private bool TryCloseDeals(double bottomBid, double topAsk, double spreadToClose)
{
if (spreadToClose > SpreadClosePosition)
{
return(false);
}
if (OpenedOrders.Count == 0)
{
return(false);
}
//StatisticalArbitrageOrderInfo order = GetOpenedOrderWithMaxSpread();
foreach (StatisticalArbitrageOrderInfo order in OpenedPairs)
{
if (order.Spread < SpreadClosePosition)
{
continue;
}
double actualLongCloseBid = Long.GetActualBidByAmount(order.LongAmount);
double actualShortCloseAsk = Short.GetActualAskByAmount(order.ShortAmount);
double spread = actualShortCloseAsk - actualLongCloseBid;
if (spread > SpreadClosePosition)
{
continue;
}
double actualSellAmount = GetActualBottomBidAmount(actualLongCloseBid);
double actualBuyAmount = GetActualShortAskAmount(actualShortCloseAsk);
double finalSellAmount = Math.Min(actualSellAmount, order.LongAmount);
double koeffSell = finalSellAmount / order.LongAmount;
double finalBuyAmount = Math.Min(actualBuyAmount, order.ShortAmount);
double koeffBuy = finalBuyAmount / order.ShortAmount;
double koeff = Math.Min(koeffBuy, koeffSell);
finalSellAmount *= koeff;
finalBuyAmount *= koeff;
TradingResult closeLong = MarketSell(Long, bottomBid, finalSellAmount);
TradingResult closeShort = MarketBuy(Short, topAsk, finalBuyAmount);
order.LongAmount -= closeLong.Amount;
order.ShortAmount -= closeShort.Amount;
//double eInc = (1 / order.LongValue - 1 / order.ShortValue) * finalBuyAmount;
//Earned += eInc;
LastItem = new StatisticalArbitrageHistoryItem();
LastItem.Time = DataProvider.CurrentTime;
LastItem.Earned = Earned;
LastItem.LongAmount = finalSellAmount;
LastItem.LongAsk = Long.OrderBook.LowestAsk;
LastItem.LongBid = bottomBid;
LastItem.ShortAsk = topAsk;
LastItem.ShortBid = Short.OrderBook.HighestBid;
LastItem.ShortAmount = finalBuyAmount;
LastItem.Close = true;
LastItem.Index = StrategyData.Count;
LastItem.Mark = "CLOSE";
LastItem.ClosedPositions.Add(order.LongPosition);
LastItem.ClosedPositions.Add(order.ShortPosition);
StrategyData.Add(LastItem);
CloseLongPosition(order.LongPosition, closeLong);
CloseShortPosition(order.ShortPosition, closeShort);
if (order.LongAmount <= 0 && order.ShortAmount <= 0)
{
OpenedPairs.Remove(order);
OnOrderClosed(LastItem);
}
else
{
throw new Exception("Partial Close Not Implemented");
}
}
return(true);
}