public CExchange()
{
dctExchangeProducts = new Dictionary <String, CProduct>();
dctExchangeAccounts = new Dictionary <String, String>();
dctExchangePositions = new Dictionary <String, double>();
this.server = CStrategyServer.Server;
}
protected CStrategy(Dictionary <int, Tuple <OrderSide, CProduct> > dctLegs)
{
this.server = CStrategyServer.Server;
this.dctLegs = dctLegs;
processStrategy = false;
CurrentLeg = 1;
DctStrategyProducts = new ConcurrentDictionary <String, CProduct>();
DctStrategyOrders = new ConcurrentDictionary <String, COrder>();
DctLegToOrder = new ConcurrentDictionary <int, COrder>();
// link everything up
for (int i = 1; i <= dctLegs.Count; i++)
{
// assign Strategy to Leg
dctLegs[i].Item2.colStrategy.Add(this);
// assign Product to Strategy Product Collection
CProduct product = dctLegs[i].Item2;
if (!DctStrategyProducts.ContainsKey(product.Symbol))
{
DctStrategyProducts[product.Symbol] = product;
}
// assign Product to Exchange Product Collection
if (!dctLegs[i].Item2.Exchange.dctExchangeProducts.ContainsKey(product.Symbol))
{
dctLegs[i].Item2.Exchange.dctExchangeProducts.Add(product.Symbol, product);
}
//TODO: any more linking
}
}
//[STAThread]
public static void Main(string[] args)
{
Console.WriteLine("Startup at " + DateTime.Now);
CStrategyServer server = new CStrategyServer(args);
while (server.IsActive)
{
System.Threading.Thread.Sleep(1000);
}
}
public CStrategyServer(string[] args)
{
Server = this;
IsActive = true;
TradeUSD = 1.0;
MinProfit = 0.002;
dctExchanges = new Dictionary <String, CExchange>();
CExchange kuExchange = new CKuCoin();
dctExchanges.Add(kuExchange.Name, kuExchange);
CExchange beExchange = new CBinance();
dctExchanges.Add(beExchange.Name, beExchange);
CExchange gdaxExchange = new CGDAX();
dctExchanges.Add(gdaxExchange.Name, gdaxExchange);
colServerProducts = new MTObservableCollection <CProduct>();
dctServerProducts = new Dictionary <String, CProduct>();
colStrategies = new MTObservableCollection <CTriArb>();
CExchange exchangeConfig;
// load yaml config
string config = File.ReadAllText(args[0]);
// load Yaml
var input = new StringReader(config);
// Load the stream
var yaml = new YamlStream();
yaml.Load(input);
// Examine the stream
var mapping = (YamlMappingNode)yaml.Documents[0].RootNode;
foreach (var entry in mapping.Children)
{
if (entry.Key.ToString().Equals("Exchanges"))
{
foreach (YamlMappingNode exchangeYaml in ((YamlSequenceNode)entry.Value).Children)
{
exchangeConfig = dctExchanges[exchangeYaml["Exchange"].ToString()];
var productsYaml = (YamlSequenceNode)exchangeYaml["Products"];
foreach (YamlMappingNode productYaml in productsYaml)
{
String symbol = productYaml.Children[new YamlScalarNode("symbol")].ToString();
int precisionSize = int.Parse(productYaml.Children[new YamlScalarNode("precisionSize")].ToString());
int precisionPrice = int.Parse(productYaml.Children[new YamlScalarNode("precisionPrice")].ToString());
CProduct productConfig = new CProduct(exchangeConfig, symbol, precisionSize, precisionPrice);
dctServerProducts.Add(exchangeConfig + "." + symbol, productConfig);
if (symbol.Contains("USD"))
{
colServerProducts.Add(productConfig);
}
productConfig.Exchange.dctExchangeProducts.Add(symbol, productConfig);
}
var strategiesYaml = (YamlSequenceNode)exchangeYaml["Strategies"];
foreach (YamlMappingNode strategyYaml in strategiesYaml)
{
Dictionary <int, Tuple <OrderSide, CProduct> > dctLegs_config = new Dictionary <int, Tuple <OrderSide, CProduct> >();
for (int leg = 1; leg <= 3; leg++)
{
String legsymbol = strategyYaml.Children[new YamlScalarNode("leg" + leg + "symbol")].ToString();
CProduct strategyProduct = dctServerProducts[exchangeConfig + "." + legsymbol];
Enum.TryParse(strategyYaml.Children[new YamlScalarNode("leg" + leg + "side")].ToString(), out OrderSide orderSide);
dctLegs_config.Add(leg, new Tuple <OrderSide, CProduct>(orderSide, strategyProduct));
}
int makerLeg = int.Parse(strategyYaml.Children[new YamlScalarNode("makerleg")].ToString());
colStrategies.Add(new CTriArb(dctLegs_config, makerLeg));
}
}
}
}
colServerOrders = new MTObservableCollection <COrder>();
dctIdToOrder = new ConcurrentDictionary <String, COrder>();
System.Timers.Timer timerTicks = new System.Timers.Timer(5000);
timerTicks.Elapsed += new ElapsedEventHandler(pollTicks);
timerTicks.Start();
System.Timers.Timer timerOrders = new System.Timers.Timer(5000);
timerOrders.Elapsed += new ElapsedEventHandler(pollOrders);
timerOrders.Start();
System.Timers.Timer timerPositions = new System.Timers.Timer(5000);
timerPositions.Elapsed += new ElapsedEventHandler(pollPositions);
timerPositions.Start();
System.Timers.Timer timerStrategy = new System.Timers.Timer(5000);
timerStrategy.Elapsed += new ElapsedEventHandler(cycleStrategy);
timerStrategy.Start();
openGui();
}
public CCTriArbMain()
{
InitializeComponent();
this.server = CStrategyServer.Server;
}
