public static string AsString(FutureType f)
{
switch (f)
{
case FutureType.ThisWeek: return("this_week");
case FutureType.NextWeek: return("next_week");
case FutureType.Quarter: return("quarter");
}
throw new ArgumentException("Unknown FutureType: " + f);
}
// Throws on HTTP timeouts, HTTP errors, parse errors and
// application errors (when OkCoin gives us error_code).
public Dictionary <FutureType, List <FuturePosition> > FuturePositions(Currency currency, CoinType coin)
{
try
{
var param = new KV[]
{
new KV("symbol", Serialization.AsString(coin, currency)),
new KV("type", "1"),
};
string content = SendRequest(HttpMethod.Post, "future_position_4fix.do", Authenticated(param));
var root = JObject.Parse(content);
CheckErrorCode(root);
var res = new Dictionary <FutureType, List <FuturePosition> >();
foreach (var e in Util.Enum.Values <FutureType>())
{
res.Add(e, new List <FuturePosition>());
}
foreach (JObject data in (JArray)root["holding"])
{
Action <PositionType, string> AddPosition = (PositionType type, string prefix) =>
{
var quantity = data[prefix + "_amount"].AsDecimal();
if (quantity == 0)
{
return;
}
FutureType ft = Serialization.ParseFutureType((string)data["contract_type"]);
string contractId = (string)data["contract_id"];
VerifyFutureType(ft, contractId);
res[ft].Add(new FuturePosition()
{
Quantity = quantity,
PositionType = type,
AvgPrice = data[prefix + "_price_avg"].AsDecimal(),
ContractId = contractId,
Leverage = Serialization.ParseLeverage((string)data["lever_rate"]),
});
};
AddPosition(PositionType.Long, "buy");
AddPosition(PositionType.Short, "sell");
}
return(res);
}
catch (Exception e)
{
_log.Warn(e, "RestClient.FuturePosition() failed");
throw;
}
}
// Verifies that FutureTypeFromContractId(contractId) matches `actual`.
void VerifyFutureType(FutureType actual, string contractId)
{
DateTime now = DateTime.UtcNow;
FutureType deduced = Settlement.FutureTypeFromContractId(contractId, now - TimeSpan.FromMinutes(1));
// FutureTypeFromContractId() is unreliable very close to settlement time.
// If it gives us the same value at now - 1m and now + 1m, we expect the actual contract_type set
// by the exchange to be equal to what we deduce from contract_id. If it's not the case, it means our
// algorithm is broken and the positions received from WebSocket can't be trusted.
if (deduced != actual &&
deduced == Settlement.FutureTypeFromContractId(contractId, now + TimeSpan.FromMinutes(2)))
{
_log.Fatal("Unexpected {{contract_type, contract_id}} pair: {{{0}, {1}}}. Expected contract_type: {2}.",
actual, contractId, deduced);
}
}
/// <summary>
/// Private method which exposes all possible parameters, with default values for the optional ones.
