private bool CheckIfSpreadChangedOrItsParts(MarketDepthPair bestPair)
{
var result = bestPair.Bid.Price != _lastQuoterSpreadBuyPart ||
bestPair.Ask.Price != _lastQuoterSpreadSellPart;
if (result)
{
_lastQuoterSpreadBuyPart = bestPair.Bid.Price;
_lastQuoterSpreadSellPart = bestPair.Ask.Price;
}
return(result);
}
/// <summary>
/// Process new best <see cref="MarketDepthPair"/>
/// </summary>
/// <param name="marketPair">Best ask-bid pair</param>
/// <returns>Recommended price-volume pair or <see langword="null"/></returns>
public Quote Process(MarketDepthPair marketPair)
{
if (marketPair == null)
{
throw new ArgumentNullException(nameof(marketPair));
}
if (!marketPair.IsFull)
{
return(null);
}
Quote quote = null;
_logger.Info($"Best ask / bid: {marketPair.Ask.Price} / {marketPair.Bid.Price}. Update Id: {marketPair.UpdateTime}.");
// get price spreads (in percent)
decimal actualSpread = marketPair.PriceSpread !.Value / marketPair.MediumPrice !.Value * 100; // spread_relative = spread_absolute/price * 100
decimal expectedSpread = _marketStrategyConfig.TradeWhenSpreadGreaterThan;
_logger.Info($"Spread absolute (relative): {marketPair.PriceSpread} ({actualSpread/100:P}). Update Id: {marketPair.UpdateTime}.");
if (actualSpread >= expectedSpread)
{
// compute new order price
decimal extra = marketPair.MediumPrice.Value * (actualSpread - expectedSpread) / 100; // extra = medium_price * (spread_actual - spread_expected)
decimal orderPrice = marketPair.Bid.Price + extra; // new_price = best_bid + extra
// compute order volume
decimal volumeSpread = marketPair.VolumeSpread !.Value;
decimal orderVolume = volumeSpread > _marketStrategyConfig.MaxOrderVolume ?
_marketStrategyConfig.MaxOrderVolume : // max volume restriction
(volumeSpread < _marketStrategyConfig.MinOrderVolume ? _marketStrategyConfig.MinOrderVolume : volumeSpread); // min volume restriction
// return new price-volume pair
quote = new Quote(orderPrice, orderVolume, OrderSide.Buy);
}
return(quote);
}
/// <summary>
/// Update market depth
/// </summary>
/// <remarks>
/// How to manage a local order book correctly [1]:
/// 1. Open a stream to wss://stream.binance.com:9443/ws/bnbbtc@depth
/// 2. Buffer the events you receive from the stream
/// 3. Get a depth snapshot from https://www.binance.com/api/v1/depth?symbol=BNBBTC&limit=1000
/// -> 4. Drop any event where u is less or equal lastUpdateId in the snapshot
/// 5. The first processed should have U less or equal lastUpdateId+1 AND u equal or greater lastUpdateId+1
/// -> 6. While listening to the stream, each new event's U should be equal to the previous event's u+1
/// -> 7. The data in each event is the absolute quantity for a price level
/// -> 8. If the quantity is 0, remove the price level
/// 9. Receiving an event that removes a price level that is not in your local order book can happen and is normal.
/// Reference:
/// 1. https://github.com/binance/binance-spot-api-docs/blob/master/web-socket-streams.md#how-to-manage-a-local-order-book-correctly
/// </remarks>
public void UpdateDepth(IEnumerable <BinanceOrderBookEntry> asks, IEnumerable <BinanceOrderBookEntry> bids, long updateTime)
{
if (updateTime <= 0)
{
throw new ArgumentOutOfRangeException(nameof(updateTime));
}
// if nothing was changed then return
if (updateTime <= LastUpdateTime)
{
return;
}
if (asks == null && bids == null)
{
return;
}
void UpdateOrderBook(IEnumerable <BinanceOrderBookEntry> updates, IDictionary <decimal, decimal> orders)
{
if (orders == null)
{
throw new ArgumentNullException(nameof(orders));
}
if (updates == null)
{
return;
}
// WARN: clean orders in cases when connector received orderbook snapshots instead of orderbook updates
// orders.Clear();
// update order book
foreach (BinanceOrderBookEntry t in updates)
{
if (t.Quantity > IgnoreVolumeValue)
{
orders[t.Price] = t.Quantity;
}
else
if (orders.ContainsKey(t.Price))
{
orders.Remove(t.Price);
}
}
}
// save prev BestPair to OnMarketBestPairChanged raise event
MarketDepthPair prevBestPair = BestPair;
// update asks market depth
UpdateOrderBook(asks, _asks);
UpdateOrderBook(bids, _bids);
// set new update time
LastUpdateTime = updateTime;
// raise events
OnMarketDepthChanged(new MarketDepthChangedEventArgs(Asks, Bids, LastUpdateTime.Value));
if (!BestPair.Equals(prevBestPair))
{
OnMarketBestPairChanged(new MarketBestPairChangedEventArgs(BestPair));
}
}
