert.ToDecimal(order.BaseCurrReturn) / (tpPrice * (1 + SETTINGS.FeePercentage)), QtyRoundDigits);
var ord = new CreateOrderRequest()
{
Side = OrderSide.Buy,
Symbol = order.Symbol,
Price = tpPrice,
Quantity = tpQty,
NewClientOrderId = order.ClientID
};
var resp = await BinaREST.CreateLimitOrder(ord);
if (resp != null)
{
Log.Debug($">>> [SELL] Take-Profit submitted");
}
// update order info
order = new OrderInfo(ord, StrategyState.TP_UNCONFIRMED);
}
OpenSELLorders[OpenSELLorders.IndexOf(OpenSELLorders.First(o => o.ClientID == userMsg.TradeOrderData.NewClientOrderId))] = order;
}
}
else if (userMsg.TradeOrderData.OrderStatus == OrderStatus.PartiallyFilled)
{
// HANDLE PARTIAL FILLS (ANCHOR UNTIL FILLED)
var order = new OrderInfo(userMsg.TradeOrderData);
if (order.StratState == StrategyState.PARTIAL_FILL)
{
if (clientID[1] == "Buy")
{
OpenBUYorders[OpenBUYorders.IndexOf(OpenBUYorders.First(o => o.ClientID == userMsg.TradeOrderData.NewClientOrderId))] = order;
}
else if (clientID[1] == "Sell")
{
OpenSELLorders[OpenSELLorders.IndexOf(OpenSELLorders.First(o => o.ClientID == userMsg.TradeOrderData.NewClientOrderId))] = order;
}
}
}
break;
case ExecutionType.Cancelled:
break;
case ExecutionType.Rejected:
LogOrderMessage(userMsg.TradeOrderData);
break;
default:
LogOrderMessage(userMsg.TradeOrderData);
break;
}
}
}
if (OpenBUYorders.Where(o => o.StratState == StrategyState.TP_ENTERED).Count() == SETTINGS.Tiers &&
OpenSELLorders.Where(o => o.StratState == StrategyState.TP_ENTERED).Count() == SETTINGS.Tiers &&
!SETTINGS.MutePhase2)
{
var window_top = OpenBUYorders.Min(tp => tp.Price);
var window_bottom = OpenSELLorders.Max(tp => tp.Price);
await StrategyP2.Activate(depthDATA.GetSpreadMiddle(SETTINGS.SubSpecificSymbols[0]), window_top, window_bottom);
}
else
{
await StrategyP2.Deactivate();
}
}
}
