/*abstract*/ public void runStrategy(IWebSocketClientConnection webSocketConnection, string symbol)
{
// Run the strategy to try to have an order on at least one side of the book according to fixed price range
// but never executing as a taker
if (!_enabled) // strategy cannot run when disabled
{
LogStatus(LogStatusType.WARN, "Strategy is disabled and will not run");
return;
}
// get the BTC Price in dollar
SecurityStatus btcusd_quote = _tradeclient.GetSecurityStatus("BITSTAMP", "BTCUSD");
if (btcusd_quote == null || btcusd_quote.LastPx == 0)
{
if (_priceType == PriceType.TRAILING_STOP || _priceType == PriceType.PEGGED)
{
LogStatus(LogStatusType.WARN, "BITSTAMP:BTCUSD not available");
return;
}
}
// get the dollar price
SecurityStatus usd_official_quote = _tradeclient.GetSecurityStatus("UOL", "USDBRL"); // use USDBRT for the turism quote
if (usd_official_quote == null || usd_official_quote.BestAsk == 0 || usd_official_quote.BestBid == 0)
{
if (_priceType == PriceType.TRAILING_STOP || _priceType == PriceType.PEGGED)
{
LogStatus(LogStatusType.WARN, "UOL:USDBRL not available");
return;
}
}
OrderBook orderBook = _tradeclient.GetOrderBook(symbol);
if (orderBook == null)
{
LogStatus(LogStatusType.ERROR, "Order Book not available for " + symbol);
return;
}
if (_priceType == PriceType.TRAILING_STOP)
{
if (_strategySide == OrderSide.SELL && _stop_price > 0)
{
if (btcusd_quote.LastPx <= _stop_price)
{
// trigger the stop when the price goes down
ulong stop_price_floor = (ulong)(Math.Round(_stop_price / 1e8 * usd_official_quote.BestAsk / 1e8 * _stop_price_adjustment_factor, 2) * 1e8);
ulong best_bid_price = orderBook.BestBid != null ? orderBook.BestBid.Price : 0;
ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL, stop_price_floor, ulong.MaxValue);
Console.WriteLine("DEBUG ** Triggered Trailing Stop and should execute ASAP ** [{0}],[{1}],[{2}],[{3}]", btcusd_quote.LastPx, best_bid_price, stop_price_floor, availableQty);
if (best_bid_price >= stop_price_floor)
{
// force a minimal execution as maker to get e-mail notification when the trailing stop is triggered
availableQty = availableQty > _minOrderSize ? availableQty - _minOrderSize : availableQty;
sendOrder(webSocketConnection, symbol, OrderSide.SELL, availableQty, stop_price_floor, OrdType.LIMIT, 0, ExecInst.DEFAULT, TimeInForce.IMMEDIATE_OR_CANCEL);
}
// change the strategy so that the bot might negociate the leaves qty as a maker applying another limit factor as a sell floor
_priceType = PriceType.PEGGED;
_sell_floor_price = stop_price_floor;
Console.WriteLine("DEBUG Changed Strategy to FLOAT with SELL_FLOOR_PRICE=[{0}]", _sell_floor_price);
}
else
{
// when the market goes up - adjust the stop in case of a new high price in BTCUSD
if (btcusd_quote.LastPx > _trailing_stop_high_price)
{
_stop_price = (ulong)(Math.Round(btcusd_quote.LastPx / 1e8 * (1 - _stoppx_offset_percentage / 100), 3) * 1e8);
_trailing_stop_high_price = btcusd_quote.LastPx;
Console.WriteLine("DEBUG Trailing STOP [StopPx={0}] [HighPx=[{1}] [EntryPx={2}] [CapPx={3}]", _stop_price, _trailing_stop_high_price, _trailing_stop_entry_price, _trailing_stop_cap_price);
}
// and check we should make profit
if (_trailing_stop_cap_price > 0 && btcusd_quote.LastPx > _trailing_stop_cap_price)
