public TradingState BackTrading(IExchange ex1, IExchange ex2, Instrument ins, MatchingData data)
{
data.SetExchange1(ex1);
data.SetExchange2(ex2);
InitPrices(data, ins.GetBidPrice(ex2), ins.GetAskPrice(ex1), ins.GetBidOrderAmount(ex2), ins.GetAskOrderAmount(ex1));
var amount = data.Amount;
SetUsdAmounts(ex1, ex2, data);
if (data.ProfitRatio < ProfitRatio)
{
return(TradingState.Negative);
}
var buyAmount = Math.Min(data.AskAmount, data.BidAmount);
if (buyAmount < data.Amount)
{
return(TradingState.Reject);
}
if (data.ProfitRatio > 0)
{
data.Amount = Math.Min(buyAmount, data.Amount);
}
double avgAmount = (ins.GetCryptoBalance(ex1) + ins.GetCryptoBalance(ex2)) / 2;
if (buyAmount < avgAmount)
{
return(TransactionState.Reject);
}
data.Amount = Math.Min(buyAmount, data.Amount);
SetUsdAmounts(ex1, ex2, data);
var state = CheckBalancesImpl(ex1, ex2, ins, data);
if (state != TradingState.Ok)
{
return(state);
}
return(TradingState.Back);
}
public TradingState Trading(IExchange ex1, IExchange ex2, Instrument ins, MatchingData data, double maxBid, double minAsk, int depth = 0)
{
data.SetExchange1(ex1);
data.SetExchange2(ex2);
InitPrices(data, maxBid, minAsk, ins.GetBidOrderAmount(ex2), ins.GetAskOrderAmount(ex1));
SetUsdAmounts(ex1, ex2, data);
if (data.ProfitRatio < 0)
{
return(depth == 1 ? TradingState.Negative : Trading(ex2, ex1, ins, data, maxBid, minAsk, 1));
}
var state = CheckBalancesImpl(ex1, ex2, ins, data);
if (state != TradingState.Ok)
{
return(state);
}
state = _profitStrategy.GetProfitState(data, ins.GetProfitRatios(), multiplier =>
{
if (multiplier != 1)
{
SetUsdAmounts(ex1, ex2, data);
}
return(CheckBalancesImpl(ex1, ex2, ins, data));
});
if (state != TradingState.Ok)
{
return(state);
}
if (data.Profit < ins.GetMinUsdProfit())
{
return(TradingState.NoProfit);
}
return(TradingState.Ok);
}
