public async override void RefreshView()
{
DateValues.Clear();
PortfolioValues.Clear();
// Determine frequency to use
var valueFrequency = ValueFrequency.Daily;
var timeSpan = _Parameter.DateRange.ToDate - _Parameter.DateRange.FromDate;
if (timeSpan.Days > 365 * 5)
{
valueFrequency = ValueFrequency.Monthly;
}
else if (timeSpan.Days > 365)
{
valueFrequency = ValueFrequency.Weekly;
}
PortfolioValueResponse response;
if (_Parameter.Stock.Id == Guid.Empty)
{
response = await _Parameter.RestClient.Portfolio.GetValue(_Parameter.DateRange, valueFrequency);
}
else
{
response = await _Parameter.RestClient.Holdings.GetValue(_Parameter.Stock.Id, _Parameter.DateRange, valueFrequency);
}
if (response == null)
{
return;
}
// create chart data
var values = new List <double>();
foreach (var value in response.Values)
{
DateValues.Add(value.Date.ToShortDateString());
values.Add((double)value.Amount);
}
PortfolioValues.AddRange(values);
}
private async Task _binanceWsClient_UserStreamUpdateReceived(object sender, BinanceUserStreamUpdateEventArgs args)
{
var update = args.Update;
if (update.EventType == "ACCOUNT_UPDATE" && update.BalancePosition?.Balances != null)
{
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd - MM - yyyy hh: mm:ss")}] User stream update received: {JsonConvert.SerializeObject(update)}");
var usdtBalance = update.BalancePosition.Balances.FirstOrDefault(b => b.Asset == "USDT");
if (usdtBalance != null)
{
PortfolioValues.Add(usdtBalance.WalletBalance ?? 0.0m);
decimal currMarketMeanPrice = 0;
var lastPrices = _binanceWsClient.WholeMarketKlines.Select(k => k.Value.LastOrDefault()?.Kline?.ClosePrice ?? 0).ToList();
currMarketMeanPrice = (decimal)lastPrices.Average();
MarketMeanPrices.Add(currMarketMeanPrice);
if (MarketMeanPrices.Count >= 2)
{
CumulatedMarketPerf += MarketPerfs.Last();
CumulatedPotfolioPerf += PortfolioPerfs.Last();
}
if (MarketMeanPrices.Count > MAX_PERFS_HIST)
{
MarketMeanPrices.RemoveAt(0);
PortfolioValues.RemoveAt(0);
}
decimal returnWithfees = CumulatedPotfolioPerf * (InitPortfolioValue / _parameters.FixedInvestedQuoteAssetQty);
decimal fees = (-1) * NbTradeCycles * DOUBLE_FEES_RATE;
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd-MM-yyyy HH:mm:ss")}] Cumul. portfolio return (ren. by invest. size) = {returnWithfees} (cumul. gross: {returnWithfees - fees} -- cumul. fees = {fees}) -- cumul. market return = {CumulatedMarketPerf} ");
}
//if (_parameters.DoPlaceMarketOrders)
//{
// IEnumerable<string> liquidatedSymbols = CurrentHoldBaseAssetPos.Where(p => p.Value.Side != 0).Select(p => p.Key)
// .Except(update.BalancePosition?.Positions.Select(p => p.Symbol.ToLower()));
// foreach(var symbol in liquidatedSymbols)
// {
// await _binanceWsClient.CancelAllOpenOrders(symbol);
// await Task.Delay(DELAY_BETWEEN_ORDERS_IN_MILLISECS);
// }
//}
}
if (update.EventType == "ORDER_TRADE_UPDATE")
{
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd - MM - yyyy hh: mm:ss")}] Ordre trade update: {JsonConvert.SerializeObject(update)}");
if (update.OrderUpdate != null && _parameters.DoPlaceMarketOrders &&
update.OrderUpdate.OrderType == "MARKET" &&
