async def _trigger_arbitrage_secondary_order(self, arbitrage, filled_order,
filled_quantity_before_fees):
arbitrage.passed_initial_order = True
now_buying = arbitrage.state is trading_enums.EvaluatorStates.SHORT
# a SHORT arbitrage is an initial SELL followed by a BUY order.
# Here in the secondary order construction:
# - Buy (at a lower price) when the arbitrage is a SHORT
# - Sell (at a higher price) when the arbitrage is a LONG
paid_fees_in_quote = trading_personal_data.total_fees_from_order_dict(
filled_order, self.quote)
secondary_quantity = filled_quantity_before_fees - paid_fees_in_quote
filled_price = filled_order[
trading_enums.ExchangeConstantsOrderColumns.PRICE.value]
if now_buying:
arbitrage.initial_before_fee_filled_quantity = filled_quantity_before_fees
else:
arbitrage.initial_before_fee_filled_quantity = filled_quantity_before_fees * filled_price
if now_buying:
# buying at a lower price: buy more than what has been sold, take fees into account
fees_in_base = trading_personal_data.total_fees_from_order_dict(
filled_order, self.base)
secondary_base_amount = filled_price * secondary_quantity - fees_in_base
secondary_quantity = secondary_base_amount / arbitrage.target_price
# reduce quantity a bit to avoid python rounding issues,
# remaining amount will be handled as dusts if necessary
secondary_quantity = secondary_quantity * 0.99999
await self._create_arbitrage_secondary_order(arbitrage,
secondary_quantity)
async def order_filled_callback(self, filled_order):
if filled_order[
trading_enums.ExchangeConstantsOrderColumns.SIDE.value] == trading_enums.TradeOrderSide.BUY.value:
self.state = trading_enums.EvaluatorStates.SHORT
paid_fees = trading_personal_data.total_fees_from_order_dict(filled_order, self.base)
sell_quantity = filled_order[trading_enums.ExchangeConstantsOrderColumns.FILLED.value] - paid_fees
await self._create_sell_order_if_enabled(filled_order[trading_enums.ExchangeConstantsOrderColumns.ID.value],
sell_quantity,
filled_order[
trading_enums.ExchangeConstantsOrderColumns.PRICE.value])