forked from joelpob/betfairng
/
BFHelpers.cs
368 lines (315 loc) · 17.6 KB
/
BFHelpers.cs
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using Betfair.ESAClient.Cache;
using BetfairNG.Data;
using System;
using System.Collections.Generic;
using System.Collections.Immutable;
using System.Linq;
using System.Reactive.Linq;
using System.Text;
namespace BetfairNG
{
public static class BFHelpers
{
public static List<Order> Backs(this List<Order> orders)
{
return orders.Where(c => c.Side == Side.BACK).ToList();
}
public static double Best(this List<Data.PriceSize> prices)
{
if (prices.Count > 0)
return prices.First().Price;
else
return 0.0;
}
public static List<T> Copy<T>(this List<T> list)
{
List<T> newList = new List<T>();
for (int i = 0; i < list.Count; i++)
newList.Add(list[i]);
return newList;
}
public static double GetMarketEfficiency(IEnumerable<double> odds)
{
double total = odds.Sum(c => 1.0 / c);
return 1.0 / total;
}
public static MarketFilter HorseRaceFilter(string country = null)
{
var marketFilter = new MarketFilter
{
EventTypeIds = new HashSet<string>() { "7" },
MarketStartTime = new TimeRange()
{
From = DateTime.Now,
To = DateTime.Now.AddDays(1)
}
};
if (country != null)
marketFilter.MarketCountries = new HashSet<string>() { country };
marketFilter.MarketTypeCodes = new HashSet<string>() { "WIN" };
return marketFilter;
}
public static PriceProjection HorseRacePriceProjection()
{
ISet<PriceData> priceData = new HashSet<PriceData>
{
//get all prices from the exchange
PriceData.EX_TRADED,
PriceData.EX_ALL_OFFERS
};
var priceProjection = new PriceProjection
{
PriceData = priceData
};
return priceProjection;
}
public static ISet<MarketProjection> HorseRaceProjection()
{
ISet<MarketProjection> marketProjections = new HashSet<MarketProjection>
{
MarketProjection.RUNNER_METADATA,
MarketProjection.MARKET_DESCRIPTION,
MarketProjection.EVENT
};
return marketProjections;
}
public static List<Order> Lays(this List<Order> orders)
{
return orders.Where(c => c.Side == Side.LAY).ToList();
}
public static string MarketBookConsole(
MarketCatalogue marketCatalogue,
MarketBook marketBook,
IEnumerable<RunnerCatalog> runnerDescriptions,
Func<RunnerCatalog, Runner, string> backSide = null,
Func<RunnerCatalog, Runner, string> laySide = null)
{
var nearestBacks = marketBook.Runners
.Where(c => c.Status == RunnerStatus.ACTIVE)
.Select(c => c.ExchangePrices.AvailableToBack.Count > 0 ? c.ExchangePrices.AvailableToBack.First().Price : 0.0);
var nearestLays = marketBook.Runners
.Where(c => c.Status == RunnerStatus.ACTIVE)
.Select(c => c.ExchangePrices.AvailableToLay.Count > 0 ? c.ExchangePrices.AvailableToLay.First().Price : 0.0);
var timeToJump = Convert.ToDateTime(marketCatalogue.Event.OpenDate);
var timeRemainingToJump = timeToJump.Subtract(DateTime.UtcNow);
var sb = new StringBuilder()
.AppendFormat("{0} {1}", marketCatalogue.Event.Name, marketCatalogue.MarketName)
.AppendFormat(" : {0}% {1}%", BFHelpers.GetMarketEfficiency(nearestBacks).ToString("0.##"), BFHelpers.GetMarketEfficiency(nearestLays).ToString("0.##"))
.AppendFormat(" : Status={0}", marketBook.Status)
.AppendFormat(" : IsInplay={0}", marketBook.IsInplay)
.AppendFormat(" : Runners={0}", marketBook.NumberOfActiveRunners)
.AppendFormat(" : Matched={0}", marketBook.TotalMatched.ToString("C0"))
.AppendFormat(" : Avail={0}", marketBook.TotalAvailable.ToString("C0"));
sb.AppendLine();
sb.AppendFormat("Time To Jump: {0}h {1}:{2}",
timeRemainingToJump.Hours + (timeRemainingToJump.Days * 24),
