/// <summary>
/// Begins logging exchanges - writes errors to console. You should block the app using Console.ReadLine.
/// </summary>
/// <param name="path">Path to write files to</param>
/// <param name="intervalSeconds">Interval in seconds in between each log calls for each exchange</param>
/// <param name="terminateAction">Call this when the process is about to exit, like a WM_CLOSE message on Windows.</param>
/// <param name="compress">Whether to compress the log files</param>
/// <param name="exchangeNamesAndSymbols">Exchange names and symbols to log</param>
public static void LogExchanges(string path, float intervalSeconds, out Action terminateAction, bool compress, params string[] exchangeNamesAndSymbols)
{
bool terminating = false;
Action terminator = null;
path = (string.IsNullOrWhiteSpace(path) ? "./" : path);
Dictionary <ExchangeLogger, int> errors = new Dictionary <ExchangeLogger, int>();
List <ExchangeLogger> loggers = new List <ExchangeLogger>();
for (int i = 0; i < exchangeNamesAndSymbols.Length;)
{
loggers.Add(new ExchangeLogger(ExchangeAPI.GetExchangeAPI(exchangeNamesAndSymbols[i++]), exchangeNamesAndSymbols[i++], intervalSeconds, path, compress));
}
;
foreach (ExchangeLogger logger in loggers)
{
logger.Start();
logger.Error += (log, ex) =>
{
int errorCount;
lock (errors)
{
if (!errors.TryGetValue(log, out errorCount))
{
errorCount = 0;
}
errors[log] = ++errorCount;
}
Logger.Info("Errors for {0}: {1}", log.API.Name, errorCount);
};
}
terminator = () =>
{
if (!terminating)
{
terminating = true;
foreach (ExchangeLogger logger in loggers.ToArray())
{
logger.Stop();
logger.Dispose();
}
loggers.Clear();
}
};
terminateAction = terminator;
// make sure to close properly
Console.CancelKeyPress += delegate(object sender, ConsoleCancelEventArgs e)
{
terminator();
};
AppDomain.CurrentDomain.ProcessExit += (object sender, EventArgs e) =>
{
terminator();
};
Logger.Info("Loggers \"{0}\" started, press ENTER or CTRL-C to terminate.", string.Join(", ", loggers.Select(l => l.API.Name)));
}
/// <summary>
/// Static constructor
/// </summary>
static ExchangeAPI()
{
foreach (Type type in typeof(ExchangeAPI).Assembly.GetTypes().Where(type => type.IsSubclassOf(typeof(ExchangeAPI)) && !type.IsAbstract))
{
// lazy create, we just create an instance to get the name, nothing more
// we don't want to pro-actively create all of these becanse an API
// may be running a timer or other house-keeping which we don't want
// the overhead of if a user is only using one or a handful of the apis
using (ExchangeAPI api = Activator.CreateInstance(type) as ExchangeAPI)
{
if (string.IsNullOrEmpty(api.Name))
{
continue;
}
Apis[api.Name] = null;
}
}
}
} = true; // some exchanges support going from most recent to oldest, but others, like Gemini must go from oldest to newest
public ExchangeHistoricalTradeHelper(ExchangeAPI api)
{
this.api = api;
}
/// <summary>
/// Place a limit order by first querying the order book and then placing the order for a threshold below the bid or
/// above the ask that would fully fulfill the amount.
/// The order book is scanned until an amount of bids or asks that will fulfill the order is found and then the order
/// is placed at the lowest bid or highest ask price multiplied
/// by priceThreshold.
/// </summary>
/// <param name="api"></param>
/// <param name="symbol">Symbol to sell</param>
/// <param name="amount">Amount to sell</param>
/// <param name="isBuy">True for buy, false for sell</param>
/// <param name="orderBookCount">Amount of bids/asks to request in the order book</param>
/// <param name="priceThreshold">
/// Threshold below the lowest bid or above the highest ask to set the limit order price at. For buys, this is
/// converted to 1 / priceThreshold.
/// This can be set to 0 if you want to set the price like a market order.
/// </param>
/// <param name="thresholdToAbort">
/// If the lowest bid/highest ask price divided by the highest bid/lowest ask price is below this threshold, throw an
/// exception.
/// This ensures that your order does not buy or sell at an extreme margin.
/// </param>
/// <param name="abortIfOrderBookTooSmall">
/// Whether to abort if the order book does not have enough bids or ask amounts to
/// fulfill the order.
/// </param>
/// <returns>Order result</returns>
public static async Task <List <ExchangeOrderResult> > PlaceSafeMarketOrderAsync(
this ExchangeAPI api, string symbol,
decimal amount, bool isBuy, int orderBookCount = 100, decimal priceThreshold = 0.9m,
decimal thresholdToAbort = 0.75m, bool abortIfOrderBookTooSmall = false)
{
if (priceThreshold > 0.9m)
{
throw new APIException(
"You cannot specify a price threshold above 0.9m, otherwise there is a chance your order will never be fulfilled. For buys, this is " +
"converted to 1.0m / priceThreshold, so always specify the value below 0.9m");
}
if (priceThreshold <= 0m)
{
priceThreshold = 1m;
}
else if (isBuy && priceThreshold > 0m)
{
priceThreshold = 1.0m / priceThreshold;
}
ExchangeDepth book = null; //todo await api.GetDepthAsync(symbol, orderBookCount);
if (book == null || isBuy && book.Asks.Count == 0 || !isBuy && book.Bids.Count == 0)
{
throw new APIException($"Error getting order book for {symbol}");
}
var counter = 0m;
var highPrice = decimal.MinValue;
var lowPrice = decimal.MaxValue;
if (isBuy)
{
foreach (var ask in book.Asks.Values)
{
counter += ask.Amount;
highPrice = Math.Max(highPrice, ask.Price);
lowPrice = Math.Min(lowPrice, ask.Price);
if (counter >= amount)
{
break;
}
}
}
else
{
foreach (var bid in book.Bids.Values)
{
counter += bid.Amount;
highPrice = Math.Max(highPrice, bid.Price);
lowPrice = Math.Min(lowPrice, bid.Price);
if (counter >= amount)
{
break;
}
}
}
if (abortIfOrderBookTooSmall && counter < amount)
{
throw new APIException(
$"{(isBuy ? "Buy" : "Sell")} order for {symbol} and amount {amount} cannot be fulfilled because the order book is too thin.");
}
if (lowPrice / highPrice < thresholdToAbort)
{
throw new APIException(
$"{(isBuy ? "Buy" : "Sell")} order for {symbol} and amount {amount} would place for a price below threshold of {thresholdToAbort}, aborting.");
}
var request = new ExchangeOrderRequest
{
Amount = amount,
OrderType = OrderType.Limit,
Price = CryptoUtility.RoundAmount((isBuy ? highPrice : lowPrice) * priceThreshold),
ShouldRoundAmount = true,
Symbol = null //todo symbol
};
var result = await api.PlaceOrdersAsync(request);
// wait about 10 seconds until the order is fulfilled
var i = 0;
const int maxTries = 20; // 500 ms for each try
for (; i < maxTries; i++)
{
await Task.Delay(500);
}
//TODO
//result = await api.GetCanceledOrdersAsync(result.OrderId, symbol);
//switch (result.Result)
//{
// case ExchangeAPIOrderResult.Filled:
// case ExchangeAPIOrderResult.Canceled:
// case ExchangeAPIOrderResult.Error:
// break;
//}
if (i == maxTries)
{
throw new APIException(
$"{(isBuy ? "Buy" : "Sell")} order for {symbol} and amount {amount} timed out and may not have been fulfilled");
}
return(result);
}
