Add custom buy price functionality to avoid queue waiting

konard · claude · konard · commit f27cbc568816 · 2025-09-11T12:08:39.000+03:00
- Add EnableCustomBuyPrice configuration to enable/disable feature - Add CustomBuyPriceSpreadPercentage to control how much of spread to cross - Add MaxCustomBuyPriceSteps to limit maximum price increase from best bid - Update buy order logic to use custom price calculation - Maintain backward compatibility when feature is disabled - Add comprehensive logging for debugging price calculations This allows traders to buy at their own price (e.g., 5.320 instead of 5.300) to avoid waiting in long queues at the best bid price. 🤖 Generated with [Claude Code](https://claude.ai/code) Co-Authored-By: Claude <noreply@anthropic.com>
diff --git a/csharp/TraderBot/TradingService.cs b/csharp/TraderBot/TradingService.cs
@@ -63,6 +63,9 @@ public TradingService(ILogger<TradingService> logger, InvestApiClient investApi,
         Logger.LogInformation($"EarlySellOwnedLotsDelta: {settings.EarlySellOwnedLotsDelta}");
         Logger.LogInformation($"EarlySellOwnedLotsMultiplier: {settings.EarlySellOwnedLotsMultiplier}");
         Logger.LogInformation($"LoadOperationsFrom: {settings.LoadOperationsFrom}");
+        Logger.LogInformation($"EnableCustomBuyPrice: {settings.EnableCustomBuyPrice}");
+        Logger.LogInformation($"CustomBuyPriceSpreadPercentage: {settings.CustomBuyPriceSpreadPercentage}");
+        Logger.LogInformation($"MaxCustomBuyPriceSteps: {settings.MaxCustomBuyPriceSteps}");
 
         var currentTime = DateTime.UtcNow.TimeOfDay;
         Logger.LogInformation($"Current time: {currentTime}");
@@ -472,15 +475,16 @@ await marketDataStream.RequestStream.WriteAsync(new MarketDataRequest
                         {
                             // Process potential buy order
                             var (cashBalance, _) = await GetCashBalance();
-                            var lotPrice = bestBid * LotSize;
+                            var customBuyPrice = GetCustomBuyPrice(bestBid, bestAsk);
+                            var lotPrice = customBuyPrice * LotSize;
                             if (cashBalance > lotPrice)
                             {
                                 Logger.LogInformation($"buy activated");
-                                Logger.LogInformation($"bid: {bestBid}, ask: {bestAsk}.");
+                                Logger.LogInformation($"bid: {bestBid}, ask: {bestAsk}, customBuyPrice: {customBuyPrice}.");
                                 var lots = (long)(cashBalance / lotPrice);
-                                var marketLotsAtTargetPrice = orderBook.Bids.FirstOrDefault(o => o.Price == bestBid)?.Quantity ?? 0;
+                                var marketLotsAtTargetPrice = orderBook.Bids.FirstOrDefault(o => o.Price == customBuyPrice)?.Quantity ?? 0;
                                 Logger.LogInformation($"marketLotsAtTargetPrice: {marketLotsAtTargetPrice}");
-                                var response = await PlaceBuyOrder(lots, bestBid);
+                                var response = await PlaceBuyOrder(lots, customBuyPrice);
                                 Logger.LogInformation($"buy complete");
                                 areOrdersPlaced = true;
                             }
@@ -519,16 +523,17 @@ await marketDataStream.RequestStream.WriteAsync(new MarketDataRequest
                     if (IsTimeToBuy())
                     {
                         var initialOrderPrice = MoneyValueToDecimal(activeBuyOrder.InitialSecurityPrice);
+                        var customBuyPrice = GetCustomBuyPrice(bestBid, bestAsk);
                         if (LotsSets.TryGetValue(initialOrderPrice, out var boughtLots) || LotsSets.Count == 0)
                         {
