public static decimal CalculateWorstLimitSpreadPrice(this MarketDepth md, Sides dealSide,
decimal desirableSpread, decimal priceStep)
{
if (!md.CheckIfSpreadExist())
{
throw new ArgumentException("spread does not exist, calculation impossible: " + md.BestPair);
}
if (priceStep <= 0)
{
throw new ArgumentException("price step cannot have below zero value" + priceStep);
}
var marketSpread = md.BestAsk.Price - md.BestBid.Price;
var diff = Math.Abs(marketSpread - desirableSpread);
if (marketSpread < desirableSpread)
{
return(md.Security.ShrinkPrice(dealSide == Sides.Buy
? md.BestBid.Price - diff
: md.BestAsk.Price + diff));
}
if (marketSpread > desirableSpread)
{
return(md.Security.ShrinkPrice(dealSide == Sides.Buy
? md.BestBid.Price + priceStep
: md.BestAsk.Price - priceStep));
}
return(dealSide == Sides.Buy
? md.BestBid.Price
: md.BestAsk.Price);
}
private void SpreadingProcess()
{
try
{
if (!IsTradingTime())
{
return;
}
if (!_isEnterActivated && md.CheckIfSpreadExist())
{
_isEnterActivated = true;
var sign = _sideForEnterToPosition == Sides.Buy ? 1 : -1;
var size = _lot.ShrinkSizeToTrade(_sideForEnterToPosition, CurrentPoisition,
LimitedFuturesValueAbs);
var step = md.BestPair.SpreadPrice.CheckIfValueNullThenZero() > _spread
? Security.PriceStep.Value * sign
: 0;
var price = md.CalculateWorstLimitSpreadPrice(_sideForEnterToPosition, _spread,
Security.PriceStep.Value);
if (size <= 0 || price <= 0)
{
_isEnterActivated = false;
}
else
{
_enterStrategy = new LimitQuoterStrategy(_sideForEnterToPosition, size, step, price)
{
IsLimitOrdersAlwaysRepresent = true
};
AssignEnterRulesAndStart();
}
}
if (!_isLeaverActivated && CurrentPoisition != 0)
{
_isLeaverActivated = true;
var side = CurrentPoisition > 0 ? Sides.Sell : Sides.Buy;
var sign = side == Sides.Buy ? 1 : -1;
var size = CurrentPoisition.PrepareSizeToTrade();
var step = md.BestPair.SpreadPrice.CheckIfValueNullThenZero() > _spread
? Security.PriceStep.Value * sign
: 0;
var price = CalculateExitPositionPrice();
if (price <= 0)
{
throw new ArgumentException("Impossible to continue work, exit price <=0");
}
_leaveStrategy = new LimitQuoterStrategy(side, size, step, price)
{
IsLimitOrdersAlwaysRepresent = true
};
AssignLeaveRulesAndStart();
}
}
catch (Exception e1)
{
this.AddErrorLog($"exception: {e1.Message}");
PrimaryStopping();
}
}