protected override IWebSocket OnGetTradesWebSocket(Func <KeyValuePair <string, ExchangeTrade>, Task> callback, params string[] marketSymbols)
{
/*
* spot request:
* {"op": "subscribe", "args": ["spot/trade:BTC-USD"]}
* futures request:
* {"op": "subscribe", "args":["futures/trade:BTC-USD-190628"]}
* swap request:
* {"op": "subscribe", “args":["swap/trade:BTC-USD-SWAP"]}
*/
/*
* response:
* {
* "table": "swap/trade",
* "data": [{
* "instrument_id": "BTC-USD-SWAP",
* "price": "3250",
* "side": "sell",
* "size": "1",
* "timestamp": "2018-12-17T09:48:41.903Z",
* "trade_id": "126518511769403393"
* }]
* }
*/
return(ConnectWebSocketOkex(async(_socket) =>
{
await AddMarketSymbolsToChannel(_socket, "/trade:{0}", marketSymbols);
}, async(_socket, symbol, sArray, token) =>
{
ExchangeTrade trade = token.ParseTrade(amountKey: "size", priceKey: "price",
typeKey: "side", timestampKey: "timestamp",
timestampType: TimestampType.Iso8601, idKey: "trade_id");
await callback(new KeyValuePair <string, ExchangeTrade>(symbol, trade));
}));
}
public Task <ExchangeTrade> MarketTrade(MarketTradeRequest request)
{
if (!Prices.TryGetValue(request.Market, out var price))
{
throw new Exception($"Cannot found MOCK price for {request.Market}");
}
var oppVol = double.Parse(((decimal)price * (decimal)request.Volume * -1m).ToString(CultureInfo.InvariantCulture));
var trade = new ExchangeTrade()
{
Id = Guid.NewGuid().ToString("N"),
Price = price,
Side = request.Side,
Volume = request.Volume,
Market = request.Market,
OppositeVolume = oppVol,
Timestamp = DateTime.UtcNow,
ReferenceId = request.ReferenceId,
Source = Name,
};
Trades[Name].Add(trade);
return(Task.FromResult(trade));
}
public async Task ExternalTrade_FullHedge_Sell()
{
_manager.Start();
var trades = new List <WalletTradeMessage>()
{
new WalletTradeMessage()
{
BrokerId = "broker",
WalletId = "TEST",
ClientId = "client",
Trade = new WalletTrade("1", "BTCUSD", 10000, -2, 20000,
"1", OrderType.Market, 1, DateTime.UtcNow, OrderSide.Sell, 3, string.Empty, 0),
}
};
var trade2 = new ExchangeTrade()
{
Id = "11",
Price = 11000,
Volume = 2,
Side = OrderSide.Buy,
Market = "BTC/USD",
OppositeVolume = -22000,
Timestamp = DateTime.UtcNow,
ReferenceId = "1",
Source = "FTX",
AssociateSymbol = "BTCUSD",
AssociateBrokerId = "broker",
AssociateWalletId = "TEST"
};
await _manager.RegisterLocalTradesAsync(trades);
await _manager.RegisterHedgeTradeAsync(trade2);
_repository.Data.Should().BeEmpty();
_portfolioReport.ClosedPosition.Should().HaveCount(1);
var position = _portfolioReport.ClosedPosition.First();
position.Should().BeEquivalentTo(new
{
IsOpen = false,
Side = OrderSide.Sell,
BaseAsset = "BTC",
QuotesAsset = "USD",
BaseVolume = 0,
QuoteVolume = -2000,
ResultPercentage = -10
});
}
public async Task ExternalTrade_FullHedge()
{
_repository.Data["1"] = new PositionPortfolio()
{
Id = "1",
WalletId = "TEST",
Symbol = "BTCUSD",
IsOpen = true,
Side = OrderSide.Buy,
BaseAsset = "BTC",
QuotesAsset = "USD",
BaseVolume = 2,
QuoteVolume = -20000,
OpenTime = DateTime.UtcNow
};
_manager.Start();
var trade = new ExchangeTrade()
{
Id = "11",
Price = 11000,
Volume = -2,
Side = OrderSide.Sell,
Market = "BTC/USD",
OppositeVolume = 22000,
Timestamp = DateTime.UtcNow,
ReferenceId = "1",
Source = "FTX",
AssociateSymbol = "BTCUSD",
AssociateBrokerId = "broker",
AssociateWalletId = "TEST"
};
await _manager.RegisterHedgeTradeAsync(trade);
_repository.Data.Should().BeEmpty();
_portfolioReport.ClosedPosition.Should().HaveCount(1);
var position = _portfolioReport.ClosedPosition.First();
position.Should().BeEquivalentTo(new
{
