private static void MessageEventDispatcher(BinanceAggregateTradeData data)
{
if (!MonitoredSymbols.TryGetValue(data.Symbol, out var monitoredSymbolsProcessors))
{
return;
}
foreach (var orderProcessor in monitoredSymbolsProcessors)
{
Task.Factory.StartNew(() => orderProcessor.MessageEventHandler(data));
}
}
private void MessageEventHandler(BinanceAggregateTradeData data)
{
try
{
Console.WriteLine($"{nameof(this.MessageEventHandler)}: {DateTime.Now:O} {data.Symbol} {data.Price:N8}");
if (!this.ShouldReorder(data))
{
return;
}
this.MoveUp(data).ConfigureAwait(false);
}
catch (Exception ex)
{
Console.WriteLine(ex);
}
}
public static AggregateTrade Map(BinanceAggregateTradeData data)
{
return(new AggregateTrade
{
AggregateTradeId = data.AggregateTradeId,
EventTime = data.EventTime,
EventType = data.EventType,
FirstTradeId = data.FirstTradeId,
LastTradeId = data.LastTradeId,
Price = data.Price,
Quantity = data.Quantity,
Symbol = data.Symbol,
TradeTime = data.TradeTime,
WasBestPriceMatch = data.WasBestPriceMatch,
WasBuyerMaker = data.WasBuyerMaker
});
}
private bool ShouldReorder(BinanceAggregateTradeData data)
{
var orderStopPrice = this._orderResponse.StopPrice;
var lastTradePrice = data.Price;
if (lastTradePrice <= orderStopPrice)
{
// stop-loss is already over last trade price -> it should execute
this.CheckOrder().ConfigureAwait(false);
return(false);
}
// check if last trade price is over thresholds
if (!this.OverThresholds(data))
{
return(false);
}
return(true);
}
private bool OverThresholds(BinanceAggregateTradeData data)
{
var orderStopPrice = this._orderResponse.StopPrice;
var lastTradePrice = data.Price;
if (Properties.Settings.Default.MoveUpStaticThreshold > 0 &&
lastTradePrice > orderStopPrice + Properties.Settings.Default.MoveUpStaticThreshold)
{
return(true);
}
if (Properties.Settings.Default.MoveUpPrcentageThreshold > 0 &&
lastTradePrice > orderStopPrice * (100 + Properties.Settings.Default.MoveUpPrcentageThreshold) / 100)
{
return(true);
}
// TODO: implement hysteresis
return(false);
}
private async Task MoveUp(BinanceAggregateTradeData data)
{
var newStopPrice = data.Price * (100 - Properties.Settings.Default.MoveUpPrecentageMarginUnderMarket) / 100;
Console.WriteLine($"{nameof(this.MoveUp)}: {DateTime.Now:O} {data.Symbol} {data.Price:N8} -> {newStopPrice:N8}");
Console.WriteLine($"{nameof(this.MoveUp)}: {DateTime.Now:O} {data.Symbol} Canceling order '{this._orderResponse.OrderId}'...");
if (!Properties.Settings.Default.TestMode)
{
var cancelOrderResponse = await this._client.CancelOrder(new CancelOrderRequest
{
Symbol = this._orderResponse.Symbol,
OrderId = this._orderResponse.OrderId,
}, Properties.Settings.Default.ReceiveWindow);
Console.WriteLine($"{nameof(this.MoveUp)}: {DateTime.Now:O} {data.Symbol} Order '{cancelOrderResponse.OrderId}' canceled");
}
await this.RefreshOrderResponse();
Console.WriteLine($"{nameof(this.MoveUp)}: {DateTime.Now:O} {data.Symbol} Creating new order at {newStopPrice:N8}...");
if (!Properties.Settings.Default.TestMode)
{
var newOrderResponse = await this._client.CreateOrder(new CreateOrderRequest
{
Symbol = this._orderResponse.Symbol,
NewOrderResponseType = NewOrderResponseType.Acknowledge,
Quantity = this._orderResponse.OriginalQuantity - this._orderResponse.ExecutedQuantity,
Side = OrderSide.Sell,
StopPrice = newStopPrice,
Type = OrderType.StopLoss,
TimeInForce = TimeInForce.GTC
});
Console.WriteLine($"{nameof(this.MoveUp)}: {DateTime.Now:O} {data.Symbol} Order '{newOrderResponse.OrderId}' created");
}
}