private decimal GetSpanPrice(decimal format = 0.1m)
{
if (info.SpanPrice <= 0.1m)
{
return(info.SpanPrice);
}
string kr1 = "M1";
string kr2 = "M15";
var kline1 = robotMarket.GetKlines(Symbol, kr1) ?? new List <Kline>();
var kline2 = robotMarket.GetKlines(Symbol, kr2) ?? new List <Kline>();
decimal width1 = GetKlinePriceWidth(kline1, info.OrderQty, format, 5, 1.0m);
decimal width15 = GetKlinePriceWidth(kline2, info.OrderQty, format, 5, 0.5m);
decimal width = Math.Max(width1, width15);
if (Math.Abs(width - info.SpanPrice) >= info.SpanPrice / 4)
{
if (info.Symbol.ToLower().Contains("btcusdt") && width <= 1m)
{
width = 1;
}
info.SpanPrice = width;
}
Log4NetUtility.Debug($"kline{kr1} width : {width1} kline{kr2} width : {width15} SpanPrice:{info.SpanPrice}->{width}");
return(info.SpanPrice);
}
public bool Connnet()
{
try
{
websocket = new WebSocketSharp.WebSocket(WEBSOCKET_API);
websocket.OnError += (sender, e) =>
{
Console.WriteLine("Error:" + e.Exception.Message.ToString());
Log4NetUtility.Debug("OnError", e.Exception.Message);
};
websocket.OnOpen += OnOpened;
websocket.OnClose += Websocket_Closed;;
websocket.OnMessage += ReceviedMsg;
websocket.ConnectAsync();
while (!websocket.IsAlive)
{
Console.WriteLine("Waiting WebSocket connnet......");
Thread.Sleep(1000);
}
heartBeatTimer.Elapsed += new System.Timers.ElapsedEventHandler(heatBeat);
//heartBeatTimer.Start();
}
catch (Exception ex)
{
Console.WriteLine("Exception:" + ex.Message);
Log4NetUtility.Error("WebSocketApi_OK", Utils.Exception2String(ex));
}
return(true);
}
public Trade PostMarketTrade_FC(string symbol, string side, decimal price, decimal amount)
{
var coinInfo = CoinConfigs.FirstOrDefault(a => a.Symbol == symbol);
if (coinInfo == null || coinInfo.AmountLimit == 0 || coinInfo.PriceLimit == 0)
{
throw (new Exception());
}
decimal rate = 1;
if (side == "buy")
{
rate = 1.08m;
}
else
{
rate = 0.92m;
}
string priceStr = coinInfo.FormatPrice2S(price * rate);
string amountStr = coinInfo.FormatAmount2S(amount);
Log4NetUtility.Debug("Trade", $"MarketTrade. price:{price} priceStr:{priceStr} amount:{amount} amountStr:{amountStr}");
string JsonStr = restApi_FC.trade(symbol, side, "limit", priceStr, amountStr);
Log4NetUtility.Debug("Trade", JsonStr);
var data = ModelHelper <API.Rest.FCoin.trade> .Json2Model(JsonStr);
return(new Trade(data));
}
private void CurrentLostOrders(List <Order> lostOrders)
{
foreach (var lost in lostOrders)
{
robotSession.AddUpdateSessionOrder(lost);
Log4NetUtility.Debug($"CurrentEvent,Add lostOrders Price:{lost.price.ToString("#0.00")} Id:{Utils.ShortID(lost.order_id)}");
}
}
private void Websocket_OnError(object sender, ErrorEventArgs e)
{
Console.WriteLine("Error:" + e.Exception.Message.ToString());
Console.WriteLine("websocket.IsAlive:" + websocket.IsAlive);
Log4NetUtility.Debug("OnError", "websocket.IsAlive:" + websocket.IsAlive);
Log4NetUtility.Debug("OnError", e.Exception.Message);
if (!websocket.IsAlive)
{
websocket.Close();
}
}
public void CheckLostOrders(List <Order> currentOrder)
{
var lostOrders = currentOrder.Where(a => !SessionOrders.Exists(b => b.order_id == a.order_id)).ToList();
if (lostOrders.Count > 0)
{
foreach (var lost in lostOrders)
{
AddUpdateSessionOrder(lost);