(update.OrderUpdate.Side == "BUY" || update.OrderUpdate.Side == "SELL") &&
CurrentHoldBaseAssetPos[update.OrderUpdate.Symbol.ToLower()].Side == (update.OrderUpdate.Side == "BUY" ? 1 : update.OrderUpdate.Side == "SELL" ? -1 : 0) &&
(update.OrderUpdate.OrderStatus == "FILLED" || update.OrderUpdate.OrderStatus == "PARTIALLY_FILLED"))
{
string symbol = update.OrderUpdate.Symbol.ToLower();
decimal entryPrice = (decimal)update.OrderUpdate.LastFilledPrice;
string side = update.OrderUpdate.Side;
decimal qty = (decimal)update.OrderUpdate.OrderLastFilledQuantity;
var stopLoss = new BinanceFuturesPlacedOrder
{
Symbol = symbol,
Side = side == "BUY" ? "SELL" : "BUY",
Quantity = qty,
Type = "STOP_MARKET",
StopPrice = side == "BUY"
? Math.Round(entryPrice * (1 - _parameters.RiskThreshold), ExchangeInfo.Symbols.First(s => s.Symbol.ToLower() == symbol).PricePrecision, MidpointRounding.ToZero)
: Math.Round(entryPrice * (1 + _parameters.RiskThreshold), ExchangeInfo.Symbols.First(s => s.Symbol.ToLower() == symbol).PricePrecision, MidpointRounding.AwayFromZero)
};
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd-MM-yyyy HH:mm:ss")}] Avant envoi StopLoss : {JsonConvert.SerializeObject(stopLoss, new JsonSerializerSettings { Formatting = Formatting.None })}");
var trailingTakeProfit = new BinanceFuturesPlacedOrder
{
Symbol = symbol,
Side = side == "BUY" ? "SELL" : "BUY",
Quantity = qty,
Type = "TRAILING_STOP_MARKET",
CallbackRate = Math.Min(0.1m, _parameters.RewardThrIncreaseRate * 100),
ActivationPrice = Math.Round(side == "BUY" ? entryPrice * (1 + _parameters.RewardThreshold) : entryPrice * (1 - _parameters.RewardThreshold), ExchangeInfo.Symbols.First(s => s.Symbol.ToLower() == symbol).PricePrecision, MidpointRounding.AwayFromZero)
};
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd-MM-yyyy HH:mm:ss")}] Avant envoi TakeProfit: {JsonConvert.SerializeObject(trailingTakeProfit, new JsonSerializerSettings { Formatting = Formatting.None })}");
var responseStopLoss = await _binanceWsClient.PlaceOrder(stopLoss);
CurrentHoldBaseAssetPos[symbol].CurrentStopLosses.Add(responseStopLoss);
if (responseStopLoss.IsSuccess && responseStopLoss.Code == null)
{
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd-MM-yyyy HH:mm:ss")}] Vente/achat envoyé: {JsonConvert.SerializeObject(responseStopLoss, new JsonSerializerSettings { Formatting = Formatting.None })}");
}
else
{
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd-MM-yyyy HH:mm:ss")}]Vente/achat non-envoyé: {JsonConvert.SerializeObject(responseStopLoss, new JsonSerializerSettings { Formatting = Formatting.None })}");
}
var responseTakeProfit = await _binanceWsClient.PlaceOrder(trailingTakeProfit);
CurrentHoldBaseAssetPos[symbol].CurrentTakeProfits.Add(responseTakeProfit);
if (responseTakeProfit.IsSuccess && responseTakeProfit.Code == null)
{
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd-MM-yyyy HH:mm:ss")}] Vente/achat envoyé: {JsonConvert.SerializeObject(responseTakeProfit, new JsonSerializerSettings { Formatting = Formatting.None })}");
}
else
{
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd-MM-yyyy HH:mm:ss")}]Vente/achat non-envoyé: {JsonConvert.SerializeObject(responseTakeProfit, new JsonSerializerSettings { Formatting = Formatting.None })}");
