private bool TryOpenMoreDeals(double bottomAsk, double topBid, double spreadToOpen)
{
int zoneIndex = OrderGrid.GetZoneIndex(spreadToOpen);
if (zoneIndex == -1)
{
return(false);
}
double baseAmount = GetRemainAmountForZoneInBaseCurrency(zoneIndex);
if (baseAmount == 0)
{
return(false);
}
double buyAmount = CalculateLongBuyAmountByBaseAmount(baseAmount);
double actualBuyAmount = GetActualBottomAskAmount(bottomAsk);
double finalBuyAmount = Math.Min(buyAmount, actualBuyAmount);
double requiredShortSellAmount = CalculateRequiredShortAmount(finalBuyAmount, spreadToOpen);
double availableShortSellAmount = GetActualShortBidAmount(topBid);
double finalSellAmount = Math.Min(requiredShortSellAmount, availableShortSellAmount);
if (finalSellAmount < requiredShortSellAmount)
{
finalSellAmount = availableShortSellAmount;
finalBuyAmount = CalculateRequiredLongAmount(finalSellAmount, spreadToOpen);
}
MarketBuy(Long, bottomAsk, finalBuyAmount);
MarketSell(Short, topBid, finalSellAmount);
var order = new StatisticalArbitrageOrderInfo()
{
LongAmount = finalBuyAmount,
LongValue = bottomAsk,
ShortAmount = finalSellAmount,
ShortTotalAmount = finalSellAmount,
ShortValue = topBid,
ZoneIndex = zoneIndex,
SpentDeposit = Long.HighestBidInBaseCurrency() * finalBuyAmount,
Spread = spreadToOpen
};
LastItem = new StatisticalArbitrageHistoryItem();
LastItem.Time = DateTime.UtcNow;
LastItem.Earned = Earned;
LastItem.LongPrice = bottomAsk;
LastItem.ShortPrice = topBid;
LastItem.LongAmount = finalBuyAmount;
LastItem.ShortAmount = finalSellAmount;
LastItem.Open = true;
StrategyData.Add(LastItem);
//OpenedOrders.Add(order);
OnOrderOpened(LastItem);
return(true);
}
private void OnOrderOpened(StatisticalArbitrageHistoryItem lastItem)
{
string text = string.Empty;
text += "<b>" + Name + "</b> open order:";
text += "<pre> buy: " + lastItem.LongPrice.ToString("0.########") + " am = " + lastItem.LongAmount.ToString("0.########") + "</pre>";
text += "<pre> sell: " + lastItem.ShortPrice.ToString("0.########") + " am = " + lastItem.ShortAmount.ToString("0.########") + "</pre>";
TelegramBot.Default.SendNotification(text, ChatId);
LogManager.Default.Add(LogType.Success, this, null, "open order",
"buy " + lastItem.LongPrice.ToString("0.########") + " am = " + lastItem.LongAmount.ToString("0.########") +
" sell" + lastItem.ShortPrice.ToString("0.########") + " am = " + lastItem.ShortAmount.ToString("0.########"));
}
private bool TryCloseDeals(double bottomBid, double topAsk, double spreadToClose)
{
if (spreadToClose > CloseSpread)
{
return(false);
}
if (OpenedOrders.Count == 0)
{
return(false);
}
StatisticalArbitrageOrderInfo order = GetOpenedOrderWithMaxSpread();
double actualSellAmount = GetActualBottomBidAmount(bottomBid);
double finalSellAmount = Math.Min(actualSellAmount, order.LongAmount);
double koeffSell = finalSellAmount / order.LongAmount;
double actualBuyAmount = GetActualShortAskAmount(topAsk);
double finalBuyAmount = Math.Min(actualBuyAmount, order.ShortAmount);
double koeffBuy = finalBuyAmount / order.ShortAmount;
double koeff = Math.Min(koeffBuy, koeffSell);
finalSellAmount *= koeff;
finalBuyAmount *= koeff;
MarketSell(Long, bottomBid, finalSellAmount);
MarketBuy(Short, topAsk, finalBuyAmount);
order.LongAmount -= finalSellAmount;
order.ShortAmount -= finalBuyAmount;
double eInc = (1 / order.LongValue - 1 / order.ShortValue) * finalBuyAmount;
Earned += eInc;
LastItem = new StatisticalArbitrageHistoryItem();
LastItem.Time = DateTime.UtcNow;
LastItem.Earned = Earned;
LastItem.LongAmount = finalSellAmount;
LastItem.LongPrice = bottomBid;
LastItem.ShortPrice = topAsk;
LastItem.ShortAmount = finalBuyAmount;
LastItem.Close = true;
StrategyData.Add(LastItem);
//if(order.LongAmount <= 0 && order.ShortAmount <= 0)
// OpenedOrders.Remove(order);
