private async void OnOrderBookUpdated(object sender, OrderBookUpdatedEventArgs e)
{
if (Position.CurrencyPairId != e.CurrencyPairId)
{
return;
}
if (Position.IsAwaitingOrderUpdating)
{
return;
}
if (Interlocked.Read(ref _positionUpdatingTasksCount) > 0)
{
return;
}
Interlocked.Increment(ref _positionUpdatingTasksCount);
await _positionUpdatingSemaphore.WaitAsync();
try
{
if (!Position.IsCompletedPosition)
{
if (Position.OpenPositionOrder.OrderStateType == OrderStateType.New)
{
var newPrice = _orderBookLoadingService.GetTopBidPrice(Position.OpenPositionOrder.CurrencyPair, 3);
if (newPrice > Position.OpenPositionOrder.Price)
{
var nextPosition = Position.Clone();
nextPosition.OpenPositionOrder.Price = newPrice;
nextPosition = await _tradingPositionService.UpdatePosition(Position, nextPosition, true, OnPositionChanged);
if (nextPosition != null)
{
Position.SyncWithAnotherPosition(nextPosition, true);
}
}
}
else if (Position.ClosePositionOrder.OrderStateType == OrderStateType.New)
{
var newPrice = _orderBookLoadingService.GetBottomAskPrice(Position.OpenPositionOrder.CurrencyPair, 3);
if (newPrice > 0 && newPrice < Position.ClosePositionOrder.Price)
{
var nextPosition = Position.Clone();
nextPosition.ClosePositionOrder.Price = newPrice;
nextPosition = await _tradingPositionService.UpdatePosition(Position, nextPosition, true, OnPositionChanged);
if (nextPosition != null)
{
Position.SyncWithAnotherPosition(nextPosition, true);
}
}
}
}
}
finally
{
_positionUpdatingSemaphore.Release();
}
Interlocked.Decrement(ref _positionUpdatingTasksCount);
}
public OpenPositionInfo ProcessMarketPosition(TradingPosition activeTradingPosition)
{
var settings = _configurationService.GetTradingSettings();
var moment = settings.Moment ?? DateTime.UtcNow;
var initialPositionInfo = new UpdateClosePositionInfo
{
ClosePrice = activeTradingPosition.ClosePositionOrder.Price,
CloseStopPrice = activeTradingPosition.ClosePositionOrder.StopPrice ?? 0,
StopLossPrice = activeTradingPosition.StopLossOrder.StopPrice ?? 0
};
OpenPositionInfo newPositionInfo = null;
var rsiSettings = new CommonIndicatorSettings
{
Period = 10
};
var higherPeriodMACDSettings = new MACDSettings
{
EMAPeriod1 = 12,
EMAPeriod2 = 26,
SignalPeriod = 9
};
var candleRangeSize = new[]
{
rsiSettings.Period + 2,
2
}.Max();
var targetPeriodLastCandles = _candleLoadingService.LoadCandles(
activeTradingPosition.OpenPositionOrder.CurrencyPair.Id,
settings.Period,
candleRangeSize,
moment)
.ToList();
if (!targetPeriodLastCandles.Any())
{
throw new NoNullAllowedException("No candles loaded");
}
var currentTargetPeriodCandle = targetPeriodLastCandles.Last();
var higherPeriodLastCandles = _candleLoadingService.LoadCandles(
activeTradingPosition.OpenPositionOrder.CurrencyPair.Id,
settings.Period.GetHigherFramePeriod(),
rsiSettings.Period,
moment)
.ToList();
if (!higherPeriodLastCandles.Any())
{
throw new NoNullAllowedException("No candles loaded");
}
var lowerPeriodCandles = _candleLoadingService.LoadCandles(
activeTradingPosition.OpenPositionOrder.CurrencyPair.Id,
settings.Period.GetLowerFramePeriod(),
rsiSettings.Period + 1,
