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Jan 18th, 2020
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  1. bitmex3.addStream('XBTUSD', 'trade', data => {
  2. try {
  3. const start = now();
  4. for (let t = data.length - 1; t >= 0; t--) {
  5. //console.log("trade working");
  6. for (var i = 0; i < activeOrders.length; i++) {
  7. //!canceledOrders.includes(activeOrders[i].orderID))
  8. if (((data[t].size <= activeOrders[i].orderQty && data[t].size + tradeHedgeSensitivity >= activeOrders[i].orderQty)|| data[t].size >=20000)&& activeOrders[i].price == data[t].price && !filledOrders[activeOrders[i].orderID]) {
  9. if (activeOrders[i].side == 'Buy') //&& FTXbidPrice*1.00025 >= activeOrders[i].price
  10. {
  11. if (bmexBTCbid != 0) {
  12. let sendFTXQty = (activeOrders[i].orderQty / bmexBTCbid).toFixed(4);
  13. VolumeBitmex = VolumeBitmex + activeOrders[i].orderQty;
  14. sendOrderREST('sell', 'BTC-PERP', FTXbidPrice - 20, sendFTXQty, false, true, activeOrders[i].price, false);
  15. filledOrders[activeOrders[i].orderID] = {
  16. ts: new Date(activeOrders[i].timestamp).getTime()
  17. };
  18. cancelOrderIDs.push(activeOrders[i].orderID);
  19. const end = now();
  20. console.log(colors.magenta("Trades Hedge took"), end - start, 'ms');
  21. }
  22. } else if (activeOrders[i].side == 'Sell') // && FTXaskPrice/1.00025<=activeOrders[i].price
  23. {
  24.  
  25. if (bmexBTCbid != 0) {
  26. let sendFTXQty = (activeOrders[i].orderQty / bmexBTCbid).toFixed(4);
  27. VolumeBitmex = VolumeBitmex + activeOrders[i].orderQty;
  28. sendOrderREST('buy', 'BTC-PERP', FTXaskPrice + 20, sendFTXQty, false, true, activeOrders[i].price, false);
  29. filledOrders[activeOrders[i].orderID] = {
  30. ts: new Date(activeOrders[i].timestamp).getTime()
  31. };
  32. cancelOrderIDs.push(activeOrders[i].orderID);
  33. const end = now();
  34. console.log(colors.magenta("Trades Hedge took"), end - start, 'ms');
  35. }
  36. }
  37. }
  38. }
  39. }
  40. } catch (e) {
  41. if (errorCount > 5) {
  42. exitProcess();
  43. } else {
  44. errorCount = errorCount + 1;
  45. }
  46. console.error('trade ' + e);
  47. }
  48. });
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