private void runBuyStrategy(IWebSocketClientConnection webSocketConnection, string symbol)
{
OrderBook.IOrder bestBid = _tradeclient.GetOrderBook(symbol).BestBid;
OrderBook.IOrder bestOffer = _tradeclient.GetOrderBook(symbol).BestOffer;
if (_priceType == PriceType.MARKET_AS_MAKER)
{
ulong buyPrice = 0;
if (bestOffer != null)
{
buyPrice = bestOffer.Price - (ulong)(0.01 * 1e8);
}
else if (bestBid != null)
{
buyPrice = bestBid.Price;
}
Debug.Assert(_buy_cap_price > 0);
if (_buy_cap_price == 0)
{
_buy_cap_price = ulong.MaxValue;
}
if (buyPrice > 0 && buyPrice <= _buy_cap_price)
{
replaceOrder(webSocketConnection, symbol, OrderSide.BUY, buyPrice);
return;
}
if (_buy_cap_price == ulong.MaxValue)
{
_tradeclient.CancelOrderByClOrdID(webSocketConnection, _strategyBuyOrderClorid);
return;
}
_buyTargetPrice = _buy_cap_price; // find the best position as maker at the buy cap price
}
if (_priceType == PriceType.EXPLORE_BOOK_DEPTH)
{
// set the price based on the depth (this is a lot inefficent but I don't care)
OrderBook orderBook = _tradeclient.GetOrderBook(symbol);
ulong max_price = orderBook.MaxPriceForAmountWithoutSelfOrders(OrderBook.OrdSide.BUY, _minBookDepth, _tradeclient.UserId);
ulong min_price = orderBook.MaxPriceForAmountWithoutSelfOrders(OrderBook.OrdSide.BUY, _maxBookDepth, _tradeclient.UserId);
max_price = max_price < ulong.MaxValue ? max_price : min_price;
var myOrder = _tradeclient.miniOMS.GetOrderByClOrdID(this._strategyBuyOrderClorid);
if (max_price < ulong.MaxValue)
{
min_price = min_price < ulong.MaxValue ? min_price : max_price;
if (myOrder == null || myOrder.Price > max_price || myOrder.Price < min_price)
{
//LogStatus (LogStatusType.WARN, String.Format ("[DT] must change order price not in expected position {0} {1} {2}", myOrder != null ? myOrder.Price : 0, max_price, min_price));
if (min_price < max_price)
{
_buyTargetPrice = min_price + (ulong)(0.01 * 1e8); // 1 pip better than min_price
}
else
{
_buyTargetPrice = min_price - (ulong)(0.01 * 1e8); // 1 pip worse than min_price
}
}
else
{
return; // don't change the order because it is still in an acceptable position
}
}
else
{
// no reference found in the book
SecurityStatus usd_official_quote = _tradeclient.GetSecurityStatus("UOL", "USDBRL"); // use USDBRT for the turism quote
SecurityStatus btcusd_quote = _tradeclient.GetSecurityStatus("BITSTAMP", "BTCUSD");
if (usd_official_quote != null && usd_official_quote.BestBid > 0 && btcusd_quote != null && btcusd_quote.BestBid > 0)
{
ulong market_price = _tradeclient.CalculateVWAP();
ulong lastPrice = _tradeclient.GetLastPrice();
ulong off_sale_price = (ulong)(usd_official_quote.BestBid / 1e8 * btcusd_quote.BestBid / 1e8 * 0.5 * 1e8);
_buyTargetPrice = Math.Min(Math.Min(market_price, lastPrice), off_sale_price);
}
else
{
return;
}
}
}
if (bestBid != null)
{
if (bestBid.UserId != _tradeclient.UserId)
{
// buy @ 1 cent above the best price (TODO: parameter for price increment)
ulong buyPrice = bestBid.Price + (ulong)(0.01 * 1e8);
if (buyPrice <= this._buyTargetPrice)
{
if (buyPrice < bestOffer.Price)
{
replaceOrder(webSocketConnection, symbol, OrderSide.BUY, buyPrice);
}
else
{
// avoid being a taker or receiving a reject when using ExecInst=6 but stay in the book with max price
ulong max_buy_price = bestOffer.Price - (ulong)(0.01 * 1e8);
var own_order = _tradeclient.miniOMS.GetOrderByClOrdID(_strategyBuyOrderClorid);
ulong availableQty = calculateOrderQty(symbol, OrderSide.BUY, max_buy_price);
if (own_order == null || own_order.Price != max_buy_price || availableQty > own_order.OrderQty)
{
replaceOrder(webSocketConnection, symbol, OrderSide.BUY, max_buy_price);
}
}
}
else
{
// cannot fight for the first position thus try to find a visible position in the book