moment)
.ToList();
if (!lowerPeriodCandles.Any())
{
throw new NoNullAllowedException("No candles loaded");
}
var currentLowPeriodCandle = lowerPeriodCandles.Last();
if (currentTargetPeriodCandle.Moment < currentLowPeriodCandle.Moment)
{
var lastLowPeriodCandles = lowerPeriodCandles
.Where(item => item.Moment > currentTargetPeriodCandle.Moment)
.OrderBy(item => item.Moment)
.ToList();
if (lastLowPeriodCandles.Any())
{
targetPeriodLastCandles.Add(new Candle
{
Moment = lastLowPeriodCandles.Last().Moment,
MaxPrice = lastLowPeriodCandles.Max(item => item.MaxPrice),
MinPrice = lastLowPeriodCandles.Min(item => item.MinPrice),
OpenPrice = lastLowPeriodCandles.First().OpenPrice,
ClosePrice = lastLowPeriodCandles.Last().ClosePrice,
VolumeInBaseCurrency = lastLowPeriodCandles.Sum(item => item.VolumeInBaseCurrency),
VolumeInQuoteCurrency = lastLowPeriodCandles.Sum(item => item.VolumeInQuoteCurrency)
});
}
}
var candlesCount = targetPeriodLastCandles.Count;
var period = (candlesCount - 2) > rsiSettings.Period ? rsiSettings.Period : candlesCount - 2;
var rsiValues = _indicatorComputingService.ComputeRelativeStrengthIndex(
targetPeriodLastCandles,
period)
.OfType <SimpleIndicatorValue>()
.ToList();
var currentRSIValue = rsiValues.ElementAtOrDefault(rsiValues.Count - 1);
var previousRSIValue = rsiValues.ElementAtOrDefault(rsiValues.Count - 2);
var higherPeriodMACDValues = _indicatorComputingService.ComputeMACD(
higherPeriodLastCandles,
higherPeriodMACDSettings.EMAPeriod1,
higherPeriodMACDSettings.EMAPeriod2,
higherPeriodMACDSettings.SignalPeriod)
.OfType <MACDValue>()
.ToList();
var higherPeriodCurrentMACDValue = higherPeriodMACDValues.ElementAtOrDefault(higherPeriodMACDValues.Count - 1);
var rsiBottomBorder = 70;
if (higherPeriodCurrentMACDValue?.MACD < 0 && higherPeriodCurrentMACDValue.Histogram < 0)
{
rsiBottomBorder = 50;
}
if (higherPeriodCurrentMACDValue?.MACD < 0 || higherPeriodCurrentMACDValue?.Histogram < 0)
{
rsiBottomBorder = 60;
}
if ((currentRSIValue?.Value >= rsiBottomBorder &&
currentRSIValue.Value < 80 &&
currentRSIValue.Value < previousRSIValue?.Value) ||
(activeTradingPosition.ClosePositionOrder.OrderStateType != OrderStateType.Pending &&
currentRSIValue?.Value < 40 &&
currentRSIValue.Value < previousRSIValue?.Value))
{
var updatePositionInfo = new UpdateClosePositionInfo
{
StopLossPrice = initialPositionInfo.StopLossPrice
};
if (activeTradingPosition.ClosePositionOrder.OrderStateType == OrderStateType.Pending ||
activeTradingPosition.ClosePositionOrder.OrderStateType == OrderStateType.Suspended)
{
var bottomMeaningfulAskPrice = _orderBookLoadingService.GetBottomMeaningfulAskPrice(activeTradingPosition.ClosePositionOrder.CurrencyPair);
updatePositionInfo.ClosePrice = bottomMeaningfulAskPrice - activeTradingPosition.ClosePositionOrder.CurrencyPair.TickSize;
var topBidPrice = _orderBookLoadingService.GetTopBidPrice(activeTradingPosition.ClosePositionOrder.CurrencyPair, 3);
updatePositionInfo.CloseStopPrice = !activeTradingPosition.ClosePositionOrder.StopPrice.HasValue || topBidPrice >= activeTradingPosition.ClosePositionOrder.StopPrice ?