}
}
if (update.OrderUpdate != null && _parameters.DoPlaceMarketOrders &&
update.OrderUpdate.OrderType == "MARKET" &&
(update.OrderUpdate.Side == "BUY" || update.OrderUpdate.Side == "SELL") &&
CurrentHoldBaseAssetPos[update.OrderUpdate.Symbol.ToLower()].Side == (update.OrderUpdate.Side == "BUY" ? -1 : update.OrderUpdate.Side == "SELL" ? 1 : 0) &&
(update.OrderUpdate.OrderStatus == "FILLED" || update.OrderUpdate.OrderStatus == "PARTIALLY_FILLED"))
{
string symbol = update.OrderUpdate.Symbol.ToLower();
//Cas de l'execution d'un stop loss/trailing take profit
bool isStopLoss = CurrentHoldBaseAssetPos[symbol].CurrentStopLosses.Select(x => x.OrderId).Contains(update.OrderUpdate.OrderId);
bool isTakeProfit = CurrentHoldBaseAssetPos[symbol].CurrentTakeProfits.Select(x => x.OrderId).Contains(update.OrderUpdate.OrderId);
if (isStopLoss || isTakeProfit)
{
CurrentHoldBaseAssetPos[symbol].Qty -= update.OrderUpdate.OrderLastFilledQuantity ?? 0;
if (CurrentHoldBaseAssetPos[symbol].Qty == 0)
{
CurrentHoldBaseAssetPos[symbol].Side = 0;
CurrentHoldBaseAssetPos[symbol].IsBeingLiquidated = false;
CurrentHoldBaseAssetPos[symbol].AvgEntryPrice = 0;
CurrentHoldBaseAssetPos[symbol].CurrentStopLosses.Clear();
CurrentHoldBaseAssetPos[symbol].CurrentTakeProfits.Clear();
await _binanceWsClient.CancelAllOpenOrders(symbol);
MinutesSinceLastPosition = 0;
}
else if (update.OrderUpdate.OrderStatus == "FILLED")
{
long expiredOrderId = update.OrderUpdate.OrderId;
if (isTakeProfit)
{
var removedTakeProfit = CurrentHoldBaseAssetPos[symbol].CurrentTakeProfits.FirstOrDefault(tp => tp.OrderId == expiredOrderId);
if (removedTakeProfit != null)
{
int removedTPIndex = CurrentHoldBaseAssetPos[symbol].CurrentTakeProfits.IndexOf(removedTakeProfit);
long mirrorOrderId = CurrentHoldBaseAssetPos[symbol].CurrentStopLosses[removedTPIndex].OrderId;
await _binanceWsClient.CancelOrder(symbol, mirrorOrderId);
CurrentHoldBaseAssetPos[symbol].CurrentTakeProfits.RemoveAt(removedTPIndex);
CurrentHoldBaseAssetPos[symbol].CurrentStopLosses.RemoveAt(removedTPIndex);
}
}
else //if (isStopLoss)
{
var removedStopLoss = CurrentHoldBaseAssetPos[symbol].CurrentStopLosses.FirstOrDefault(tp => tp.OrderId == expiredOrderId);
if (removedStopLoss != null)
{
int removedStopLossIndex = CurrentHoldBaseAssetPos[symbol].CurrentStopLosses.IndexOf(removedStopLoss);
long mirrorOrderId = CurrentHoldBaseAssetPos[symbol].CurrentTakeProfits[removedStopLossIndex].OrderId;
await _binanceWsClient.CancelOrder(symbol, mirrorOrderId);
CurrentHoldBaseAssetPos[symbol].CurrentTakeProfits.RemoveAt(removedStopLossIndex);
CurrentHoldBaseAssetPos[symbol].CurrentStopLosses.RemoveAt(removedStopLossIndex);
}
}
}
if (isTakeProfit)
{
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd - MM - yyyy hh: mm:ss")}] Diminution/liquidation position sur {symbol} (execution du trailing take profit)");
}
else
{
Debug.WriteLine($"[{DateTime.UtcNow.ToString("dd - MM - yyyy hh: mm:ss")}] Diminution/liquidation position sur {symbol} (execution du stop loss)");
}
return;
}
}
}
await Task.Run(() => { });
}