OrderBook orderBook = _tradeclient.GetOrderBook(symbol);
List <OrderBook.Order> buyside = orderBook.GetBidOrders();
int i = buyside.BinarySearch(
new OrderBook.Order(OrderBook.OrdSide.BUY, _buyTargetPrice - (ulong)(0.01 * 1e8)),
new OrderBook.ReverseOrderPriceComparer()
);
int position = (i < 0 ? ~i : i);
Debug.Assert(position > 0);
if (this._priceType != PriceType.EXPLORE_BOOK_DEPTH)
{
// verificar se a profundidade vale a pena: (TODO: parameters for max_pos_depth and max_amount_depth)
if (position > 15 + 1 && orderBook.DoesAmountExceedsLimit(
OrderBook.OrdSide.BUY,
position - 1, (ulong)(20 * 1e8)))
{
_tradeclient.CancelOrderByClOrdID(webSocketConnection, _strategyBuyOrderClorid);
return;
}
}
var pivotOrder = buyside[position];
if (pivotOrder.UserId == _tradeclient.UserId)
{
// make sure the order is the same or from another client instance
MiniOMS.IOrder own_buy_order = _tradeclient.miniOMS.GetOrderByClOrdID(_strategyBuyOrderClorid);
if (buyside[position].OrderId == own_buy_order.OrderID)
{
// ordem ja e minha : pega + recursos disponiveis e cola no preco no vizinho se já nao estiver
ulong price_delta = buyside.Count > position + 1 ? pivotOrder.Price - buyside[position + 1].Price : 0;
ulong newBuyPrice = (price_delta > (ulong)(0.01 * 1e8) ?
pivotOrder.Price - price_delta + (ulong)(0.01 * 1e8) :
pivotOrder.Price);
ulong availableQty = calculateOrderQty(symbol, OrderSide.BUY, newBuyPrice);
if (newBuyPrice < pivotOrder.Price || availableQty > pivotOrder.Qty)
{
replaceOrder(webSocketConnection, symbol, OrderSide.BUY, newBuyPrice, availableQty);
}
}
}
else
{
// estabelece preco de venda 1 centavo maior do que nesta posicao
ulong newbuyPrice = pivotOrder.Price + (ulong)(0.01 * 1e8);
replaceOrder(webSocketConnection, symbol, OrderSide.BUY, newbuyPrice);
}
}
}
else
{
// make sure the order is the same or from another client instance
// check and replace order to get closer to the order in the second position and gather more avaible funds
List <OrderBook.Order> buyside = _tradeclient.GetOrderBook(symbol).GetBidOrders();
MiniOMS.IOrder own_buy_order = _tradeclient.miniOMS.GetOrderByClOrdID(_strategyBuyOrderClorid);
if (buyside[0].OrderId == own_buy_order.OrderID)
{
ulong price_delta = buyside.Count > 1 ? buyside[0].Price - buyside[1].Price : 0;
ulong newBuyPrice = (price_delta > (ulong)(0.01 * 1e8) ?
bestBid.Price - price_delta + (ulong)(0.01 * 1e8) :
bestBid.Price);
ulong availableQty = calculateOrderQty(symbol, OrderSide.BUY, newBuyPrice);
if (newBuyPrice < bestBid.Price || availableQty > bestBid.Qty)
{
replaceOrder(webSocketConnection, symbol, OrderSide.BUY, newBuyPrice, availableQty);
}
}
}
}
else
{
// empty book scenario
ulong availableQty = calculateOrderQty(symbol, OrderSide.BUY, _buyTargetPrice);
Debug.Assert(_buyTargetPrice > 0);
ulong buy_price = Math.Min(_buyTargetPrice, bestOffer != null ? bestOffer.Price - (ulong)(0.01 * 1e8) : ulong.MaxValue);
sendOrder(webSocketConnection, symbol, OrderSide.BUY, availableQty, buy_price);
}
}
private void runSellStrategy(IWebSocketClientConnection webSocketConnection, string symbol)
{
OrderBook.IOrder bestBid = _tradeclient.GetOrderBook(symbol).BestBid;
OrderBook.IOrder bestOffer = _tradeclient.GetOrderBook(symbol).BestOffer;
if (_priceType == PriceType.MARKET_AS_MAKER)
{
ulong sellPrice = 0;
if (bestBid != null)
{
sellPrice = bestBid.Price + (ulong)(0.01 * 1e8);
}
else if (bestOffer != null)
{
sellPrice = bestOffer.Price;
}
if (sellPrice > 0 || _sell_floor_price > 0)
{
if (sellPrice >= _sell_floor_price)
{
replaceOrder(webSocketConnection, symbol, OrderSide.SELL, sellPrice);
return;
}
_sellTargetPrice = _sell_floor_price; // find the best position as maker for the sell floor price
}
else
{