/// </summary>
/// <param name="category">Category=StockOption, IndexOption, FutureOption or CurrencyOption</param>
/// <param name="symbolRoot">Symbol root. Required Field, the symbol the option is a derivative of, this search will not return options based on a partial root.</param>
/// <param name="strikeCount">Number of strikes prices above and below the underlying price. Defaults to 3. Ignored if strike price high and low are passed.</param>
/// <param name="strikePriceLow">Strike price low</param>
/// <param name="strikePriceHigh">Strike price high</param>
/// <param name="dateCount">Number of expiration dates. Default value 3. Ignored if expiration dates high and low are passed.</param>
/// <param name="expirationDateLow">Expiration date low</param>
/// <param name="expirationDateHigh">Expiration date high</param>
/// <param name="optionType">Option type (Both, Call, Put) Default: Both</param>
/// <param name="futureType">Future type (Electronic, Pit) Default: Electronic</param>
/// <param name="symbolType">SymbolType (Both, Composite, Regional) Default: Composite</param>
/// <param name="country">Country code (US, DE, CA) Default: US</param>
/// <returns></returns>
public static string GetOptionSearchCriteria(SearchCategory category, string symbolRoot,
uint strikeCount = 3, decimal strikePriceLow = 0, decimal strikePriceHigh = decimal.MaxValue,
uint dateCount = 3, DateTime?expirationDateLow = null, DateTime?expirationDateHigh = null,
OptionType optionType = OptionType.Both,
FutureType futureType = FutureType.Electronic, SymbolType symbolType = SymbolType.Composite, CountryCode country = CountryCode.US)
{
if (string.IsNullOrEmpty(symbolRoot))
{
throw new ArgumentException("symbolRoot is required.", "symbolRoot");
}
if (GetAssetType(category) != AssetClass.Option)
{
throw new ArgumentException("SearchCategory must be StockOption, IndexOption, FutureOption or CurrencyOption", "category");
}
if (strikePriceLow < 0)
{
throw new ArgumentOutOfRangeException("strikePriceLow", "Argument cannot be less than 0.");
}
if (strikePriceHigh < 0)
{
throw new ArgumentOutOfRangeException("strikePriceHigh", "Argument cannot be less than 0.");
}
if ((expirationDateLow.HasValue && !expirationDateHigh.HasValue) || (expirationDateHigh.HasValue && !expirationDateLow.HasValue))
{
throw new ArgumentException("If either expiration date parameter is passed, both must be passed.");
}
if (expirationDateHigh.HasValue && expirationDateLow.HasValue && expirationDateHigh < expirationDateLow)
{
throw new ArgumentOutOfRangeException("expirationDateHigh", "expirationDateHigh cannot be before expirationDateLow.");
}
StringBuilder criteria = new StringBuilder(255);
Append(criteria, "c=" + category.ToString());
Append(criteria, "R=" + symbolRoot);
// strike price range takes precidence over strike count
if (strikePriceLow > 0 && strikePriceHigh < decimal.MaxValue)
{
Append(criteria, "Spl=" + strikePriceLow);
Append(criteria, "Sph=" + strikePriceHigh);
}
else if (strikeCount != 3)
{
Append(criteria, "Stk=" + strikeCount);
}
// daterange takes precidence over datacount
if (expirationDateLow.HasValue)
{
Append(criteria, "Edl=" + ((DateTime)expirationDateLow).ToString("MM-dd-yyyy"));
Append(criteria, "Edh=" + ((DateTime)expirationDateHigh).ToString("MM-dd-yyyy"));
}
else if (dateCount != 3)
{
Append(criteria, "Exd=" + dateCount);
}
if (optionType != OptionType.Both)
{
Append(criteria, "OT=" + optionType.ToString());
}
if (futureType != FutureType.Electronic)
{
Append(criteria, "FT=" + futureType.ToString());
}
if (symbolType != SymbolType.Composite)
{
Append(criteria, "ST=" + symbolType.ToString());
}
if (country != CountryCode.US)
{
Append(criteria, "Cnt=" + country.ToString());
}
return(criteria.ToString());
}
public static string GetFutureSearchCriteria(string description = "", string root = "", FutureType futureType = FutureType.Electronic,
Currency currency = Currency.USD, bool includeExpired = false, CountryCode country = CountryCode.ALL)
{
StringBuilder criteria = new StringBuilder(255);
Append(criteria, "c=" + SearchCategory.Future.ToString());
if (description != string.Empty)
{
Append(criteria, "desc=" + description);
}
if (root != string.Empty)
{
Append(criteria, "r=" + root);
}
if (futureType != FutureType.Electronic)
{
Append(criteria, "FT=" + futureType.ToString());
}
if (currency != Currency.USD)
{
Append(criteria, "Cur=" + currency.ToString());
}
if (includeExpired)
{
Append(criteria, "Exp=true");
}
if (country != CountryCode.ALL)
{
Append(criteria, "Cnt=" + country.ToString());
}
return(criteria.ToString());
}
public IMessageIn Visit(FuturePositionsUpdate msg)
{
// "symbol": "btc_usd",
// "positions": [
// {
// "contract_id": "20160219013",
// "contract_name": "BTC0219",
// "avgprice": "413.15435805",
// "balance": "0.04855328",
// "bondfreez": "0",
// "costprice": "413.15435805",
// "eveningup": "2",
// "forcedprice": "379.0405725",
// "position": "1",
// "profitreal": "-1.4522E-4",
// "fixmargin": "0.04840806",
// "hold_amount": "2",
// "lever_rate": "10",
// "position_id": "9018065"
// },
// ]
if (_data == null)
{
// OkCoin sends an empty message without data in response to
// our subscription request.