IsOpen = false,
Side = OrderSide.Buy,
BaseAsset = "BTC",
QuotesAsset = "USD",
BaseVolume = 0,
QuoteVolume = 2000
});
}
private IEnumerable <ExchangeTrade> ParseTradesWebSocket(JToken token)
{
var exchangeTradeList = new List <ExchangeTrade>();
foreach (var jtoken in token)
{
var timeSpan = TimeSpan.Parse(jtoken[3].ToStringInvariant());
var dateTime = DateTime.Today;
dateTime = dateTime.Add(timeSpan);
var universalTime = dateTime.ToUniversalTime();
var exchangeTrade = new ExchangeTrade
{
Id = jtoken[0].ConvertInvariant(0L),
Price = jtoken[1].ConvertInvariant(new decimal()),
Amount = jtoken[2].ConvertInvariant(new decimal()),
Timestamp = universalTime,
IsBuy = jtoken[4].ToStringInvariant().EqualsWithOption("bid", StringComparison.OrdinalIgnoreCase)
};
exchangeTradeList.Add(exchangeTrade);
}
return(exchangeTradeList);
}
// Extension Method: Display contents of an ExchangeTrade object
public static void Print(this ExchangeTrade t)
{
Console.WriteLine("{0} {1} {2}", t.Timestamp.ToDisplay(), t.Price, t.Amount);
}
public async Task <ExchangeTrade> MarketTrade(MarketTradeRequest request)
{
try
{
using var action = MyTelemetry.StartActivity("FTX Market Trade");
request.AddToActivityAsJsonTag("request");
var refId = request.ReferenceId ?? Guid.NewGuid().ToString("N");
refId.AddToActivityAsTag("reference-id");
var size = (decimal)Math.Abs(request.Volume);
var resp = await _restApi.PlaceOrderAsync(request.Market,
request.Side == OrderSide.Buy?SideType.buy : SideType.sell, 0, OrderType.market,
size, refId, true);
resp.AddToActivityAsJsonTag("marketOrder-response");
if (!resp.Success && resp.Error != "Duplicate client order ID")
{
throw new Exception(
$"Cannot place marketOrder. Error: {resp.Error}. Request: {JsonConvert.SerializeObject(request)}. Reference: {refId}");
}
action?.AddTag("is-duplicate", resp.Error == "Duplicate client order ID");
var tradeData = await _restApi.GetOrderStatusByClientIdAsync(refId);
if (!tradeData.Success)
{
throw new Exception(
$"Cannot get order state. Error: {resp.Error}. Request: {JsonConvert.SerializeObject(request)}. Reference: {refId}");
}
if (tradeData.Result.Status != "closed")
{
await _restApi.CancelOrderByClientIdAsync(refId);
}
tradeData = await _restApi.GetOrderStatusByClientIdAsync(refId);
tradeData.AddToActivityAsJsonTag("order-status-response");
if (!tradeData.Success)
{
throw new Exception(
$"Cannot get second order state. Error: {resp.Error}. Request: {JsonConvert.SerializeObject(request)}. Reference: {refId}");
}
size = tradeData.Result.FilledSize ?? 0;
if (tradeData.Result.Side == "sell")
{
size = size * -1;
}
var trade = new ExchangeTrade()
{
Id = (tradeData.Result.Id ?? 0).ToString(CultureInfo.InvariantCulture),
Market = tradeData.Result.Market,
Side = tradeData.Result.Side == "buy" ? OrderSide.Buy : OrderSide.Sell,
Price = (double)(tradeData.Result.AvgFillPrice ?? 0),
ReferenceId = tradeData.Result.ClientId,
Source = FtxConst.Name,
Volume = (double)size,
Timestamp = tradeData.Result.CreatedAt
};
trade.AddToActivityAsJsonTag("response");
if (resp.Error == "Duplicate client order ID")
{
_logger.LogInformation("Ftx trade is Duplicate. Request: {requestJson}. Trade: {tradeJson}",
JsonConvert.SerializeObject(request), JsonConvert.SerializeObject(trade));
}
else
{
_logger.LogInformation("Ftx trade is done. Request: {requestJson}. Trade: {tradeJson}",
JsonConvert.SerializeObject(request), JsonConvert.SerializeObject(trade));
}
return(trade);
}
catch (Exception ex)
{
_logger.LogError(ex, "Cannot execute trade. Request: {requestJson}",
JsonConvert.SerializeObject(request));
throw;
}
}
