public int ProcessTrade(TradeReportPacket p)
{
Logger.WriteLine($"processing {p}");
int qtyToSell = 0;
Volume += p.Size;
if (Current.Update(p))
{
P1 = Current;
Current = new Candle()
{
time = DateTime.Now, High = Double.MinValue, Low = Double.MaxValue
};
Current.Update(p);
//Console.WriteLine($"{p.Symbol} {P1}");
}
if (OpenShares > 0 && (DateTime.Now - ExecutionTime).TotalSeconds > 10) //TEST ONLY should be 75
{
if (P1 != null)
{
if (P1.Low != Double.MaxValue)
{
double how = P1.Low - (ATR * .03);
if (how > Stop)
{
Logger.WriteLine($"{p.Symbol} stop moving from {Stop} to {how}");
Stop = how;
}
else
{
if (p.Price < Stop)
{
qtyToSell = OpenShares;
OpenShares = 0;
}
}
}
else
{
Logger.WriteLine($"P1 HAD NO TRADES {p.Symbol}");
}
}
else
{
Logger.WriteLine($"P1 was NULL {p.Symbol}");
}
}
return(qtyToSell);
}
public bool Update(TradeReportPacket p)
{
bool closed = false;
if (p.Time.Minute != time.Minute && p.Time.Hour != time.Hour)
{
closed = true;
}
else
{
if (p.Price > High)
{
High = p.Price;
}
if (p.Price < Low)
{
Low = p.Price;
}
}
return(closed);
}
public static Packet GetPacket(Stream str)
{
byte[] lbuff = new byte[2];
int count = 0;
ushort length = 0;
byte[] pl = null;
do
{
int lc = 0;
do
{
int c = str.Read(lbuff, lc, 2 - lc);
if (audit != null)
{
audit.Write(lbuff, lc, 2 - lc);
}
lc += c;
} while (lc < 2);
length = (ushort)(BitConverter.ToUInt16(lbuff, 0) - 2);
int offset = 0;
pl = new byte[length];
count = 0;
while (count < length)
{
int c = str.Read(pl, offset, length - count);
if (audit != null)
{
audit.Write(pl, offset, length - count);
}
count += c;
offset = count;
}
if (length < 2)
{
Console.WriteLine("dropped packet");
//for(;;)
//{
// Console.
//}
}
} while (length < 2);
ushort pt = BitConverter.ToUInt16(pl, 0);
// Console.WriteLine((PacketType)pt);
if (pt != 501 && pt != 505 && pt != 504)
{
//Console.WriteLine((PacketType)pt);
}
Packet rv = null;
// packetType = (PacketType)pt;
switch ((PacketType)pt)
{
case PacketType.M_RESP_REFRESH_SYMBOL:
rv = new RespRefreshSymbolPacket(length, pt, pl);
break;
case PacketType.M_LEVEL1:
rv = new L1Packet(length, pt, pl);
break;
case PacketType.M_BOOK_MODIFY_QUOTE:
rv = new BookModifyQuotePacket(length, pt, pl);
break;
case PacketType.M_BOOK_NEW_QUOTE:
rv = new BookNewQuotePacket(length, pt, pl);
break;
case PacketType.M_BOOK_DELETE_QUOTE:
rv = new BookDeleteQuotePacket(length, pt, pl);
break;
case PacketType.M_STOCK_IMBALANCE_INDICATOR:
rv = new StockImbalanceIndicator(length, pt, pl);
break;
case PacketType.M_BOOK_ORDER_CANCELED:
rv = new BookOrderCancelledPacket(length, pt, pl);
break;
case PacketType.M_BOOK_ORDER_EXECUTED:
rv = new BookOrderExecutedPacket(length, pt, pl);
break;
case PacketType.M_TRADE_REPORT:
rv = new TradeReportPacket(length, pt, pl);
break;
default:
return(new Packet(length, pt, pl));
}
return(rv);
}