return(msg);
}
DateTime now = DateTime.UtcNow;
string symbol = (string)_data["symbol"];
string[] parts = symbol.Split(new char[] { '_' }, 2);
Condition.Requires(parts, "parts").HasLength(2);
msg.CoinType = Serialization.ParseCoinType(parts[0]);
msg.Currency = Serialization.ParseCurrency(parts[1]);
msg.Positions = new List <FuturePosition>();
FutureType?futureType = null;
Condition.Requires(_data["positions"], "positions").IsNotEmpty();
foreach (JToken elem in _data["positions"])
{
string contractId = (string)elem["contract_id"];
// Figuring out FutureType around the time of settlement is tricky.
// We assume the following:
// 1. Our local time when parsing a message is less than one minute ahead of the server time
// when the message was produced. Basically, latency + time skey must be under a minute.
// 2. When settlement kicks in, trading is stopped for more than a minute plus time skew.
// OkCoin docs say they stop all trading for around 10 minutes, so it seems reasonable.
FutureType ft = Settlement.FutureTypeFromContractId(contractId, now - TimeSpan.FromMinutes(1));
if (futureType.HasValue && futureType.Value != ft)
{
throw new Exception(String.Format("Inconsistent FutureType: {0} vs {1}", futureType.Value, ft));
}
futureType = ft;
decimal quantity = elem["hold_amount"].AsDecimal();
if (quantity != 0)
{
msg.Positions.Add(new FuturePosition()
{
Leverage = Serialization.ParseLeverage((string)elem["lever_rate"]),
PositionType = Serialization.ParsePositionType((string)elem["position"]),
ContractId = contractId,
Quantity = quantity,
AvgPrice = elem["avgprice"].AsDecimal(),
});
}
}
msg.FutureType = futureType.Value;
return(msg);
}
public static string GetFutureSearchCriteria(string description = "", string root = "", FutureType futureType = FutureType.Electronic,
Currency currency = Currency.USD, bool includeExpired = false, CountryCode country = CountryCode.ALL)
{
StringBuilder criteria = new StringBuilder(255);
Append(criteria, "c=" + SearchCategory.Future.ToString());
if (description != string.Empty) Append(criteria, "desc=" + description);
if (root != string.Empty) Append(criteria, "r=" + root);
if (futureType != FutureType.Electronic) Append(criteria, "FT=" + futureType.ToString());
if (currency != Currency.USD) Append(criteria, "Cur=" + currency.ToString());
if (includeExpired) Append(criteria, "Exp=true");
if (country != CountryCode.ALL) Append(criteria, "Cnt=" + country.ToString());
return criteria.ToString();
}
private void OptionSymbolSearchAsync(SearchCategory category, string symbolRoot,
uint strikeCount = 3, decimal strikePriceLow = 0, decimal strikePriceHigh = decimal.MaxValue,
uint dateCount = 3, DateTime? expirationDateLow = null, DateTime? expirationDateHigh = null,
OptionType optionType = OptionType.Both, FutureType futureType = FutureType.Electronic, SymbolType symbolType = SymbolType.Composite, CountryCode country = CountryCode.US,
int timeout = TimeoutDefault)
{
OptionSymbolSearchCompletedTask task = OptionSymbolSearch;
AsyncCallback callback = OptionSymbolSearchCompletedCallback;
task.BeginInvoke(category, symbolRoot, strikeCount, strikePriceLow, strikePriceHigh, dateCount, expirationDateLow, expirationDateHigh, optionType, futureType,
symbolType, country, timeout, callback, null);
}
public void OptionSymbolSearchAsync(SearchCategory category, string symbolRoot, decimal strikePriceLow, decimal strikePriceHigh,
DateTime expirationDateLow, DateTime expirationDateHigh, OptionType optionType = OptionType.Both, FutureType futureType = FutureType.Electronic,
SymbolType symbolType = SymbolType.Composite,
CountryCode country = CountryCode.US, int timeout = TimeoutDefault)
{
// call full overload with all params (defaults)
OptionSymbolSearchAsync(category, symbolRoot, 3, strikePriceLow, strikePriceHigh, 3, expirationDateLow, expirationDateHigh, optionType, futureType, symbolType, country, timeout);
}
public void OptionSymbolSearchAsync(SearchCategory category, string symbolRoot, DateTime expirationDateLow, DateTime expirationDateHigh, uint strikeCount = 3,
