// Given a dictionary of starting balances, create min/max values based on given percentages (upPct/downPct)
public static BalanceMinMaxMap CreatePercentageUpDown(IDictionary <string, ZAccountBalance> balances, decimal upPct, decimal downPct)
{
var limits = new BalanceMinMaxMap();
foreach (var kv in balances)
{
var free = balances[kv.Key].Free;
limits.Add(kv.Key, free - (downPct / 100 * free), free + (upPct / 100 * free));
}
return(limits);
}
// BINANCE ARBS #1
public static void TestBinanceArbs1()
{
// Create Prowl messaging client
var msg1 = new Tools.Messaging.Prowl.ProwlClient(Crypto.ApiKeys["PROWL"].ApiKey, "BINANCE", "MACD");
var assetInfo = binance.GetAssetInfo();
//assetInfo.Select(xkv => xkv).OrderBy(xkv => xkv.Key).ToList().ForEach(xai => cout(xai.Value.ToDisplay()));
// Create a BalanceMinMaxMap that we will pass to ArbZero to set our Min/Max currency balance limits
var balances = binance.GetAccountBalances();
var limits = BalanceMinMaxMap.CreatePercentageUpDown(balances, 50, 50); // set limits to up or down 50% from current balances
var args = new List <ArbZeroArgs>();
args.AddRange(GetArgs("BCC", 0.01M));
args.AddRange(GetArgs("LTC", 0.1M));
args.AddRange(GetArgs("NEO", 0.1M));
Task.Run(() => ArbOne(args, limits, true, 0.14M, 4001));
}
// BINANCE ARB #1
public static void ArbOne(List <ArbZeroArgs> args, BalanceMinMaxMap balanceLimits, bool enableLiveOrders, decimal targetPct = 0.2M, int?threadSleepMillis = null)
{
var rnd = new Random();
int sleepMillis = 0;
if (threadSleepMillis == null)
{
sleepMillis = 5000 + rnd.Next(-2000, 2000);
}
else
{
sleepMillis = threadSleepMillis.Value;
}
cout("\nSLEEP_MILLIS = {0}\n", sleepMillis);
var pairs = GetBinancePairs();
var assetInfo = binance.GetAssetInfo();
binance.EnableLiveOrders = enableLiveOrders; // turn on/off live orders
const int MAX_ORDERS = 100; //100000;
int norders = 0;
const int MIN_PRIME_COUNT = 2;
int nprime = 0;
// THREAD LOOP STARTS HERE
ZTicker t1, t2, t3;
while (true)
{
// Get the balances in each currency (we will check these against our balanceLimits Min/Max values)
var balances = binance.GetAccountBalances();
// Get all the tickers as a dictionary
var bnd = binance.GetAllTickers().Result;
var bxd = bittrex.GetAllTickers();
// Loop through each symbol set that was passed as ArbZeroArgs
foreach (var aza in args)
{
var symbols = aza.symbols;
var size = aza.size;
t1 = bnd[symbols[0]];
t2 = bnd[symbols[1]];
t3 = bnd[symbols[2]];
var buy1 = t1.Ask;
var buy2 = t2.Bid * t3.Ask;
var buypct = (buy2 - buy1) / buy2 * 100;
var sell1 = t1.Bid;
var sell2 = t2.Ask * t3.Bid;
var sellpct = (sell1 - sell2) / sell1 * 100;
if (nprime >= MIN_PRIME_COUNT)
{
// Check tickers for BUY signal
if (buypct >= targetPct)
{
if (norders < MAX_ORDERS)
{
var pair0 = pairs[symbols[0]];
var lbalance0 = balances[pair0.Left];
var rbalance0 = balances[pair0.Right];
var llimit0 = balanceLimits[pair0.Left];