OnOrderClosed(LastItem);
return(true);
}
protected override void OnTickCore()
{
base.OnTickCore();
double bottomAsk = 0;
double topBid = 0;
double bottomBid = 0;
double topAsk = 0;
if (Long.OrderBookStatus != TickerDataStatus.Actual || Short.OrderBookStatus != TickerDataStatus.Actual)
{
string longOb = Long.OrderBookStatus == TickerDataStatus.Actual ? "green" : "red";
string shortOb = Short.OrderBookStatus == TickerDataStatus.Actual ? "green" : "red";
StateTextCore = "<b><color=" + longOb + ">long order book status = " + Long.OrderBookStatus + "</color> <color=" + shortOb + ">short order book status = " + Short.OrderBookStatus + "</b>";
return;
}
bottomAsk = Long.OrderBook.LowestAsk;
topBid = Short.OrderBook.HighestBid;
bottomBid = Long.OrderBook.HighestBid;
topAsk = Short.OrderBook.LowestAsk;
double spreadToOpen = topBid - bottomAsk;
double spreadToClose = topAsk - bottomBid;
if (LastItem == null || LastItem.LongAsk != bottomAsk || LastItem.ShortBid != topBid)
{
LastItem = new StatisticalArbitrageHistoryItem();
LastItem.Time = DataProvider.CurrentTime;
LastItem.LongAsk = bottomAsk;
LastItem.LongBid = bottomBid;
LastItem.ShortBid = topBid;
LastItem.ShortAsk = topAsk;
LastItem.Earned = Earned;
LastItem.Index = StrategyData.Count;
StrategyData.Add(LastItem);
StateTextCore = "<b><color=green>long=" + LastItem.LongAsk.ToString("0.########") + "</color> <color=red> short=" + LastItem.ShortBid.ToString("0.########") + "</color> spread = " + LastItem.OpenSpread.ToString("0.00000000") + " order count = " + OpenedOrders.Count + "</b>";
}
if (TryOpenMoreDeals(bottomAsk, topBid, spreadToOpen))
{
}
else if (TryCloseDeals(bottomBid, topAsk, spreadToClose))
{
}
}
private bool TryOpenMoreDeals(double bottomAsk, double topBid, double spreadToOpen)
{
if (spreadToOpen < SpreadOpenPosition)
{
return(false);
}
//int zoneIndex = OrderGrid.GetZoneIndex(spreadToOpen);
//if(zoneIndex == -1)
// return false;
//double baseAmount = GetRemainAmountForZoneInBaseCurrency(zoneIndex);
//if(baseAmount == 0)
// return false;
double baseAmount = MaxAllowedDeposit * 0.9;
double buyAmount = CalculateLongBuyAmountByBaseAmount(baseAmount);
double actualBuyAmount = GetActualBottomAskAmount(bottomAsk);
double finalBuyAmount = Math.Min(buyAmount, actualBuyAmount);
double requiredShortSellAmount = CalculateRequiredShortAmount(finalBuyAmount, spreadToOpen);
double availableShortSellAmount = GetActualShortBidAmount(topBid);
double finalSellAmount = Math.Min(requiredShortSellAmount, availableShortSellAmount);
if (finalSellAmount < requiredShortSellAmount)
{
finalSellAmount = availableShortSellAmount;
finalBuyAmount = CalculateRequiredLongAmount(finalSellAmount, spreadToOpen);
}
if (finalBuyAmount == 0 || finalSellAmount == 0 || finalBuyAmount * bottomAsk < MinDepositForOpenPosition)
{
return(false);
}
var order = new StatisticalArbitrageOrderInfo()
{
ShortValue = topBid,
SpentDeposit = Long.HighestBidInBaseCurrency() * finalBuyAmount,
Spread = spreadToOpen
};
if (Long.SpentInBaseCurrency(bottomAsk, finalBuyAmount) * 1.05 > MaxAllowedDeposit)
{
LogManager.Default.Add(LogType.Error, this, Name, "not enough deposit for open long position", "spent = " + Long.SpentInBaseCurrency(bottomAsk, finalBuyAmount) + " in " + Long.BaseCurrency + "; deposit = " + MaxAllowedDeposit);
return(false);
}
if (Short.SpentInBaseCurrency(topBid, finalSellAmount) * 1.05 > GetMaxAllowedShortDeposit())
{
LogManager.Default.Add(LogType.Error, this, Name, "not enough deposit for open long position", "spent = " + Short.SpentInBaseCurrency(topBid, finalSellAmount) + " in " + Short.BaseCurrency + "; deposit = " + GetMaxAllowedShortDeposit());
return(false);
}
OpenedPairs.Add(order);
OpenPositionInfo lp = OpenLongPosition(Long, "OL", bottomAsk, finalBuyAmount, 1000);
