public async Task <OrderBook> GetOrderBook(string market)
{
var orderbook = await _api.GetOrderBookAsync(market);
var orderbookFixed = new OrderBook
{
Asks = orderbook.Asks.Select(x => new OrderBookEntry {
Price = x.Value.Price, Quantity = x.Value.Amount
}).ToList(),
Bids = orderbook.Bids.Select(x => new OrderBookEntry {
Price = x.Value.Price, Quantity = x.Value.Amount
}).ToList()
};
return(orderbookFixed);
}
/// <summary>
/// Place a limit order by first querying the order book and then placing the order for a threshold below the bid or above the ask that would fully fulfill the amount.
/// The order book is scanned until an amount of bids or asks that will fulfill the order is found and then the order is placed at the lowest bid or highest ask price multiplied
/// by priceThreshold.
/// </summary>
/// <param name="symbol">Symbol to sell</param>
/// <param name="amount">Amount to sell</param>
/// <param name="isBuy">True for buy, false for sell</param>
/// <param name="orderBookCount">Amount of bids/asks to request in the order book</param>
/// <param name="priceThreshold">Threshold below the lowest bid or above the highest ask to set the limit order price at. For buys, this is converted to 1 / priceThreshold.
/// This can be set to 0 if you want to set the price like a market order.</param>
/// <param name="thresholdToAbort">If the lowest bid/highest ask price divided by the highest bid/lowest ask price is below this threshold, throw an exception.
/// This ensures that your order does not buy or sell at an extreme margin.</param>
/// <param name="abortIfOrderBookTooSmall">Whether to abort if the order book does not have enough bids or ask amounts to fulfill the order.</param>
/// <returns>Order result</returns>
public static async Task <ExchangeOrderResult> PlaceSafeMarketOrderAsync(this ExchangeAPI api, string symbol, decimal amount, bool isBuy, int orderBookCount = 100, decimal priceThreshold = 0.9m,
decimal thresholdToAbort = 0.75m, bool abortIfOrderBookTooSmall = false)
{
if (priceThreshold > 0.9m)
{
throw new APIException("You cannot specify a price threshold above 0.9m, otherwise there is a chance your order will never be fulfilled. For buys, this is " +
"converted to 1.0m / priceThreshold, so always specify the value below 0.9m");
}
else if (priceThreshold <= 0m)
{
priceThreshold = 1m;
}
else if (isBuy && priceThreshold > 0m)
{
priceThreshold = 1.0m / priceThreshold;
}
ExchangeOrderBook book = await api.GetOrderBookAsync(symbol, orderBookCount);
if (book == null || (isBuy && book.Asks.Count == 0) || (!isBuy && book.Bids.Count == 0))
{
throw new APIException($"Error getting order book for {symbol}");
}
decimal counter = 0m;
decimal highPrice = decimal.MinValue;
decimal lowPrice = decimal.MaxValue;
if (isBuy)
{
foreach (ExchangeOrderPrice ask in book.Asks.Values)
{
counter += ask.Amount;
highPrice = Math.Max(highPrice, ask.Price);
lowPrice = Math.Min(lowPrice, ask.Price);
if (counter >= amount)
{
break;
}
}
}
else
{
foreach (ExchangeOrderPrice bid in book.Bids.Values)
{
counter += bid.Amount;
highPrice = Math.Max(highPrice, bid.Price);
lowPrice = Math.Min(lowPrice, bid.Price);
if (counter >= amount)
{
break;
}
}
}
if (abortIfOrderBookTooSmall && counter < amount)
{
throw new APIException($"{(isBuy ? "Buy" : "Sell") } order for {symbol} and amount {amount} cannot be fulfilled because the order book is too thin.");
}
else if (lowPrice / highPrice < thresholdToAbort)
{
throw new APIException($"{(isBuy ? "Buy" : "Sell")} order for {symbol} and amount {amount} would place for a price below threshold of {thresholdToAbort}, aborting.");
}
ExchangeOrderRequest request = new ExchangeOrderRequest
{
Amount = amount,
OrderType = OrderType.Limit,
Price = CryptoUtility.RoundAmount((isBuy ? highPrice : lowPrice) * priceThreshold),
ShouldRoundAmount = true,
MarketSymbol = symbol
};
ExchangeOrderResult result = await api.PlaceOrderAsync(request);
// wait about 10 seconds until the order is fulfilled
int i = 0;
const int maxTries = 20; // 500 ms for each try
for (; i < maxTries; i++)
{
await System.Threading.Tasks.Task.Delay(500);
result = await api.GetOrderDetailsAsync(result.OrderId, symbol);
switch (result.Result)
{
case ExchangeAPIOrderResult.Filled:
case ExchangeAPIOrderResult.Canceled:
case ExchangeAPIOrderResult.Error:
break;
}
}
if (i == maxTries)
{
throw new APIException($"{(isBuy ? "Buy" : "Sell")} order for {symbol} and amount {amount} timed out and may not have been fulfilled");
}
return(result);
}