Log4NetUtility.Debug($"CurrentEvent,Add lostOrders Price:{lost.price.ToString("#0.00")} Id:{Utils.ShortID(lost.order_id)}");
}
}
}
private Trade TradeOrder(Order order)
{
if (order == null)
{
return(null);
}
Trade trade = robotTrade.Trade(Symbol, order.type, order.price, order.amount);
for (int i = 0; i < 3; i++)
{
if (trade.result && !string.IsNullOrEmpty(trade.order_id))
{
order.order_id = trade.order_id;
order.create_date = Utils.GetUtcTimeDec();
robotSession.AddUpdateSessionOrder(order);
Log4NetUtility.Debug($"New 《{order.type}》 Price:{order.price.ToString("#0.0000")} id:{Utils.ShortID(order.order_id)}");
break;
}
else
{
string type = order.type == "buy" ? "-S" : "+B";
Log4NetUtility.Info("RobotHFT", $"《{type}》委托失败，P:《{order.price.ToString("#0.00")}》A:《{order.amount.ToString("#0.0000")}》,第{i + 1}次返回:{trade.error_code} {trade.msg}");
Thread.Sleep(1000);
if (trade.error_code.Contains("1002"))
{
Thread.Sleep(2000 * i);
//i -= 1;
}
if (trade.error_code.Contains("1016"))
{
var side = order.type == "buy" ? "sell" : "buy";
var ticker = robotMarket.GetTicker(Symbol);
decimal price = side == "buy" ? ticker.sell : ticker.buy;
Trade tradeM = robotTrade.MarketTrade(Symbol, side, price, order.amount);
if (tradeM.result)
{
Log4NetUtility.Info("RobotHFT", $"《{side}》市价调整，P:《{price.ToString("#0.00")}》A:《{order.amount.ToString("#0.0000")}》 ");
}
else
{
Log4NetUtility.Info("RobotHFT", $"《{side}》市价失败，P:《{price.ToString("#0.00")}》A:《{order.amount.ToString("#0.0000")}》 {tradeM.error_code} {tradeM.msg}");
}
Thread.Sleep(2000 * i);
}
}
}
return(trade);
}
/// <summary>
/// 成交挂单
/// </summary>
/// <param name="filledOrder"></param>
/// <param name="newOrder"></param>
private void CurrentOrderFilled(Order filledOrder, Order newOrder)
{
var trade = TradeOrder(newOrder);
if (trade.result && !string.IsNullOrEmpty(trade.order_id))
{
#region 反向挂单成功，处理缓存
newOrder.order_id = trade.order_id;
newOrder.create_date = Utils.GetUtcTimeDec();
robotSession.AddUpdateSessionOrder(newOrder);
filledOrder.status = "2";
robotSession.RemoveSessionOrder(filledOrder);
#endregion
#region 统计震荡
if (filledOrder.type == "buy")//买成交，行情下降
{
info.dealDCount += 1;
//info.DownCount_tmp += 1;
info.floatPrice -= info.SpanPrice;
}
else//卖成交，行情上升
{
info.dealUCount += 1;
//info.UpCount_tmp += 1;
info.floatPrice += info.SpanPrice;
}
long shockCount = Math.Min(info.dealDCount, info.dealUCount);
if (info.dealCount != shockCount)
{
//string timeStr = DateTime.Now.ToString("yyyyMMddHHmmss");
info.ShockTimes.Add(Utils.GetUtcTimeDec());
info.dealCount = shockCount;
}
//int shockCount_tmp = Math.Min(info.DownCount_tmp, info.UpCount_tmp);
//if (info.ShockCount_tmp != shockCount_tmp)
//{
// info.ShockCount_tmp += 1;
// //info.EarnAmt = info.EarnAmt + info.SpanPrice * info.TradeQty;
//}
#endregion
#region log
int buynum = robotSession.CountOrder(true);
int sellnum = robotSession.CountOrder(false);
string type = filledOrder.type == "sell" ? "+B" : "-S";
Log4NetUtility.Debug($"OrderFilled {type} [{newOrder.price.ToString("#0.00")}] ID: {Utils.ShortID(trade.order_id)} S:[{sellnum}] B:[{buynum}] ");
#endregion
}
}
private decimal GetKlinePriceWidth(List <Kline> klines, int orderQty, decimal format, int count = 5, decimal rTimes = 1)
{