// empty book scenario without a user defined sell floor price
_tradeclient.CancelOrderByClOrdID(webSocketConnection, _strategySellOrderClorid);
return;
}
}
// available funds with a target price should execute ASAP even as liquidity takers whenever possible
if (_sellTargetPrice > 0 && bestBid != null && bestBid.Price >= _sellTargetPrice && bestBid.UserId != _tradeclient.UserId)
{
ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL, bestBid.Price, ulong.MaxValue);
if (availableQty > _minOrderSize)
{
ulong sell_qty = Math.Min(availableQty, bestBid.Qty);
// execute the order as taker and emulate IOC instruction
sendOrder(webSocketConnection, symbol, OrderSide.SELL, sell_qty, bestBid.Price, OrdType.LIMIT, 0, ExecInst.DEFAULT, TimeInForce.IMMEDIATE_OR_CANCEL);
return;
}
else
{
// cancel current order to free balance to be used as taker
MiniOMS.IOrder own_sell_order = _tradeclient.miniOMS.GetOrderByClOrdID(_strategySellOrderClorid);
if (own_sell_order != null && (own_sell_order.OrdStatus == OrdStatus.NEW || own_sell_order.OrdStatus == OrdStatus.PARTIALLY_FILLED))
{
if (own_sell_order.LeavesQty > _minOrderSize)
{
ulong sell_qty = Math.Min(own_sell_order.LeavesQty, bestBid.Qty);
_tradeclient.CancelOrderByClOrdID(webSocketConnection, own_sell_order.ClOrdID);
sendOrder(webSocketConnection, symbol, OrderSide.SELL, sell_qty, bestBid.Price, OrdType.LIMIT, 0, ExecInst.DEFAULT, TimeInForce.IMMEDIATE_OR_CANCEL);
return;
}
}
}
}
// post the order in the order book
if (bestOffer != null)
{
if (bestOffer.UserId != _tradeclient.UserId)
{
// sell @ 1 cent bellow the best price (TODO: parameter for price increment)
ulong sellPrice = bestOffer.Price - (ulong)(0.01 * 1e8);
if (sellPrice >= _sellTargetPrice)
{
// TODO: Become a Taker when the spread is "small" (i.e for stop trailing converted to pegged or for any pegged)
if (sellPrice > bestBid.Price)
{
replaceOrder(webSocketConnection, symbol, OrderSide.SELL, sellPrice);
}
else
{
// avoid being a taker or receiving a reject when using ExecInst=6 but stay in the book with max price
ulong max_sell_price = bestBid.Price + (ulong)(0.01 * 1e8);
var own_order = _tradeclient.miniOMS.GetOrderByClOrdID(_strategySellOrderClorid);
ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL);
if (own_order == null || own_order.Price != max_sell_price || availableQty > own_order.OrderQty)
{
replaceOrder(webSocketConnection, symbol, OrderSide.SELL, max_sell_price);
}
}
}
else
{
// cannot fight for the first position thus try to find a visible position in the book
OrderBook orderBook = _tradeclient.GetOrderBook(symbol);
List <OrderBook.Order> sellside = orderBook.GetOfferOrders();
int i = sellside.BinarySearch(
new OrderBook.Order(OrderBook.OrdSide.SELL, _sellTargetPrice + (ulong)(0.01 * 1e8)),
new OrderBook.OrderPriceComparer()
);
int position = (i < 0 ? ~i : i);
Debug.Assert(position > 0);
// verificar se a profundidade vale a pena: (TODO: parameters for max_pos_depth and max_amount_depth)
if (position > 15 + 1 && orderBook.DoesAmountExceedsLimit(
OrderBook.OrdSide.SELL,
position - 1, (ulong)(20 * 1e8)))
{
_tradeclient.CancelOrderByClOrdID(webSocketConnection, _strategySellOrderClorid);
return;
}
var pivotOrder = sellside[position];
if (pivotOrder.UserId == _tradeclient.UserId)
{
// make sure the order is the same or from another client instance
MiniOMS.IOrder own_sell_order = _tradeclient.miniOMS.GetOrderByClOrdID(_strategySellOrderClorid);
if (sellside[position].OrderId == own_sell_order.OrderID)
{
// ordem ja e minha : pega + recursos disponiveis e cola no preco do vizinho se já nao estiver
ulong price_delta = sellside.Count > position + 1 ? sellside[position + 1].Price - pivotOrder.Price : 0;
ulong newSellPrice = (price_delta > (ulong)(0.01 * 1e8) ?