-                            if (initialOrderPrice != bestBid && bestBidOrder.Quantity > Settings.MinimumMarketOrderSizeToChangeBuyPrice)
+                            if (initialOrderPrice != customBuyPrice && bestBidOrder.Quantity > Settings.MinimumMarketOrderSizeToChangeBuyPrice)
                             {
                                 if (boughtLots > 0)
                                 {
                                     Logger.LogInformation($"buy trades are in progress");
                                     continue;
                                 }
-                                Logger.LogInformation($"bid: {bestBid}, ask: {bestAsk}.");
+                                Logger.LogInformation($"bid: {bestBid}, ask: {bestAsk}, customBuyPrice: {customBuyPrice}.");
                                 Logger.LogInformation($"initial buy order price: {initialOrderPrice}");
                                 Logger.LogInformation($"buy order price change activated");
                                 // Cancel order
@@ -541,13 +546,13 @@ await marketDataStream.RequestStream.WriteAsync(new MarketDataRequest
                                 SetCashBalance(CashBalanceFree + CashBalanceLocked, 0);
                                 // Place new order
                                 var (cashBalance, _) = await GetCashBalance();
-                                var lotPrice = bestBid * LotSize;
+                                var lotPrice = customBuyPrice * LotSize;
                                 if (cashBalance > lotPrice)
                                 {
                                     var lots = (long)(cashBalance / lotPrice);
-                                    var marketLotsAtTargetPrice = orderBook.Bids.FirstOrDefault(o => o.Price == bestBid)?.Quantity ?? 0;
+                                    var marketLotsAtTargetPrice = orderBook.Bids.FirstOrDefault(o => o.Price == customBuyPrice)?.Quantity ?? 0;
                                     Logger.LogInformation($"marketLotsAtTargetPrice: {marketLotsAtTargetPrice}");
-                                    var response = await PlaceBuyOrder(lots, bestBid);
+                                    var response = await PlaceBuyOrder(lots, customBuyPrice);
                                 }
                                 SyncActiveOrders();
                                 Logger.LogInformation($"buy order price change is complete");
@@ -691,6 +696,28 @@ private decimal GetTargetSellPrice(decimal minimumSellPrice, decimal bestAsk)
         return targetSellPrice;
     }
 
+    private decimal GetCustomBuyPrice(decimal bestBid, decimal bestAsk)
+    {
+        if (!Settings.EnableCustomBuyPrice)
+        {
+            return bestBid;
+        }
+
+        var spread = bestAsk - bestBid;
+        var customBuyPrice = bestBid + (spread * Settings.CustomBuyPriceSpreadPercentage / 100m);
+        
+        var maxPriceIncrease = Settings.MaxCustomBuyPriceSteps * PriceStep;
+        var maxAllowedPrice = bestBid + maxPriceIncrease;
+        
+        customBuyPrice = Math.Min(customBuyPrice, maxAllowedPrice);
+        customBuyPrice = Math.Min(customBuyPrice, bestAsk);
+        
+        customBuyPrice = Math.Max(customBuyPrice, bestBid);
+        
+        Logger.LogInformation($"CustomBuyPrice calculation: bestBid={bestBid}, bestAsk={bestAsk}, spread={spread}, customBuyPrice={customBuyPrice}");
+        return customBuyPrice;
+    }
+
     protected override async Task ExecuteAsync(CancellationToken cancellationToken)
     {
         var tasks = new []
diff --git a/csharp/TraderBot/TradingSettings.cs b/csharp/TraderBot/TradingSettings.cs
@@ -17,4 +17,7 @@ public class TradingSettings
     public long EarlySellOwnedLotsDelta { get; set; }
     public decimal EarlySellOwnedLotsMultiplier { get; set; }