OptionType optionType = OptionType.Both, FutureType futureType = FutureType.Electronic, SymbolType symbolType = SymbolType.Composite,
CountryCode country = CountryCode.US, int timeout = TimeoutDefault)
{
// call full overload with all params (defaults)
// ReSharper disable RedundantArgumentName
OptionSymbolSearchAsync(category: category, symbolRoot: symbolRoot, strikeCount: strikeCount, strikePriceLow: 0, strikePriceHigh: decimal.MaxValue, dateCount: 3,
expirationDateLow: expirationDateLow, expirationDateHigh: expirationDateHigh, optionType: optionType, futureType: futureType, symbolType: symbolType,
country: country, timeout: timeout);
// ReSharper restore RedundantArgumentName
}
/// <summary>
/// Allows searching by strike range and date range.
/// </summary>
public List<Symbol> OptionSymbolSearch(SearchCategory category, string symbolRoot, decimal strikePriceLow, decimal strikePriceHigh,
DateTime? expirationDateLow = null, DateTime? expirationDateHigh = null, OptionType optionType = OptionType.Both, FutureType futureType = FutureType.Electronic,
SymbolType symbolType = SymbolType.Composite, CountryCode country = CountryCode.US, int timeout = TimeoutDefault)
{
// call full overload with all params (defaults)
// ReSharper disable RedundantArgumentName
return OptionSymbolSearch(category: category, symbolRoot: symbolRoot, strikeCount: 3, strikePriceLow: strikePriceLow, strikePriceHigh: strikePriceHigh,
dateCount: 3, expirationDateLow: expirationDateLow, expirationDateHigh: expirationDateHigh, optionType: optionType, futureType: futureType,
symbolType: symbolType, country: country, timeout: timeout);
// ReSharper restore RedundantArgumentName
}
/*
Option Symbol Search can either be called by passing a combination of strikecount or strike range with a datacount or date range (4 possible combinations). The 4 public overloads
expose this functionality.
*/
/// <summary>
/// Allows searching by strike count and date count.
/// </summary>
public List<Symbol> OptionSymbolSearch(SearchCategory category, string symbolRoot, uint strikeCount = 3, uint dateCount = 3, OptionType optionType = OptionType.Both,
FutureType futureType = FutureType.Electronic, SymbolType symbolType = SymbolType.Composite, CountryCode country = CountryCode.US, int timeout = TimeoutDefault)
{
// call full overload with all params (defaults)
return OptionSymbolSearch(category, symbolRoot, strikeCount, 0, decimal.MaxValue, dateCount, null, null, optionType, futureType, symbolType, country, timeout);
}
public void FutureSymbolSearchAsync(string description = "", string symbolRoot = "", FutureType futureType = FutureType.Electronic,
Currency currency = Currency.USD, bool includeExpired = false, CountryCode country = CountryCode.ALL, int timeout = TimeoutDefault)
{
FutureSymbolSearchCompletedTask task = FutureSymbolSearch;
AsyncCallback callback = FutureSymbolSearchCompletedCallback;
task.BeginInvoke(description, symbolRoot, futureType, currency, includeExpired, country, timeout, callback, null);
}
public List<Symbol> FutureSymbolSearch(string description = "", string symbolRoot = "", FutureType futureType = FutureType.Electronic,
Currency currency = Currency.USD, bool includeExpired = false, CountryCode country = CountryCode.ALL, int timeout = TimeoutDefault)
{
//if (!IsAuthorized) throw new ClientAuthorizationException();
Uri uri = new Uri(root, string.Format("/v2/data/symbols/search/{0}",
SymbolSearch.GetFutureSearchCriteria(description, symbolRoot, futureType, currency, includeExpired, country)));
string response = TryGet(uri, timeout);
List<Symbol> symbols = new List<Symbol>(255);
List<Symbol> converted = JsonConvert.DeserializeObject<List<Symbol>>(response, new CountryCodeConverter());
if (converted != null) symbols = converted;
return symbols;
}
/// <summary>
/// Private method which exposes all possible parameters, with default values for the optional ones.
