BigBot/TargetValueBot.cs

using System;
using sharp.json;
using System.IO;
using sharp.trading;
using sharp.trading.cache;
using sharp.extensions;
using sharp.json.attributes;
using sharp.tradebot;

namespace BigBot
{
	[JSONClassPolicy(Policy = JSONPolicy.ATTRIBUTED)]
	public class TargetValueBot : TradingBot<SetupClass>
	{
		[JSONField]
		public string CurrentOrderID;

		public override void Prepare()
		{
			base.Prepare();

			TradingBotEnvironment.RegisterPeriodic(Trade,10);
		}

		public override void Unprepare()
		{
			TradingBotEnvironment.UnregisterPeriodic(Trade);

			base.Unprepare();
		}


		public void Trade()
		{
			TradeBotBalance balanceBase = getBalance(BasicSetup.BaseSymbol);
			TradeBotBalance balanceMarket = getBalance(BasicSetup.MarketSymbol);

			if (BasicSetup.Enabled){
                Log("TargetValueBot V2 is trading...");
				OrderBook orderBook = BotMarket.getOrderBook();

				double testVolume = balanceMarket.CurrentBalance;
				if (testVolume == 0){
					testVolume = 1;
				}

				System.Tuple<double,double> currentValues = orderBook.getVolumePrice(testVolume);

				//				Log("Current Market Values: REBUY:  {0,11:####0.00000000} {2}   SELL: {1,11:####0.00000000} {2}", currentValues.Item1, currentValues.Item2, BasicSetup.BaseSymbol);
				//1				Log("Current Market Spread: {0,6:##0.00}%", ((currentValues.Item1 / currentValues.Item2)-1)*100);
				double currentMarketValue = currentValues.Item2;

				double currentUnitValue = currentMarketValue / testVolume;
				double alpha = BasicSetup.TargetPrice / currentUnitValue;
				double beta = Math.Pow(alpha, BasicSetup.TargetExponent);

				double finalTargetValue = BasicSetup.TargetValue * beta;

				if (balanceMarket.CurrentBalance <= 0){
					currentMarketValue = 0;
				}


				double currentAbsDiff = finalTargetValue - currentMarketValue;
				double currentDiff = currentAbsDiff / finalTargetValue;

				Log("Current Market Balance:      {0,10:###0.0000} {1}        Current Market Value: {2,10:###0.0000} {3}", balanceMarket.CurrentBalance, balanceMarket.Currency, currentMarketValue, balanceBase.Currency);
				Log("Current Market Price (bid):  {0,10:###0.0000} {1}",currentUnitValue,balanceBase.Currency);
				Log("Current Target Value:        {0,10:###0.0000} {1}        Target Value Diff:    {2,10:###0.0000} {1}   [ {3,6:##0.00}% ]", finalTargetValue, balanceBase.Currency, currentAbsDiff,currentDiff * 100);

				if (!CurrentOrderID.IsNull())
				{
					Order order = getOrder(CurrentOrderID);
					if (!order.IsOpen)
					{
						CurrentOrderID = null;
					}
				}

				if ((currentDiff > BasicSetup.MarginBuy) || (-currentDiff > BasicSetup.MarginSell))
				{
					if (!CurrentOrderID.IsNull()){
						Log("Canceling old Order before creating new one.");
						TradingEnvironment.DefaultConnection.cancelOrder(CurrentOrderID);
					} else
					{
						double diffMarket = currentAbsDiff / orderBook.CurrentBid;

						if (diffMarket > 0){
							// Buy
							double window = orderBook.getVolumePrice(diffMarket).Item1 - orderBook.getVolumePrice(diffMarket).Item2;
							double price = orderBook.getVolumePrice(diffMarket).Item1 + (BasicSetup.WindowLevelToBuy * window);

							if (price >= balanceBase.CurrentBalance){
								diffMarket *= balanceBase.CurrentBalance / price;
								price = orderBook.getVolumePrice(diffMarket).Item1;
							}
							Log("Will buy {0,11:####0.00000000} {1} @ {2,11:####0.00000000} {3} = {4,11:####0.00000000} {3}", diffMarket, BasicSetup.MarketSymbol, orderBook.CurrentAsk, BasicSetup.BaseSymbol, price);
							Order order = createLimitOrder(OrderType.BUY, BasicSetup.MarketSymbol, BasicSetup.BaseSymbol, diffMarket, orderBook.CurrentAsk);
							if (!order.IsNull()){
								CurrentOrderID = order.OrderID;
							}
						} else {
							// SELL
							diffMarket = -diffMarket;
							double window = orderBook.getVolumePrice(diffMarket).Item1 - orderBook.getVolumePrice(diffMarket).Item2;
							double price = orderBook.getVolumePrice(diffMarket).Item1 + (BasicSetup.WindowLevelToBuy * window);

							Log("Will sell {0,11:####0.00000000} {1} @ {2,11:####0.00000000} {3} = {4,11:####0.00000000} {3}", diffMarket, BasicSetup.MarketSymbol, orderBook.CurrentBid, BasicSetup.BaseSymbol, price);
							Order order = createLimitOrder(OrderType.SELL, BasicSetup.MarketSymbol, BasicSetup.BaseSymbol, diffMarket, orderBook.CurrentBid);
							if (!order.IsNull()){
								CurrentOrderID = order.OrderID;					
							}
						}

					}

				}

				DumpBalances();
				Save();
			}
		}

		public override int SchedulingIntervall()
		{
			return 15;
		}



		public class WeightedIndicator{
			public double Volume;
			public double Weight;
		}

	}

	public class SetupClass : BasicBotSetup
	{
		public double TargetValue = 0;
		public double TargetPrice = 0;
		public double TargetExponent = 3;

		public double MarginSell = 0.02;
		public double MarginBuy = 0.02;

		public double WindowLevelToBuy = 0.1;
		public double WindowLevelToSell = 0.8;
	}
}