bool checkExit(Bitcoin *btcLong, Bitcoin *btcShort, Result &res, Parameters params, time_t period) {
// close btcLong: sell looking to match bid
// close btcShort: buy looking to match ask
double priceLong = btcLong->getBid();
double priceShort = btcShort->getAsk();
if (priceLong > 0.0 && priceShort > 0.0) {
res.spreadOut = (priceShort - priceLong) / priceLong;
} else {
res.spreadOut = 0.0;
}
int longId = btcLong->getId();
int shortId = btcShort->getId();
if (res.spreadOut > res.maxSpread[longId][shortId]) {
res.maxSpread[longId][shortId] = res.spreadOut;
}
if (res.spreadOut < res.minSpread[longId][shortId]) {
res.minSpread[longId][shortId] = res.spreadOut;
}
if (params.verbose) {
std::cout << " " << btcLong->getExchName() << "/" << btcShort->getExchName() << ":\t" << percToStr(res.spreadOut);
std::cout << " [target " << percToStr(params.spreadExit) << ", min " << percToStr(res.minSpread[longId][shortId]) << ", max " << percToStr(res.maxSpread[longId][shortId]) << "]";
if (res.trailing[longId][shortId] != 1.0) {
std::cout << " (trailing " << res.trailing[longId][shortId] * 100.0 << "%)";
}
}
std::cout << std::endl;
if (period - res.entryTime >= params.maxLength) {
res.priceLongOut = priceLong;
res.priceShortOut = priceShort;
return true;
}
if (priceLong > 0.0) {
if (priceShort > 0.0) {
if (res.spreadOut <= params.spreadExit) {
double newTrailValue = res.spreadOut + params.trailingLim;
if (res.trailing[longId][shortId] == 1.0) {
if (newTrailValue < params.spreadExit) {
res.trailing[longId][shortId] = newTrailValue;
} else {
res.trailing[longId][shortId] = params.spreadExit;
}
} else {
if (newTrailValue <= res.trailing[longId][shortId]) {
res.trailing[longId][shortId] = newTrailValue;
}
if (res.spreadOut > res.trailing[longId][shortId]) {
res.priceLongOut = priceLong;
res.priceShortOut = priceShort;
return true;
}
}
} else {
res.trailing[longId][shortId] = 1.0;
}
}
}
return false;
}
bool checkEntry(Bitcoin* btcLong, Bitcoin* btcShort, Result& res, Parameters& params) {
if (btcShort->getHasShort()) {
// btcLong: "buy" looking to match ask
// btcShort: "sell" looking to match bid
double priceLong = btcLong->getAsk();
double priceShort = btcShort->getBid();
if (priceLong > 0.0 && priceShort > 0.0) {
res.spreadIn = (priceShort - priceLong) / priceLong;
} else {
res.spreadIn = 0.0;
}
int longId = btcLong->getId();
int shortId = btcShort->getId();
if (res.spreadIn > res.maxSpread[longId][shortId]) {
res.maxSpread[longId][shortId] = res.spreadIn;
}
if (res.spreadIn < res.minSpread[longId][shortId]) {
res.minSpread[longId][shortId] = res.spreadIn;
}
if (params.verbose) {
*params.logFile << " " << btcLong->getExchName() << "/" << btcShort->getExchName() << ":\t" << percToStr(res.spreadIn);
*params.logFile << " [target " << percToStr(params.spreadEntry) << ", min " << percToStr(res.minSpread[longId][shortId]) << ", max " << percToStr(res.maxSpread[longId][shortId]) << "]";
if (res.trailing[longId][shortId] != -1.0) {
*params.logFile << " trailing " << percToStr(res.trailing[longId][shortId]) << " " << res.trailingWait[longId][shortId] << "/2";
}
if ((btcLong->getIsImplemented() == false || btcShort->getIsImplemented() == false) && params.demoMode == false) {
*params.logFile << " info only" << std::endl;
} else {
*params.logFile << std::endl;
}
}
if (btcLong->getIsImplemented() == true) {
if (btcShort->getIsImplemented() == true) {
if (priceLong > 0.0) {
if (priceShort > 0.0) {