timeRemainingToJump.Minutes.ToString("##"),
timeRemainingToJump.Seconds.ToString("##"));
sb.AppendLine();
if (marketBook.Runners != null && marketBook.Runners.Count > 0)
{
foreach (var runner in marketBook.Runners.Where(c => c.Status == RunnerStatus.ACTIVE))
{
var runnerName = runnerDescriptions?.FirstOrDefault(c => c.SelectionId == runner.SelectionId);
var bsString = backSide != null ? backSide(runnerName, runner) : "";
var lyString = laySide != null ? laySide(runnerName, runner) : "";
string consoleRunnerName = runnerName != null ? runnerName.RunnerName : "null";
sb.AppendLine(string.Format("{0} {9} [{1}] {2},{3},{4} :: {5},{6},{7} [{8}] {10}",
consoleRunnerName.PadRight(25),
runner.ExchangePrices.AvailableToBack.Sum(a => a.Size).ToString("0").PadLeft(7),
runner.ExchangePrices.AvailableToBack.Count > 2 ? runner.ExchangePrices.AvailableToBack[2].Price.ToString("0.00").PadLeft(6) : " 0.00",
runner.ExchangePrices.AvailableToBack.Count > 1 ? runner.ExchangePrices.AvailableToBack[1].Price.ToString("0.00").PadLeft(6) : " 0.00",
runner.ExchangePrices.AvailableToBack.Count > 0 ? runner.ExchangePrices.AvailableToBack[0].Price.ToString("0.00").PadLeft(6) : " 0.00",
runner.ExchangePrices.AvailableToLay.Count > 0 ? runner.ExchangePrices.AvailableToLay[0].Price.ToString("0.00").PadLeft(6) : " 0.00",
runner.ExchangePrices.AvailableToLay.Count > 1 ? runner.ExchangePrices.AvailableToLay[1].Price.ToString("0.00").PadLeft(6) : " 0.00",
runner.ExchangePrices.AvailableToLay.Count > 2 ? runner.ExchangePrices.AvailableToLay[2].Price.ToString("0.00").PadLeft(6) : " 0.00",
runner.ExchangePrices.AvailableToLay.Sum(a => a.Size).ToString("0").PadLeft(7),
bsString,
lyString));
}
}
return sb.ToString();
}
public static string MarketSnapConsole(
MarketSnap marketSnap,
IEnumerable<RunnerCatalog> runnerDescriptions,
Func<RunnerCatalog, MarketRunnerSnap, string> backSide = null,
Func<RunnerCatalog, MarketRunnerSnap, string> laySide = null)
{
var nearestBacks = marketSnap.MarketRunners
.Select(c => c.Prices.AvailableToBack.Count > 0 ? c.Prices.AvailableToBack.First().Price : 0.0);
var nearestLays = marketSnap.MarketRunners
.Select(c => c.Prices.AvailableToLay.Count > 0 ? c.Prices.AvailableToLay.First().Price : 0.0);
var timeToJump = Convert.ToDateTime(marketSnap.MarketDefinition.OpenDate);
var timeRemainingToJump = timeToJump.Subtract(DateTime.UtcNow);
var sb = new StringBuilder()
.AppendFormat("{0}", marketSnap.MarketDefinition.Venue)
.AppendFormat(" : {0}% {1}%", BFHelpers.GetMarketEfficiency(nearestBacks).ToString("0.##"), BFHelpers.GetMarketEfficiency(nearestLays).ToString("0.##"))
.AppendFormat(" : Status={0}", marketSnap.MarketDefinition.Status)
.AppendFormat(" : IsInplay={0}", marketSnap.MarketDefinition.InPlay.HasValue ? marketSnap.MarketDefinition.InPlay.Value.ToString() : "")
.AppendFormat(" : Runners={0}", marketSnap.MarketDefinition.NumberOfActiveRunners)
.AppendFormat(" : TradedVolume={0}", marketSnap.TradedVolume);
sb.AppendLine();
sb.AppendFormat("Time To Jump: {0}h {1}:{2}",
timeRemainingToJump.Hours + (timeRemainingToJump.Days * 24),
timeRemainingToJump.Minutes.ToString("##"),
timeRemainingToJump.Seconds.ToString("##"));
sb.AppendLine();
if (marketSnap.MarketRunners != null && marketSnap.MarketRunners.Count > 0)
{
foreach (var runner in marketSnap.MarketRunners.Where(c => c.Definition.Status == Betfair.ESASwagger.Model.RunnerDefinition.StatusEnum.Active))
{
var runnerName = runnerDescriptions?.FirstOrDefault(c => c.SelectionId == runner.RunnerId.SelectionId);