     public DateTime LoadOperationsFrom { get; set; }
+    public bool EnableCustomBuyPrice { get; set; }
+    public decimal CustomBuyPriceSpreadPercentage { get; set; }
+    public long MaxCustomBuyPriceSteps { get; set; }
 }
diff --git a/csharp/TraderBot/appsettings.TMON.json b/csharp/TraderBot/appsettings.TMON.json
@@ -24,6 +24,9 @@
     "MaximumTimeToBuy": "23:59:59",
     "EarlySellOwnedLotsDelta": 300000,
     "EarlySellOwnedLotsMultiplier": 0,
-    "LoadOperationsFrom": "2025-03-01T00:00:01.3389860Z"
+    "LoadOperationsFrom": "2025-03-01T00:00:01.3389860Z",
+    "EnableCustomBuyPrice": false,
+    "CustomBuyPriceSpreadPercentage": 50.0,
+    "MaxCustomBuyPriceSteps": 10
   }
 }
diff --git a/csharp/TraderBot/appsettings.TRUR.json b/csharp/TraderBot/appsettings.TRUR.json
@@ -24,6 +24,9 @@
     "MaximumTimeToBuy": "14:45:00",
     "EarlySellOwnedLotsDelta": 300000,
     "EarlySellOwnedLotsMultiplier": 0,
-    "LoadOperationsFrom": "2025-03-01T00:00:01.3389860Z"
+    "LoadOperationsFrom": "2025-03-01T00:00:01.3389860Z",
+    "EnableCustomBuyPrice": false,
+    "CustomBuyPriceSpreadPercentage": 50.0,
+    "MaxCustomBuyPriceSteps": 10
   }
 }
diff --git a/examples/custom_buy_price_test.md b/examples/custom_buy_price_test.md
@@ -0,0 +1,47 @@
+# Custom Buy Price Test Cases
+
+## Test Scenario 1: Feature Disabled
+- `EnableCustomBuyPrice`: false
+- `bestBid`: 5.300
+- `bestAsk`: 5.320
+- **Expected Result**: 5.300 (should return bestBid)
+
+## Test Scenario 2: Feature Enabled - 50% Spread
+- `EnableCustomBuyPrice`: true
+- `CustomBuyPriceSpreadPercentage`: 50.0
+- `MaxCustomBuyPriceSteps`: 10
+- `PriceStep`: 0.001
+- `bestBid`: 5.300
+- `bestAsk`: 5.320
+- **Spread**: 0.020
+- **50% of spread**: 0.010
+- **Expected Result**: 5.310 (bestBid + 50% of spread)
+
+## Test Scenario 3: Feature Enabled - Limited by MaxSteps
+- `EnableCustomBuyPrice`: true
+- `CustomBuyPriceSpreadPercentage`: 50.0
+- `MaxCustomBuyPriceSteps`: 5
+- `PriceStep`: 0.001
+- `bestBid`: 5.300
+- `bestAsk`: 5.350
+- **Spread**: 0.050
+- **50% of spread**: 0.025
+- **Max allowed increase**: 5 * 0.001 = 0.005
+- **Expected Result**: 5.305 (bestBid + maxSteps, capped)
+
+## Test Scenario 4: Feature Enabled - Limited by bestAsk
+- `EnableCustomBuyPrice`: true
+- `CustomBuyPriceSpreadPercentage`: 100.0
+- `MaxCustomBuyPriceSteps`: 100
+- `PriceStep`: 0.001
+- `bestBid`: 5.300
+- `bestAsk`: 5.310
+- **Spread**: 0.010
+- **100% of spread**: 0.010
+- **Expected Result**: 5.310 (limited by bestAsk)
+
+This feature allows traders to:
+1. Avoid long queues at the best bid price
+2. Get faster execution by paying a premium (crossing the spread partially)
+3. Control the maximum premium they're willing to pay
+4. Maintain the existing behavior when disabled

Original file line number	Diff line number	Diff line change
`@@ -17,4 +17,7 @@ public class TradingSettings`
`17`	`17`	`public long EarlySellOwnedLotsDelta { get; set; }`
`18`	`18`	`public decimal EarlySellOwnedLotsMultiplier { get; set; }`
`19`	`19`	`public DateTime LoadOperationsFrom { get; set; }`
	`20`	`+ public bool EnableCustomBuyPrice { get; set; }`
	`21`	`+ public decimal CustomBuyPriceSpreadPercentage { get; set; }`
	`22`	`+ public long MaxCustomBuyPriceSteps { get; set; }`
`20`	`23`	`}`
Original file line number	Diff line number	Diff line change
`@@ -24,6 +24,9 @@`
`24`	`24`	`"MaximumTimeToBuy": "23:59:59",`
`25`	`25`	`"EarlySellOwnedLotsDelta": 300000,`
`26`	`26`	`"EarlySellOwnedLotsMultiplier": 0,`
`27`		`- "LoadOperationsFrom": "2025-03-01T00:00:01.3389860Z"`
	`27`	`+ "LoadOperationsFrom": "2025-03-01T00:00:01.3389860Z",`
	`28`	`+ "EnableCustomBuyPrice": false,`
	`29`	`+ "CustomBuyPriceSpreadPercentage": 50.0,`
	`30`	`+ "MaxCustomBuyPriceSteps": 10`
`28`	`31`	`}`
`29`	`32`	`}`