private async Task <IReadOnlyCollection <HedgeLimitOrder> > CreateLimitOrdersAsync( IEnumerable <AssetInvestment> assetInvestments) { HedgeSettings hedgeSettings = await _hedgeSettingsService.GetAsync(); var hedgeLimitOrders = new List <HedgeLimitOrder>(); foreach (AssetInvestment assetInvestment in assetInvestments) { AssetHedgeSettings assetHedgeSettings = await _assetHedgeSettingsService.EnsureAsync(assetInvestment.AssetId); LimitOrderType limitOrderType = assetInvestment.RemainingAmount > 0 ? LimitOrderType.Sell : LimitOrderType.Buy; if (!CanCreateHedgeLimitOrder(assetInvestment, assetHedgeSettings, hedgeSettings, limitOrderType)) { continue; } decimal commonThresholdUp = limitOrderType == LimitOrderType.Buy ? hedgeSettings.ThresholdUpBuy : hedgeSettings.ThresholdUpSell; LimitOrderPrice limitOrderPrice = LimitOrderPriceCalculator.Calculate(assetInvestment.Quote, Math.Abs(assetInvestment.RemainingAmount), limitOrderType, assetHedgeSettings.ThresholdUp ?? commonThresholdUp, hedgeSettings.MarketOrderMarkup); decimal price = limitOrderPrice.Price; decimal volume = Math.Abs(assetInvestment.RemainingAmount / assetInvestment.Quote.Mid); HedgeLimitOrder hedgeLimitOrder = HedgeLimitOrder.Create(assetHedgeSettings.Exchange, assetHedgeSettings.AssetId, assetHedgeSettings.AssetPairId, limitOrderType, limitOrderPrice.Type, price, volume); hedgeLimitOrder.Context = assetInvestment.ToJson(); hedgeLimitOrders.Add(hedgeLimitOrder); } return(hedgeLimitOrders); }
public async Task HandleIndexAsync(Index index) { MarketMakerState marketMakerState = await _marketMakerStateService.GetAsync(); IndexSettings indexSettings = await _indexSettingsService.GetByIndexAsync(index.Name); if (marketMakerState.Status != MarketMakerStatus.Active) { if (indexSettings != null) { foreach (AssetWeight assetWeight in index.Weights) { await _assetHedgeSettingsService.EnsureAsync(assetWeight.AssetId); } } return; } foreach (var assetWeight in index.Weights) { Quote quote = new Quote($"{assetWeight.AssetId}USD", index.Timestamp, assetWeight.Price, assetWeight.Price, ExchangeNames.Virtual); await _quoteService.UpdateAsync(quote); } if (indexSettings == null) { return; } await _semaphore.WaitAsync(); try { await _indexPriceService.UpdateAsync(index); await _hedgeService.UpdateLimitOrdersAsync(); await _marketMakerService.UpdateLimitOrdersAsync(index.Name); } catch (InvalidOperationException exception) { _log.WarningWithDetails("An error occurred while processing index", exception, index); } catch (Exception exception) { _log.ErrorWithDetails(exception, "An error occurred while processing index", index); throw; } finally { _semaphore.Release(); } }
private async Task UpdateAssets(IndexSettings indexSettings, Index index) { if (indexSettings != null) { foreach (AssetWeight assetWeight in index.Weights) { await _assetHedgeSettingsService.EnsureAsync(assetWeight.AssetId); } } }
private async Task CalculateAssetSettlementsAsync(Settlement settlement, IEnumerable <AssetWeight> assetWeights) { decimal amountInUsd = settlement.Amount * settlement.Price; var assetSettlements = new List <AssetSettlement>(); foreach (AssetWeight assetWeight in assetWeights) { AssetHedgeSettings assetHedgeSettings = await _assetHedgeSettingsService.EnsureAsync(assetWeight.AssetId); Quote quote = _quoteService.GetByAssetPairId(assetHedgeSettings.Exchange, assetHedgeSettings.AssetPairId); decimal amount = 0; decimal price = 0; if (quote != null) { amount = amountInUsd * assetWeight.Weight / quote.Mid; price = quote.Mid; } assetSettlements.Add(new AssetSettlement { AssetId = assetWeight.AssetId, SettlementId = settlement.Id, Amount = amount, Price = price, Fee = decimal.Zero, Weight = assetWeight.Weight, IsDirect = settlement.IsDirect && assetWeight.Weight > AssetMinWeightToDirectTransfer, IsExternal = assetHedgeSettings.Exchange != ExchangeNames.Lykke, Status = AssetSettlementStatus.New, ActualAmount = amount, ActualPrice = price, Error = quote == null ? SettlementError.NoQuote : SettlementError.None }); } settlement.Assets = assetSettlements; }
