private COrderStateRecord ParseRecord(string stOneRecord)
{
string pat = @"\s*([\w\s]*)\s@\s([0-9\.]*)\(([0-9\.]*)\)";
Regex reg = new Regex(pat);
Match m = reg.Match(stOneRecord);
if (m.Groups.Count != 4)
{
throw new ApplicationException("COrderStatusTracker.ParseRecord");
}
string status = m.Groups[1].ToString();
decimal price = Convert.ToDecimal(m.Groups[2].ToString().Replace('.', ','));
decimal amount = Convert.ToDecimal(m.Groups[3].ToString().Replace('.', ','));
COrderStateRecord ordStatusRec = new COrderStateRecord();
ordStatusRec.Price = price;
ordStatusRec.Amount = amount;
ordStatusRec.OrderStatus = CBfxUtils.GetOrderStatus(status);
ordStatusRec.Dir = amount > 0 ? EnmDealDir.Buy : EnmDealDir.Sell;
return(ordStatusRec);
}
private void ProcessOrderBookUpdate(CBookParams bookParam, JArray jArrOrderBookUpdate)
{
_perf.StartOrdeBookUpd();
decimal price = (decimal)jArrOrderBookUpdate[0];
long count = (long)jArrOrderBookUpdate[1];
decimal amount = (decimal)jArrOrderBookUpdate[2];
/*
* _dictStockStor[bookParam.Instrument].Update(CBfxUtils.GetPrecInt(bookParam.Precision),
* price,count, amount);
*
*/
_dictStockStor[bookParam.Instrument].Update(
new CBfxStockStorUpdStock
{
amount = amount,
count = count,
prec = CBfxUtils.GetPrecInt(bookParam.Precision),
price = price
}
);
_perf.EndOrderBookUpd();
}
protected override ResponseOrders JArrayToTradingTicker(JArray array)
{
ResponseOrders ro = new ResponseOrders();
ro.Id = ConvLong(array[0]);
ro.Gid = (long?)array[1];
ro.Cid = ConvLong((long)array[2]);
ro.Symbol = (string)array[3];
ro.MtsCreate = (long?)array[4];
ro.MtsUpdate = (long?)array[5];
ro.Amount = ConvDbl(array[6]);
ro.AmountOrig = (double?)array[7];
ro.Type = CBfxUtils.GetOrderType((string)array[8]);
ro.TypePrev = CBfxUtils.GetOrderType((string)array[9]);
// 10
// 11
ro.Flags = (int?)array[12];
ro.OrderStatus = (string)array[13];
// 14
// 15
ro.Price = (double?)array[16];
ro.PriceAvg = (double?)array[17];
ro.PriceTrailing = (double?)array[18];
ro.PriceAuxLimit = (double?)array[19];
// 20
// 21
// 22
ro.Notify = (int?)array[23];
ro.Hidden = (int?)array[24];
ro.PlacedId = (int?)array[25];
return(ro);
}
public void TestGetPriceFromVolume()
{
Assert.AreEqual(10908.0m,
CBfxUtils.GetDealPriceFromStatus("EXECUTED @ 10908.0(-0.0)"));
Assert.AreEqual(10904.0m,
CBfxUtils.GetDealPriceFromStatus("EXECUTED @ 10904.0(0.0)"));
Assert.AreEqual(586.86m,
CBfxUtils.GetDealPriceFromStatus("EXECUTED @ 586.86(0.05)"));
Assert.AreEqual(586.86m,
CBfxUtils.GetDealPriceFromStatus("EXECUTED @ 586.86(0.05)"));
Assert.AreEqual(586.06m,
CBfxUtils.GetDealPriceFromStatus("PARTIALLY FILLED @ 586.06(0.85)"));
Assert.AreEqual(586.86m,
CBfxUtils.GetDealPriceFromStatus("EXECUTED @ 586.86(0.05): was PARTIALLY FILLED @ 586.06(0.85)"));