pivotOrder.Price + price_delta - (ulong)(0.01 * 1e8) :
pivotOrder.Price);
ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL);
if (newSellPrice > pivotOrder.Price || availableQty > pivotOrder.Qty)
{
replaceOrder(webSocketConnection, symbol, OrderSide.SELL, newSellPrice, availableQty);
}
}
}
else
{
// estabelece preco de venda 1 centavo menor do que nesta posicao
ulong newSellPrice = pivotOrder.Price - (ulong)(0.01 * 1e8);
replaceOrder(webSocketConnection, symbol, OrderSide.SELL, newSellPrice);
}
}
}
else
{
// check and replace the order on the top to get closer to the order in the second position and gather more available funds
MiniOMS.IOrder own_sell_order = _tradeclient.miniOMS.GetOrderByClOrdID(_strategySellOrderClorid);
List <OrderBook.Order> sellside = _tradeclient.GetOrderBook(symbol).GetOfferOrders();
if (sellside[0].OrderId == own_sell_order.OrderID)
{
ulong price_delta = sellside.Count > 1 ? sellside[1].Price - sellside[0].Price : 0;
ulong newSellPrice = (price_delta > (ulong)(0.01 * 1e8) ?
bestOffer.Price + price_delta - (ulong)(0.01 * 1e8) :
bestOffer.Price);
ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL);
if (newSellPrice > bestOffer.Price || availableQty > bestOffer.Qty)
{
replaceOrder(webSocketConnection, symbol, OrderSide.SELL, newSellPrice, availableQty);
}
}
}
}
else
{
// empty book scenario
ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL);
Debug.Assert(_sellTargetPrice > 0);
ulong sell_price = Math.Max(_sellTargetPrice, bestBid != null ? bestBid.Price + (ulong)(0.01 * 1e8) : 0);
sendOrder(webSocketConnection, symbol, OrderSide.SELL, availableQty, sell_price);
}
}
private void runSellStrategy(IWebSocketClientConnection webSocketConnection, string symbol)
{
OrderBook.IOrder bestOffer = _tradeclient.GetOrderBook(symbol).BestOffer;
if (bestOffer != null)
{
if (bestOffer.UserId != _tradeclient.UserId)
{
// sell @ 1 cent bellow the best price (TODO: parameter for price increment)
ulong sellPrice = bestOffer.Price - (ulong)(0.01 * 1e8);
if (sellPrice >= _sellTargetPrice)
{
replaceOrder(webSocketConnection, symbol, OrderSide.SELL, sellPrice);
}
else
{
// cannot fight for the first position thus try to find a visible position in the book
OrderBook orderBook = _tradeclient.GetOrderBook(symbol);
List <OrderBook.Order> sellside = orderBook.GetOfferOrders();
int i = sellside.BinarySearch(
new OrderBook.Order(OrderBook.OrdSide.SELL, _sellTargetPrice + (ulong)(0.01 * 1e8)),
new OrderBook.OrderPriceComparer()
);
int position = (i < 0 ? ~i : i);
Debug.Assert(position > 0);
// verificar se a profundidade vale a pena: (TODO: parameters for max_pos_depth and max_amount_depth)
if (position > 5 + 1 && orderBook.DoesAmountExceedsLimit(
OrderBook.OrdSide.SELL,
position - 1, (ulong)(10 * 1e8)))
{
_tradeclient.CancelOrderByClOrdID(webSocketConnection, _strategySellOrderClorid);
return;
}
var pivotOrder = sellside[position];
if (pivotOrder.UserId == _tradeclient.UserId)
{
// ordem ja e minha : pega + recursos disponiveis e cola no preco no vizinho se já nao estiver
ulong price_delta = sellside[position + 1].Price - pivotOrder.Price;
ulong newSellPrice = (price_delta > (ulong)(0.01 * 1e8) ?
pivotOrder.Price + price_delta - (ulong)(0.01 * 1e8) :
pivotOrder.Price);
ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL);
if (newSellPrice > pivotOrder.Price || availableQty > pivotOrder.Qty)
{
replaceOrder(webSocketConnection, symbol, OrderSide.SELL, newSellPrice, availableQty);
}
}
else
{
// estabelece preco de venda 1 centavo menor do que nesta posicao
ulong newSellPrice = pivotOrder.Price - (ulong)(0.01 * 1e8);
replaceOrder(webSocketConnection, symbol, OrderSide.SELL, newSellPrice);
}
}
}
else
{
// check and replace the order to get closer to the order in the second position and gather more available funds
List <OrderBook.Order> sellside = _tradeclient.GetOrderBook(symbol).GetOfferOrders();
ulong price_delta = sellside.Count > 1 ? sellside[1].Price - sellside[0].Price : 0;
ulong newSellPrice = (price_delta > (ulong)(0.01 * 1e8) ?
bestOffer.Price + price_delta - (ulong)(0.01 * 1e8) :
bestOffer.Price);
ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL);
if (newSellPrice > bestOffer.Price || availableQty > bestOffer.Qty)
{
replaceOrder(webSocketConnection, symbol, OrderSide.SELL, newSellPrice, availableQty);
}
}
}
else
{
// TODO: empty book scenario
}
}