var bsString = backSide != null ? backSide(runnerName, runner) : "";
var lyString = laySide != null ? laySide(runnerName, runner) : "";
string consoleRunnerName = runnerName != null ? runnerName.RunnerName : "null";
sb.AppendLine(string.Format("{0} {9} [{1}] {2},{3},{4} :: {5},{6},{7} [{8}] {10}",
consoleRunnerName.PadRight(25),
runner.Prices.AvailableToBack.Sum(a => a.Size).ToString("0").PadLeft(7),
runner.Prices.AvailableToBack.Count > 2 ? runner.Prices.AvailableToBack[2].Price.ToString("0.00").PadLeft(6) : " 0.00",
runner.Prices.AvailableToBack.Count > 1 ? runner.Prices.AvailableToBack[1].Price.ToString("0.00").PadLeft(6) : " 0.00",
runner.Prices.AvailableToBack.Count > 0 ? runner.Prices.AvailableToBack[0].Price.ToString("0.00").PadLeft(6) : " 0.00",
runner.Prices.AvailableToLay.Count > 0 ? runner.Prices.AvailableToLay[0].Price.ToString("0.00").PadLeft(6) : " 0.00",
runner.Prices.AvailableToLay.Count > 1 ? runner.Prices.AvailableToLay[1].Price.ToString("0.00").PadLeft(6) : " 0.00",
runner.Prices.AvailableToLay.Count > 2 ? runner.Prices.AvailableToLay[2].Price.ToString("0.00").PadLeft(6) : " 0.00",
runner.Prices.AvailableToLay.Sum(a => a.Size).ToString("0").PadLeft(7),
bsString,
lyString));
}
}
return sb.ToString();
}
public static string ToStringRunnerName(IEnumerable<RunnerCatalog> descriptions, IEnumerable<Runner> runners)
{
StringBuilder builder = new StringBuilder();
foreach (var runner in runners)
{
var nameRunner = descriptions.First(c => c.SelectionId == runner.SelectionId);
builder.AppendLine(string.Format("{0}\t [{1}] {2},{3},{4} :: {5},{6},{7} [{8}]",
nameRunner.RunnerName.PadRight(25),
runner.ExchangePrices.AvailableToBack.Sum(a => a.Size).ToString().PadLeft(7),
runner.ExchangePrices.AvailableToBack.Count > 2 ? runner.ExchangePrices.AvailableToBack[2].Price.ToString("0.00").PadLeft(6) : " 0.00",
runner.ExchangePrices.AvailableToBack.Count > 1 ? runner.ExchangePrices.AvailableToBack[1].Price.ToString("0.00").PadLeft(6) : " 0.00",
runner.ExchangePrices.AvailableToBack.Count > 0 ? runner.ExchangePrices.AvailableToBack[0].Price.ToString("0.00").PadLeft(6) : " 0.00",
runner.ExchangePrices.AvailableToLay.Count > 0 ? runner.ExchangePrices.AvailableToLay[0].Price.ToString("0.00").PadLeft(6) : " 0.00",
runner.ExchangePrices.AvailableToLay.Count > 1 ? runner.ExchangePrices.AvailableToLay[1].Price.ToString("0.00").PadLeft(6) : " 0.00",
runner.ExchangePrices.AvailableToLay.Count > 2 ? runner.ExchangePrices.AvailableToLay[2].Price.ToString("0.00").PadLeft(6) : " 0.00",
runner.ExchangePrices.AvailableToLay.Sum(a => a.Size).ToString().PadLeft(7)));
}
return builder.ToString();
}
}
public class PriceHelpers
{
public static readonly ImmutableArray<double> Table = new[]
{
1.01, 1.02, 1.03, 1.04, 1.05, 1.06, 1.07, 1.08, 1.09,
1.1, 1.11, 1.12, 1.13, 1.14, 1.15, 1.16, 1.17, 1.18, 1.19, 1.2,
1.21, 1.22, 1.23, 1.24, 1.25, 1.26, 1.27, 1.28, 1.29, 1.3, 1.31,
1.32, 1.33, 1.34, 1.35, 1.36, 1.37, 1.38, 1.39, 1.4, 1.41, 1.42,
1.43, 1.44, 1.45, 1.46, 1.47, 1.48, 1.49, 1.5, 1.51, 1.52, 1.53,
1.54, 1.55, 1.56, 1.57, 1.58, 1.59, 1.6, 1.61, 1.62, 1.63, 1.64,
1.65, 1.66, 1.67, 1.68, 1.69, 1.7, 1.71, 1.72, 1.73, 1.74, 1.75,
1.76, 1.77, 1.78, 1.79, 1.8, 1.81, 1.82, 1.83, 1.84, 1.85, 1.86,
1.87, 1.88, 1.89, 1.9, 1.91, 1.92, 1.93, 1.94, 1.95, 1.96, 1.97,
1.98, 1.99, 2.0, 2.02, 2.04, 2.06, 2.08, 2.1, 2.12, 2.14, 2.16,
2.18, 2.2, 2.22, 2.24, 2.26, 2.28, 2.3, 2.32, 2.34, 2.36, 2.38, 2.4,
2.42, 2.44, 2.46, 2.48, 2.5, 2.52, 2.54, 2.56, 2.58, 2.6, 2.62,