}
private void ProcessTradeExecute(string inpInstrWithPrefix, JArray jarrTe)
{
string instrument = CBfxUtils.RemoveFirstT(inpInstrWithPrefix);
int decimalVolume = GetDecimalVolume(instrument);
long lngMilis = (long)jarrTe[1];
decimal dcmlAmountRaw = (decimal)jarrTe[2];
decimal dcmlAmount = Math.Abs(dcmlAmountRaw);
decimal dcmlPrice = (decimal)jarrTe[3];
long amount = CUtilConv.GetIntVolume(dcmlAmount, decimalVolume);
//2018-02-22
//Amount is too small. Not possible to understand how it
//could be. Was seen on LTC. For now just ignore these trades
if (amount == 0)
{
return;
}
DateTime dt = CUtilTime.DateTimeFromUnixTimestampMillis(lngMilis);
CRawDeal rd = new CRawDeal {
Amount = amount,
Price = dcmlPrice,
Moment = dt
};
if (dcmlAmountRaw > 0)
{
rd.Id_ord_buy = 1;
}
else
{
rd.Id_ord_sell = 1;
}
_client.UpdateDeal(instrument, rd);
/* DateTime dtCurr = DateTime.Now;
* double ddt = (dtCurr - dt).TotalSeconds;
*
* if (ddt != 00)
* Thread.Sleep(0);
*
*/
}
public void TestGetOrderStatus()
{
Assert.AreEqual(EnmBfxOrderStatus.Executed,
CBfxUtils.GetOrderStatus("EXECUTED @ 586.86(0.05): was PARTIALLY FILLED @ 586.06(0.85)"));
Assert.AreEqual(EnmBfxOrderStatus.Executed,
CBfxUtils.GetOrderStatus("EXECUTED @ 10904.0"));
Assert.AreEqual(EnmBfxOrderStatus.Canceled,
CBfxUtils.GetOrderStatus("CANCELED"));
}
public override string ToString()
{
return(String.Format("Gid={0} Symbol={1} id={2} type={3} price={4} amount={5} amount_orig={6} statusRow={7} statusParsed={8}",
this.Gid, //0
this.Symbol, //1
this.Id, //2
this.Type, //3
this.Price, //4
this.Amount, //5
this.AmountOrig, //6
this.OrderStatus, //7
CBfxUtils.GetOrderStatus(OrderStatus))); //8
}
private void ProcessOrderBookSnapshot(CBookParams bookParam, JArray jArrOrderBook)
{
_perf.StartOrdeBookSnapshot();
/*
* _dictStockStor[bookParam.Instrument].UpdateBySnapshot(CBfxUtils.GetPrecInt(bookParam.Precision),
* jArrOrderBook);
*/
_dictStockStor[bookParam.Instrument].UpdateBySnapshot
(new CBfxStockStorMsgUpdSnap
{
prec = CBfxUtils.GetPrecInt(bookParam.Precision),
jArrOrderBook = jArrOrderBook
});
_perf.EndOrderBookSnapshot();
}
public override void WriteJson(JsonWriter writer, object value, JsonSerializer serializer)
{
if (!(value is RequestNewOrder))
{
throw new ApplicationException("Can't serialize order");
}
RequestNewOrder order = (RequestNewOrder)value;
writer.WriteStartArray();
writer.WriteValue(0);
writer.WriteValue("on");
writer.WriteValue((object)null);
writer.WriteStartObject();
if (order.Gid.HasValue)
{
writer.WritePropertyName("gid");
writer.WriteValue(order.Gid.Value);
}
writer.WritePropertyName("cid");
writer.WriteValue(order.Cid);
writer.WritePropertyName("type");
//TODO remove from OrderConverter !