if (lp == null)
{
OpenedPairs.Remove(order);
LogManager.Default.Add(LogType.Error, this, Name, "failed open long position", "price = " + bottomAsk + "; amount = " + finalBuyAmount + "; spent = " + Long.SpentInBaseCurrency(bottomAsk, finalBuyAmount) + " in " + Long.BaseCurrency);
return(false);
}
OpenPositionInfo sp = OpenShortPosition(Short, "OS", topBid, finalSellAmount, 1000);
if (sp == null)
{
OpenedPairs.Remove(order);
LogManager.Default.Add(LogType.Error, this, Name, "failed open short position", "price = " + topBid + "; amount = " + finalSellAmount + "; spent = " + Short.SpentInBaseCurrency(topBid, finalSellAmount));
return(false);
}
order.LongPosition = lp;
order.ShortPosition = sp;
order.LongAmount = lp.OpenAmount;
order.LongValue = lp.OpenValue;
order.ShortAmount = sp.OpenAmount;
order.ShortTotalAmount = sp.OpenValue;
LastItem = new StatisticalArbitrageHistoryItem();
LastItem.OpenedPositions.Add(order.LongPosition);
LastItem.OpenedPositions.Add(order.ShortPosition);
LastItem.Time = DataProvider.CurrentTime;
LastItem.Earned = Earned;
LastItem.LongBid = Long.OrderBook.HighestBid;
LastItem.LongAsk = bottomAsk;
LastItem.ShortBid = topBid;
LastItem.ShortAsk = Short.OrderBook.LowestAsk;
LastItem.LongAmount = finalBuyAmount;
LastItem.ShortAmount = finalSellAmount;
LastItem.Open = true;
LastItem.Index = StrategyData.Count;
LastItem.Mark = "OPEN";
StrategyData.Add(LastItem);
//OpenedOrders.Add(order);
OnOrderOpened(LastItem);
return(true);
}
private bool TryCloseDeals(double bottomBid, double topAsk, double spreadToClose)
{
if (spreadToClose > SpreadClosePosition)
{
return(false);
}
if (OpenedOrders.Count == 0)
{
return(false);
}
//StatisticalArbitrageOrderInfo order = GetOpenedOrderWithMaxSpread();
foreach (StatisticalArbitrageOrderInfo order in OpenedPairs)
{
if (order.Spread < SpreadClosePosition)
{
continue;
}
double actualLongCloseBid = Long.GetActualBidByAmount(order.LongAmount);
double actualShortCloseAsk = Short.GetActualAskByAmount(order.ShortAmount);
double spread = actualShortCloseAsk - actualLongCloseBid;
if (spread > SpreadClosePosition)
{
continue;
}
double actualSellAmount = GetActualBottomBidAmount(actualLongCloseBid);
double actualBuyAmount = GetActualShortAskAmount(actualShortCloseAsk);
double finalSellAmount = Math.Min(actualSellAmount, order.LongAmount);
double koeffSell = finalSellAmount / order.LongAmount;
double finalBuyAmount = Math.Min(actualBuyAmount, order.ShortAmount);
double koeffBuy = finalBuyAmount / order.ShortAmount;
double koeff = Math.Min(koeffBuy, koeffSell);
finalSellAmount *= koeff;
finalBuyAmount *= koeff;
TradingResult closeLong = MarketSell(Long, bottomBid, finalSellAmount);
TradingResult closeShort = MarketBuy(Short, topAsk, finalBuyAmount);
order.LongAmount -= closeLong.Amount;
order.ShortAmount -= closeShort.Amount;
//double eInc = (1 / order.LongValue - 1 / order.ShortValue) * finalBuyAmount;
//Earned += eInc;
LastItem = new StatisticalArbitrageHistoryItem();
LastItem.Time = DataProvider.CurrentTime;
LastItem.Earned = Earned;
LastItem.LongAmount = finalSellAmount;
LastItem.LongAsk = Long.OrderBook.LowestAsk;
LastItem.LongBid = bottomBid;
LastItem.ShortAsk = topAsk;
LastItem.ShortBid = Short.OrderBook.HighestBid;
LastItem.ShortAmount = finalBuyAmount;
LastItem.Close = true;
LastItem.Index = StrategyData.Count;
LastItem.Mark = "CLOSE";
LastItem.ClosedPositions.Add(order.LongPosition);
LastItem.ClosedPositions.Add(order.ShortPosition);
StrategyData.Add(LastItem);
CloseLongPosition(order.LongPosition, closeLong);
CloseShortPosition(order.ShortPosition, closeShort);
if (order.LongAmount <= 0 && order.ShortAmount <= 0)
{
OpenedPairs.Remove(order);
OnOrderClosed(LastItem);
}
else
{
throw new Exception("Partial Close Not Implemented");
}
}
return(true);
}