var list = klines.OrderBy(a => a.id).Skip(klines.Count - count).ToList();
decimal max = list.Max(a => a.high);
decimal min = list.Min(a => a.low);
var priceWidth = max - min;
Log4NetUtility.Debug($"max : {max} min : {min} width: {priceWidth}");
var width = priceWidth / orderQty * rTimes;
int f = (int)(1 / format);
f = f < 1 ? 1 : f;
width = Math.Round(width * f) / f;
return(width < format ? format : width);
}
private void CurrentDirtyOrders(List <Order> dirtyOrders)
{
foreach (var dirtyOrder in dirtyOrders)
{
var order = robotTrade.GetOrders(Symbol, dirtyOrder.order_id);
if (order.result && order.orders.Count != 0)
{
Order o = order.orders.FirstOrDefault();
if (o.status == "filled")
{
robotSession.RemoveSessionOrder(dirtyOrder);
Log4NetUtility.Debug($"CurrentEvent,Remove dirtyOrders {dirtyOrder.type} Price:{dirtyOrder.price.ToString("#0.00")} Id:{Utils.ShortID(dirtyOrder.order_id)} status:{o.status}");
}
}
}
}
private void RobotHFT_SessionEvent(object sender, SessionEventArgs e)
{
try
{
Log4NetUtility.Debug($"SessionEvent:{e.EventType} {e.OrderList?.FirstOrDefault()?.type} {e.OrderList?.FirstOrDefault()?.price.ToString("0.0000")}");
switch (e.EventType)
{
case SessionEventType.Normal:
break;
case SessionEventType.DoubleOrder:
CancelOrders(e.OrderList);
break;
case SessionEventType.ErrPrice:
CancelOrders(e.OrderList);
break;
case SessionEventType.MoreOrder:
CancelOrders(e.OrderList);
break;
case SessionEventType.LessOrder:
TradeOrder(CreateLessOrder());
break;
case SessionEventType.LostOrder:
TradeOrder(e.OrderList?.FirstOrDefault());
break;
case SessionEventType.Reset:
ReSetOrder();
break;
}
}
catch (Exception ex)
{
Log4NetUtility.Error("SessionEvent", Utils.Exception2String(ex));
}
}
private void Init()
{
coinConfigs = CoinConfig.Load();
robotMarket = new Robot_Market(Platform);
var list = coinConfigs.Where(a => a.Platform.ToLower() == Platform.ToLower()).Select(a => a.Symbol).ToList();
robotMarket.Run(new List <string>()
{
"btcusdt"
});
decimal lastTicker = 0;
int lastflag = 0;
decimal count = 0;
decimal guessR = 0;
while (true)
{
try
{
Thread.Sleep(1000 * 30);
if (!robotMarket.Running)
{
continue;
}
var depth = robotMarket.GetDepth("btcusdt");
var ticker = robotMarket.GetTicker("btcusdt");
#region
depth item = new depth();
item.date = DateTime.Now;
item.id = Utils.GetUtcTimeDec();
item.ticker = ticker?.last;
item.json = ModelHelper <Depth> .Model2Json(depth);;
if (item.ticker != 0 && !string.IsNullOrEmpty(item.json))
{
DbHelper.CreateInstance().AddDepth(item);
}
#endregion
StringBuilder sb = new StringBuilder();
if (depth != null && depth.asks.Count > 0 && depth.bids.Count > 0)
{
var asks = depth.asks.ToArray();
var bids = depth.bids.ToArray();
var firstA = asks.FirstOrDefault();
var firstB = bids.FirstOrDefault();
string ss = "----";
if (ticker.last > lastTicker * 1.02m)
{
ss = "up";
}
if (ticker.last < lastTicker * 0.98m)
{
ss = "down";
}
string sss = "Guess Wrong!";
if (ss == "up" && lastflag == 1)
{
sss = "Guess Right!"; guessR++;
}
if (ss == "down" && lastflag == 2)
{
sss = "Guess Right!"; guessR++;
}
if (lastflag == 0)
{
sss = "";
}
sb.AppendLine($"depth asks:{asks.Count()} bids:{bids.Count()}");
sb.AppendLine($"lastTicker :{lastTicker.ToString("0.00")} thisTicker:{ticker.last.ToString("0.00")} price go {ss} {sss}");
