public RunStrategyLiveViewModel()
{
DependencyContainer.ComposeParts(this);
RunLiveCommand = new DelegateCommand(o => RunLive());
_fxcm = (FxcmBroker)_brokersService.Brokers.First(x => x.Name == "FXCM");
_strategiesDirectory = _dataDirectoryService.MainDirectoryWithApplicationName;
_logDirectory = DataDirectoryService.GetMainDirectoryWithApplicationName("FXCMTradeLog");
_brokersService.LoadBrokerAccounts(_tradeDetailsAutoCalculatorService, _logDirectory);
_brokerAccount = _brokersService.AccountsLookup[_fxcm];
}
private void RunLive(string selectedStrategyFilename)
{
var trades = new TradeWithIndexingCollection();
var strategyLookup = new Dictionary <string, StrategyBase>();
var candlesLookup = new Dictionary <string, TimeframeLookup <List <Candle> > >();
var accountSaveIntervalSeconds = 60;
var accountLastSaveTime = DateTime.UtcNow;
Log.Info("Running live");
// Get strategy type and markets
var strategyType = CompileStrategyAndGetStrategyMarkets(selectedStrategyFilename, out var markets, out var timeframes);
if (strategyType == null)
{
return;
}
// Update broker account
Log.Info("Updating broker account");
_brokerAccount.UpdateBrokerAccount(_fxcm, _candlesService, _marketDetailsService, _tradeDetailsAutoCalculatorService, UpdateOption.ForceUpdate);
// Get candles
Log.Info("Getting candles");
foreach (var m in markets)
{
candlesLookup[m] = new TimeframeLookup <List <Candle> >();
foreach (var t in timeframes)
{
candlesLookup[m].Add(t, _candlesService.GetCandles(_fxcm, m, t, true, forceUpdate: true, cacheData: true));
}
}
// Setup locks
foreach (var market in markets)
{
_marketLock[market] = new object();
}
// Create strategies
Log.Info("Setting up strategies");
foreach (var market in markets)
{
var strategy = (StrategyBase)Activator.CreateInstance(strategyType);
var currentCandles = new TimeframeLookup <List <Candle> >();
strategy.SetSimulationParameters(trades, currentCandles, _marketDetailsService.GetMarketDetails("FXCM", market));
strategyLookup.Add(market, strategy);
// Setup candles for strategy
foreach (var t in timeframes)
{
currentCandles.Add(t, candlesLookup[market][t].Where(c => c.IsComplete == 1).ToList());
}
}
// Get live prices steams
var priceMonitor = new MonitorLivePrices(_fxcm, p => ProcessNewPrice(markets, timeframes, p, candlesLookup));
try
{
var checkFxcmConnectedIntervalSeconds = 60 * 5;
var nextFxcmConnectedCheckTime = DateTime.UtcNow.AddSeconds(checkFxcmConnectedIntervalSeconds);
Log.Info("Running main processing loop");
while (true)
{
if (accountLastSaveTime < DateTime.UtcNow.AddSeconds(-accountSaveIntervalSeconds))
{
lock (_brokerAccount)
{
Log.Debug("Saving broker account");
_brokerAccount.SaveAccount(
DataDirectoryService.GetMainDirectoryWithApplicationName("TradeLog"));
}
accountLastSaveTime = DateTime.UtcNow;
}
// Re-connect if connect is lost
if (DateTime.UtcNow >= nextFxcmConnectedCheckTime)
{
nextFxcmConnectedCheckTime = DateTime.UtcNow.AddSeconds(checkFxcmConnectedIntervalSeconds);
if (_fxcm.Status == ConnectStatus.Disconnected)
{
Log.Warn("FXCM has disconnected - reconnecting");
try
{
priceMonitor?.Dispose();
}
catch (Exception ex)
{
Log.Error("Unable to dispose price monitor", ex);
}
priceMonitor = null;
_fxcm.Connect();
if (_fxcm.Status == ConnectStatus.Connected)
{
Log.Warn($"FXCM has reconnected");
priceMonitor = new MonitorLivePrices(_fxcm, p => ProcessNewPrice(markets, timeframes, p, candlesLookup));
}
else
{
Log.Warn($"FXCM hasn't re-connected - new status is: {_fxcm.Status}");
}
}
}
foreach (var strategy in strategyLookup.Values)
{
var newTimeframeCandles = new List <Timeframe>();
// Check if there is any new complete candles
foreach (var t in strategy.Timeframes)
{
lock (candlesLookup[strategy.Market.Name][t])
{
if (strategy.Candles[t].Count !=
candlesLookup[strategy.Market.Name][t].Count(c => c.IsComplete == 1))
{
newTimeframeCandles.Add(t);
strategy.Candles[t].Clear();
strategy.Candles[t].AddRange(candlesLookup[strategy.Market.Name][t]
.Where(c => c.IsComplete == 1).ToList());
}
}
}
if (newTimeframeCandles.Any()) // TODO reduce times this is called and include save
{
// Update broker account
lock (_brokerAccount)
{
Log.Debug("Updating and saving broker account");
_brokerAccount.UpdateBrokerAccount(_fxcm, _candlesService, _marketDetailsService,
_tradeDetailsAutoCalculatorService, UpdateOption.ForceUpdate);
}
var s = strategy;
Task.Run(() =>
{
if (Monitor.TryEnter(_marketLock[s.Market.Name]))
{
try
{
Log.Info($"Found new candles for market: {s.Market.Name}");
// Update indicators and do trades maintenance
s.UpdateIndicators(newTimeframeCandles);
s.NewTrades.Clear();
s.Trades.MoveTrades();
var beforeStopLossLookup =
s.Trades.OpenTrades.ToDictionary(x => x.Trade.Id, x => x.Trade.StopPrice);
// Process strategy
s.ProcessCandles(newTimeframeCandles);
// Create any new trades
CreateNewFXCMTradesAndUpdateAccount(s);
if (trades.OpenTrades.Count() > 5)
{
Log.Error("Too many trades");
}
// Update any stops
UpdateFXCMOpenTradesStops(s, beforeStopLossLookup);
}
finally
{
Monitor.Exit(_marketLock[s.Market.Name]);
}
}
});
}
}
Thread.Sleep(100);
}
}
finally
{
priceMonitor.Dispose();
}
}