public static SimpleArbitrage CreateFrom(
decimal estimatedProfits, string baseCurrency, string quoteCurrency,
int buyFrom, decimal buyPrice, decimal buyAmounts,
int sellTo, decimal sellPrice, decimal sellAmounts,
StopLossSetting buyStopLossSetting, StopLossSetting sellStopLossSetting)
{
var arbitrageId = Guid.NewGuid().ToString();
//無條件捨去至 N 位
//It seems Binance only support max to 6.
int roundedNumber = 6;
decimal pow = (decimal)Math.Pow(10, roundedNumber);
decimal roundedBuyAmounts = Math.Floor(buyAmounts * (pow)) / pow;
decimal roundedSellAmounts = Math.Floor(sellAmounts * (pow)) / pow;
var buySlipPrice = buyStopLossSetting.GetSlipPrice(buyPrice, baseCurrency, quoteCurrency);
var buyOrder = new ArbitrageBuyOrder(
Guid.NewGuid().ToString(),
buyFrom,
baseCurrency,
quoteCurrency,
buyPrice,
roundedBuyAmounts,
buySlipPrice
);
var sellSlipPrice = sellStopLossSetting.GetSlipPrice(sellPrice, baseCurrency, quoteCurrency);
var sellOrder = new ArbitrageSellOrder(
Guid.NewGuid().ToString(),
sellTo,
baseCurrency,
quoteCurrency,
sellPrice,
roundedSellAmounts,
sellSlipPrice
);
var arbitrageData = ArbitrageData.FromSimpleArbitrageOpened(buyOrder, sellOrder);
return(new SimpleArbitrage(
arbitrageId,
buyOrder,
sellOrder,
estimatedProfits,
arbitrageData,
SimpleArbitrageStatus.Opened
));
}
private SimpleArbitrage(string arbitrageId, ArbitrageBuyOrder buyOrder, ArbitrageSellOrder sellOrder, decimal estimatedProfits, ArbitrageData arbitrageData, SimpleArbitrageStatus status) : this()
{
this.ArbitrageId = arbitrageId ?? throw new ArgumentNullException(nameof(arbitrageId));
this.BuyOrder = buyOrder ?? throw new ArgumentNullException(nameof(buyOrder));
this.SellOrder = sellOrder ?? throw new ArgumentNullException(nameof(sellOrder));
this.EstimateProfits = estimatedProfits;
this.ArbitrageData = arbitrageData ?? throw new ArgumentNullException(nameof(arbitrageData));
//this.Status = status ?? throw new ArgumentNullException(nameof(status));
this._simpleArbitrageStatusId = status != null ? status.Id : throw new ArgumentNullException(nameof(status));
this.ActualProfits = 0;
this.IsSuccess = false;
this.FailureReason = String.Empty;
this.AddDomainEvent(
new SimpleArbitrageOpenedDomainEvent(this));
}
public static ArbitrageData FromSimpleArbitrageOpened(ArbitrageBuyOrder buyOrder, ArbitrageSellOrder sellOrder)
{
if (buyOrder == null)
{
throw new ArgumentNullException(nameof(buyOrder));
}
if (sellOrder == null)
{
throw new ArgumentNullException(nameof(sellOrder));
}
var baseCurrency =
buyOrder.BaseCurrency == sellOrder.BaseCurrency ?
buyOrder.BaseCurrency : throw new InvalidOperationException("The base currency between buy order and sell order must be the same currency.");
var quoteCurrency =
buyOrder.QuoteCurrency == sellOrder.QuoteCurrency ?
buyOrder.QuoteCurrency : throw new InvalidOperationException("The quote currency between buy order and sell order must be the same currency.");
//Defaults to zero.
decimal originalBaseCurrencyQty = 0;
decimal originalQuoteCurrencyQty = 0;
originalQuoteCurrencyQty += buyOrder.Price * buyOrder.Quantity;
originalBaseCurrencyQty += sellOrder.Quantity;
return(new ArbitrageData(baseCurrency, quoteCurrency, originalBaseCurrencyQty, originalQuoteCurrencyQty));
}