writer.WriteValue(CBfxUtils.GetOrderTypeString(order.Type));
writer.WritePropertyName("symbol");
writer.WriteValue(order.Symbol);
writer.WritePropertyName("amount");
writer.WriteValue(order.Amount.ToString(CultureInfo.InvariantCulture));
writer.WritePropertyName("price");
writer.WriteValue(order.Price.ToString(CultureInfo.InvariantCulture));
if (order.PriceTrailing.HasValue)
{
writer.WritePropertyName("price_trailing");
writer.WriteValue(order.PriceTrailing.Value.ToString(CultureInfo.InvariantCulture));
}
if (order.PriceAuxLimit.HasValue)
{
writer.WritePropertyName("price_aux_limit");
writer.WriteValue(order.PriceAuxLimit.Value.ToString(CultureInfo.InvariantCulture));
}
writer.WritePropertyName("hidden");
writer.WriteValue(order.Hidden);
if (order.Postonly.HasValue)
{
writer.WritePropertyName("postonly");
writer.WriteValue(order.Postonly.Value.ToString(CultureInfo.InvariantCulture));
}
if (order.Close.HasValue)
{
writer.WritePropertyName("Close");
writer.WriteValue(order.Close.Value);
}
writer.WriteEndObject();
writer.WriteEndArray();
}
/// <summary>
///
///
/// Algorithm is described here:
/// https://github.com/bitfinexcom/bitfinex-api-node/issues/153
/// </summary>
/// <param name="respOrders"></param>
/// <param name="orderAction"></param>
public void ProcessOrder(ResponseOrders respOrders, EnmOrderAction orderAction)
{
//TODO normal
string instrument = respOrders.Symbol.Remove(0, 1);
int decimalsOfVolume = _client.GetDecimalVolume(instrument);
//int iAmount = (int)Math.Abs(CUtilConv.GetIntVolume((decimal)respOrders.Amount, decimalsOfVolume));
//int iAmountOrig = (int)Math.Abs(CUtilConv.GetIntVolume((decimal)respOrders.AmountOrig, decimalsOfVolume));
decimal amount = Convert.ToDecimal(Math.Abs((double)respOrders.Amount));
decimal amountOrig = Convert.ToDecimal(Math.Abs((double)respOrders.AmountOrig));
//int iAmountRest = (int) CBfxUtils.GetIntVolume( Math.Abs((decimal)respOrders.AmountOrig) - Math.Abs((decimal)respOrders.Amount),decimalsOfVolume);
DateTime momentOrderCreate = CUtilTime.DateTimeFromUnixTimestampMillis((long)respOrders.MtsCreate);
DateTime momentOrderUpdate = CUtilTime.DateTimeFromUnixTimestampMillis((long)respOrders.MtsUpdate);
//check advance data in status field
//Could by like "Cancelled" or more complex "EXECUTED @ 10908.0(-0.0)
EnmBfxOrderStatus orderStatus = CBfxUtils.GetOrderStatus(respOrders.OrderStatus);
//common parametters same for all order update type
CRawOrdersLogStruct userOrdLogStruct = new CRawOrdersLogStruct
{
Id_ord = respOrders.Id,
Ext_id = (int)respOrders.Gid,
Price = Math.Abs((decimal)respOrders.Price),
// Amount = (int)iAmount,
// Amount_rest = iAmountRest,
Instrument = instrument,
Action = (sbyte)BfxOrdStatusToEnmOrderAction(orderStatus),
// Moment = momentOrderCreate
};
//case of add order
if (orderAction == EnmOrderAction.Added)
{
//2018-04-04 NOTE. Added order could be two cases:
//1) Jast Added limit order - we do use amount
//2) Put limit order by market and it is partialy filled - we alse do
// use amount as we initial order in bot with rest of order.
// One important thing - we do override Action from "Partialy filled" to "OrderAccepted"
userOrdLogStruct.Amount = amount;
userOrdLogStruct.Dir = respOrders.Amount > 0 ? (sbyte)EnmOrderDir.Buy : (sbyte)EnmOrderDir.Sell;
//Override to "OrderAccepted" for "partially filled" case
if (orderStatus == EnmBfxOrderStatus.PartiallyFilled)
{
userOrdLogStruct.Action = (sbyte)EnmOrderAction.Added;
}
_client.TriggerRecalculateBot(userOrdLogStruct.Ext_id,
userOrdLogStruct.Instrument,
EnmBotEventCode.OnOrderAccepted,
userOrdLogStruct);
//added 2018-06-06
//first process deal if exist
//old place of CheckForDealsWithNoBotId before 2018-08-03
CUserOrder userOrder = new CUserOrder
{
Amount = amount,
BotId = userOrdLogStruct.Ext_id,
Instrument = userOrdLogStruct.Instrument,
OrderActionLast = EnmOrderAction.Added,
OrderId = userOrdLogStruct.Id_ord,
Status = respOrders.OrderStatus
};
_userOrderLog.Update(userOrder);
//2018-06-03 move AFTER adding order (as is _userOrderLog later)
_client.CheckForDealsWithNoBotId(userOrdLogStruct.Id_ord, userOrdLogStruct.Ext_id);
_dbg.DBGProcessOrderAdded(userOrder);
}
//case of fully deleted order
else if (orderAction == EnmOrderAction.Deleted && orderStatus == EnmBfxOrderStatus.Canceled)
{
//just tell bot to cancell order
_client.TriggerRecalculateBot(userOrdLogStruct.Ext_id,
userOrdLogStruct.Instrument,
EnmBotEventCode.OnOrderCancel,
userOrdLogStruct);
//added 2018-05-13
//first process deal if exist
//old place of CheckForDealsWithNoBotId before 2018-08-03
//no order is not need even for "very late" update.