topBidPrice :
activeTradingPosition.ClosePositionOrder.StopPrice.Value;
}
else
{
var bottomAskPrice = _orderBookLoadingService.GetBottomAskPrice(activeTradingPosition.ClosePositionOrder.CurrencyPair, 3);
updatePositionInfo.ClosePrice = activeTradingPosition.ClosePositionOrder.Price <= bottomAskPrice ?
activeTradingPosition.ClosePositionOrder.Price :
bottomAskPrice;
updatePositionInfo.CloseStopPrice = 0;
}
if (updatePositionInfo.ClosePrice != initialPositionInfo.ClosePrice ||
updatePositionInfo.CloseStopPrice != initialPositionInfo.CloseStopPrice)
{
newPositionInfo = updatePositionInfo;
}
}
else if (activeTradingPosition.ClosePositionOrder.OrderStateType != OrderStateType.Pending &&
currentRSIValue?.Value < rsiBottomBorder &&
currentRSIValue.Value > previousRSIValue?.Value)
{
newPositionInfo = new SuspendPositionInfo();
}
else if (activeTradingPosition.ClosePositionOrder.OrderStateType != OrderStateType.Pending &&
currentRSIValue?.Value >= 80)
{
newPositionInfo = new SuspendPositionInfo();
}
if (newPositionInfo == null &&
currentTargetPeriodCandle.Moment >= currentLowPeriodCandle.Moment &&
currentRSIValue?.Value > previousRSIValue?.Value)
{
var fixStopLossInfo = new FixStopLossInfo {
StopLossPrice = initialPositionInfo.StopLossPrice
};
ComputeStopLossUsingParabolicSAR(
fixStopLossInfo,
activeTradingPosition.StopLossOrder,
currentTargetPeriodCandle);
if (fixStopLossInfo.StopLossPrice != initialPositionInfo.StopLossPrice)
{
newPositionInfo = fixStopLossInfo;
}
}
if (newPositionInfo == null)
{
return(new HoldPositionInfo());
}
return(newPositionInfo);
}
public PendingPositionInfo ProcessMarketPosition(TradingPosition activeTradingPosition)
{
var settings = _configurationService.GetTradingSettings();
var moment = settings.Moment ?? DateTime.UtcNow;
var rsiSettings = new CommonIndicatorSettings
{
Period = 14
};
var targetPeriodLastCandles = _candleLoadingService.LoadCandles(
activeTradingPosition.OpenPositionOrder.CurrencyPair.Id,
settings.Period,
rsiSettings.Period * 2,
moment)
.ToList();
if (!targetPeriodLastCandles.Any())
{
throw new NoNullAllowedException("No candles loaded");
}
var currentTargetPeriodCandle = targetPeriodLastCandles.Last();
var higherPeriodLastCandles = _candleLoadingService.LoadCandles(
activeTradingPosition.OpenPositionOrder.CurrencyPair.Id,
settings.Period.GetHigherFramePeriod(),
rsiSettings.Period,
moment)
.ToList();
if (!higherPeriodLastCandles.Any())
{
throw new NoNullAllowedException("No candles loaded");
}
var lowerPeriodCandles = _candleLoadingService.LoadCandles(
activeTradingPosition.OpenPositionOrder.CurrencyPair.Id,
settings.Period.GetLowerFramePeriod(),
rsiSettings.Period,
moment)
.ToList();
if (!lowerPeriodCandles.Any())
{
throw new NoNullAllowedException("No candles loaded");
}
var currentLowPeriodCandle = lowerPeriodCandles.Last();
if (currentTargetPeriodCandle.Moment < currentLowPeriodCandle.Moment)
{
var lastLowPeriodCandles = lowerPeriodCandles
.Where(item => item.Moment > currentTargetPeriodCandle.Moment)
.OrderBy(item => item.Moment)
.ToList();
if (lastLowPeriodCandles.Any())
{
targetPeriodLastCandles.Add(new Candle
{
Moment = lastLowPeriodCandles.Last().Moment,
