private double suggestBuyPrice(Market market)
{
const int decPlaces = 14;
double increment = Math.Pow(10.0, -1.0 * decPlaces); // 0.00000000000001;
const double MIN_WALL_VOLUME = 100.0;
double sumVolume = 0.0;
foreach (var bid in market.Bids)
{
//Don't count self
if (_config.AccessKey == bid.Account && bid.Sequence == _buyOrderId)
{
continue;
}
//Skip BUY orders with tiny amount
sumVolume += bid.Amount;
if (sumVolume < MIN_WALL_VOLUME)
{
continue;
}
if (bid.Price < _executedSellPrice - _minDifference)
{
return bid.Price.eq(_buyOrderPrice, increment)
? _buyOrderPrice
: Math.Round(bid.Price + increment, decPlaces);
}
}
//All BUY orders are too high (probably some wild race). Suggest BUY order with minimum profit and hope
return _executedSellPrice - _minDifference;
}
private double suggestSellPrice(Market market)
{
const int DEC_PLACES = 14;
double increment = Math.Pow(10.0, -1.0 * DEC_PLACES); // 0.00000000000001;
double sum = 0;
var highestBid = market.Bids.First().Price;
foreach (var ask in market.Asks)
{
if (sum + _operativeAmount > _volumeWall && ask.Price - _minDifference > highestBid)
{
double sellPrice = Math.Round(ask.Price - increment, DEC_PLACES);
//The difference is too small and we'd be not the first SELL order. Leave previous price to avoid server call
if (-1 != _sellOrderId && sellPrice > market.Asks[0].Price && Math.Abs(sellPrice - _sellOrderPrice) < _minPriceUpdate)
{
log(String.Format("DEBUG: SELL price {0} too similar, using previous", sellPrice));
return _sellOrderPrice;
}
return sellPrice;
}
sum += ask.Amount;
//Don't consider volume of own order
if (_config.AccessKey == ask.Account && ask.Sequence == _sellOrderId)
{
sum -= _sellOrderAmount;
}
}
//Market too dry, use SELL order before last, so we see it in chart
var price = market.Asks.Last().Price - increment;
if (-1 != _sellOrderId && Math.Abs(price - _sellOrderPrice) < _minPriceUpdate)
{
return _sellOrderPrice;
}
return Math.Round(price, DEC_PLACES);
}
private double suggestBuyPrice(Market market)
{
const double MIN_WALL_VOLUME = 100.0;
var maxPrice = _executedSellPrice - MIN_DIFFERENCE;
var highestBid = market.Bids.First().Price;
double sumVolume = 0.0;
foreach (var bid in market.Bids)
{
//Don't count self
if (bid.Price.eq(_buyOrderPrice) && bid.Amount.eq(_buyOrderAmount))
continue;
//Skip BUY orders with tiny amount
sumVolume += bid.Amount;
if (sumVolume < MIN_WALL_VOLUME)
continue;
highestBid = bid.Price;
break;
}
//Somebody offers higher price than we can
if (highestBid > maxPrice)
return maxPrice;
//Sugest buy price as middle between our threshold and highest bid
var buyPrice = maxPrice - ((maxPrice - highestBid) / 2.0);
return Math.Round(buyPrice, 7);
}
private double suggestSellPrice(Market market)
{
var lowestAsk = getLowestAsk(market);
var highestBid = market.Bids.First().Price;
var spread = lowestAsk - highestBid;
//Suggest price as 1/3 between lowest ask and highest bid price, closer to ask
var sellPrice = Math.Round(lowestAsk - (spread/3.0), 7);
//The difference is too small and we'd be not the first SELL order. Leave previous price to avoid server call
if (-1 != _sellOrderId && Math.Abs(sellPrice - _sellOrderPrice) < MIN_PRICE_DELTA)
{
log(String.Format("DEBUG: SELL price {0} too similar, using previous", sellPrice));
return _sellOrderPrice;
}
return sellPrice;
}
private double getLowestAsk(Market market)
{
var lowestAsk = market.Asks.First().Price;
if (-1 != _sellOrderId)
{
//Don't count own order if it's the lowest ask
var ask = market.Asks.First();
if (ask.Amount.eq(_operativeAmount) && ask.Price.eq(_sellOrderPrice))
lowestAsk = market.Asks[1].Price;
