ADRArbitrager.cs

using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;

namespace etc
{
    class ADRArbitrager
    {
        private object thisLock = new object();
        public bool canTrade;
        public static string adrTicker = "VALE";
        public static string ordTicker = "VALBZ";

        public int adrBuyOrderID;
        public int adrSellOrderID;
        public int adrAsk;
        public int adrBid;
        public int ordAsk;
        public int ordBid;

        private Market market;

        public ADRArbitrager(Market market_)
        {
            market = market_;
            adrBuyOrderID = -1;
            adrSellOrderID = -1;
            adrAsk = adrBid = ordAsk = ordBid = -1;
            canTrade = false;
        }

        public int Main()
        {
            lock (thisLock)
            {
                market.GotHello += market_GotHello;
                market.Open += market_Open;
                market.Close += market_Close;
                market.Ack += market_Ack;
                market.Fill += market_Fill;
                market.Book += market_Book;

                while (true)
                {
                    if (canTrade)
                    {
                        int adr = market.GetPosition(adrTicker);
                        int ord = market.GetPosition(ordTicker);
                        if (Math.Abs(adr) >= 10)
                        {
                            CancelAllOrder();
                            Direction dir = Direction.BUY;
                            if (adr > 0)
                                dir = Direction.SELL;
                            market.Convert(adrTicker, dir, Math.Abs(adr));
                            ord += adr;
                            adr = 0;

                        }

                        if (ord != 0)
                        {
                            Direction dir = Direction.BUY;
                            int price;
                            if (ord > 0)
                            {
                                dir = Direction.SELL;
                                price = ordBid;
                            }
                            else
                            {
                                dir = Direction.BUY;
                                price = ordAsk;
                            }
                            int orderId = market.Add(ordTicker, dir, price, 1);
                            Task.Delay(200).Wait();
                            market.Cancel(orderId);
                        }

                        Task.Delay(200).Wait();
                    }
                }
            }
        }

        public void CancelAllOrder()
        {
            lock (thisLock)
            {
                if (adrBuyOrderID >= 0)
                {
                    market.Cancel(adrBuyOrderID);
                    adrBuyOrderID = -1;
                }
                if (adrSellOrderID >= 0)
                {
                    market.Cancel(adrSellOrderID);
                    adrSellOrderID = -1;
                }
                //Task.Delay(100).Wait();
            }
        }

        void market_Book(object sender, BookEventArgs e)
        {
            lock (thisLock)
            {
                string ticker = e.symbol;
                if (ticker == ordTicker)
                {
                    if ((e.buys.Count > 0) && (e.sells.Count > 0))
                    {
                        CancelAllOrder();

                        ordBid = e.buys.Last().Key;
                        ordAsk = e.sells.First().Key;

                        int adr = market.GetPosition(adrTicker);
                        //Console.WriteLine("I am adding buy order.   " + "adr = " + adr + "I am going to buy " + Math.Min(10 - adr, 10) + "shares.");
                        adrBuyOrderID = market.Add(adrTicker, Direction.BUY, ordBid - 2, Math.Max(0, Math.Min(10 - adr, 3)));
                        //Console.WriteLine("I am adding sell order.   " + "adr = " + adr + "I am going to sell " + Math.Min(10 + adr, 10) + "shares.");
                        adrSellOrderID = market.Add(adrTicker, Direction.SELL, ordAsk + 2, Math.Max(0, Math.Min(10 + adr, 3)));

                        //Task.Delay(200).Wait();
                    }
                }
                if (ticker == adrTicker)
                {
                    if ((e.buys.Count > 0) && (e.sells.Count > 0))
                    {
                        adrBid = e.buys.Last().Key;
                        adrAsk = e.sells.First().Key;
                    }
                }
            }
        }

        void market_Fill(object sender, FillEventArgs e)
        {
            lock (thisLock)
            {
                int id = e.id;
                    if (e.dir == Direction.BUY)
                    {
                    }
                    else
                    {
                    }
                
            }
        }

        void market_Ack(object sender, AckEventArgs e)
        {
            lock (thisLock)
            {
                int id = e.id;
            }
        }

        void market_Close(object sender, CloseEventArgs e)
        {
            lock (thisLock)
            {
                canTrade = (!e.symbols.Contains(adrTicker)) && (!e.symbols.Contains(ordTicker));
            }
        }

        void market_Open(object sender, OpenEventArgs e)
        {
            lock (thisLock)
            {
                canTrade = e.symbols.Contains(adrTicker) && e.symbols.Contains(ordTicker);
            }
        }

        void market_GotHello(object sender, HelloEventArgs e)
        {
            lock (thisLock)
            {
            }
        }
    }
}