public async Task OnMarketPriceChangeAsync(PriceChangeEvent change)
{
// Ignore non crypto trade pairs!
if (!change.ExchangeTradePair.TradePair.FromCurrency.IsCrypto || !change.ExchangeTradePair.TradePair.ToCurrency.IsCrypto)
{
return;
}
// Get trade pair spread.
ArbTradePairSpread tpSpread = this.spreadPerTradePair.GetOrAdd(change.ExchangeTradePair.TradePair, new ArbTradePairSpread(change.ExchangeTradePair.TradePair));
// Update price.
tpSpread.UpdatePrice(change.ExchangeTradePair, change.Price, change.UtcTime);
// Calculate the margin
var margin = CalculateOpportunityMargin(tpSpread.MinimumValuedPair, tpSpread.MaximumValuedPair);
// If margin is zero, then return.
if (margin == 0m)
{
return;
}
// Get or add the opportunity object.
#warning Not sure how to define the currency. This is somehow the base currency.
var opportunity = opportunities.GetOrAdd(GetOpportunityKey(tpSpread.MinimumValuedPair, tpSpread.MaximumValuedPair), new ArbOpportunity(tpSpread.MinimumValuedPair, tpSpread.MaximumValuedPair, tpSpread.MinimumValuedPair.ExchangeTradePair.TradePair.ToCurrency));
await opportunity.UpdateOpportunity(margin);
//
Console.WriteLine($"Trade Opportunity of {margin:0.00}% for {tpSpread.MinimumValuedPair.ExchangeTradePair.TradePair} with Price on {tpSpread.MinimumValuedPair.ExchangeTradePair.Exchange} of {tpSpread.MinimumValuedPair.Price}/ Age:{tpSpread.MinimumValuedPair.AgeMilliseconds}ms and {tpSpread.MaximumValuedPair.ExchangeTradePair.Exchange} of {tpSpread.MaximumValuedPair.Price} / Age:{tpSpread.MaximumValuedPair.AgeMilliseconds}ms ");
}
// Callback when gdax send information.
private async Task ParseResult(string result)
{
try
{
// We just want matches. Discard everything else.
if (result.Contains("match"))
{
var jsonObj = JsonConvert.DeserializeObject <GDAXTradeMatchJson>(result);
PriceChangeEvent priceChange = new PriceChangeEvent()
{
Price = jsonObj.price,
UtcTime = DateTime.Parse(jsonObj.time).ToUniversalTime(),
ExchangeTradePair = this.GetExchangeTradePair(this.tradingPairs.Values.First().Exchange.Name, jsonObj.product_id.Split('-')[0], jsonObj.product_id.Split('-')[1])
};
// Notify the observers!
await this.NotifyObserverOfPriceChange(priceChange);
}
}
catch (Exception ex)
{
Console.WriteLine(ex);
}
}
protected async Task NotifyObserverOfPriceChange(PriceChangeEvent priceEvent)
{
// Loop through the observers and signal change.
foreach (var observer in this.PriceObservers)
{
await observer.OnMarketPriceChangeAsync(priceEvent);
}
}
public decimal UpdatePriceAndGetValue(PriceChangeEvent e)
{
// Update edges;
this.Edges.Where(x => x.CurrentPrice.ExchangeTradePair == e.ExchangeTradePair).ToList().ForEach(x =>
{
x.CurrentPrice.Price = e.Price;
x.CurrentPrice.UtcLastUpdateTime = e.UtcTime;
});
return(this.GetValue());
}
public static List <ProductVm> UpdatePrice(this List <ProductVm> rows, PriceChangeEvent updateEvent, float newPrice)
{
var rowToUpdate = rows.FirstOrDefault(_ => _.Id == updateEvent.ProductId);
if (rowToUpdate != null)
{
rowToUpdate.Price = newPrice;
rowToUpdate.Quantity = updateEvent.NewQuantity;
}
return(rows);
}
public async Task OnMarketPriceChangeAsync(PriceChangeEvent change)
{
// First time we receive a price, we generate
ExchangeTriangulation[] triangulations = this.tradePairCycles.GetOrAdd(change.ExchangeTradePair.Exchange, GetTriangulationsForExchange(change.ExchangeTradePair.Exchange));
//
foreach (var tria in triangulations)
{
var opporunity = (tria.UpdatePriceAndGetValue(change) - 1m) * 100m;
if (opporunity > 0m)
{
Console.WriteLine($"Found a triangulation opportunity on {change.ExchangeTradePair.Exchange} of {opporunity:0.00%} for cycle: {tria}");
}
}
}
/// <summary>
/// On market price change this is called to persist the information to db.
/// </summary>
/// <param name="change"></param>
public async Task OnMarketPriceChangeAsync(PriceChangeEvent change)
{
// Save to database.
using (var ctx = new RBBotContext())
{
ctx.MarketPrices.Add(new Models.MarketPrice()
{
ExchangeTradePairId = change.ExchangeTradePair.Id,
Price = change.Price,
Timestamp = change.UtcTime
});
// Write to console.
//Console.WriteLine($"Price Change on {change.ExchangeTradePair.Exchange.Name} for {change.ExchangeTradePair.TradePair.FromCurrency.Code} - {change.ExchangeTradePair.TradePair.ToCurrency.Code}. New Price: {change.Price}");
await ctx.SaveChangesAsync();
}
}
protected virtual void OnPriceChanged(EventArgs e)
{
PriceChangeEvent?.Invoke(this, e);
}
public void PublishPriceChange(string symbol, decimal newPrice)
{
PriceChangeEvent?.Invoke(this, new PriceChangeEventArgs(symbol, newPrice));
}
public static List <LeaderboardRowModel> UpdatePrice(this List <LeaderboardRowModel> rows, PriceChangeEvent updateEvent, float newPrice)
{
var rowToUpdate = rows.FirstOrDefault(_ => _.ProductId == updateEvent.ProductId);
if (rowToUpdate != null)
{
rowToUpdate.Price = newPrice;
}
return(rows);
}
public async Task SendPriceChanged(PriceChangeEvent priceChangeEvent)
{
await Clients.All.SendAsync(SendMethods.PriceChanged.ToString(), priceChangeEvent);
}
