public OrderInfo(BinanceTradeOrderData order)
{
Symbol = order.Symbol;
Side = order.Side;
Status = order.OrderStatus;
Price = order.Price;
Qty = order.Quantity;
ClientID = order.NewClientOrderId;
BaseCurrReturn = null;
// SET StratStatus and BaseCurrReturn (if filled):
var SideID = order.NewClientOrderId.Split('_')[1];
if (order.OrderStatus == OrderStatus.New)
{
if (order.Side.ToString() == SideID)
{
StratState = StrategyState.OPEN;
InitialPrice = Price;
}
else
{
StratState = StrategyState.TP_ENTERED;
}
}
else if (order.OrderStatus == OrderStatus.Filled)
{
if (order.Side.ToString() == SideID)
{
StratState = StrategyState.OPEN_FILLED;
InitialPrice = Price;
//Set base curr for [SELL] take profit order
if (SideID == "Sell")
{
BaseCurrReturn = order.Price * order.Quantity;
}
}
else
{
StratState = StrategyState.TP_FILLED;
//Set base curr for [BUY] new order
if (SideID == "Buy")
{
BaseCurrReturn = order.Price * order.Quantity;
}
}
}
else if (order.OrderStatus == OrderStatus.PartiallyFilled)
{
// Set StratState to PARTIAL_FILL if it is not a TakeProfit order
if (order.Side.ToString() == SideID)
{
StratState = StrategyState.PARTIAL_FILL;
InitialPrice = Price;
}
}
}
public Order(BinanceTradeOrderData bo)
{
OrderId = bo.OrderId;
Symbol = bo.Symbol;
Market = "Binance";
TradeType = bo.Side == OrderSide.Buy ? TradeDirection.Buy : TradeDirection.Sell;
Type = GetOrderType(bo.Type);
Amount = bo.Quantity;
Price = bo.Price;
Status = GetStatus(bo.OrderStatus);
Filled = bo.AccumulatedQuantityOfFilledTradesThisOrder;
Id = Symbol + OrderId;
ClientId = bo.NewClientOrderId;
Time = bo.EventTime;
}
public Trade(BinanceTradeOrderData tr)
{
Market = "Binance";
Symbol = tr.Symbol;
Direction = tr.Side == OrderSide.Buy ? TradeDirection.Buy : TradeDirection.Sell;
Price = tr.PriceOfLastFilledTrade;
Amount = tr.QuantityOfLastFilledTrade;
Commission = Commission;
CommissionAsset = CommissionAsset;
Time = tr.TimeStamp;
OrderId = tr.OrderId;
ClientOrderId = tr.NewClientOrderId;
TradeId = tr.TradeId;
Id = Symbol + TradeId;
}
private void LogOrderMessage(BinanceTradeOrderData TradeMsg)
{
//Console.WriteLine($"{JsonConvert.SerializeObject(userMsg.TradeOrderData, Formatting.Indented)}");
Log.Debug("\n--------------------------------------------------------------------------\n\n{");
Log.Debug($"ExecutionType: {TradeMsg.ExecutionType}");
Log.Debug($"OrderStatus: {TradeMsg.OrderStatus}");
Log.Debug($"Side: {TradeMsg.Side}");
Log.Debug($"Symbol: {TradeMsg.Symbol}");
Log.Debug($"Price: {TradeMsg.Price}");
Log.Debug($"Quantity: {TradeMsg.Quantity}");
Log.Debug($"PriceOfLastFilledTrade: {TradeMsg.PriceOfLastFilledTrade}");
Log.Debug($"QuantityOfLastFilledTrade: {TradeMsg.QuantityOfLastFilledTrade}");
Log.Debug($"AccumulatedQuantityOfFilledTradesThisOrder: {TradeMsg.AccumulatedQuantityOfFilledTradesThisOrder}");
Log.Debug($"NewClientOrderId: {TradeMsg.NewClientOrderId}");
Log.Debug($"OrderRejectReason: {TradeMsg.OrderRejectReason}");
Log.Debug("}");
}
public UserDataUpdate(BinanceTradeOrderData tradeOrds = null, BinanceAccountUpdateData account = null)
{
TradeOrderData = tradeOrds;
AccountData = account;
}
public void HandleOrderMessage(BinanceTradeOrderData data)
{
UserUpdateQueue.Enqueue(new UserDataUpdate(tradeOrds: data));