var rlimit0 = balanceLimits[pair0.Right];
if (lbalance0.Free < llimit0.Max && rbalance0.Free > rlimit0.Min)
{
var pair1 = pairs[symbols[1]];
var lbalance1 = balances[pair1.Left];
var rbalance1 = balances[pair1.Right];
var llimit1 = balanceLimits[pair1.Left];
var rlimit1 = balanceLimits[pair1.Right];
if (lbalance1.Free > llimit1.Min && rbalance1.Free < rlimit1.Max)
{
var pair2 = pairs[symbols[2]];
var lbalance2 = balances[pair2.Left];
var rbalance2 = balances[pair2.Right];
var llimit2 = balanceLimits[pair2.Left];
var rlimit2 = balanceLimits[pair2.Right];
if (lbalance2.Free < llimit2.Max && rbalance2.Free > rlimit2.Min)
{
int places = binance.RoundSize(symbols[2]);
var calculatedSize = Math.Round(size * t2.Bid, places);
binance.SubmitLimitOrder(symbols[0], OrderSide.Buy, t1.Ask, size);
binance.SubmitLimitOrder(symbols[1], OrderSide.Sell, t2.Bid, size);
binance.SubmitLimitOrder(symbols[2], OrderSide.Buy, t3.Ask, calculatedSize);
cout("---Crypto::ArbZero=> '{0}' {1} {2} {3}", symbols[0], OrderSide.Buy, t1.Ask, size);
cout("---Crypto::ArbZero=> '{0}' {1} {2} {3}", symbols[1], OrderSide.Sell, t2.Bid, size);
cout("---Crypto::ArbZero=> '{0}' {1} {2} {3}", symbols[2], OrderSide.Buy, t3.Ask, calculatedSize);
// Adjust the balances for these orders/trades (assume they will be filled)
lbalance0.Free += size;
rbalance2.Free -= calculatedSize;
}
else
{
cout("+++Ignoring BUY signal due to {0} limits", symbols[2]);
}
}
else
{
cout("+++Ignoring BUY signal due to {0} limits", symbols[1]);
}
}
else
{
cout("+++Ignoring BUY signal due to {0} limits", symbols[0]);
}
}
++norders;
}
// Check tickers for SELL signal
if (sellpct >= targetPct)
{
if (norders < MAX_ORDERS)
{
var pair0 = pairs[symbols[0]];
var lbalance0 = balances[pair0.Left];
var rbalance0 = balances[pair0.Right];
var llimit0 = balanceLimits[pair0.Left];
var rlimit0 = balanceLimits[pair0.Right];
if (lbalance0.Free > llimit0.Min && rbalance0.Free < rlimit0.Max)
{
var pair1 = pairs[symbols[1]];
var lbalance1 = balances[pair1.Left];
var rbalance1 = balances[pair1.Right];
var llimit1 = balanceLimits[pair1.Left];
var rlimit1 = balanceLimits[pair1.Right];
if (lbalance1.Free < llimit1.Max && rbalance1.Free > rlimit1.Min)
{
var pair2 = pairs[symbols[2]];
var lbalance2 = balances[pair2.Left];
var rbalance2 = balances[pair2.Right];
var llimit2 = balanceLimits[pair2.Left];
var rlimit2 = balanceLimits[pair2.Right];
if (lbalance2.Free > llimit2.Min && rbalance2.Free < rlimit2.Max)
{
int places = binance.RoundSize(symbols[2]);
var calculatedSize = Math.Round(size * t2.Ask, places);
binance.SubmitLimitOrder(symbols[0], OrderSide.Sell, t1.Bid, size);
binance.SubmitLimitOrder(symbols[1], OrderSide.Buy, t2.Ask, size);
binance.SubmitLimitOrder(symbols[2], OrderSide.Sell, t3.Bid, calculatedSize);
cout("---Crypto::ArbZero=> '{0}' {1} {2} {3}", symbols[0], OrderSide.Sell, t1.Bid, size);
