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;
}
}
public async Task Activate(decimal middle, decimal top, decimal bottom)
{
// populate grid values if necessary
PopulateGridVals(bottom);
// snap existing P2 TakeProfit orders to an initial grid price
SetInitialPrices();
// narrow down grid_values to only possible order placements
var middleRound = Math.Round(middle, PriceRoundDigits);
var possibleBuyVals = grid_values.Where(x => x >= middle * (1 - (SETTINGS.grid_interval * SETTINGS.MaxOrdsPerSide)) &&
x <middleRound && // Within range, and not impeding the phase1 TP boundary
x> bottom &&
x * (1 + SETTINGS.TakeProfitMargin) < top).ToList();
var possibleSellVals = grid_values.Where(x => x <= middle * (1 + (SETTINGS.grid_interval * SETTINGS.MaxOrdsPerSide)) &&
x > middleRound &&
x <top &&
x * (1 - SETTINGS.TakeProfitMargin)> bottom).ToList();
// further filter possibleVals and cancel any OPEN orders that fall outside:
var canceledOrds = new List <OrderInfo>();
foreach (var order in P2_BuyOrders)
{
// remove already placed orders from possibleVals
if (order.StratState == StrategyState.OPEN ||
order.StratState == StrategyState.OPEN_UNCONFIRMED ||
order.StratState == StrategyState.OPEN_FILLED ||
order.StratState == StrategyState.PARTIAL_FILL)
{
possibleBuyVals.Remove(order.Price);
}
// cancel any OPEN status orders outside the possibleVals
else if (order.StratState == StrategyState.OPEN && !possibleBuyVals.Any(x => x == order.Price))
{
var cancelResp = await BinaREST.CancelOrder(order.Symbol, order.ClientID);
if (cancelResp != null)
{
Log.Debug($">>> [P2_BUY] CANCELED - Price: {order.Price}");
}
canceledOrds.Add(order);
}
// and remove possibleVals that already have corresponding TakeProfit.InitPrice open
else if (order.StratState == StrategyState.TP_ENTERED ||
order.StratState == StrategyState.TP_UNCONFIRMED ||
order.StratState == StrategyState.TP_FILLED)
{
possibleBuyVals.Remove(order.InitialPrice);
}
}
P2_BuyOrders = P2_BuyOrders.Except(canceledOrds).ToList();
// Same as above for Sell side:
canceledOrds.Clear();
foreach (var order in P2_SellOrders)
{
if (order.StratState == StrategyState.OPEN ||
order.StratState == StrategyState.OPEN_UNCONFIRMED ||
order.StratState == StrategyState.OPEN_FILLED ||
order.StratState == StrategyState.PARTIAL_FILL)
{
possibleSellVals.Remove(order.Price);
}
else if (order.StratState == StrategyState.OPEN && !possibleSellVals.Any(x => x == order.Price))
{
var cancelResp = await BinaREST.CancelOrder(order.Symbol, order.ClientID);
if (cancelResp != null)
{
Log.Debug($">>> [P2_SELL] CANCELED - Price: {order.Price}");
}
canceledOrds.Add(order);
}
else if (order.StratState == StrategyState.TP_ENTERED ||
order.StratState == StrategyState.TP_UNCONFIRMED ||
order.StratState == StrategyState.TP_FILLED)
{
possibleSellVals.Remove(order.InitialPrice);
}
}
P2_SellOrders = P2_SellOrders.Except(canceledOrds).ToList();
possibleBuyVals = possibleBuyVals.Distinct().ToList();
possibleSellVals = possibleSellVals.Distinct().ToList();
// place orders on remaining values, add to orderInfo Lists
possibleBuyVals.OrderByDescending(v => v);
foreach (var p in possibleBuyVals)
{
// FIRST REPLACE ANY 'TP_FILLED' WITH COMPOUNDED GAINS
var filledTP = P2_BuyOrders.FirstOrDefault(o => o.StratState == StrategyState.TP_FILLED);
if (filledTP != null)
{
var buyQty = Math.Round(Convert.ToDecimal(filledTP.BaseCurrReturn) / (p * (1 + SETTINGS.FeePercentage)), QtyRoundDigits);
var order = new CreateOrderRequest()
{
Side = OrderSide.Buy,
Symbol = MarketSymbol,
Price = p,
Quantity = buyQty,
NewClientOrderId = filledTP.ClientID
};
var response = await BinaREST.CreateLimitOrder(order);
if (response != null)
{
Log.Debug($">>> [BUY] (RE)ORDER PLACED - Price: {p}");
}
// update order info
var newOrd = new OrderInfo(order, StrategyState.OPEN_UNCONFIRMED);
newOrd.InitialPrice = p;
P2_BuyOrders[P2_BuyOrders.IndexOf(P2_BuyOrders.First(o => o.ClientID == filledTP.ClientID))] = newOrd;
}
//Place remaining available OPEN order slots
else if (P2_BuyOrders.Count() < SETTINGS.MaxOrdsPerSide)
{
var buyQty = Math.Round(SETTINGS.PrimaryWager / (p * (1 + SETTINGS.FeePercentage)), QtyRoundDigits);
var order = new CreateOrderRequest()
{
Side = OrderSide.Buy,
Symbol = MarketSymbol,
Price = p,
Quantity = buyQty,
NewClientOrderId = "bin2_Buy_" + UniqueString()
};
var response = await BinaREST.CreateLimitOrder(order);