//2018-05-31 removed (user cancel before "te" and "tu"- having a problem)
//_userOrderLog.Delete(userOrdLogStruct.Ext_id,
// userOrdLogStruct.Instrument,
// userOrdLogStruct.Id_ord);
//2018-05-31 set order deleted
CUserOrder userOrder = new CUserOrder
{
Amount = amount,
BotId = userOrdLogStruct.Ext_id,
Instrument = userOrdLogStruct.Instrument,
OrderActionLast = EnmOrderAction.Deleted,
OrderId = userOrdLogStruct.Id_ord,
Status = respOrders.OrderStatus
};
_userOrderLog.Update(userOrder);
//2018-06-03 move AFTER adding order (as is _userOrderLog later)
_client.CheckForDealsWithNoBotId(userOrdLogStruct.Id_ord, userOrdLogStruct.Ext_id);
_dbg.DBGDeleted(userOrdLogStruct);
//TODO check not processed deals
}
//case of full or partial executed order
else if ((orderAction == EnmOrderAction.Deleted && orderStatus == EnmBfxOrderStatus.Executed) ||
//case of partial filled
(orderAction == EnmOrderAction.Update && orderStatus == EnmBfxOrderStatus.PartiallyFilled))
{
decimal amountUse = amountOrig - amount;
//check for partially filled
userOrdLogStruct.Dir = respOrders.AmountOrig > 0 ? (sbyte)EnmOrderDir.Buy : (sbyte)EnmOrderDir.Sell;
//2018-04-04 possible cases:
//1) Deleted and executed order by market when limit order was not set yet, on that case amount=0
// but as no order exist in BotBase.MonitorOrders - nothing happens
//2) Deal for order that exists, we do encrease amounts of orders on that case -NOT TESTED-
userOrdLogStruct.Amount = amount;
//first tell bot order deal
_client.TriggerRecalculateBot(userOrdLogStruct.Ext_id,
userOrdLogStruct.Instrument,
EnmBotEventCode.OnOrderDeal,
userOrdLogStruct);
//_userOrderTracker.Update(userOrdLogStruct.Ext_id, userOrdLogStruct.Id_ord, respOrders.OrderStatus);
//2018-06-13 the same as in all two other conditions
//old place of CheckForDealsWithNoBotId before 2018-08-03
EnmOrderAction ordActUse = EnmOrderAction.Unknown;
if (orderStatus == EnmBfxOrderStatus.Executed)
{
ordActUse = EnmOrderAction.Deal;
}
else if (orderStatus == EnmBfxOrderStatus.PartiallyFilled)
{
ordActUse = EnmOrderAction.PartialFilled;
}
CUserOrder userOrder = new CUserOrder
{
Amount = amount,
BotId = userOrdLogStruct.Ext_id,
Instrument = userOrdLogStruct.Instrument,
OrderActionLast = ordActUse,
OrderId = userOrdLogStruct.Id_ord,
Status = respOrders.OrderStatus
};
_userOrderLog.Update(userOrder);
_client.CheckForDealsWithNoBotId(userOrdLogStruct.Id_ord, userOrdLogStruct.Ext_id);
_dbg.DBGExecPartFilled(ordActUse, userOrder);
}
}