cout("---Crypto::ArbZero=> '{0}' {1} {2} {3}", symbols[1], OrderSide.Buy, t2.Ask, size);
cout("---Crypto::ArbZero=> '{0}' {1} {2} {3}", symbols[2], OrderSide.Sell, t3.Bid, calculatedSize);
// Adjust the balances for these orders/trades (assume they will be filled)
lbalance0.Free -= size;
rbalance2.Free += calculatedSize;
}
else
{
cout("+++Ignoring SELL signal due to {0} limits", symbols[2]);
}
}
else
{
cout("+++Ignoring SELL signal due to {0} limits", symbols[1]);
}
}
else
{
cout("+++Ignoring SELL signal due to {0} limits", symbols[0]);
}
}
++norders;
}
}
//cout("{0}\n{1}\n{2}", t1.ToDisplay(), t2.ToDisplay(), t3.ToDisplay());
var bsize1 = t1.AskSize;
var bsize2 = Math.Min(t2.BidSize, t3.AskSize);
string btext = (buy1 < buy2 ? "BUY" : "buy");
string bbtext = (buy1 < buy2 ? string.Format("BUY {0:#.000}%", buypct) : " ");
var ssize1 = t1.BidSize;
var ssize2 = Math.Min(t2.AskSize, t3.BidSize);
string stext = (sell1 > sell2 ? "SELL" : "sell");
string sstext = (sell1 > sell2 ? string.Format("SELL {0:#.000}%", sellpct) : " ");
cout("{0}: {1} x {2} < {3} x {4} {5}: {6} x {7} > {8} x {9} {10} {11}", btext, bsize1, buy1, buy2, bsize2, stext, ssize1, sell1, sell2, ssize2, bbtext, sstext);
}
++nprime;
Thread.Sleep(sleepMillis);
}
}
//var symbols = new string[] { "BCCUSDT", "BCCBTC", "BTCUSDT" };
//decimal size = 0.01M;
//int? threadSleepMillis = (int?)5000;
public static void ArbZero(List <ArbZeroArgs> args, BalanceMinMaxMap balanceLimits, bool enableLiveOrders, decimal targetPct = 0.2M, int?threadSleepMillis = null)
{
var rnd = new Random();
int sleepMillis = 0;
if (threadSleepMillis == null)
{
sleepMillis = 5000 + rnd.Next(-2000, 2000);
}
else
{
sleepMillis = threadSleepMillis.Value;
}
cout("\nSLEEP_MILLIS = {0}\n", sleepMillis);
var pairs = GetBinancePairs();
var assetInfo = binance.GetAssetInfo();
binance.EnableLiveOrders = enableLiveOrders; // turn on/off live orders
const int MAX_ORDERS = 100; //100000;
int norders = 0;
const int MIN_PRIME_COUNT = 2;
int nprime = 0;
// THREAD LOOP STARTS HERE
//DateTime startTime;
//double elapsed;
//List<double> millis = new List<double>();
ZTicker t1, t2, t3;
while (true)
{
// Get the balances in each currency (we will check these against our balanceLimits Min/Max values)
var balances = binance.GetAccountBalances();
// Get all the tickers as a dictionary
var d = binance.GetAllTickers().Result;
// Loop through each symbol set that was passed as ArbZeroArgs
foreach (var aza in args)
{
var symbols = aza.symbols;
var size = aza.size;
t1 = d[symbols[0]];
t2 = d[symbols[1]];
t3 = d[symbols[2]];
// THIS WHOLE SECTION WAS TO SPEED TEST VARIOUS GET TICKER METHODS
/*int calc = 2;
* if (calc == 1) // use GetFastTicker
* {
* //startTime = DateTime.Now;
* t1 = binance.GetBookTicker(symbols[0]);
* t2 = binance.GetBookTicker(symbols[1]);
* t3 = binance.GetBookTicker(symbols[2]);
* //elapsed = DateTime.Now.Subtract(startTime).TotalMilliseconds;
