public void UpdatePrice(ExchangeTradePair exchangeTradePair, decimal price, DateTime utcPriceUpdateTime)
{
// We want to do the following:
// If the price is older than priceInvalidationDelaySeconds, then just remove it.
// If you find the exchange, delete it.
// Calculate the min and max again.
var exchangesToRemove = priceDic.Values.Where(x => x.UtcLastUpdateTime.AddSeconds(priceInvalidationDelaySeconds) > DateTime.Now).Select(x => x.ExchangeTradePair.Exchange);
TradePairPrice priceRemoved = null;
foreach (var exchangeToRemove in exchangesToRemove)
{
priceDic.TryRemove(exchangeToRemove, out priceRemoved);
}
// Get latest price or add it.
var latestPrice = priceDic.AddOrUpdate(
exchangeTradePair.Exchange,
new TradePairPrice()
{
ExchangeTradePair = exchangeTradePair, Price = price, UtcLastUpdateTime = utcPriceUpdateTime
},
(e, oldVal) => {
oldVal.ExchangeTradePair = exchangeTradePair;
oldVal.Price = price;
oldVal.UtcLastUpdateTime = utcPriceUpdateTime;
return(oldVal);
}
);
// Now that the maximum and minimum have been calculated, we want to pass the ball to the Arb
this.MaximumValuedPair = this.priceDic.Max(x => x.Value);
this.MinimumValuedPair = this.priceDic.Min(x => x.Value);
}
internal ArbOpportunity(TradePairPrice lowerPricePair, TradePairPrice higherPricePair, Currency currency)
{
this.LowerPricePair = lowerPricePair;
this.HigherPricePair = higherPricePair;
this.OpportunityBaseCurrency = currency;
// The actions to be taken
this.Actions = new ITradeAction[][]
{
new ITradeAction [] { },
new ITradeAction []
{
//new ExchangeOrderAction()
}
};
}
private static decimal CalculateOpportunityMargin(TradePairPrice lowerPricePair, TradePairPrice higherPricePair)
{
// The opportunity is calculated by comparing the higher price with the lower price.
decimal marginPercent = ((higherPricePair.Price / lowerPricePair.Price) - 1m) * 100m;
// Then we remove the fees on both sides.
marginPercent -= (higherPricePair.ExchangeTradePair.FeePercent + lowerPricePair.ExchangeTradePair.FeePercent);
#warning Still need to calculated the amount for transfering and balancing accounts!!
// If the margin percent is higher than the minimum opportunity threshold, then report it.
if (marginPercent >= MinimumOpportunityTreshold)
{
return(marginPercent);
}
// Else just filter to zero
return(0m);
}
/// <summary>
/// Gets the key describing an arb opportunity.
/// </summary>
internal static string GetOpportunityKey(TradePairPrice lowerPricePair, TradePairPrice higherPricePair)
{
return(lowerPricePair.ExchangeTradePair.TradePair.ToString() + " - " + lowerPricePair.ExchangeTradePair.Exchange.ToString() + " -> " + higherPricePair.ExchangeTradePair.Exchange.ToString());
}