MaxPrice = lastLowPeriodCandles.Max(item => item.MaxPrice),
MinPrice = lastLowPeriodCandles.Min(item => item.MinPrice),
OpenPrice = lastLowPeriodCandles.First().OpenPrice,
ClosePrice = lastLowPeriodCandles.Last().ClosePrice,
VolumeInBaseCurrency = lastLowPeriodCandles.Sum(item => item.VolumeInBaseCurrency),
VolumeInQuoteCurrency = lastLowPeriodCandles.Sum(item => item.VolumeInQuoteCurrency)
});
currentTargetPeriodCandle = targetPeriodLastCandles.Last();
}
}
var candlesCount = targetPeriodLastCandles.Count;
var period = (candlesCount - 2) > rsiSettings.Period ? rsiSettings.Period : candlesCount - 2;
var rsiValues = _indicatorComputingService.ComputeRelativeStrengthIndex(
targetPeriodLastCandles,
period)
.OfType <SimpleIndicatorValue>()
.ToList();
var currentRSIValue = rsiValues.ElementAtOrDefault(rsiValues.Count - 1);
var previousRSIValue = rsiValues.ElementAtOrDefault(rsiValues.Count - 2);
var minWilliamsRValue = rsiValues.Where(item => item.Value.HasValue).Select(item => item.Value.Value).Min();
if (currentRSIValue?.Value == null)
{
throw new NoNullAllowedException("No WilliamR values calculated");
}
//var higherPeriodMACDSettings = new MACDSettings
//{
// EMAPeriod1 = 12,
// EMAPeriod2 = 26,
// SignalPeriod = 9
//};
//var higherPeriodMACDValues = _indicatorComputingService.ComputeMACD(
// higherPeriodLastCandles,
// higherPeriodMACDSettings.EMAPeriod1,
// higherPeriodMACDSettings.EMAPeriod2,
// higherPeriodMACDSettings.SignalPeriod)
// .OfType<MACDValue>()
// .ToList();
//var higherPeriodCurrentMACDValue = higherPeriodMACDValues.ElementAtOrDefault(higherPeriodMACDValues.Count - 1);
var rsiTopBorder = 45;
//if (higherPeriodCurrentMACDValue?.MACD > 0 && higherPeriodCurrentMACDValue.Histogram >= 0)
// rsiTopBorder = 65;
//if (higherPeriodCurrentMACDValue?.MACD > 0 || higherPeriodCurrentMACDValue?.Histogram >= 0)
// rsiTopBorder = 60;
if (currentRSIValue.Value <= rsiTopBorder &&
currentRSIValue.Value > 25 &&
((activeTradingPosition.OpenPositionOrder.OrderStateType == OrderStateType.Suspended && currentRSIValue.Value > previousRSIValue?.Value) ||
(activeTradingPosition.OpenPositionOrder.OrderStateType != OrderStateType.Suspended)) &&
Math.Abs(minWilliamsRValue - currentRSIValue.Value ?? 0) < 20)
{
var topBidPrice = _orderBookLoadingService.GetTopBidPrice(activeTradingPosition.OpenPositionOrder.CurrencyPair, 3);
var openPrice = activeTradingPosition.OpenPositionOrder.Price >= topBidPrice ?
activeTradingPosition.OpenPositionOrder.Price :
topBidPrice;
if (activeTradingPosition.OpenPositionOrder.OrderStateType == OrderStateType.New &&
activeTradingPosition.OpenPositionOrder.Price != openPrice)
{
return new UpdateOrderInfo
{
OpenPrice = openPrice,
ClosePrice = new[] { currentTargetPeriodCandle.MaxPrice, activeTradingPosition.ClosePositionOrder.Price }.Max(),
CloseStopPrice = new[] { currentTargetPeriodCandle.MinPrice, activeTradingPosition.ClosePositionOrder.StopPrice ?? 0 }.Min(),
StopLossPrice = new[]
{
currentTargetPeriodCandle.MinPrice - targetPeriodLastCandles.Select(candle => (candle.MaxPrice - candle.MinPrice) * 5).Average(),
activeTradingPosition.StopLossOrder.StopPrice ?? 0
}.Min()
}
}
;
return(new PendingOrderInfo());
}
return(new CancelOrderInfo());
}
}