2.64, 2.66, 2.68, 2.7, 2.72, 2.74, 2.76, 2.78, 2.8, 2.82, 2.84,
2.86, 2.88, 2.9, 2.92, 2.94, 2.96, 2.98, 3.0, 3.05, 3.1, 3.15, 3.2,
3.25, 3.3, 3.35, 3.4, 3.45, 3.5, 3.55, 3.6, 3.65, 3.7, 3.75, 3.8,
3.85, 3.9, 3.95, 4.0, 4.1, 4.2, 4.3, 4.4, 4.5, 4.6, 4.7, 4.8, 4.9,
5.0, 5.1, 5.2, 5.3, 5.4, 5.5, 5.6, 5.7, 5.8, 5.9, 6.0, 6.2, 6.4,
6.6, 6.8, 7.0, 7.2, 7.4, 7.6, 7.8, 8.0, 8.2, 8.4, 8.6, 8.8, 9.0,
9.2, 9.4, 9.6, 9.8, 10.0, 10.5, 11.0, 11.5, 12.0, 12.5, 13.0, 13.5,
14.0, 14.5, 15.0, 15.5, 16.0, 16.5, 17.0, 17.5, 18.0, 18.5, 19.0,
19.5, 20.0, 21.0, 22.0, 23.0, 24.0, 25.0, 26.0, 27.0, 28.0, 29.0,
30.0, 32.0, 34.0, 36.0, 38.0, 40.0, 42.0, 44.0, 46.0, 48.0, 50.0,
55.0, 60.0, 65.0, 70.0, 75.0, 80.0, 85.0, 90.0, 95.0, 100.0, 110.0,
120.0, 130.0, 140.0, 150.0, 160.0, 170.0, 180.0, 190.0, 200.0,
210.0, 220.0, 230.0, 240.0, 250.0, 260.0, 270.0, 280.0, 290.0,
300.0, 310.0, 320.0, 330.0, 340.0, 350.0, 360.0, 370.0, 380.0,
390.0, 400.0, 410.0, 420.0, 430.0, 440.0, 450.0, 460.0, 470.0,
480.0, 490.0, 500.0, 510.0, 520.0, 530.0, 540.0, 550.0, 560.0,
570.0, 580.0, 590.0, 600.0, 610.0, 620.0, 630.0, 640.0, 650.0,
660.0, 670.0, 680.0, 690.0, 700.0, 710.0, 720.0, 730.0, 740.0,
750.0, 760.0, 770.0, 780.0, 790.0, 800.0, 810.0, 820.0, 830.0,
840.0, 850.0, 860.0, 870.0, 880.0, 890.0, 900.0, 910.0, 920.0,
930.0, 940.0, 950.0, 960.0, 970.0, 980.0, 990.0, 1000.0
}.ToImmutableArray();
private const double Max_Price = 1000.0;
private const double Min_Price = 1.01;
public static double AddPip(double price)
{
return AddPip(price, 1);
}
public static double AddPip(double price, int num)
{
if (!IsValidPrice(price, out int index))
throw new ApplicationException($"Invalid Price: {price}");
index += num;
return index >= Table.Length ? Table[^1] : Table[index];
}
public static double ApplySpread(double price, double percentage)
{
if (!IsValidPrice(price, out int _))
throw new ApplicationException($"Invalid Price: {price}");
double adjustedPrice = price * percentage;
if (percentage <= 1.0)
return RoundDownToNearestBetfairPrice(adjustedPrice);
else
return RoundUpToNearestBetfairPrice(adjustedPrice);
}
public static bool IsValidPrice(double price, out int index)
{
index = Table.BinarySearch(price);
if (index < 0)
return false;
return true;
}
public static double RoundDownToNearestBetfairPrice(double price)
{
if (price >= Max_Price)
return Max_Price;
if (price <= Min_Price)
return Min_Price;
if (IsValidPrice(price, out int index))
return price;
return Table[~index];
}
public static double RoundUpToNearestBetfairPrice(double price)
{
if (price > Max_Price)
return -1;
if (price <= Min_Price)
return Min_Price;
if (IsValidPrice(price, out int index))
return price;
return Table[~index];
}
/// <summary>
/// Find the first value on the ladder greater than the price and snap to the next position below that value.
/// </summary>
/// <param name="price">The price to snap onto the ladder</param>
/// <returns>the price if is is on the ladder or the value closest on the ladder below the input price</returns>
public static double SnapToLadder(double price)
{
if (price > Table[^1])
return Table[^1];
if (IsValidPrice(price, out int index))
return price;
return Table[index - 1];
}
public static double SubtractPip(double price)
{
return SubtractPip(price, 1);
}
public static double SubtractPip(double price, int num)
{
if (!IsValidPrice(price, out int index))
throw new ApplicationException($"Invalid Price: {price}");
index -= num;
return index < 0 ? Table[0] : Table[index];
}
}
}