/// </summary>
/// <param name="category">Category=StockOption, IndexOption, FutureOption or CurrencyOption</param>
/// <param name="symbolRoot">Symbol root. Required Field, the symbol the option is a derivative of, this search will not return options based on a partial root.</param>
/// <param name="strikeCount">Number of strikes prices above and below the underlying price. Defaults to 3. Ignored if strike price high and low are passed.</param>
/// <param name="strikePriceLow">Strike price low</param>
/// <param name="strikePriceHigh">Strike price high</param>
/// <param name="dateCount">Number of expiration dates. Default value 3. Ignored if expiration dates high and low are passed.</param>
/// <param name="expirationDateLow">Expiration date low</param>
/// <param name="expirationDateHigh">Expiration date high</param>
/// <param name="optionType">Option type (Both, Call, Put) Default: Both</param>
/// <param name="futureType">Future type (Electronic, Pit) Default: Electronic</param>
/// <param name="symbolType">SymbolType (Both, Composite, Regional) Default: Composite</param>
/// <param name="country">Country code (US, DE, CA) Default: US</param>
/// <returns></returns>
public static string GetOptionSearchCriteria(SearchCategory category, string symbolRoot,
uint strikeCount = 3, decimal strikePriceLow = 0, decimal strikePriceHigh = decimal.MaxValue,
uint dateCount = 3, DateTime? expirationDateLow = null, DateTime? expirationDateHigh = null,
OptionType optionType = OptionType.Both,
FutureType futureType = FutureType.Electronic, SymbolType symbolType = SymbolType.Composite, CountryCode country = CountryCode.US)
{
if (string.IsNullOrEmpty(symbolRoot)) throw new ArgumentException("symbolRoot is required.", "symbolRoot");
if (GetAssetType(category) != AssetClass.Option) throw new ArgumentException("SearchCategory must be StockOption, IndexOption, FutureOption or CurrencyOption", "category");
if (strikePriceLow < 0) throw new ArgumentOutOfRangeException("strikePriceLow", "Argument cannot be less than 0.");
if (strikePriceHigh < 0) throw new ArgumentOutOfRangeException("strikePriceHigh", "Argument cannot be less than 0.");
if ((expirationDateLow.HasValue && !expirationDateHigh.HasValue) || (expirationDateHigh.HasValue && !expirationDateLow.HasValue)) throw new ArgumentException("If either expiration date parameter is passed, both must be passed.");
if (expirationDateHigh.HasValue && expirationDateLow.HasValue && expirationDateHigh < expirationDateLow) throw new ArgumentOutOfRangeException("expirationDateHigh", "expirationDateHigh cannot be before expirationDateLow.");
StringBuilder criteria = new StringBuilder(255);
Append(criteria, "c=" + category.ToString());
Append(criteria, "R=" + symbolRoot);
// strike price range takes precidence over strike count
if (strikePriceLow > 0 && strikePriceHigh < decimal.MaxValue)
{
Append(criteria, "Spl=" + strikePriceLow);
Append(criteria, "Sph=" + strikePriceHigh);
}
else if (strikeCount != 3)
Append(criteria, "Stk=" + strikeCount);
// daterange takes precidence over datacount
if (expirationDateLow.HasValue)
{
Append(criteria, "Edl=" + ((DateTime)expirationDateLow).ToString("MM-dd-yyyy"));
Append(criteria, "Edh=" + ((DateTime)expirationDateHigh).ToString("MM-dd-yyyy"));
}
else if (dateCount != 3)
Append(criteria, "Exd=" + dateCount);
if (optionType != OptionType.Both) Append(criteria, "OT=" + optionType.ToString());
if (futureType != FutureType.Electronic) Append(criteria, "FT=" + futureType.ToString());
if (symbolType != SymbolType.Composite) Append(criteria, "ST=" + symbolType.ToString());
if (country != CountryCode.US) Append(criteria, "Cnt=" + country.ToString());
return criteria.ToString();
}
public ContractDetail()
{
FutureType = FutureType.General;
}
/// <summary>
/// Private method which exposes all possible parameters, with default values for the optional ones.