if (response != null)
{
Log.Debug($">>> [P2_BUY] ORDER PLACED - Price: {p}");
}
// add order status to prevent repeat order
var newOrd = new OrderInfo(order, StrategyState.OPEN_UNCONFIRMED);
newOrd.InitialPrice = p;
P2_BuyOrders.Add(newOrd);
}
// MOVE UP LOWER BUY ORDERS
else if (P2_BuyOrders.Any(o => o.StratState == StrategyState.OPEN && o.Price < p))
{
// Cancel lowest buy order
var minPrice = P2_BuyOrders.Where(o => o.StratState == StrategyState.OPEN).Min(o => o.Price);
var oldOrder = P2_BuyOrders.First(o => o.Price == minPrice);
var baseReturn = 0M;
if (oldOrder.BaseCurrReturn != null)
{
baseReturn = Convert.ToDecimal(oldOrder.BaseCurrReturn);
}
var cancelResp = await BinaREST.CancelOrder(oldOrder.Symbol, oldOrder.ClientID);
if (cancelResp != null)
{
Log.Debug($">>> [P2_SELL] CANCELED - Price: {oldOrder.Price}");
}
P2_BuyOrders.Remove(oldOrder);
// Place order at correct price
// If baseCurr != 0, use this to calc QTY, else primary wager
var buyQty = Math.Round(SETTINGS.PrimaryWager / (p * (1 + SETTINGS.FeePercentage)), QtyRoundDigits);
if (baseReturn != 0)
{
buyQty = Math.Round(Convert.ToDecimal(baseReturn) / (p * (1 + SETTINGS.FeePercentage)), QtyRoundDigits);
}
var order = new CreateOrderRequest()
{
Side = OrderSide.Buy,
Symbol = MarketSymbol,
Price = p,
Quantity = buyQty,
NewClientOrderId = "bin2_Buy_" + UniqueString()
};
var response = await BinaREST.CreateLimitOrder(order);
if (response != null)
{
Log.Debug($">>> [P2_BUY] ORDER PLACED - Price: {p}");
}
// add order status to prevent repeat order
var newOrd = new OrderInfo(order, StrategyState.OPEN_UNCONFIRMED);
newOrd.InitialPrice = p;
P2_BuyOrders.Add(newOrd);
}
}
// Same as above for sell side:
possibleSellVals.OrderBy(v => v);
foreach (var p in possibleSellVals)
{
// FIRST REPLACE ANY 'TP_FILLED' WITH COMPOUNDED GAINS
var filledTP = P2_SellOrders.FirstOrDefault(o => o.StratState == StrategyState.TP_FILLED);
if (filledTP != null)
{
var sellQty = filledTP.Qty;
var order = new CreateOrderRequest()
{
Side = OrderSide.Sell,
Symbol = MarketSymbol,
Price = p,
Quantity = sellQty,
NewClientOrderId = filledTP.ClientID
};
var response = await BinaREST.CreateLimitOrder(order);
if (response != null)
{
Log.Debug($">>> [SELL] ORDER (RE)PLACED - Price: {p}");
}
// update order info
var newOrd = new OrderInfo(order, StrategyState.OPEN_UNCONFIRMED);
newOrd.InitialPrice = p;
P2_SellOrders[P2_SellOrders.IndexOf(P2_SellOrders.First(o => o.ClientID == filledTP.ClientID))] = newOrd;
}
//Place remaining available OPEN order slots
else if (P2_SellOrders.Count() < SETTINGS.MaxOrdsPerSide)
{
var sellQty = Math.Round(SETTINGS.PrimaryWager / (p * (1 - SETTINGS.FeePercentage)), QtyRoundDigits);
var order = new CreateOrderRequest()
{
Side = OrderSide.Sell,
Symbol = MarketSymbol,
Price = p,
Quantity = sellQty,
NewClientOrderId = "bin2_Sell_" + UniqueString()
};
var response = await BinaREST.CreateLimitOrder(order);
if (response != null)
{
Log.Debug($">>> [P2_SELL] ORDER PLACED - Price: {p}");
}
// add order status to prevent repeat order
var newOrd = new OrderInfo(order, StrategyState.OPEN_UNCONFIRMED);
newOrd.InitialPrice = p;
P2_SellOrders.Add(newOrd);
}
// MOVE DOWN ANY HIGHER SELL ORDERS
else if (P2_SellOrders.Any(o => o.StratState == StrategyState.OPEN && o.Price > p))
{
// Cancel order
var maxPrice = P2_SellOrders.Where(o => o.StratState == StrategyState.OPEN).Max(o => o.Price);
var oldOrder = P2_SellOrders.First(o => o.Price == maxPrice);
var baseCurr = (oldOrder.Price * (1 - SETTINGS.FeePercentage)) * oldOrder.Qty;
var cancelResp = await BinaREST.CancelOrder(oldOrder.Symbol, oldOrder.ClientID);
if (cancelResp != null)
{
Log.Debug($">>> [P2_SELL] CANCELED - Price: {oldOrder.Price}");
}
P2_SellOrders.Remove(oldOrder);
// Place order at correct price
// use same BaseCurr wager amount
var sellQty = Math.Round(baseCurr / (p * (1 - SETTINGS.FeePercentage)), QtyRoundDigits);
var order = new CreateOrderRequest()
{
Side = OrderSide.Sell,
Symbol = MarketSymbol,
Price = p,
Quantity = sellQty,
NewClientOrderId = "bin2_Sell_" + UniqueString()
};
var response = await BinaREST.CreateLimitOrder(order);
if (response != null)
{
Log.Debug($">>> [P2_SELL] ORDER PLACED - Price: {p}");
}
// add order status to prevent repeat order
var newOrd = new OrderInfo(order, StrategyState.OPEN_UNCONFIRMED);
newOrd.InitialPrice = p;
P2_SellOrders.Add(newOrd);
}
}
P2_Active = true;
}