var rate = count == 0 ? 1 : guessR / count;
sb.AppendLine($"GuessCount :{count} Right:{guessR} Rate:{rate.ToString("p")}");
lastTicker = ticker.last;
var aSum = asks.Sum(a => a[1]);
var bSum = bids.Sum(a => a[1]);
sb.AppendLine($"Amount Sum asks:{aSum.ToString("0.000")} bids:{bSum.ToString("0.000")}");
var avA = asks.Sum(a => a[0] * a[1]) / aSum;
var avB = bids.Sum(a => a[0] * a[1]) / bSum;
sb.AppendLine($"Price Ave asks:{avA.ToString("0.00")} bids:{avB.ToString("0.00")}");
var lastA = asks.LastOrDefault();
var lastB = bids.LastOrDefault();
sb.AppendLine($"depth asks from:{lastA[0].ToString("0.000")},{lastA[1].ToString("0.000")} to:{firstA[0].ToString("0.000")},{firstA[1].ToString("0.000")}");
sb.AppendLine($"depth bids from:{firstB[0].ToString("0.000")},{firstB[1].ToString("0.000")} to:{lastB[0].ToString("0.000")},{lastB[1].ToString("0.000")}");
//sb.AppendLine($"{asks.Where(a => a[0] == 0).Count()}{asks.Where(a => asks.Where(b => b[0] == a[0]).Count() > 1).Count()}");
var isUp = aSum * 2.5m < bSum;
var isDown = bSum * 2.5m < aSum;
var flag = 0; string str = "----";
if (isUp)
{
flag = 1; str = "Maybe Up"; count++;
}
if (isDown)
{
flag = 2; str = "Maybe Down"; count++;
}
sb.AppendLine($"{str}");
lastflag = flag;
//Console.WriteLine(sb.ToString());
Log4NetUtility.Debug(sb.ToString());
}
}
catch (Exception e)
{
Log4NetUtility.Error("while", e.Message);
}
}
}
public void FilledSessionOrders(List <Order> filledSessionOrders, List <Order> currentOrder)
{
var sessionOrders = new List <Order>(SessionOrders);
Parallel.ForEach(sessionOrders, (sessionOrder, loop) =>
{
try
{
#region 缓存订单在成交订单中
var filledOrder = filledSessionOrders.FirstOrDefault(a => a != null && a.order_id == sessionOrder.order_id);
if (filledOrder != null)
{
string type = filledOrder.type == "buy" ? "+B" : "-S";
Log4NetUtility.Debug($"OrderFilled {type} [{filledOrder.price.ToString("#0.00")}] ID: {Utils.ShortID(filledOrder.order_id)} ");
decimal new_price = 0; //补单Price
string new_type = filledOrder.type == "buy" ? "sell" : "buy";
if (filledOrder.type == "sell") //卖单成交
{
//补单价格为成交价的少一单位价格
new_price = filledOrder.price - info.SpanPrice;
}
else
{
//补单价格为成交价的多一单位价格
new_price = filledOrder.price + info.SpanPrice;
}
Order new_order = new Order()
{
price = new_price, amount = info.TradeQty, type = new_type, create_date = Utils.GetUtcTimeDec()
};
CurrentOrderFilled(filledOrder, new_order);
//list.Add(new_order);
}
#endregion
#region 缓存订单不在成交\当前订单中
else//缓存订单不在成交订单中
{
//缓存订单也不在当前订单中
if (!currentOrder.Exists(a => a.order_id == sessionOrder.order_id))
{
decimal time = Utils.GetUtcTimeDec(-60);
//若订单时间较短可能平台延迟，忽略。否则缓存脏数据
if (sessionOrder.create_date < time)
{
var order = robotTrade.GetOrders(symbol, sessionOrder.order_id);
if (order.result && order.orders.Count != 0)
{
Order o = order.orders.FirstOrDefault();
if (o.status == "filled")
{
if (sessionOrder.flag == "dirty")
{
RemoveSessionOrder(sessionOrder);
Log4NetUtility.Debug($"Remove dirtyOrders {sessionOrder.type} Price:{sessionOrder.price.ToString("#0.00")} Id:{Utils.ShortID(sessionOrder.order_id)} status:{o.status}");
}
else
{
sessionOrder.flag = "dirty";
}
}
}
}
}
}
#endregion
}
catch (Exception e)
{
throw (e);
}
});
}
