public void ValidateArbitrationTradeOrderExecution(ArbitrationOpportunity arbitrationTrade)
{
bool tradeFailed = false;
StringBuilder errorMessage = new StringBuilder("Arbitration trade " + CommonFunctions.StringManipulation.NullIntString(arbitrationTrade.Id) + " did not execute. ");
//Note, btce is special. If orders are fulfilled immediately, it just returns zero, not the actual order id. So if the exchange is btce,
//and the order id is 0, no need to do a check.
//Check to see if both the buy and sell orders were executed; check for btce order fulfillment first, to keep an error getting thrown on the order fulfillment check because of a non-existent '0' order id.
if (!(arbitrationTrade.SellExchange.GetType() == typeof(Btce) && arbitrationTrade.SellOrderId == "0") && !arbitrationTrade.SellExchange.IsOrderFulfilled(arbitrationTrade.SellOrderId))
{
errorMessage.Append("Sell order did not get filled. ");
tradeFailed = true;
}
if (!(arbitrationTrade.BuyExchange.GetType() == typeof(Btce) && arbitrationTrade.BuyOrderId == "0") && !arbitrationTrade.BuyExchange.IsOrderFulfilled(arbitrationTrade.BuyOrderId))
{
errorMessage.Append("Buy order did not get filled. ");
tradeFailed = true;
}
if (tradeFailed)
{
ExchangeBalanceInfo postArbitrationTradebalanceInfo = CalculateFiatAndBitcoinTotals();
string balanceString = "";
balanceString += "Balances after trade:" + Environment.NewLine + postArbitrationTradebalanceInfo.ToString() + Environment.NewLine;
balanceString += "Differences: " + Environment.NewLine + BuildDifferenceString(_exchangeBalanceInfoBeforeArbitrationTrade, postArbitrationTradebalanceInfo);
throw new ArbitrationTradeValidationException(errorMessage.ToString(), balanceString);
}
}
/// <summary>
/// Given two ExchangeBalanceInfo objects, subtracts the pre trade balance from the post trade balance and builds a of the results.
/// </summary>
/// <param name="exchangeBalanceInfoBeforeArbitrationTrade">Balances of the exchanges before the arbitration trade.</param>
/// <param name="postArbitrationTradebalanceInfo">Balances of the exchanges after the arbitration trade.</param>
/// <returns></returns>
private string BuildDifferenceString(ExchangeBalanceInfo exchangeBalanceInfoBeforeArbitrationTrade, ExchangeBalanceInfo postArbitrationTradebalanceInfo)
{
string returnString = "";
foreach (KeyValuePair <string, decimal[]> preExchangeBalanceDetailInfo in exchangeBalanceInfoBeforeArbitrationTrade.exchangeBalanceDictionary)
{
//Grab the balance info from the post balance object as well
KeyValuePair <string, decimal[]> postExchangeBalanceDetailInfo = postArbitrationTradebalanceInfo.exchangeBalanceDictionary.First(x => x.Key == preExchangeBalanceDetailInfo.Key);
if (returnString.Length > 0)
{
returnString += Environment.NewLine;
}
returnString += "\t\t" + preExchangeBalanceDetailInfo.Key + Environment.NewLine;
returnString += "\t\t\tFiat: " + (postExchangeBalanceDetailInfo.Value[0] - preExchangeBalanceDetailInfo.Value[0]) + Environment.NewLine;
returnString += "\t\t\tBtc: " + (postExchangeBalanceDetailInfo.Value[1] - preExchangeBalanceDetailInfo.Value[1]);
}
return(returnString);
}
public string ValidateExchangeBalancesAfterTrade(ArbitrationOpportunity arbitrationTrade)
{
ExchangeBalanceInfo postArbitrationTradebalanceInfo = CalculateFiatAndBitcoinTotals();
decimal realizedProfit = postArbitrationTradebalanceInfo.TotalFiatBalance - _exchangeBalanceInfoBeforeArbitrationTrade.TotalFiatBalance;
string errorMessage = "";
string balanceString = "";
balanceString += "\tBalances after trade:" + Environment.NewLine + postArbitrationTradebalanceInfo.ToString() + Environment.NewLine;
balanceString += "\tDifferences: " + Environment.NewLine + BuildDifferenceString(_exchangeBalanceInfoBeforeArbitrationTrade, postArbitrationTradebalanceInfo);
if (realizedProfit <= arbitrationTrade.Profit * 0.98m)
{
errorMessage = "Realized profit for arbitration trade " + arbitrationTrade.Id + " was more than 2% less than the expected profit. Expected profit = " + arbitrationTrade.Profit + ", realized profit = " + realizedProfit + ".";
}
else if (realizedProfit >= arbitrationTrade.Profit * 1.02m)
{
errorMessage = "Realized profit for arbitration trade " + arbitrationTrade.Id + " was more than 2% greater than the expected profit. Expected profit = " + arbitrationTrade.Profit + ", realized profit = " + realizedProfit + ".";
}
if (postArbitrationTradebalanceInfo.TotalBitcoinBalance <= _exchangeBalanceInfoBeforeArbitrationTrade.TotalBitcoinBalance * 0.98m)
{
errorMessage += "Bitcoin balance after arbitration trade " + arbitrationTrade.Id + " decreased by more than 2%. Bitcoin balance before trade = " + _exchangeBalanceInfoBeforeArbitrationTrade.TotalBitcoinBalance + ", bitcoin balance after trade = " + postArbitrationTradebalanceInfo.TotalBitcoinBalance + ".";
}
else if (postArbitrationTradebalanceInfo.TotalBitcoinBalance >= _exchangeBalanceInfoBeforeArbitrationTrade.TotalBitcoinBalance * 1.02m)
{
errorMessage += "Bitcoin balance after arbitration trade " + arbitrationTrade.Id + " increased by more than 2%. Bitcoin balance before trade = " + _exchangeBalanceInfoBeforeArbitrationTrade.TotalBitcoinBalance + ", bitcoin balance after trade = " + postArbitrationTradebalanceInfo.TotalBitcoinBalance + ".";
}
//If there is text in erroMessage, the trade did not validate
if (!String.IsNullOrWhiteSpace(errorMessage))
{
throw new ArbitrationTradeValidationException(errorMessage, balanceString);
}
return(balanceString);
}
private ExchangeBalanceInfo CalculateFiatAndBitcoinTotals()
{
decimal totalFiat = 0.0m;
decimal totalBitcoin = 0.0m;
string balanceString = "";
ExchangeBalanceInfo returnInfo = new ExchangeBalanceInfo();
foreach (BaseExchange exchange in _exchangeList)
{
//Add to the running totals of the fiat and bitcoin balances
totalFiat += exchange.AvailableFiat;
totalBitcoin += exchange.AvailableBtc;
//Add to the dictionary so the balances and be compared later
returnInfo.exchangeBalanceDictionary.Add(exchange.Name, new [] { exchange.AvailableFiat, exchange.AvailableBtc });
}
returnInfo.TotalBitcoinBalance = totalBitcoin;
returnInfo.TotalFiatBalance = totalFiat;
return(returnInfo);
}
public void SetFiatAndBitcoinBalanceBeforeArbitrationTrade()
{
_exchangeBalanceInfoBeforeArbitrationTrade = CalculateFiatAndBitcoinTotals();
}