* //millis.Add(elapsed);
* }
* else if (calc == 2) // use GetAllTickers
* {
* //startTime = DateTime.Now;
* var d = binance.GetAllTickers();
* t1 = d[symbols[0]];
* t2 = d[symbols[1]];
* t3 = d[symbols[2]];
* //elapsed = DateTime.Now.Subtract(startTime).TotalMilliseconds;
* //millis.Add(elapsed);
* }
* else // standard GetTicker
* {
* //startTime = DateTime.Now;
* t1 = binance.GetTicker(symbols[0]);
* t2 = binance.GetTicker(symbols[1]);
* t3 = binance.GetTicker(symbols[2]);
* //elapsed = DateTime.Now.Subtract(startTime).TotalMilliseconds;
* //millis.Add(elapsed);
* }*/
//cout("elapsed: {0:0.000} ms avg:{1:0.000} std:{2:0.000}", elapsed, millis.Average(), GMath.Std(millis));
var buy1 = t1.Ask;
var buy2 = t2.Bid * t3.Ask;
var buypct = (buy2 - buy1) / buy2 * 100;
var sell1 = t1.Bid;
var sell2 = t2.Ask * t3.Bid;
var sellpct = (sell1 - sell2) / sell1 * 100;
if (nprime >= MIN_PRIME_COUNT)
{
// Check tickers for BUY signal
if (buypct >= targetPct)
{
if (norders < MAX_ORDERS)
{
var pair0 = pairs[symbols[0]];
var lbalance0 = balances[pair0.Left];
var rbalance0 = balances[pair0.Right];
var llimit0 = balanceLimits[pair0.Left];
var rlimit0 = balanceLimits[pair0.Right];
if (lbalance0.Free < llimit0.Max && rbalance0.Free > rlimit0.Min)
{
var pair1 = pairs[symbols[1]];
var lbalance1 = balances[pair1.Left];
var rbalance1 = balances[pair1.Right];
var llimit1 = balanceLimits[pair1.Left];
var rlimit1 = balanceLimits[pair1.Right];
if (lbalance1.Free > llimit1.Min && rbalance1.Free < rlimit1.Max)
{
var pair2 = pairs[symbols[2]];
var lbalance2 = balances[pair2.Left];
var rbalance2 = balances[pair2.Right];
var llimit2 = balanceLimits[pair2.Left];
var rlimit2 = balanceLimits[pair2.Right];
if (lbalance2.Free < llimit2.Max && rbalance2.Free > rlimit2.Min)
{
int places = binance.RoundSize(symbols[2]);
//int places = m_binanceRoundLotSize[assetInfo[symbols[2]].stepSize];
var calculatedSize = Math.Round(size * t2.Bid, places);
binance.SubmitLimitOrder(symbols[0], OrderSide.Buy, t1.Ask, size);
binance.SubmitLimitOrder(symbols[1], OrderSide.Sell, t2.Bid, size);
binance.SubmitLimitOrder(symbols[2], OrderSide.Buy, t3.Ask, calculatedSize);
cout("---Crypto::ArbZero=> '{0}' {1} {2} {3}", symbols[0], OrderSide.Buy, t1.Ask, size);
cout("---Crypto::ArbZero=> '{0}' {1} {2} {3}", symbols[1], OrderSide.Sell, t2.Bid, size);
cout("---Crypto::ArbZero=> '{0}' {1} {2} {3}", symbols[2], OrderSide.Buy, t3.Ask, calculatedSize);
// Adjust the balances for these orders/trades (assume they will be filled)
lbalance0.Free += size;
rbalance2.Free -= calculatedSize;
}
else
{
cout("+++Ignoring BUY signal due to {0} limits", symbols[2]);
}
}
else
{
cout("+++Ignoring BUY signal due to {0} limits", symbols[1]);
}
}
else
{
cout("+++Ignoring BUY signal due to {0} limits", symbols[0]);
}
}
++norders;
}
// Check tickers for SELL signal
if (sellpct >= targetPct)
{
if (norders < MAX_ORDERS)
