public async Task DoWork(IBaseSocketExchange baseExchange, CancellationToken token)
{
var pairs = dbService.GetArbitragePairs("market", baseExchange.Name, counterExchange.Name).Select(p => new ArbitragePair(p));
SocketTradeHandler handler = ProcessTrade;
foreach (var pair in pairs)
{
baseExchange.RegisterPair(pair, handler);
}
baseExchange.SubscribeTrades(token);
Parallel.ForEach(pairs, pair =>
{
try
{
ProcessOrderBook(baseExchange, pair, token).Wait();
}
catch (Exception ex)
{
logger.Error(ex);
}
});
await Task.FromResult(0);
}
public async Task ProcessTrade(IBaseSocketExchange baseExchange, ArbitragePair pair, IMatch trade)
{
if (trade.Symbol == pair.Symbol && trade.QuantityFilled > 0)
{
logger.Trace(JsonConvert.SerializeObject(trade, Formatting.Indented));
await PlaceCounterOrder(pair, trade);
}
}
private void Reset(IBaseSocketExchange baseExchange)
{
foreach (var socket in counterSockets.Values)
{
socket.Reset();
}
counterSockets.Clear();
baseExchange.Reset();
}
public async Task ProcessOrderBook(IBaseSocketExchange baseExchange, ArbitragePair pair, CancellationToken cancellationToken)
{
var counterSocket = counterExchange.GetSocket();
counterSockets[pair.Symbol] = counterSocket;
counterSocket.OnBook += async(book) =>
{
if (!cancellationToken.IsCancellationRequested)
{
try
{
decimal counterBuy = Helper.RoundPrice(pair, EngineHelper.GetPriceAtVolumeThreshold(pair.BidMultiplier * pair.TradeThreshold, book.asks));
decimal counterSell = Helper.RoundPrice(pair, EngineHelper.GetPriceAtVolumeThreshold(pair.AskMultiplier * pair.TradeThreshold, book.bids));
//Calculate the BID based off what we can sell for on the counter exchange
decimal buy = Helper.RoundPrice(pair, counterSell - (counterSell * pair.BidSpread));
decimal sell = Helper.RoundPrice(pair, counterBuy + (counterBuy * pair.AskSpread));
if (buy >= counterSell)
{
buy -= pair.TickSize;
}
if (sell <= counterBuy)
{
sell += pair.TickSize;
}
var tasks = new List <Task>
{
PlaceBuyIOC(baseExchange, pair, buy),
PlaceSellIOC(baseExchange, pair, sell)
};
await Task.WhenAll(tasks);
}
catch (AggregateException ae)
{
ae.Handle((x) =>
{
if (x is ApiException) // This we know how to handle.
{
logger.Error(((ApiException)x).Content);
}
return(false); // Let anything else stop the application.
});
}
}
};
counterSocket.SubscribeOrderbook(pair.CounterSymbol);
await Task.FromResult(true);
}
public void StartEngine(IBaseSocketExchange baseExchange)
{
Console.WriteLine("Starting Engine V2");
var wtoken = new CancellationTokenSource();
// Set the tasks.
var task = (ActionBlock <IBaseSocketExchange>)CreateNeverEndingTask((e, ct) => DoWork(e, ct), wtoken.Token);
task.Post(baseExchange);
task.Completion.Wait();
}
private async Task PlaceBuyIOC(IBaseSocketExchange baseExchange, ArbitragePair pair, decimal price)
{
decimal buyQuantity = 0;
try
{
// decimal raw = pair.BidMultiplier * pair.TradeThreshold / price;
// buyQuantity = Helper.RoundQuantity(pair, pair.BidMultiplier * pair.TradeThreshold / price);
buyQuantity = pair.Increment;
if (buyQuantity > 0)
{
var result = await baseExchange.ImmediateOrCancel("buy", pair.BaseSymbol, buyQuantity, price);
Console.WriteLine(string.Format("IOK BUY {0} {1} {2:P2}", pair.Symbol, price, pair.BidSpread));
}
else
{
logger.Error("No Quantity for {0}", pair.Symbol);
}
}
catch (ApiException ae)
{
if (ae.Content.ToLowerInvariant().Contains("insufficient"))
{
pair.Status = "error";
dbService.SaveArbitragePair(pair);
}
logger.Error(JsonConvert.SerializeObject(JsonConvert.DeserializeObject(ae.Content), Formatting.Indented));
}
catch (Exception e)
{
logger.Error(e);
Thread.Sleep(1000 * 10);
}
}
