BigBot/HistoryBot.cs

using System;
using sharp.json;
using System.IO;
using sharp.trading;
using sharp.trading.cache;
using sharp.extensions;
namespace sharp.tradebot
{
	public class HistoryBot : TradingBot<BasicBotSetup>
	{
		public FileBackedJSONValue<SetupClass> Setup;
		public FileBackedJSONValue<string> CurrentOrderID;

		public HistoryBot()
		{
			initialize();
		}

		private void initialize()
		{
			Setup = new FileBackedJSONValue<SetupClass>(Path.Combine(DataDirectory, "setup.json"));
			CurrentOrderID = new FileBackedJSONValue<string>(Path.Combine(DataDirectory, "currentorder.json"));
		}

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

			if (Setup.CurrentValue == null){
				Setup.CurrentValue = new SetupClass();
			}

		}

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

			if (CurrentOrderID.CurrentValue != null){
				Order o = getOrder(CurrentOrderID.CurrentValue);
				if (!o.IsOpen){
					if (o.OrderType == OrderType.BUY){
						balanceBase.CurrentBalance -= o.PayedFees + o.PayedPrice;
						balanceMarket.CurrentBalance += o.FilledVolume;
					} else {
						balanceBase.CurrentBalance += o.PayedPrice - o.PayedFees;
						balanceMarket.CurrentBalance -= o.FilledVolume;
					}
					CurrentOrderID.CurrentValue = null;

					Save();
				}
			}

			if (Setup.CurrentValue.Enabled){
                Log("Bot enabled");

				/* Manage Balances */
				if (Setup.CurrentValue.BaseBalanceChange != 0)
				{
					balanceBase.CurrentBalance += Setup.CurrentValue.BaseBalanceChange;
					Setup.CurrentValue.BaseBalanceChange = 0;
					Setup.Save();
				}
				if (Setup.CurrentValue.MarketBalanceChange != 0)
				{
					
					balanceMarket.CurrentBalance += Setup.CurrentValue.MarketBalanceChange;
					Setup.CurrentValue.MarketBalanceChange = 0;
					Setup.Save();
				}

				Market market = TradingEnvironment.DefaultConnection.openMarket(Setup.CurrentValue.MarketSymbol, Setup.CurrentValue.BaseSymbol);
				HistoryCache cache = HistoryCache.getCache(market);

				double indication = 0;

				WeightedIndicator[] indicators = Setup.CurrentValue.Indicators;
				foreach (WeightedIndicator wi in indicators){
					double ind = cache.calulateWeightedAveragesPerVolume(wi.Volume).AveragePrice;
					double weight = wi.Weight;
					Log("Indicator for Volume {0,10} = {1,11:####0.00000000} with a weight of {2,7:#0.####}",wi.Volume,ind,weight);
					indication +=  ind * wi.Weight;
				}

				Log("Indicator Sum: {0,11:####0.00000000}", indication);

				OrderBook orderBook = market.getOrderBook();

				System.Tuple<double,double> bidask = orderBook.getVolumePrice(5.0);

				Log("Current Small-Volumes: {0} / {1}",bidask.Item1,bidask.Item2);

				double smallbid = bidask.Item2 / 5;
				double smallask = bidask.Item1 / 5;

				Log("Current Small Ask: {0}  Bid: {1}", smallask, smallbid);

				double smallsum = (smallbid + smallask) / 2;
				Log("Current Small-Indicator: {0}", smallsum);

				double final = indication / (smallsum + indication);

				Log("Current Final Indication: {0}", final);

				double marketBalanceAsBase = orderBook.getVolumePrice(balanceMarket.CurrentBalance).Item2;

				double balancesum = (balanceBase.CurrentBalance + marketBalanceAsBase);
				double currentRatio = marketBalanceAsBase / balancesum;

				Log("Current Balance Values: {0,11:####0.00000000} {1} / {2,11:####0.00000000} {1} = {3:#0.0000}", balanceBase.CurrentBalance, balanceBase.Currency, marketBalanceAsBase, currentRatio);
				Log("Current Balance Sum:    {0,11:####0.00000000} {1}", balancesum, balanceBase.Currency);

				double targetMarket = balancesum / (1 + final);
				double targetBase = balancesum - targetMarket;

				Log("Target Balance Values:  {0,11:####0.00000000} {2} / {1,11:####0.00000000} {2}", targetBase, targetMarket, balanceBase.Currency);

				double diff = currentRatio - final;
				diff = Math.Abs(diff);

				Log("Current Indicator Diff: {0}", diff);

				if (diff > Setup.CurrentValue.DiffMargin){
					if (CurrentOrderID.CurrentValue != null)
					{
						Log("Canceling old Order before creating new one.");
						TradingEnvironment.DefaultConnection.cancelOrder(CurrentOrderID.CurrentValue);
					}
					else
					{
						double deltaMarket = targetMarket - marketBalanceAsBase;
						OrderType otype;
						double orderVolume;
						double limit;

						if (deltaMarket > 0)
						{
							// BUY
							otype = OrderType.BUY;
							orderVolume = deltaMarket / orderBook.CurrentAsk;
							limit = orderBook.CurrentAsk;
						}
						else
						{
							// SELL
							otype = OrderType.SELL;
							orderVolume = -deltaMarket / orderBook.CurrentBid;
							limit = orderBook.CurrentBid;
						}

						try {
							//Order o = createLimitOrder(otype, Setup.CurrentValue.MarketSymbol, Setup.CurrentValue.BaseSymbol, orderVolume, limit);
							//CurrentOrderID.CurrentValue = o.OrderID;
							Log("Created balancing Order {0}", CurrentOrderID.CurrentValue);
						} catch (Exception e){
							Log("Exception creating Order: {0}", e.ToString());
						}

					}

				}

				DumpBalances();
			}
		}

		public override void Save()
		{
			Setup.Save();
			base.Save();
		}

		public override int SchedulingIntervall()
		{
			return 10;
		}



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

		public class SetupClass {
			public bool Enabled;

			public string MarketSymbol = "";
			public string BaseSymbol = "";

			public double BaseBalanceChange;
			public double MarketBalanceChange;

			public double DiffMargin = 0.1;

			public WeightedIndicator[] Indicators = new WeightedIndicator[]{
				new WeightedIndicator(),
				new WeightedIndicator()
			};

		}

	}
}