{
ulong best_bid_price = orderBook.BestBid != null ? orderBook.BestBid.Price : 0;
double local_exchange_spread = (best_bid_price / 1e8) / (double)(btcusd_quote.LastPx / 1e8 * usd_official_quote.BestBid / 1e8);
if (local_exchange_spread > 1)
{
_sell_floor_price = (ulong)(Math.Round(btcusd_quote.LastPx / 1e8 * usd_official_quote.BestBid / 1e8 * _stop_price_adjustment_factor, 2) * 1e8);
ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL, _sell_floor_price, ulong.MaxValue);
Console.WriteLine("DEBUG ** Reached Trailing Stop CAP and should execute ASAP ** [{0}],[{1}],[{2}],[{3}]", btcusd_quote.LastPx, best_bid_price, _sell_floor_price, availableQty);
if (best_bid_price >= _sell_floor_price)
{
availableQty = availableQty > _minOrderSize ? availableQty - _minOrderSize : availableQty; // force minimal execution as maker
sendOrder(webSocketConnection, symbol, OrderSide.SELL, availableQty, _sell_floor_price, OrdType.LIMIT, 0, ExecInst.DEFAULT, TimeInForce.IMMEDIATE_OR_CANCEL);
}
// change the strategy so that the bot might negociate the leaves qty as a maker
_priceType = PriceType.PEGGED;
Console.WriteLine("DEBUG Changed Strategy to FLOAT with SELL_FLOOR_PRICE=[{0}]", _sell_floor_price);
}
else
{
Console.WriteLine("DEBUG ** Reached Trailing Stop CAP [but without local exchange spread] ** [{0}],[{1}],[{2}],[{3}]", btcusd_quote.LastPx, best_bid_price, usd_official_quote.BestBid, local_exchange_spread);
}
}
}
}
return;
}
// ** temporary workaround to support market pegged sell order strategy without plugins**
if (_priceType == PriceType.PEGGED && _strategySide == OrderSide.SELL)
{
// make the price float according to the MID Price
// gather the data to calculate the midprice
// instead of bestAsk let's use the Price reached if one decides to buy X BTC
ulong maxPriceToBuyXBTC = orderBook.MaxPriceForAmountWithoutSelfOrders(
OrderBook.OrdSide.SELL,
(ulong)(1 * 1e8), // TODO: make it a parameter
_tradeclient.UserId);
// let's use the VWAP as the market price (short period tick based i.e last 30 min.)
ulong marketPrice = _tradeclient.CalculateVWAP();
// calculate the mid price
ulong midprice = (ulong)((orderBook.BestBid.Price + maxPriceToBuyXBTC + marketPrice) / 3);
_sellTargetPrice = midprice + _pegOffsetValue;
// check the selling FLOOR
if (_sellTargetPrice < _sell_floor_price)
{
_sellTargetPrice = _sell_floor_price;
}
}
// another workaround for sending a single stop order and disable the strategy
if (_priceType == PriceType.STOP)
{
if (_strategySide == OrderSide.BUY)
{
char ordType = (_buyTargetPrice == 0 ? OrdType.STOP_MARKET : OrdType.STOP_LIMIT);
ulong ref_price = (_buyTargetPrice > _stop_price ? _buyTargetPrice : _stop_price);
ulong qty = calculateOrderQty(symbol, _strategySide, ref_price);
sendOrder(webSocketConnection, symbol, OrderSide.BUY, qty, _buyTargetPrice, ordType, _stop_price, default(char));
}
if (_strategySide == OrderSide.SELL)
{
char ordType = (_sellTargetPrice == 0 ? OrdType.STOP_MARKET : OrdType.STOP_LIMIT);
ulong qty = calculateOrderQty(symbol, OrderSide.SELL);
sendOrder(webSocketConnection, symbol, OrderSide.SELL, qty, _sellTargetPrice, ordType, _stop_price, default(char));
}
// disable strategy after sending the stop order...
