/// <summary>
/// Update market depth
/// </summary>
public void UpdateDepth(IEnumerable <TradeResponse> asks, IEnumerable <TradeResponse> bids, long updateTime)
{
if (updateTime <= 0)
{
throw new ArgumentOutOfRangeException(nameof(updateTime));
}
// if nothing was changed then return
if (updateTime <= LastUpdateTime)
{
return;
}
if (asks == null && bids == null)
{
return;
}
void UpdateOrderBook(IEnumerable <TradeResponse> updates, IDictionary <decimal, decimal> orders)
{
if (updates != null)
{
foreach (TradeResponse t in updates)
{
if (t.Quantity != IgnoreVolumeValue)
{
orders[t.Price] = t.Quantity;
}
else
if (orders.ContainsKey(t.Price))
{
orders.Remove(t.Price);
}
}
}
}
// save prev BestPair to OnMarketBestPairChanged raise event
MarketDepthPair prevBestPair = BestPair;
// update asks market depth
UpdateOrderBook(asks, _asks);
UpdateOrderBook(bids, _bids);
// set new update time
LastUpdateTime = updateTime;
// raise events
OnMarketDepthChanged(new MarketDepthChangedEventArgs(Asks, Bids, LastUpdateTime.Value));
if (!BestPair.Equals(prevBestPair))
{
OnMarketBestPairChanged(new MarketBestPairChangedEventArgs(BestPair));
}
}
/// <summary>
/// Process new best <see cref="MarketDepthPair"/>
/// </summary>
/// <param name="marketPair">Best ask-bid pair</param>
/// <returns>Recommended price-volume pair or <see langword="null"/></returns>
public Quote Process(MarketDepthPair marketPair)
{
if (marketPair == null)
{
throw new ArgumentNullException(nameof(marketPair));
}
if (!marketPair.IsFullPair)
{
return(null);
}
Quote quote = null;
_logger.Info($"Best ask / bid: {marketPair.Ask.Price} / {marketPair.Bid.Price}. Update Id: {marketPair.UpdateTime}.");
// get price spreads (in percent)
decimal actualSpread = marketPair.PriceSpread.Value / marketPair.MediumPrice.Value * 100; // spread_relative = spread_absolute/price * 100
decimal expectedSpread = _marketStrategyConfig.TradeWhenSpreadGreaterThan;
_logger.Info($"Spread absolute / relative: {marketPair.PriceSpread} / {actualSpread:F3}%. Update Id: {marketPair.UpdateTime}.");
if (actualSpread >= expectedSpread)
{
// compute new order price
decimal extra = marketPair.MediumPrice.Value * (actualSpread - expectedSpread) / 100; // extra = medium_price * (spread_actual - spread_expected)
decimal orderPrice = marketPair.Bid.Price + extra; // new_price = best_bid + extra
// compute order volume
decimal volumeSpread = marketPair.VolumeSpread.Value;
decimal orderVolume = volumeSpread > _marketStrategyConfig.MaxOrderVolume
? _marketStrategyConfig.MaxOrderVolume // set max volume
: (volumeSpread < _marketStrategyConfig.MinOrderVolume
? _marketStrategyConfig.MinOrderVolume // set min volume
: volumeSpread);
// return new price-volume pair
quote = new Quote(orderPrice, orderVolume, OrderSide.Buy);
}
return(quote);
}
public MarketBestPairChangedEventArgs(MarketDepthPair marketBestPair)
{
MarketBestPair = marketBestPair ?? throw new ArgumentNullException(nameof(marketBestPair));
}