public override void StockBuySell()
{
Init(AlgoType.SimultaneousBuySell);
while (MarketUtils.IsMarketOpen())
{
try
{
var newTrades = new Dictionary <string, EquityTradeBookRecord>();
// refresh trade book
errCode = broker.GetEquityTradeBookToday(true, stockCode, out newTrades);
if (newTrades.Count > 0)
{
var trade = newTrades.First().Value;
Trace(string.Format(tradeTraceFormat, stockCode, trade.Direction == OrderDirection.BUY ? "bought" : "sold", trade.Quantity, trade.Price, newTrades.ContainsKey(holdingSellOrderRef) ? "CASH" : "MARGIN"));
if (newTrades.ContainsKey(todayOutstandingBuyOrderRef))
{
todayOutstandingQty += trade.Quantity;
todayOutstandingPrice = trade.Price;
todayOutstandingBuyOrderRef = "";
}
else if (newTrades.ContainsKey(todayOutstandingSellOrderRef))
{
todayOutstandingQty -= trade.Quantity;
todayOutstandingPrice = trade.Price;
todayOutstandingSellOrderRef = "";
}
else if (newTrades.ContainsKey(holdingSellOrderRef))
{
holdingOutstandingQty = 0;
holdingOutstandingPrice = 0;
holdingSellOrderRef = "";
UpdatePositionFile(holdingOutstandingQty, holdingOutstandingPrice, holdingSellOrderRef);
}
else
{
// upstox squared off the sell. verify it and cancel the buy order
if (trade.Direction == OrderDirection.BUY)
{
CancelEquityOrder("Broker squared off the sell", todayOutstandingBuyOrderRef, trade.Direction);
todayOutstandingQty += trade.Quantity;
todayOutstandingPrice = trade.Price;
todayOutstandingBuyOrderRef = "";
}
}
}
// if order time is within range and today's buy order count is below max then only place pair
if (IsOrderTimeWithinRange() && string.IsNullOrEmpty(todayOutstandingBuyOrderRef) && string.IsNullOrEmpty(todayOutstandingSellOrderRef) && buyOrderCount < maxBuyOrders && (todayOutstandingQty + holdingOutstandingQty) < maxAllowedOutstandingQty)
{
// no pair existing, place a pair order
// place buy order, update buy order ref
var buyPrice = GetBuyPrice();
errCode = PlaceEquityOrder(stockCode, ordQty, buyPrice.ToString(), OrderPriceType.LIMIT, OrderDirection.BUY, EquityOrderType.MARGIN, Exchange.NSE, out todayOutstandingBuyOrderRef);
// place new sell order, update sell order ref
var sellPrice = GetSellPrice(buyPrice, false);
errCode = PlaceEquityOrder(stockCode, ordQty, sellPrice.ToString(), OrderPriceType.LIMIT, OrderDirection.SELL, EquityOrderType.MARGIN, Exchange.NSE, out todayOutstandingSellOrderRef);
}
else if (MarketUtils.IsTimeAfter3() && (!string.IsNullOrEmpty(todayOutstandingBuyOrderRef) && !string.IsNullOrEmpty(todayOutstandingSellOrderRef)))
{
// if existing pair is unexecuted, then cancel the pair
Trace("Cancelling the pair orders as no side is executed and its past 3 pm");
errCode = CancelEquityOrder("Unexecuted Pair cancellation", todayOutstandingBuyOrderRef, OrderDirection.BUY);
if (errCode == BrokerErrorCode.Success)
{
todayOutstandingBuyOrderRef = "";
}
errCode = CancelEquityOrder("Unexecuted Pair cancellation", todayOutstandingSellOrderRef, OrderDirection.SELL);
if (errCode == BrokerErrorCode.Success)
{
todayOutstandingSellOrderRef = "";
}
}
TrySquareOffNearEOD(AlgoType.SimultaneousBuySell);
}
catch (Exception ex)
{
Trace("Error:" + ex.Message + "\nStacktrace:" + ex.StackTrace);
}
if (MarketUtils.IsTimeAfter325())
{
ConvertToDeliveryAndUpdatePositionFile();
}
PauseBetweenTradeBookCheck();
}
ConvertToDeliveryAndUpdatePositionFile();
}
// Try min profit squareoff first between 3 - 3.10 time.