{
var pair0 = pairs[symbols[0]];
var lbalance0 = balances[pair0.Left];
var rbalance0 = balances[pair0.Right];
var llimit0 = balanceLimits[pair0.Left];
var rlimit0 = balanceLimits[pair0.Right];
if (lbalance0.Free > llimit0.Min && rbalance0.Free < rlimit0.Max)
{
var pair1 = pairs[symbols[1]];
var lbalance1 = balances[pair1.Left];
var rbalance1 = balances[pair1.Right];
var llimit1 = balanceLimits[pair1.Left];
var rlimit1 = balanceLimits[pair1.Right];
if (lbalance1.Free < llimit1.Max && rbalance1.Free > rlimit1.Min)
{
var pair2 = pairs[symbols[2]];
var lbalance2 = balances[pair2.Left];
var rbalance2 = balances[pair2.Right];
var llimit2 = balanceLimits[pair2.Left];
var rlimit2 = balanceLimits[pair2.Right];
if (lbalance2.Free > llimit2.Min && rbalance2.Free < rlimit2.Max)
{
int places = binance.RoundSize(symbols[2]);
var calculatedSize = Math.Round(size * t2.Ask, places);
binance.SubmitLimitOrder(symbols[0], OrderSide.Sell, t1.Bid, size);
binance.SubmitLimitOrder(symbols[1], OrderSide.Buy, t2.Ask, size);
binance.SubmitLimitOrder(symbols[2], OrderSide.Sell, t3.Bid, calculatedSize);
cout("---Crypto::ArbZero=> '{0}' {1} {2} {3}", symbols[0], OrderSide.Sell, t1.Bid, size);
cout("---Crypto::ArbZero=> '{0}' {1} {2} {3}", symbols[1], OrderSide.Buy, t2.Ask, size);
cout("---Crypto::ArbZero=> '{0}' {1} {2} {3}", symbols[2], OrderSide.Sell, t3.Bid, calculatedSize);
// Adjust the balances for these orders/trades (assume they will be filled)
lbalance0.Free -= size;
rbalance2.Free += calculatedSize;
}
else
{
cout("+++Ignoring SELL signal due to {0} limits", symbols[2]);
}
}
else
{
cout("+++Ignoring SELL signal due to {0} limits", symbols[1]);
}
}
else
{
cout("+++Ignoring SELL signal due to {0} limits", symbols[0]);
}
}
++norders;
}
}
//cout("{0}\n{1}\n{2}", t1.ToDisplay(), t2.ToDisplay(), t3.ToDisplay());
var bsize1 = t1.AskSize;
var bsize2 = Math.Min(t2.BidSize, t3.AskSize);
string btext = (buy1 < buy2 ? "BUY" : "buy");
string bbtext = (buy1 < buy2 ? string.Format("BUY {0:#.000}%", buypct) : " ");
var ssize1 = t1.BidSize;
var ssize2 = Math.Min(t2.AskSize, t3.BidSize);
string stext = (sell1 > sell2 ? "SELL" : "sell");
string sstext = (sell1 > sell2 ? string.Format("SELL {0:#.000}%", sellpct) : " ");
cout("{0}: {1} x {2} < {3} x {4} {5}: {6} x {7} > {8} x {9} {10} {11}", btext, bsize1, buy1, buy2, bsize2, stext, ssize1, sell1, sell2, ssize2, bbtext, sstext);
/*buy1 = t1.Bid;
* buy2 = t2.Bid * t3.Ask;
* bsize1 = t1.BidSize;
* bsize2 = Math.Min(t2.BidSize, t3.AskSize);
* btext = (buy1 < buy2 ? "BUY" : "buy");
* sell1 = t1.Ask;
* sell2 = t2.Ask * t3.Bid;
* ssize1 = t1.AskSize;
* ssize2 = Math.Min(t2.AskSize, t3.BidSize);
* stext = (sell1 > sell2 ? "SELL" : "sell");
* cout("{0}: {1} x {2} < {3} x {4} {5}: {6} x {7} > {8} x {9}\n", btext, bsize1, buy1, buy2, bsize2, stext, ssize1, sell1, sell2, ssize2);
*/
}
++nprime;
Thread.Sleep(sleepMillis);
}
}
