public void Arbitrage(ArbitrageOptions options) { lock (syncRoot) { PauseTasks(); try { if (CanArbitrage(options, out string message)) { if (CanBuy(new BuyOptions(options.Pair) { Amount = 1 }, out message)) { options.Metadata.Arbitrage = $"{options.Arbitrage.Market}-" + options.Arbitrage.Type ?? "All"; options.Metadata.ArbitragePercentage = options.Arbitrage.Percentage; loggingService.Info($"{options.Arbitrage.Type} arbitrage {options.Pair} on {options.Arbitrage.Market}. Percentage: {options.Arbitrage.Percentage:0.00}"); if (options.Arbitrage.Type == ArbitrageType.Direct) { ArbitrageDirect(options); } else if (options.Arbitrage.Type == ArbitrageType.Reverse) { ArbitrageReverse(options); } } else { loggingService.Info($"Unable to arbitrage {options.Pair}: {message}"); } } else { loggingService.Info(message); } } finally { ContinueTasks(); } } }
public bool CanArbitrage(ArbitrageOptions options, out string message) { if (Account.HasTradingPair(options.Pair)) { message = $"Cancel arbitrage request {options.Pair}. Reason: pair already exist"; return(false); } else if (!options.ManualOrder && !GetPairConfig(options.Pair).BuyEnabled) { message = $"Cancel arbitrage request for {options.Pair}. Reason: buying not enabled"; return(false); } else if (!Exchange.GetMarketPairs(Config.Market).Contains(options.Pair)) { message = $"Cancel arbitrage request for {options.Pair}. Reason: {options.Pair} is not a valid pair"; return(false); } message = null; return(true); }
private void ArbitrageReverse(ArbitrageOptions options) { string marketPair = Exchange.GetArbitrageMarketPair(options.Arbitrage.Market); ITradingPair existingMarketPair = Account.GetTradingPair(marketPair); IPairConfig pairConfig = GetPairConfig(options.Pair); bool useExistingMarketPair = (existingMarketPair != null && existingMarketPair.CurrentCost > pairConfig.BuyMaxCost && existingMarketPair.AveragePrice <= existingMarketPair.CurrentPrice); var buyMarketPairOptions = new BuyOptions(marketPair) { Arbitrage = true, MaxCost = pairConfig.BuyMaxCost, ManualOrder = options.ManualOrder, IgnoreBalance = useExistingMarketPair, Metadata = options.Metadata }; if (CanBuy(buyMarketPairOptions, out string message)) { IOrderDetails buyMarketPairOrderDetails = null; if (useExistingMarketPair) { buyMarketPairOrderDetails = Account.AddBlankOrder(buyMarketPairOptions.Pair, buyMarketPairOptions.MaxCost.Value / GetPrice(buyMarketPairOptions.Pair, TradePriceType.Ask), includeFees: false); loggingService.Info($"Use existing market pair for arbitrage: {marketPair}. " + $"Average price: {existingMarketPair.AveragePrice}, Current price: {existingMarketPair.CurrentPrice}"); } else { buyMarketPairOrderDetails = orderingService.PlaceBuyOrder(buyMarketPairOptions); } if (buyMarketPairOrderDetails.Result == OrderResult.Filled) { decimal buyArbitragePairMultiplier = pairConfig.ArbitrageBuyMultiplier ?? DEFAULT_ARBITRAGE_BUY_MULTIPLIER; decimal buyMarketPairFees = CalculateOrderFees(buyMarketPairOrderDetails); string arbitragePair = Exchange.ChangeMarket(options.Pair, options.Arbitrage.Market.ToString()); decimal buyArbitragePairAmount = options.Arbitrage.Market == ArbitrageMarket.USDT ? buyMarketPairOrderDetails.AmountFilled * GetPrice(buyMarketPairOrderDetails.Pair, TradePriceType.Ask, normalize: false) / GetPrice(arbitragePair, TradePriceType.Ask) : buyMarketPairOrderDetails.AmountFilled / GetPrice(arbitragePair, TradePriceType.Ask); var buyArbitragePairOptions = new BuyOptions(arbitragePair) { Arbitrage = true, ManualOrder = options.ManualOrder, Amount = buyArbitragePairAmount * buyArbitragePairMultiplier, Metadata = options.Metadata }; IOrderDetails buyArbitragePairOrderDetails = orderingService.PlaceBuyOrder(buyArbitragePairOptions); if (buyArbitragePairOrderDetails.Result == OrderResult.Filled) { decimal buyArbitragePairFees = CalculateOrderFees(buyArbitragePairOrderDetails); options.Metadata.FeesNonDeductible = buyMarketPairFees * buyArbitragePairMultiplier; var sellArbitragePairOptions = new SellOptions(buyArbitragePairOrderDetails.Pair) { Arbitrage = true, Amount = buyArbitragePairOrderDetails.AmountFilled, ManualOrder = options.ManualOrder, Metadata = options.Metadata }; TradingPair existingArbitragePair = Account.GetTradingPair(buyArbitragePairOrderDetails.Pair) as TradingPair; existingArbitragePair.OverrideCost(buyArbitragePairOrderDetails.Cost + buyArbitragePairFees * 2); IOrderDetails sellArbitragePairOrderDetails = orderingService.PlaceSellOrder(sellArbitragePairOptions); existingArbitragePair.OverrideCost(null); if (sellArbitragePairOrderDetails.Result == OrderResult.Filled) { loggingService.Info($"{pairConfig.ArbitrageType} arbitrage successful: {marketPair} -> {arbitragePair} -> {existingArbitragePair.Pair}"); } else { loggingService.Info($"Unable to arbitrage {options.Pair}. Reason: failed to sell arbitrage pair {arbitragePair}"); notificationService.Notify($"Unable to arbitrage {options.Pair}: Failed to sell arbitrage pair {arbitragePair}"); } } else { loggingService.Info($"Unable to arbitrage {options.Pair}. Reason: failed to buy arbitrage pair {arbitragePair}"); notificationService.Notify($"Unable to arbitrage {options.Pair}: Failed to buy arbitrage pair {arbitragePair}"); } } else { loggingService.Info($"Unable to arbitrage {options.Pair}. Reason: failed to buy market pair {marketPair}"); } } else { loggingService.Info($"Unable to arbitrage {options.Pair}: {message}"); } }