this._enabled = false;
return;
}
// run the strategy that change orders in the book
if (_maxOrderSize > 0)
{
webSocketConnection.EnableTestRequest = false;
if (_strategySide == OrderSide.BUY || _strategySide == default(char)) // buy or both
{
runBuyStrategy(webSocketConnection, symbol);
}
if (_strategySide == OrderSide.SELL || _strategySide == default(char)) // sell or both
{
runSellStrategy(webSocketConnection, symbol);
}
webSocketConnection.EnableTestRequest = true;
}
}
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);
}
}
/*abstract*/ public void runStrategy(IWebSocketClientConnection webSocketConnection, string symbol)
{
// Run the strategy to try to have an order on at least one side of the book according to fixed price range
// but never executing as a taker
if (!_enabled) // strategy cannot run when disabled
{
LogStatus(LogStatusType.WARN, "Strategy is disabled and will not run");
return;
}
// ** temporary workaround to support market pegged sell order strategy without plugins**
if (_priceType == PriceType.PEGGED && _strategySide == OrderSide.SELL)
{
// make the price float according to the MID Price
/*
* // requires the Security List for the trading symbol
* SecurityStatus status = _tradeclient.GetSecurityStatus ("BLINK", symbol);
* if (status == null)
* {
* LogStatus(
* LogStatusType.WARN,
* String.Format(
* "Waiting Security Status BLINK:{0} to run Pegged strategy",
* symbol)
* );
* return;
* }
*/
// check the remaining qty that can still be sold
ulong theSoldAmount = _tradeclient.GetSoldAmount();
if (theSoldAmount < _maxAmountToSell)
{
ulong uAllowedAmountToSell = _maxAmountToSell - theSoldAmount;
_maxTradeSize = _maxTradeSize < uAllowedAmountToSell ? _maxTradeSize : uAllowedAmountToSell;
_maxTradeSize = _maxTradeSize > _minTradeSize ? _maxTradeSize : _minTradeSize;
}
else
{
LogStatus(LogStatusType.WARN, String.Format("[runStrategy] Cannot exceed the allowed max amount to sell : {0} {1}", theSoldAmount, _maxAmountToSell));
_tradeclient.CancelOrderByClOrdID(webSocketConnection, _strategySellOrderClorid);
return;
}
// gather the data to calculate the midprice
OrderBook orderBook = _tradeclient.GetOrderBook(symbol);
// instead of bestAsk let's use the Price reached if one decides to buy 1 BTC
ulong maxPriceToBuy1BTC = orderBook.MaxPriceForAmountWithoutSelfOrders(
OrderBook.OrdSide.SELL,
(ulong)(1 * 1e8), // TODO: make it a parameter
_tradeclient.UserId);
// gather the magic element of the midprice (i.e. price to buy 10 BTC)
ulong maxPriceToBuyXBTC = orderBook.MaxPriceForAmountWithoutSelfOrders(
OrderBook.OrdSide.SELL,
(ulong)(10 * 1e8), // TODO: make it a parameter
_tradeclient.UserId);
// instead of the last price let's use the VWAP (short period tick based i.e last 30 min.)
ulong vwap = _tradeclient.CalculateVWAP();
ulong lastPx = _tradeclient.GetLastPrice();
ulong marketPrice = vwap > lastPx ? vwap : lastPx;
// calculate the mid price
//ulong midprice = (ulong)((status.BestAsk + status.BestBid + status.LastPx + maxPriceToBuyXBTC) / 4);
ulong midprice = (ulong)((orderBook.BestBid.Price + maxPriceToBuy1BTC + maxPriceToBuyXBTC + marketPrice) / 4);
Debug.Assert(_pegOffsetValue > 0);
_sellTargetPrice = midprice + _pegOffsetValue;
// get the dollar price
SecurityStatus usd_official_quote = _tradeclient.GetSecurityStatus("UOL", "USDBRL"); // use USDBRT for the turism quote
if (usd_official_quote == null || usd_official_quote.BestAsk == 0)
{
LogStatus(LogStatusType.WARN, "UOL:USDBRL not available");
}
// get the BTC Price in dollar
SecurityStatus bitfinex_btcusd_quote = _tradeclient.GetSecurityStatus("BITSTAMP", "BTCUSD");
if (bitfinex_btcusd_quote == null || bitfinex_btcusd_quote.BestAsk == 0)
{
LogStatus(LogStatusType.WARN, "BITSTAMP:BTCUSD not available");
}
// calculate the selling floor must be at least the price of the BTC in USD
//ulong floor = (ulong)(1.01 * bitfinex_btcusd_quote.BestAsk * (float)(usd_official_quote.BestAsk / 1e8));
//if (floor == 0) {
ulong floor = (ulong)(8900 * 1e8); // TODO: make it an optional parameter or pegged to the dolar bitcoin
//}
//floor = (ulong)(5400 * 1e8);
// check the selling FLOOR
if (_sellTargetPrice < floor)
{
_sellTargetPrice = floor;
}
}
// run the strategy
if (_maxTradeSize > 0)
{
webSocketConnection.EnableTestRequest = false;
if (_strategySide == OrderSide.BUY || _strategySide == default(char)) // buy or both
{
runBuyStrategy(webSocketConnection, symbol);
}
if (_strategySide == OrderSide.SELL || _strategySide == default(char)) // sell or both
{
runSellStrategy(webSocketConnection, symbol);
}
webSocketConnection.EnableTestRequest = true;
}
}
