public CProduct(CExchange exchange, String symbol, int precisionSize, int precisionPrice)
{
Symbol = symbol;
this.Exchange = exchange;
this.PrecisionSize = precisionSize;
this.PrecisionPrice = precisionPrice;
colStrategy = new MTObservableCollection <CStrategy>();
TradingPnL = 0;
if (Symbol.Equals("USDT"))
{
SetLast(1);
}
if (Symbol.Contains("LTC") && Symbol.Contains("BTC"))
{
MinSize = 0.01;
}
}
public override void cycleStrategy()
{
if (processStrategy)
{
return;
}
else
{
processStrategy = true;
}
try
{
Double profitUSD = server.TradeUSD.GetValueOrDefault() * server.MinProfit.GetValueOrDefault();
switch (State)
{
case StrategyState.Inactive:
break;
case StrategyState.Active:
case StrategyState.Continuous:
if (Profit >= profitUSD)
{
State = StrategyState.MakerSend;
DctLegToOrder.Clear();
goto case StrategyState.MakerSend;
}
break;
case StrategyState.MakerSend:
CurrentLeg = MakerLeg;
double dUSD = server.TradeUSD.GetValueOrDefault();
OrderSide sideMaker = dctLegs[CurrentLeg].Item1;
CProduct productMaker = dctLegs[CurrentLeg].Item2;
Double sizeMaker = GetSize(sideMaker, productMaker);
Double priceMaker = (double)(sideMaker == OrderSide.Buy ? productMaker.Bid : productMaker.Ask);
dctLegs[MakerLeg].Item2.Exchange.trade(this, MakerLeg, sideMaker, productMaker, Math.Round(sizeMaker, productMaker.PrecisionSize), Math.Round(priceMaker, productMaker.PrecisionPrice));
State = StrategyState.MakerProcess;
break;
case StrategyState.MakerProcess:
COrder order = DctLegToOrder[MakerLeg];
if (order.Status.Equals(COrder.OrderState.Filled))
{
State = StrategyState.TakerSend;
goto case StrategyState.TakerSend;
}
else if (Profit < profitUSD && order.canCancel())
{
order.cancel();
State = Continuous ? StrategyState.Continuous : StrategyState.Active;
DctLegToOrder.Clear();
}
break;
case StrategyState.TakerSend:
for (int currentLeg = 1; currentLeg <= dctLegs.Count; currentLeg++)
{
if (!DctLegToOrder.ContainsKey(currentLeg))
{
OrderSide sideTaker = dctLegs[currentLeg].Item1;
CProduct productTaker = dctLegs[currentLeg].Item2;
Double sizeTaker = GetSize(sideTaker, productTaker);
Double priceTaker = ((Double)productTaker.Bid + (Double)productTaker.Ask) / 2.0;
CurrentLeg = currentLeg;
dctLegs[currentLeg].Item2.Exchange.trade(this, currentLeg, sideTaker, productTaker, Math.Round(sizeTaker, productTaker.PrecisionSize), Math.Round(priceTaker, productTaker.PrecisionPrice));
}
}
if (DctLegToOrder.Count >= 3)
{
State = StrategyState.TakerProcess;
}
break;
case StrategyState.TakerProcess:
Boolean allFilled = true;
for (int currentLeg = 1; currentLeg <= dctLegs.Count; currentLeg++)
{
if (DctLegToOrder.ContainsKey(currentLeg))
{
COrder orderTaker = DctLegToOrder[currentLeg];
if (orderTaker.Status.Equals(COrder.OrderState.Sent) || orderTaker.Status.Equals(COrder.OrderState.Cancelled))
{
allFilled = false;
}
else if (orderTaker.canCancel())
{
allFilled = false;
CExchange exchange = orderTaker.Exchange;
OrderSide sideTaker = orderTaker.Side;
CProduct productTaker = orderTaker.Product;
Double sizeTaker = orderTaker.Size;
Double priceTaker = ((Double)productTaker.Bid + (Double)productTaker.Ask) / 2.0;
CurrentLeg = currentLeg;
orderTaker.cancel();
COrder orderCancel;
DctLegToOrder.TryRemove(currentLeg, out orderCancel);
exchange.trade(this, currentLeg, sideTaker, productTaker, Math.Round(sizeTaker, productTaker.PrecisionSize), Math.Round(priceTaker, productTaker.PrecisionPrice));
}
}
else
{
allFilled = false;
}
}
if (allFilled)
{
if (Continuous)
{
State = StrategyState.Continuous;
}
else
{
State = StrategyState.Inactive;
}
DctLegToOrder.Clear();
}
break;
}
}
catch (Exception ex)
{
server.AddLog(ex.Message);
}
processStrategy = false;
}
