private void Arbitrage()
{
Log.Info("Looking for opportunity...");
var config = _configStore.Config;
CheckMaxNetExposure();
SpreadAnalysisResult result;
try
{
result = _spreadAnalyzer.Analyze(_quoteAggregator.Quotes);
}
catch (Exception ex)
{
Log.Warn($"Failed to get a spread analysis result. {ex.Message}");
return;
}
var bestBid = result.BestBid;
var bestAsk = result.BestAsk;
var invertedSpread = result.InvertedSpread;
var availableVolume = result.AvailableVolume;
var targetVolume = result.TargetVolume;
var targetProfit = result.TargetProfit;
Log.Info("{0,-17}: {1}", "Best ask", bestAsk);
Log.Info("{0,-17}: {1}", "Best bid", bestBid);
Log.Info("{0,-17}: {1}", "Spread", -invertedSpread);
Log.Info("{0,-17}: {1}", "Available volume", availableVolume);
Log.Info("{0,-17}: {1}", "Target volume", targetVolume);
Log.Info("{0,-17}: {1}", "Expected profit", targetProfit);
if (invertedSpread <= 0)
{
Log.Info("No arbitrage opportunity. Spread is not inverted.");
return;
}
Log.Info($"Found inverted quotes.");
if (availableVolume < config.MinSize)
{
Log.Info($"Available volume is smaller than min size. ");
return;
}
if (targetProfit < config.MinTargetProfit)
{
Log.Info($"Target profit is smaller than min profit.");
return;
}
if (bestBid.Broker == bestAsk.Broker)
{
Log.Warn($"Ignoring intra-broker cross.");
return;
}
if (config.DemoMode)
{
Log.Info(">>This is Demo mode. Not sending orders.");
return;
}
Log.Info($">>Found arbitrage oppotunity.");
Log.Info($">>Sending order targetting quote {bestAsk}...");
SendOrder(bestAsk, targetVolume, OrderType.Limit);
Log.Info($">>Sending order targetting quote {bestBid}...");
SendOrder(bestBid, targetVolume, OrderType.Limit);
CheckOrderState();
Log.Info($"Sleeping {config.SleepAfterSend} after send.");
_activeOrders.Clear();
Sleep(config.SleepAfterSend);
}
private void Arbitrage()
{
Log.Info(Resources.LookingForOpportunity);
var config = _configStore.Config;
CheckMaxNetExposure();
SpreadAnalysisResult result;
try
{
result = _spreadAnalyzer.Analyze(_quoteAggregator.Quotes);
}
catch (Exception ex)
{
Log.Warn(Resources.FailedToGetASpreadAnalysisResult, ex.Message);
return;
}
var bestBid = result.BestBid;
var bestAsk = result.BestAsk;
var invertedSpread = result.InvertedSpread;
var availableVolume = result.AvailableVolume;
var targetVolume = result.TargetVolume;
var targetProfit = result.TargetProfit;
Log.Info("{0,-17}: {1}", Resources.BestAsk, bestAsk);
Log.Info("{0,-17}: {1}", Resources.BestBid, bestBid);
Log.Info("{0,-17}: {1}", Resources.Spread, -invertedSpread);
Log.Info("{0,-17}: {1}", Resources.AvailableVolume, availableVolume);
Log.Info("{0,-17}: {1}", Resources.TargetVolume, targetVolume);
Log.Info("{0,-17}: {1}", Resources.ExpectedProfit, targetProfit);
if (invertedSpread <= 0)
{
Log.Info(Resources.NoArbitrageOpportunitySpreadIsNotInverted);
return;
}
Log.Info(Resources.FoundInvertedQuotes);
if (availableVolume < config.MinSize)
{
Log.Info(Resources.AvailableVolumeIsSmallerThanMinSize);
return;
}
if (targetProfit < config.MinTargetProfit)
{
Log.Info(Resources.TargetProfitIsSmallerThanMinProfit);
return;
}
if (bestBid.Broker == bestAsk.Broker)
{
Log.Warn($"Ignoring intra-broker cross.");
return;
}
if (config.DemoMode)
{
Log.Info(Resources.ThisIsDemoModeNotSendingOrders);
return;
}
Log.Info(Resources.FoundArbitrageOppotunity);
Log.Info(Resources.SendingOrderTargettingQuote, bestAsk);
SendOrder(bestAsk, targetVolume, OrderType.Limit);
Log.Info(Resources.SendingOrderTargettingQuote, bestBid);
SendOrder(bestBid, targetVolume, OrderType.Limit);
CheckOrderState();
Log.Info(Resources.SleepingAfterSend, config.SleepAfterSend);
_activeOrders.Clear();
Sleep(config.SleepAfterSend);
}
