private Execution ExecuteArbitrageParallel(Arbitrage arbitrage)
{
Execution execution = new Execution(arbitrage);
Parallel.ForEach(execution.GetSequence(), sequence =>
{
Int32 offset = sequence.Item1;
TriangulationStep x = sequence.Item2;
TriangulationStep y = sequence.Item3;
if (!Config.TradingEnabled)
{
m_ExchangeEngine.TestOrder(x.Position, x.Symbol, arbitrage.GetQuantity(offset));
return;
}
OrderResult result = m_ExchangeEngine.PlaceOrder(x.Position, x.Symbol, arbitrage.GetQuantity(offset));
if (x.Position == Position.Buy)
{
x.Out = result.OtherQuantity;
y.In = result.ExecutedQuantity;
}
else
{
x.Out = result.ExecutedQuantity;
y.In = result.OtherQuantity;
}
execution.Fees += result.Fees;
});
return(execution);
}
private Execution ExecuteArbitrageSequential(Arbitrage arbitrage)
{
Decimal? recalculatedQuantity = null;
Execution execution = new Execution(arbitrage);
foreach ((Int32 offset, TriangulationStep x, TriangulationStep y) in execution.GetSequence())
{
Decimal quantity = recalculatedQuantity ?? arbitrage.GetQuantity(offset);
if (!Config.TradingEnabled)
{
m_ExchangeEngine.TestOrder(x.Position, x.Symbol, quantity);
continue;
}
OrderResult result = m_ExchangeEngine.PlaceOrder(x.Position, x.Symbol, quantity);
if (x.Position == Position.Buy)
{
x.Out = result.OtherQuantity;
y.In = result.ExecutedQuantity;
SortedOrderBook orderBook = m_ExchangeEngine.GetOrderBook(y.Symbol);
recalculatedQuantity = CalculateDustless(OrderBookConversion(false, y.In, y.QuoteAsset, y.BaseAsset, orderBook), y.DustDecimals);
}
else
{
x.Out = result.ExecutedQuantity;
y.In = result.OtherQuantity;
recalculatedQuantity = CalculateDustless(y.In, y.DustDecimals);
}
execution.Fees += result.Fees;
}
return(execution);
}