public Wallet ComputeNewOrders(Wallet currentOrders, MarketInfo objMarket, ExchangeInfo objExchange, TradingHistory history)
{
//the newOrders Wallet variable will contain all ask/bid/cancel orders to issue
var newOrders = new Wallet();
//start with reserved resource
//Dim askReserve As Decimal = Math.Max(Me._AskReserveAmount, currentOrders.btcs * (Me._AskReserveRate / 100))
//Dim bidReserve As Decimal = Math.Max(Me._BidReserveValue, currentOrders.usds * (Me._BidReserveRate / 100))
decimal avBtcsForTrading = currentOrders.PrimaryBalance;
//- askReserve
decimal avUsdsForTrading = currentOrders.SecondaryBalance;
//- bidReserve
//Then We simplify the current orders by merging orders of the same price, issueing corresponding cancel/new orders
newOrders.ConsolidateOrders(ref currentOrders, true);
//Feed the new orders wallet with available resources, Reserve resources for current open orders
newOrders.PrimaryBalance = Math.Max(avBtcsForTrading - currentOrders.GetTotalAsksPrimary(), 0);
newOrders.SecondaryBalance = Math.Max(avUsdsForTrading - currentOrders.GetTotalBidsSecondary(), 0);
var tContext = new TradingContext(currentOrders, newOrders, objMarket, objExchange, history.GetLastTrend(), this);
this.ComputeNewOrders(ref tContext);
tContext.NewOrders.FitOrders(objExchange);
//we update the trading history with last data
history.Update(currentOrders, objMarket, tContext.NewOrders);
return(tContext.NewOrders);
}
public void ExecuteOrders(MarketInfo objMarket, ref Wallet targetWallet, ref TradingHistory history)
{
var trades = new List <Trade>();
var fees = new List <Payment>();
var matchedOrders = this.MatchOrders(ref targetWallet, objMarket.Ticker.Last);
foreach (var matchedOrder in matchedOrders)
{
Trade trade = new Trade()
{
Time = objMarket.Time,
Price = matchedOrder.Price,
Amount = matchedOrder.Amount
};
Payment fee = new Payment()
{
Time = objMarket.Time,
Label = matchedOrder.FriendlyId
};
if (matchedOrder.OrderType == OrderType.Buy)
{
trade.TradeType = TradeType.Buy;
fee.Currency = objMarket.PrimaryCode;
fee.Amount = matchedOrder.Amount * BidCommission / 100m;
fee.Label = string.Format("{0} - Bid Fee: {1} % = {2} {3}"
, fee.Label
, BidCommission.ToString(CultureInfo.InvariantCulture)
, fee.Amount
, fee.Currency);
targetWallet.SecondaryBalance = targetWallet.SecondaryBalance - matchedOrder.Value;
targetWallet.PrimaryBalance = targetWallet.PrimaryBalance + matchedOrder.Amount - fee.Amount;
}
else if (matchedOrder.OrderType == OrderType.Sell)
{
trade.TradeType = TradeType.Sell;
fee.Currency = objMarket.SecondaryCode;
fee.Amount = matchedOrder.Value * AskCommission / 100m;
fee.Label = string.Format("{0} - Ask Fee: {1} % = {2} {3}"
, fee.Label
, AskCommission.ToString(CultureInfo.InvariantCulture)
, fee.Amount
, fee.Currency);
targetWallet.SecondaryBalance = targetWallet.SecondaryBalance + matchedOrder.Value - fee.Amount;
targetWallet.PrimaryBalance = targetWallet.PrimaryBalance - matchedOrder.Amount;
}
trades.Add(trade);
fees.Add(fee);
targetWallet.Orders.Remove(matchedOrder);
}
targetWallet.Time = objMarket.Time;
history.Update(targetWallet, objMarket, trades, fees);
}
public Wallet ComputeNewOrders(Wallet currentOrders, MarketInfo objMarket, ExchangeInfo objExchange, TradingHistory history)
{
var newOrders = new Wallet();
var askReserve = Math.Max(this.AskReserveAmount, currentOrders.PrimaryBalance * AskReserveRate / 100m);
var bidReserve = Math.Max(this.BidReserveValue, currentOrders.SecondaryBalance * BidReserveRate / 100m);
decimal avBtcsForTrading = currentOrders.PrimaryBalance - askReserve;
decimal avUsdsForTrading = currentOrders.SecondaryBalance - bidReserve;
//todo: should we update the original wallet?
newOrders.ConsolidateOrders(ref currentOrders, true);
newOrders.PrimaryBalance = Math.Max(avBtcsForTrading - currentOrders.GetTotalAsksPrimary(), decimal.Zero);
newOrders.SecondaryBalance = Math.Max(decimal.Subtract(avUsdsForTrading, currentOrders.GetTotalBidsSecondary()), decimal.Zero);
var tContext = new TradingContext(currentOrders, newOrders, objMarket, objExchange, history.GetLastTrend(), this);
this.ComputeNewOrders(ref tContext);
if (this.NoAsks)
{
tContext.NewOrders.ClearAsks();
if (this.ClearAsks)
{
tContext.NewOrders.CancelExistingOrders(tContext.CurrentOrders.OrderedAsks.ToArray());
}
}
if (this.NoBids)
{
tContext.NewOrders.ClearBids();
if (this.ClearBids)
{
tContext.NewOrders.CancelExistingOrders(tContext.CurrentOrders.OrderedBids.ToArray());
}
}
tContext.NewOrders.FitOrders(objExchange);
history.Update(currentOrders, objMarket, tContext.NewOrders);
return(tContext.NewOrders);
}