}
return lowestAsk;
}
/// <summary>Get highest relevant bid price. Ignores bids with very small volume.</summary>
private double getHighestBid(Market market)
{
const double MIN_WALL_VOLUME = 100.0;
var bidVolume = 0.0;
foreach (var bid in market.Bids)
{
bidVolume += bid.Amount;
if (bidVolume > MIN_WALL_VOLUME)
return bid.Price;
}
return market.Bids.Last().Price;
}
private double suggestSellPrice(Market market)
{
const int decPlaces = 14;
double increment = Math.Pow(10.0, -1.0 * decPlaces); // 0.00000000000001;
//Ignore offers with tiny XRP volume (<100 XRP)
const double MIN_WALL_VOLUME = 100.0;
double sumVolume = 0.0;
foreach (var ask in market.Asks)
{
//Don't count self
if (ask.Price.eq(_sellOrderPrice) && ask.Amount.eq(_sellOrderAmount))
continue;
//Skip SELL orders with tiny amount
sumVolume += ask.Amount;
if (sumVolume < MIN_WALL_VOLUME)
continue;
if (ask.Price > _executedBuyPrice + _minDifference)
{
return ask.Price.eq(_sellOrderPrice)
? _sellOrderPrice
: Math.Round(ask.Price - increment, decPlaces);
}
}
//All SELL orders are too low (probably some terrible fall). Suggest SELL order with minimum profit and hope :-( TODO: maybe some stop-loss strategy
return _executedBuyPrice + _minDifference;
}
private double suggestBuyPrice(Market market)
{
const int decPlaces = 14;
double increment = Math.Pow(10.0, -1.0*decPlaces); // 0.00000000000001;
double sum = 0;
var lowestAsk = market.Asks.First().Price;
foreach (var bid in market.Bids)
{
if (sum + _operativeAmount > _volumeWall && bid.Price + 2.0 * _minDifference < lowestAsk)
{
double buyPrice = Math.Round(bid.Price + increment, decPlaces);
//The difference is too small and we'd be not first in BUY orders. Leave previous price to avoid server call
if (-1 != _buyOrderId && buyPrice < market.Bids[0].Price && Math.Abs(buyPrice - _buyOrderPrice) < _minPriceUpdate)
{
log(String.Format("DEBUG: BUY price {0} too similar, using previous", buyPrice));
return _buyOrderPrice;
}
return buyPrice;
}
sum += bid.Amount;
//Don't consider volume of own order
if (bid.Price.eq(_buyOrderPrice))
sum -= _buyOrderAmount;
}
//Market too dry, use BUY order before last, so we see it in chart
var price = market.Bids.Last().Price + increment;
if (-1 != _buyOrderId && Math.Abs(price - _buyOrderPrice) < _minPriceUpdate)
return _buyOrderPrice;
return Math.Round(price, 7);
}
internal Market GetMarketDepth()
{
//BIDs
var command = new MarketDepthRequest
{
id = 2,
taker_pays = new Take { currency = Const.NATIVE_ASSET },
taker_gets = new Take { currency = _fiatCurreny, issuer = _issuerAddress }
};
string bidData = sendToRippleNet(Helpers.SerializeJson(command));
if (null == bidData)
{
return null;
}
if (!checkError("GetMarketDepth", bidData))
{
return null;
}
var bids = Helpers.DeserializeJSON<MarketDepthBidsResponse>(bidData);
if (null == bids.result || null == bids.result.offers)
{
_logger.Error("bidData JSON is " + Environment.NewLine + bidData);
return null;
}
//ASKs
command = new MarketDepthRequest
{
id = 3,
taker_pays = new Take { currency = _fiatCurreny, issuer = _issuerAddress },
taker_gets = new Take { currency = Const.NATIVE_ASSET }
};
string askData = sendToRippleNet(Helpers.SerializeJson(command));
if (null == askData)
{
return null;
}
if (!checkError("GetMarketDepth", askData))
{
return null;
}
var asks = Helpers.DeserializeJSON<MarketDepthAsksResponse>(askData);
if (null == asks.result || null == asks.result.offers)
{
_logger.Error("askData JSON is " + Environment.NewLine + askData);
return null;
}
var market = new Market
{
Bids = bids.result.offers,
Asks = asks.result.offers
};
return market;
}