public OrderBook DeepClone(decimal fee = 0)
{
var result = (OrderBook)MemberwiseClone();
if (fee == 0)
{
Bids = new List <VolumePrice>(Bids);
Asks = new List <VolumePrice>(Asks);
}
else
{
var bids = new List <VolumePrice>();
foreach (var bid in Bids)
{
var newVolumePrice = new VolumePrice(bid.Price - (bid.Price / 100 * fee), bid.Volume);
bids.Add(newVolumePrice);
}
result.Bids = bids;
var asks = new List <VolumePrice>();
foreach (var ask in Asks)
{
var newVolumePrice = new VolumePrice(ask.Price + (ask.Price / 100 * fee), ask.Volume);
asks.Add(newVolumePrice);
}
result.Asks = asks;
}
return(result);
}
private static WhichOrder[] GetWithMinVolumeInBaseAsset(VolumePrice left, VolumePrice middle, VolumePrice right)
{
var middleVolumeInBaseAsset = middle.Volume / left.Price;
var interimBidPrice = left.Price * middle.Price;
var rightVolumeInBaseAsset = right.Volume / interimBidPrice;
var minVolume = Math.Min(Math.Min(left.Volume, middleVolumeInBaseAsset), rightVolumeInBaseAsset);
var result = new List <WhichOrder>();
if (left.Volume == minVolume)
{
result.Add(WhichOrder.Left);
}
if (middleVolumeInBaseAsset == minVolume)
{
result.Add(WhichOrder.Middle);
}
if (rightVolumeInBaseAsset == minVolume)
{
result.Add(WhichOrder.Right);
}
return(result.ToArray());
}
private static VolumePrice SynthVolumePrice(VolumePrice left, VolumePrice right)
{
var newPrice = left.Price * right.Price;
var rightVolumeInBaseAsset = right.Volume / left.Price;
var minVolume = Math.Min(left.Volume, rightVolumeInBaseAsset);
var result = new VolumePrice(newPrice, minVolume);
return(result);
}
public Arbitrage(AssetPair assetPair, SynthOrderBook bidSynth, VolumePrice bid, SynthOrderBook askSynth, VolumePrice ask)
{
Debug.Assert(bidSynth != null);
Debug.Assert(askSynth != null);
AssetPair = assetPair;
BidSynth = bidSynth;
AskSynth = askSynth;
Bid = bid;
Ask = ask;
Spread = GetSpread(Bid.Price, Ask.Price);
Volume = Ask.Volume < Bid.Volume ? Ask.Volume : Bid.Volume;
PnL = GetPnL(Bid.Price, Ask.Price, Volume);
ConversionPath = FormatConversionPath(BidSynth.ConversionPath, AskSynth.ConversionPath);
StartedAt = DateTime.UtcNow;
}
public static (decimal Volume, decimal PnL)? GetArbitrageVolumePnL(IEnumerable <VolumePrice> orderedBids, IEnumerable <VolumePrice> orderedAsks)
{
Debug.Assert(orderedBids != null);
Debug.Assert(orderedAsks != null);
var orderedBidsEnumerator = orderedBids.GetEnumerator();
var orderedAsksEnumerator = orderedAsks.GetEnumerator();
if (!orderedBidsEnumerator.MoveNext() || !orderedAsksEnumerator.MoveNext())
{
return(null);
}
// Clone bids and asks
decimal volume = 0;
decimal pnl = 0;
var bid = new VolumePrice(orderedBidsEnumerator.Current.Price, orderedBidsEnumerator.Current.Volume);
var ask = new VolumePrice(orderedAsksEnumerator.Current.Price, orderedAsksEnumerator.Current.Volume);
while (true)
{
if (bid.Price <= ask.Price)
{
break;
}
var tradeBidPrice = bid.Price;
var tradeAskPrice = ask.Price;
if (bid.Volume < ask.Volume)
{
volume += bid.Volume;
pnl += bid.Volume * (tradeBidPrice - tradeAskPrice);
ask.SubtractVolume(bid.Volume);
if (!orderedBidsEnumerator.MoveNext())
{
break;
}
bid = orderedBidsEnumerator.Current;
}
else if (bid.Volume > ask.Volume)
{
volume += ask.Volume;
pnl += ask.Volume * (tradeBidPrice - tradeAskPrice);
bid.SubtractVolume(ask.Volume);
if (!orderedAsksEnumerator.MoveNext())
{
break;
}
ask = orderedAsksEnumerator.Current;
}
else if (bid.Volume == ask.Volume)
{
volume += bid.Volume;
pnl += bid.Volume * (tradeBidPrice - tradeAskPrice);
if (!orderedBidsEnumerator.MoveNext())
{
break;
}
bid = orderedBidsEnumerator.Current;
if (!orderedAsksEnumerator.MoveNext())
{
break;
}
ask = orderedAsksEnumerator.Current;
}
}
orderedBidsEnumerator.Dispose();
orderedAsksEnumerator.Dispose();
return(volume == 0 ? ((decimal, decimal)?)null : (volume, Math.Round(pnl, 8)));
}