if (res.spreadIn >= params.spreadEntry) {
double newTrailValue = res.spreadIn - params.trailingLim;
if (res.trailing[longId][shortId] == -1.0) {
if (newTrailValue > params.spreadEntry) {
res.trailing[longId][shortId] = newTrailValue;
} else {
res.trailing[longId][shortId] = params.spreadEntry;
}
} else {
if (newTrailValue >= res.trailing[longId][shortId]) {
res.trailing[longId][shortId] = newTrailValue;
res.trailingWait[longId][shortId] = 0;
}
if (res.spreadIn < res.trailing[longId][shortId]) {
if (res.trailingWait[longId][shortId] < 2) {
res.trailingWait[longId][shortId]++;
} else {
res.idExchLong = longId;
res.idExchShort = shortId;
res.feesLong = btcLong->getFees();
res.feesShort = btcShort->getFees();
res.exchNameLong = btcLong->getExchName();
res.exchNameShort = btcShort->getExchName();
res.priceLongIn = priceLong;
res.priceShortIn = priceShort;
res.exitTarget = res.spreadIn - params.spreadTarget - (2.0 * btcLong->getFees() + 2.0 * btcShort->getFees());
res.trailingWait[longId][shortId] = 0;
return true;
}
} else {
res.trailingWait[longId][shortId] = 0;
}
}
} else {
res.trailing[longId][shortId] = -1.0;
res.trailingWait[longId][shortId] = 0;
}
}
}
}
}
}
return false;
}
bool checkEntry(Bitcoin *btcLong, Bitcoin *btcShort, Result &res, Parameters params) {
double limit = 2.0 * btcLong->getFees() + 2.0 * btcShort->getFees() + params.spreadEntry;
if (btcShort->getHasShort()) {
// btcLong: buy looking to match ask
// btcShort: sell looking to match bid
double priceLong = btcLong->getAsk();
double priceShort = btcShort->getBid();
if (priceLong > 0.0 && priceShort > 0.0) {
res.spreadIn = (priceShort - priceLong) / priceLong;
} else {
res.spreadIn = 0.0;
}
int longId = btcLong->getId();
int shortId = btcShort->getId();
if (res.spreadIn > res.maxSpread[longId][shortId]) {
res.maxSpread[longId][shortId] = res.spreadIn;
}
if (res.spreadIn < res.minSpread[longId][shortId]) {
res.minSpread[longId][shortId] = res.spreadIn;
}
if (params.verbose) {
std::cout << " " << btcLong->getExchName() << "/" << btcShort->getExchName() << ":\t" << percToStr(res.spreadIn);
std::cout << " [target " << percToStr(limit) << ", min " << percToStr(res.minSpread[longId][shortId]) << ", max " << percToStr(res.maxSpread[longId][shortId]) << "]";
if (res.trailing[longId][shortId] != -1.0) {
std::cout << " (trailing " << res.trailing[longId][shortId] * 100.0 << "%)";
}
if (btcLong->getIsImplemented() == false || btcShort->getIsImplemented() == false) {
std::cout << " (info only)" << std::endl;
} else {
std::cout << std::endl;
}
}
if (btcLong->getIsImplemented() == true) {
if (btcShort->getIsImplemented() == true) {
if (priceLong > 0.0) {
if (priceShort > 0.0) {
if (res.spreadIn >= limit) {
double newTrailValue = res.spreadIn - params.trailingLim;
if (res.trailing[longId][shortId] == -1.0) {
if (newTrailValue > limit) {
res.trailing[longId][shortId] = newTrailValue;
} else {
res.trailing[longId][shortId] = limit;
}
} else {
if (newTrailValue >= res.trailing[longId][shortId]) {
res.trailing[longId][shortId] = newTrailValue;
}
if (res.spreadIn < res.trailing[longId][shortId]) {
res.idExchLong = longId;
res.idExchShort = shortId;
res.feesLong = btcLong->getFees();
res.feesShort = btcShort->getFees();
res.exchNameLong = btcLong->getExchName();
res.exchNameShort = btcShort->getExchName();
res.priceLongIn = priceLong;
res.priceShortIn = priceShort;
return true;
}
}
} else {
res.trailing[longId][shortId] = -1.0;
}
}
}
}
}
}
return false;
}
