protected StrategyTransaction CreateFillTransaction(Transaction t)
{
StrategyTransaction strategyTransaction = CreateStrategyTransaction(t.instrument, t.side, t.time, t.type, t.price, t.takeProfitPrice, t.stopLossPrice, t.id.ToString(), t.orderId.ToString(), null);
IOrder tradeOrder = Orders.FirstOrDefault(o => o.id == t.orderId);
if (tradeOrder != null)
{
((MarketMinerOrder)tradeOrder).Filled = true;
MarketMinerTrade tradeOpened = new MarketMinerTrade(t.tradeOpened);
tradeOpened.SignalID = ((MarketMinerOrder)tradeOrder).SignalID;
tradeOpened.StrategyTransactionID = strategyTransaction.StrategyTransactionID;
AddOrUpdateAlgorithmTrade(tradeOpened);
}
return(strategyTransaction);
}
protected async Task <bool> UpdateOrdersAndTrades()
{
AddAlgorithmMessage("Updating instance orders and trades ...", false, TraceEventType.Information);
short orderCount = 0;
short tradeCount = 0;
MCE.Signal[] signals = await SubscriptionCaller.Instance().GetActiveSignalsByTypeAsync(MACC.Constants.SignalType.Thrust);
foreach (MCE.Signal signal in signals)
{
if (signal.StrategyTransactionID.HasValue)
{
IEnumerable <StrategyTransaction> transactions;
StrategyTransaction orderTransaction, tradeTransaction, exitTransaction;
// get transaction collection from db
int orderTransactionID = signal.StrategyTransactionID.Value;
transactions = StrategyCaller.Instance().GetStrategyTransactionsCollectionAsync(orderTransactionID).Result;
transactions = transactions.Where(t => t.StrategyID == _strategy.StrategyID);
transactions = transactions.OrderBy(t => t.BrokerTransactionID);
orderTransaction = transactions.FirstOrDefault(t => t.StrategyTransactionID == orderTransactionID);
tradeTransaction = transactions.FirstOrDefault(t => t.Type == MACC.Constants.TransactionTypes.OrderFilled);
exitTransaction = transactions.FirstOrDefault(t => t.BrokerTradeID != null && t.Type != MACC.Constants.TransactionTypes.TradeUpdate);
if (exitTransaction != null)
{
signal.Active = false;
SubscriptionCaller.Instance().UpdateSignalAsync(signal);
continue;
}
if (tradeTransaction != null)
{
tradeCount++;
long tradeId = Convert.ToInt64(tradeTransaction.BrokerTransactionID);
TradeData oandaTrade = await Rest.GetTradeDetailsAsync(_accountId, tradeId);
MarketMinerTrade mmTrade = new MarketMinerTrade(oandaTrade)
{
SignalID = signal.SignalID,
StrategyTransactionID = signal.StrategyTransactionID,
Closed = exitTransaction != null
};
AddOrUpdateAlgorithmTrade(mmTrade);
continue;
}
if (orderTransaction != null)
{
orderCount++;
long orderId = Convert.ToInt64(orderTransaction.BrokerTransactionID);
Order oandaOrder = await Rest.GetOrderDetailsAsync(_accountId, orderId);
MarketMinerOrder mmOrder = new MarketMinerOrder(oandaOrder)
{
SignalID = signal.SignalID,
StrategyTransactionID = signal.StrategyTransactionID,
Filled = tradeTransaction != null,
Cancelled = tradeTransaction != null
};
AddOrUpdateAlgorithmOrder(mmOrder);
}
}
}
AddAlgorithmMessage(string.Format("{0} open orders updated.", orderCount), false, TraceEventType.Information);
AddAlgorithmMessage(string.Format("{0} open trades updated.", tradeCount), false, TraceEventType.Information);
return(true);
}
