protected ExchangeEngine(MessagePump messagePump)
{
m_MessagePump = messagePump ?? throw new ArgumentNullException(nameof(messagePump));
m_Balances = new ConcurrentDictionary <String, Decimal>();
m_OrderBooks = new ConcurrentDictionary <String, SortedOrderBook>();
m_Trades = new List <Trade>();
}
public static ExchangeEngine FromConfiguration(MessagePump messagePump)
{
switch (Config.Exchange)
{
case Exchange.Binance:
return(new BinanceEngine(messagePump));
default:
throw new InvalidOperationException(Resources.InvalidConfigurationExchange);
}
}
public TradingEngine(MessagePump messagePump, ExchangeEngine exchangeEngine)
{
m_MessagePump = messagePump ?? throw new ArgumentNullException(nameof(messagePump));
m_ExchangeEngine = exchangeEngine ?? throw new ArgumentNullException(nameof(exchangeEngine));
if (!m_ExchangeEngine.Initialized)
{
throw new Exception(Resources.EngineNotInitialized);
}
m_Arbitrages = new BlockingCollection <Arbitrage>(new ConcurrentQueue <Arbitrage>());
m_Executions = new Dictionary <DateTime, Execution>();
m_ExecutionSymbols = new HashSet <String>();
m_CycleDurations = new List <Int32>();
String session = Utilities.FormatMessage(Resources.TradingSession, $"{DateTime.Now:yyyy-MM-dd HH:mm:ss}");
String sessionFrame = new String('*', session.Length);
m_MessagePump.Signal(sessionFrame);
m_MessagePump.Signal(session);
m_MessagePump.Signal(sessionFrame);
m_Consumer = Task.Factory.StartNew(() =>
{
foreach (Arbitrage arbitrage in m_Arbitrages.GetConsumingEnumerable())
{
Task.Run(() => ExecuteArbitrage(arbitrage));
}
},
CancellationToken.None, TaskCreationOptions.LongRunning, TaskScheduler.Default);
m_Producer = Task.Factory.StartNew(() =>
{
Thread.Sleep(Config.TradingCyclesDelay * 10);
while (!m_Arbitrages.IsCompleted)
{
Task.Run(() => DetectArbitrages());
Thread.Sleep(Config.TradingCyclesDelay);
}
},
CancellationToken.None, TaskCreationOptions.LongRunning, TaskScheduler.Default);
}
public BinanceEngine(MessagePump messagePump) : base(messagePump)
{
m_Api = new BinanceApi();
m_OrderBooksCache = new Dictionary <String, DepthWebSocketCache>();
}