/// </summary>
/// <param name="category">Category=StockOption, IndexOption, FutureOption or CurrencyOption</param>
/// <param name="symbolRoot">Symbol root. Required Field, the symbol the option is a derivative of, this search will not return options based on a partial root.</param>
/// <param name="strikeCount">Number of strikes prices above and below the underlying price. Defaults to 3. Ignored if strike price high and low are passed.</param>
/// <param name="strikePriceLow">Strike price low</param>
/// <param name="strikePriceHigh">Strike price high</param>
/// <param name="dateCount">Number of expiration dates. Default value 3. Ignored if expiration dates high and low are passed.</param>
/// <param name="expirationDateLow">Expiration date low</param>
/// <param name="expirationDateHigh">Expiration date high</param>
/// <param name="optionType">Option type (Both, Call, Put) Default: Both</param>
/// <param name="futureType">Future type (Electronic, Pit) Default: Electronic</param>
/// <param name="symbolType">SymbolType (Both, Composite, Regional) Default: Composite</param>
/// <param name="country">Country code (US, DE, CA) Default: US</param>
/// <param name="timeout"></param>
/// <returns></returns>
private List<Symbol> OptionSymbolSearch(SearchCategory category, string symbolRoot,
uint strikeCount = 3, decimal strikePriceLow = 0, decimal strikePriceHigh = decimal.MaxValue,
uint dateCount = 3, DateTime? expirationDateLow = null, DateTime? expirationDateHigh = null,
OptionType optionType = OptionType.Both, FutureType futureType = FutureType.Electronic, SymbolType symbolType = SymbolType.Composite, CountryCode country = CountryCode.US,
int timeout = TimeoutDefault)
{
//if (!IsAuthorized) throw new ClientAuthorizationException();
if (strikePriceLow > 0 && strikePriceHigh == decimal.MaxValue) throw new ArgumentException("If strikePriceLow is passed a value must also be passed for strikePriceHigh.", "strikePriceHigh");
if (expirationDateLow.HasValue || expirationDateHigh.HasValue)
{
if (!expirationDateLow.HasValue || !expirationDateHigh.HasValue) throw new ArgumentException("If a value is passed for expiration date high or low, the other value must also be passed.");
if (expirationDateHigh <= expirationDateLow) throw new ArgumentOutOfRangeException("expirationDateHigh", "ExpirationHigh must be greater than ExpirationLow.");
}
Uri uri = new Uri(root, string.Format("/v2/data/symbols/search/{0}",
SymbolSearch.GetOptionSearchCriteria(category, symbolRoot, strikeCount, strikePriceLow, strikePriceHigh, dateCount, expirationDateLow, expirationDateHigh, optionType, futureType, symbolType, country)));
string response = TryGet(uri, timeout);
List<Symbol> result = new List<Symbol>(255);
List<Symbol> deserialized = JsonConvert.DeserializeObject<List<Symbol>>(response, new CountryCodeConverter());
if (deserialized != null)
{
result = deserialized;
result.Sort(new OptionComparer());
}
return result;
}