// Notes:
// - A 'Trade' is a description of a trade that *could* be placed. It is different
// to an 'Order' which is live on an exchange, waiting to be filled.
// - AmountIn * Price does not have to equal AmountOut, because 'Trade' is used
// with the order book to calculate the best price for trading a given amount.
// The price will represent the best price that covers all of the amount, not
// the spot price.
// - Don't implicitly change amounts/prices based on order type for the same reason.
// Instead, allow any values to be set and use validate to check they're correct.
// The 'EditTradeUI' should be used to modify properties and ensure correct behaviour
// w.r.t to order type.
// Rounding issues:
// - Quantisation doesn't help, that just makes the discrepancies larger.
// - Instead, maintain separate values for amount in and amount out. These imply the
// price and allow control over which side of the trade gets rounded.
/// <summary>Create a trade on 'pair' to convert 'amount_in' of 'coin_in' to 'amount_out'</summary>
public Trade(Fund fund, TradePair pair, EOrderType order_type, ETradeType trade_type, Unit <decimal> amount_in, Unit <decimal> amount_out, Unit <decimal>?price_q2b = null, string creator = null)
{
// Check trade amounts and units
if (amount_in < 0m._(trade_type.CoinIn(pair)))
{
throw new Exception("Invalid trade 'in' amount");
}
if (amount_out < 0m._(trade_type.CoinOut(pair)))
{
throw new Exception("Invalid trade 'out' amount");
}
if (amount_out != 0 && amount_in != 0 && trade_type.PriceQ2B(amount_out / amount_in) < 0m._(pair.RateUnits))
{
throw new Exception("Invalid trade price");
}
CreatorName = creator ?? string.Empty;
Fund = fund;
Pair = pair;
OrderType = order_type;
TradeType = trade_type;
AmountIn = amount_in;
AmountOut = amount_out;
PriceQ2B =
price_q2b != null ? price_q2b.Value :
amount_out != 0 && amount_in != 0 ? TradeType.PriceQ2B(amount_out / amount_in) :
SpotPriceQ2B;
}
// Notes:
// - A TradeCompleted is a completed single trade that is part of an OrderCompleted
// - TradeCompleted doesn't really need 'pair' and 'tt' because they are duplicates
// of fields in the containing OrderCompleted. However, they allow convenient conversion
// to CoinIn/CoinOut etc.
public TradeCompleted(long order_id, long trade_id, TradePair pair, ETradeType tt, Unit <decimal> amount_in, Unit <decimal> amount_out, Unit <decimal> commission, Coin commission_coin, DateTimeOffset created, DateTimeOffset updated)
{
// Check units
if (amount_in <= 0m._(tt.CoinIn(pair)))
{
throw new Exception("Invalid 'in' amount");
}
if (amount_out <= 0m._(tt.CoinOut(pair)))
{
throw new Exception("Invalid 'out' amount");
}
if (commission < 0m._(commission_coin))
{
throw new Exception("Negative commission");
}
if (created < Misc.CryptoCurrencyEpoch)
{
throw new Exception("Invalid creation time");
}
OrderId = order_id;
TradeId = trade_id;
Pair = pair;
TradeType = tt;
AmountIn = amount_in;
AmountOut = amount_out;
Commission = commission;
CommissionCoin = commission_coin;
Created = created;
Updated = updated;
}
/// <summary>Attempt to make a trade on 'pair' for the given 'price' and base 'amount'</summary>
private void TryFillOrder(TradePair pair, Fund fund, long order_id, ETradeType tt, EOrderType ot, Unit <decimal> amount_in, Unit <decimal> amount_out, Unit <decimal> remaining_in, out Order ord, out OrderCompleted his)
{
// The order can be filled immediately, filled partially, or not filled and remain as an 'Order'.
// Also, exchanges use the base currency as the amount to fill, so for Q2B trades it's possible
// that 'amount_in' is less than the trade asked for.
var market = m_depth[pair];
// Consume orders
var price_q2b = tt.PriceQ2B(amount_out / amount_in);
var amount_base = tt.AmountBase(price_q2b, amount_in: remaining_in);
var filled = market.Consume(pair, tt, ot, price_q2b, amount_base, out var remaining_base);
// The order is partially or completely filled...
Debug.Assert(Misc.EqlAmount(amount_base, filled.Sum(x => x.AmountBase) + remaining_base));
ord = remaining_base != 0 ? new Order(order_id, fund, pair, ot, tt, amount_in, amount_out, tt.AmountIn(remaining_base, price_q2b), Model.UtcNow, Model.UtcNow) : null;
his = remaining_base != amount_base ? new OrderCompleted(order_id, fund, pair, tt) : null;
// Add 'TradeCompleted' entries for each order book offer that was filled
foreach (var fill in filled)
{
his.Trades.AddOrUpdate(new TradeCompleted(his.OrderId, ++m_history_id, pair, tt, fill.AmountIn(tt), fill.AmountOut(tt), Exchange.Fee * fill.AmountOut(tt), tt.CoinOut(pair), Model.UtcNow, Model.UtcNow));
}
}