public async Task PlaceToMarketAsync()
{
var level = _levels.FirstOrDefault(l => l.Status == MarketLevelStatus.Empty);
while (level != null)
{
var side =
(level.Side == MarketSide.Long && level.Type == MarketLevelType.Direct) ||
(level.Side == MarketSide.Short && level.Type == MarketLevelType.Compensate)
? MarketSide.Long
: MarketSide.Short;
var price = level.Type == MarketLevelType.Direct ? level.Price : level.PriceCompensate;
var scope = _levels.Where(l => l.Status == MarketLevelStatus.Placed && l.OrderSide != side);
var crossLevel =
side == MarketSide.Long
? scope.Where(l => l.Price <= price).OrderBy(l => l.Price).FirstOrDefault() :
scope.Where(l => l.Price >= price).OrderByDescending(l => l.Price).FirstOrDefault();
if (crossLevel != null)
{
crossLevel.CurrentOrderId = string.Empty;
crossLevel.Status = MarketLevelStatus.Empty;
crossLevel.Type = crossLevel.Type == MarketLevelType.Direct ? MarketLevelType.Compensate : MarketLevelType.Direct;
if (crossLevel.Status == MarketLevelStatus.Placed)
{
await _trader.CancelOrder(crossLevel.CurrentOrderId);
_levelsByOrder.Remove(crossLevel.CurrentOrderId);
}
Console.WriteLine($"flip level. Price: {level.Price}, Side: {level.Side}, Type: {level.Type}, Id: {level.CurrentOrderId}");
level.CurrentOrderId = string.Empty;
level.Status = MarketLevelStatus.Empty;
level.Type = level.Type == MarketLevelType.Direct ? MarketLevelType.Compensate : MarketLevelType.Direct;
Console.WriteLine($"flip level. Price: {level.Price}, Side: {level.Side}, Type: {level.Type}");
}
else
{
var orderId = await _trader.PlaceOrderAsync(
_symbol,
price,
level.OriginalSize,
side);
if (!string.IsNullOrEmpty(orderId))
{
level.CurrentOrderId = orderId;
level.Status = MarketLevelStatus.Placed;
level.OrderSide = side;
Console.WriteLine(
$"Placed. Price: {level.Price}, Type: {level.Side}/{level.Type}, O-Price: {price}, O-Side: {side}, O-Id: {level.CurrentOrderId}");
_levelsByOrder[orderId] = level;
}
}
level = _levels.FirstOrDefault(l => l.Status == MarketLevelStatus.Empty);
}
}
public async Task PlaceToMarketAsync()
{
await _semaphoreSlim.WaitAsync();
try
{
var level = _levels.FirstOrDefault(l => l.Status == MarketLevelStatus.Empty);
while (level != null)
{
var side = level.ActualOrderSide;
var price = level.ActualOrderPrice;
var scope = _levels.Where(l => l.Status == MarketLevelStatus.Placed && l.OrderSide != side).ToList();
var crossLevel =
side == MarketSide.Long
? scope.Where(l => l.PriceSell <= level.OriginalOrderPrice).OrderBy(l => l.PriceSell).FirstOrDefault()
: scope.Where(l => l.PriceBuy >= level.OriginalOrderPrice).OrderByDescending(l => l.PriceBuy).FirstOrDefault();
if (crossLevel != null)
{
if (crossLevel.Status == MarketLevelStatus.Placed)
{
await CancelOrder(crossLevel.CurrentOrderId);
}
//crossLevel.RegisterTradeSize(crossLevel.ActualOrderSize * crossLevel.ActualOrderSideSign);
crossLevel.Revert();
Console.WriteLine(
$"flip level. Price: {crossLevel.PriceBuy}, Side: {crossLevel.Side}, Id: {level.CurrentOrderId}");
//level.RegisterTradeSize(crossLevel.ActualOrderSize * crossLevel.ActualOrderSideSign);
level.Revert();
Console.WriteLine($"flip level. Price: {level.PriceBuy}, Side: {level.Side}");
}
else
{
var orderId = await _trader.PlaceOrderAsync(
_symbol,
price,
level.ActualOrderSize,
side);
if (!string.IsNullOrEmpty(orderId))
{
level.CurrentOrderId = orderId;
level.Status = MarketLevelStatus.Placed;
level.OrderSide = side;
Console.WriteLine(
$"Placed. Price: {level.PriceBuy}, Side: {level.Side}, O-Price: {price}, O-Side: {side}, O-Id: {level.CurrentOrderId}");
_levelsByOrder[orderId] = level;
}
}
level = _levels.FirstOrDefault(l => l.Status == MarketLevelStatus.Empty);
}
}
finally
{
_semaphoreSlim.Release();
}
}