}
public async Task HandleTradeMsg(BinanceTradeOrderData TradeMsg, string[] ID)
{
// EXECUTION SWITCH
switch (TradeMsg.ExecutionType)
{
case ExecutionType.New:
// UPDATE UNCONFIRMED BUY/SELL OrderInfo in openOrders LIST:
var orderInfo = new OrderInfo(TradeMsg);
if (ID[1] == "Buy")
{
P2_BuyOrders[P2_BuyOrders.IndexOf(P2_BuyOrders.First(o => o.ClientID == TradeMsg.NewClientOrderId))] = orderInfo;
}
else if (ID[1] == "Sell")
{
P2_SellOrders[P2_SellOrders.IndexOf(P2_SellOrders.First(o => o.ClientID == TradeMsg.NewClientOrderId))] = orderInfo;
}
break;
case ExecutionType.Trade:
if (TradeMsg.OrderStatus == OrderStatus.Filled)
{
// UPDATE ORDERS StratStatus in OpenDATAorders:
var order = new OrderInfo(TradeMsg);
if (ID[1] == "Buy")
{
// HANDLE RAPID TP-ORDER HERE
if (order.StratState == StrategyState.OPEN_FILLED)
{
// place TP order, update to TP_ENTERED
var tpPrice = Math.Round(order.Price * (1 + SETTINGS.TakeProfitMargin), PriceRoundDigits);
var tpQty = order.Qty;
var tpOrd = new CreateOrderRequest()
{
Side = OrderSide.Sell,
Symbol = order.Symbol,
Price = tpPrice,
Quantity = tpQty,
NewClientOrderId = order.ClientID
};
var resp = await BinaREST.CreateLimitOrder(tpOrd);
if (resp != null)
{
Log.Debug($">>> [BUY] Take-Profit submitted");
}
// update order info
var initPrice = order.Price;
order = new OrderInfo(tpOrd, StrategyState.TP_UNCONFIRMED);
order.InitialPrice = initPrice;
}
else if (order.StratState == StrategyState.TP_FILLED)
{
BUYProfitCyclesP2++;
}
P2_BuyOrders[P2_BuyOrders.IndexOf(P2_BuyOrders.First(o => o.ClientID == TradeMsg.NewClientOrderId))] = order;
}
else if (ID[1] == "Sell")
{
// HANDLE RAPID TP-ORDER HERE
if (order.StratState == StrategyState.OPEN_FILLED)
{
// place TP order, update to TP_ENTERED
var tpPrice = Math.Round(order.Price * (1 - SETTINGS.TakeProfitMargin), PriceRoundDigits);
var tpQty = Math.Round(Convert.ToDecimal(order.BaseCurrReturn) / (tpPrice * (1 + SETTINGS.FeePercentage)), QtyRoundDigits);
var ord = new CreateOrderRequest()
{
Side = OrderSide.Buy,
Symbol = order.Symbol,
Price = tpPrice,
Quantity = tpQty,
NewClientOrderId = order.ClientID
};
var resp = await BinaREST.CreateLimitOrder(ord);
if (resp != null)
{
Log.Debug($">>> [SELL] Take-Profit submitted");
}
// update order info
var initPrice = order.Price;
order = new OrderInfo(ord, StrategyState.TP_UNCONFIRMED);
order.InitialPrice = initPrice;
}
else if (order.StratState == StrategyState.TP_FILLED)
{
SELLProfitCyclesP2++;
}
P2_SellOrders[P2_SellOrders.IndexOf(P2_SellOrders.First(o => o.ClientID == TradeMsg.NewClientOrderId))] = order;
}
}
else if (TradeMsg.OrderStatus == OrderStatus.PartiallyFilled)
{
// HANDLE PARTIAL FILLS (ANCHOR UNTIL FILLED)
var order = new OrderInfo(TradeMsg);
if (order.StratState == StrategyState.PARTIAL_FILL)
{
if (ID[1] == "Buy")
{
P2_BuyOrders[P2_BuyOrders.IndexOf(P2_BuyOrders.First(o => o.ClientID == TradeMsg.NewClientOrderId))] = order;
}
else if (ID[1] == "Sell")
{
P2_SellOrders[P2_SellOrders.IndexOf(P2_SellOrders.First(o => o.ClientID == TradeMsg.NewClientOrderId))] = order;
}
}
}
break;
case ExecutionType.Cancelled:
break;
case ExecutionType.Rejected:
LogOrderMessage(TradeMsg);
break;
default:
LogOrderMessage(TradeMsg);
break;
}
}