private async Task <IReadOnlyCollection <PositionReport> > CreateReports() { IReadOnlyCollection <Position> positions = await _positionService.GetAllAsync(); IReadOnlyCollection <AssetInvestment> assetInvestments = _investmentService.GetAll(); IReadOnlyCollection <HedgeLimitOrder> hedgeLimitOrders = _hedgeLimitOrderService.GetAll(); HedgeSettings hedgeSettings = await _hedgeSettingsService.GetAsync(); IReadOnlyCollection <AssetHedgeSettings> assetsHedgeSettings = await _assetHedgeSettingsService.GetAllAsync(); string[] assets = positions.Select(o => o.AssetId) .Union(assetInvestments.Select(o => o.AssetId)) .Union(assetsHedgeSettings.Select(o => o.AssetId)) .ToArray(); var positionReports = new List <PositionReport>(); foreach (string assetId in assets) { AssetHedgeSettings assetHedgeSettings = await _assetHedgeSettingsService.EnsureAsync(assetId); Position currentPosition = positions .SingleOrDefault(o => o.AssetId == assetId && o.Exchange == assetHedgeSettings.Exchange); HedgeLimitOrder hedgeLimitOrder = hedgeLimitOrders.SingleOrDefault(o => o.AssetId == assetId); AssetInvestment assetInvestment = assetInvestments.SingleOrDefault(o => o.AssetId == assetId); decimal?volumeInUsd = null; if (currentPosition != null) { volumeInUsd = GetVolumeInUsd(currentPosition.AssetId, currentPosition.Exchange, currentPosition.Volume); } Quote assetQuote; if (assetInvestment == null) { assetQuote = _rateService.GetQuoteUsd(assetHedgeSettings.AssetId, assetHedgeSettings.Exchange); } else { assetQuote = assetInvestment.Quote; } positionReports.Add(new PositionReport { AssetId = assetId, Exchange = assetHedgeSettings.Exchange, Quote = assetQuote, Volume = currentPosition?.Volume, VolumeInUsd = volumeInUsd, OppositeVolume = currentPosition?.OppositeVolume, PnL = volumeInUsd.HasValue ? currentPosition.OppositeVolume + volumeInUsd : null, HedgeLimitOrder = hedgeLimitOrder, AssetInvestment = assetInvestment, Error = ValidateAssetHedgeSettings(assetHedgeSettings) ?? ValidateInvestments(assetInvestment) ?? ValidateThresholdCritical(assetInvestment, hedgeSettings, assetHedgeSettings) ?? ValidateQuote(assetQuote) }); IEnumerable <Position> otherPositions = positions .Where(o => o.AssetId == assetId && o.Exchange != assetHedgeSettings.Exchange); foreach (Position position in otherPositions) { Quote otherPositionQuote = _rateService.GetQuoteUsd(position.AssetId, position.Exchange); volumeInUsd = GetVolumeInUsd(position.AssetId, position.Exchange, position.Volume); positionReports.Add(new PositionReport { AssetId = assetId, Exchange = position.Exchange, Quote = otherPositionQuote, Volume = position.Volume, VolumeInUsd = volumeInUsd, OppositeVolume = position.OppositeVolume, PnL = volumeInUsd.HasValue ? position.OppositeVolume + volumeInUsd : null, HedgeLimitOrder = null, AssetInvestment = null, Error = ValidateAssetHedgeSettings(assetHedgeSettings) ?? ValidateQuote(otherPositionQuote) }); } } foreach (PositionReport positionReport in positionReports) { if (positionReport.Exchange == ExchangeNames.Virtual) { positionReport.ActualPnL = -1 * positionReport.PnL; } else { positionReport.ActualPnL = positionReport.PnL; } } return(positionReports .OrderBy(o => o.AssetId) .ToArray()); }