private void ArbitrageDirect(ArbitrageOptions options) { string arbitragePair = options.Pair; ITradingPair existingArbitragePair = this.Account.GetTradingPair(arbitragePair); IPairConfig pairConfig = this.GetPairConfig(options.Pair); bool useExistingArbitragePair = (existingArbitragePair != null && existingArbitragePair.CurrentCost > pairConfig.BuyMaxCost && existingArbitragePair.AveragePrice <= existingArbitragePair.CurrentPrice); var buyArbitragePairOptions = new BuyOptions(arbitragePair) { Arbitrage = true, MaxCost = pairConfig.BuyMaxCost, ManualOrder = options.ManualOrder, IgnoreBalance = useExistingArbitragePair, Metadata = options.Metadata }; if (this.CanBuy(buyArbitragePairOptions, out string message)) { IOrderDetails buyArbitragePairOrderDetails = null; if (useExistingArbitragePair) { buyArbitragePairOrderDetails = this.Account.AddBlankOrder(buyArbitragePairOptions.Pair, buyArbitragePairOptions.MaxCost.Value / this.GetPrice(buyArbitragePairOptions.Pair, TradePriceType.Ask), includeFees: false); loggingService.Info($"Use existing arbitrage pair for arbitrage: {arbitragePair}. " + $"Average price: {existingArbitragePair.AveragePrice}, Current price: {existingArbitragePair.CurrentPrice}"); } else { buyArbitragePairOrderDetails = orderingService.PlaceBuyOrder(buyArbitragePairOptions); } if (buyArbitragePairOrderDetails.Result == OrderResult.Filled) { decimal buyArbitragePairFees = this.CalculateOrderFees(buyArbitragePairOrderDetails); string flippedArbitragePair = this.Exchange.ChangeMarket(arbitragePair, options.Arbitrage.Market.ToString()); var sellArbitragePairOptions = new SellOptions(flippedArbitragePair) { Arbitrage = true, Amount = buyArbitragePairOrderDetails.AmountFilled, ManualOrder = options.ManualOrder, Metadata = options.Metadata.MergeWith(new OrderMetadata { IsTransitional = true }) }; IOrderDetails sellArbitragePairOrderDetails = orderingService.PlaceSellOrder(sellArbitragePairOptions); if (sellArbitragePairOrderDetails.Result == OrderResult.Filled) { decimal sellArbitragePairMultiplier = pairConfig.ArbitrageSellMultiplier ?? DEFAULT_ARBITRAGE_SELL_MULTIPLIER; decimal sellArbitragePairFees = this.CalculateOrderFees(sellArbitragePairOrderDetails); options.Metadata.FeesNonDeductible = buyArbitragePairFees * sellArbitragePairMultiplier; decimal sellMarketPairAmount = sellArbitragePairOrderDetails.AmountFilled * this.GetPrice(flippedArbitragePair, TradePriceType.Bid, normalize: false) * sellArbitragePairMultiplier; string marketPair = this.Exchange.GetArbitrageMarketPair(options.Arbitrage.Market); var sellMarketPairOptions = new SellOptions(marketPair) { Arbitrage = true, Amount = sellMarketPairAmount, ManualOrder = options.ManualOrder, Metadata = options.Metadata.MergeWith(new OrderMetadata { IsTransitional = false, OriginalPair = arbitragePair }) }; existingArbitragePair = this.Account.GetTradingPair(marketPair); existingArbitragePair.OverrideCost((buyArbitragePairOrderDetails.Cost + sellArbitragePairFees * 2) * sellArbitragePairMultiplier); IOrderDetails sellMarketPairOrderDetails = orderingService.PlaceSellOrder(sellMarketPairOptions); existingArbitragePair.OverrideCost(null); if (sellMarketPairOrderDetails.Result == OrderResult.Filled) { loggingService.Info($"{pairConfig.ArbitrageType} arbitrage successful: {arbitragePair} -> {flippedArbitragePair} -> {marketPair}"); } else { loggingService.Info($"Unable to arbitrage {options.Pair}. Reason: failed to sell market pair {arbitragePair}"); notificationService.Notify($"Unable to arbitrage {options.Pair}: Failed to sell market pair {arbitragePair}"); } } else { loggingService.Info($"Unable to arbitrage {options.Pair}. Reason: failed to sell arbitrage pair {flippedArbitragePair}"); notificationService.Notify($"Unable to arbitrage {options.Pair}: Failed to sell arbitrage pair {flippedArbitragePair}"); } } else { loggingService.Info($"Unable to arbitrage {options.Pair}. Reason: failed to buy arbitrage pair {arbitragePair}"); } } else { loggingService.Info($"Unable to arbitrage {options.Pair}: {message}"); } }