// From 3.10 to 3.15 time if squareoff of all positions is set to true and the ltp diff meets threshold for max loss pct, then do a market order squareoff
public void TrySquareOffNearEOD(AlgoType algoType)
{
// if after 3 pm, then try to square off in at least no profit no loss if possible. either buy or sell is outstanding
if (MarketUtils.IsTimeAfter3())
{
var ordPriceType = OrderPriceType.LIMIT;
var doUpdateOrders = false;
// 3.10 - 3.15 pm time. market order type for forced square off given pct loss is within acceptable range
// do it before 3.15, otherwise broker will try to squareoff on its own anytime between 3.15 - 3.30
if (MarketUtils.IsTimeAfter310() && !MarketUtils.IsTimeAfter315() && squareOffAllPositionsAtEOD && !isEODMinLossSquareOffMarketOrderUpdated)
{
var ltp = GetLTP();
ordPriceType = OrderPriceType.MARKET;
var diff = Math.Abs((ltp - todayOutstandingPrice) / ltp);
if (diff < pctMaxLossSquareOffPositions && todayOutstandingPrice > goodPrice)
{
Trace(string.Format("TrySquareOffNearEOD: max loss % {0} is within acceptable range of {1} and avg outstanding price {2} is greater than good price of {3}. Update squareoff at MARKET price type.", diff, pctMaxLossSquareOffPositions, todayOutstandingPrice, goodPrice));
doUpdateOrders = true;
isEODMinLossSquareOffMarketOrderUpdated = true;
}
}
// 3 - 3.10 pm time. try simple limit order with min profit price
else if (!isEODMinProfitSquareOffLimitOrderUpdated)
{
Trace(string.Format("TrySquareOffNearEOD: Update squareoff LIMIT order with min profit % price or cancel outstanding orders"));
ordPriceType = OrderPriceType.LIMIT;
isEODMinProfitSquareOffLimitOrderUpdated = true;
doUpdateOrders = true;
}
if (doUpdateOrders)
{
if (algoType == AlgoType.AverageTheBuyThenSell)
{
// just cancel the outstanding buy order
if (!string.IsNullOrEmpty(todayOutstandingBuyOrderRef))
{
// cancel existing buy order
errCode = CancelEquityOrder("(EOD squareoff) @ " + ordPriceType, ref todayOutstandingBuyOrderRef, OrderDirection.BUY);
}
// bought qty needs square off. there is outstanding sell order, revise the price to try square off
if (!string.IsNullOrEmpty(todayOutstandingSellOrderRef))
{
// cancel existing sell order
errCode = CancelEquityOrder("(EOD squareoff) @ " + ordPriceType, ref todayOutstandingSellOrderRef, OrderDirection.SELL);
if (errCode == BrokerErrorCode.Success)
{
todayOutstandingSellOrderRef = "";
// place new sell order, update sell order ref
Trace("Placing EOD squareoff updated order");
var sellPrice = GetSellPrice(todayOutstandingPrice, false, true);
errCode = PlaceEquityOrder(stockCode, todayOutstandingQty, sellPrice.ToString(), ordPriceType, OrderDirection.SELL, EquityOrderType.MARGIN, exchange, out todayOutstandingSellOrderRef);
}
}
}
else if (algoType == AlgoType.SimultaneousBuySell)
{
// if there is an outstanding order pair, just cancel both
if (!string.IsNullOrEmpty(todayOutstandingBuyOrderRef) && !string.IsNullOrEmpty(todayOutstandingSellOrderRef))
{
// cancel existing sell order
errCode = CancelEquityOrder("(EOD squareoff) @ " + ordPriceType, ref todayOutstandingSellOrderRef, OrderDirection.SELL);
// cancel existing buy order
errCode = CancelEquityOrder("(EOD squareoff) @ " + ordPriceType, ref todayOutstandingBuyOrderRef, OrderDirection.BUY);
}
// bought qty needs square off. there is outstanding sell order, revise the price to try square off
else if (string.IsNullOrEmpty(todayOutstandingBuyOrderRef) && !string.IsNullOrEmpty(todayOutstandingSellOrderRef))
{
// cancel existing sell order
errCode = CancelEquityOrder("(EOD squareoff) @ " + ordPriceType, ref todayOutstandingSellOrderRef, OrderDirection.SELL);
if (errCode == BrokerErrorCode.Success)
{
todayOutstandingSellOrderRef = "";
// place new sell order, update sell order ref
Trace("Placing EOD squareoff updated order");
var sellPrice = GetSellPrice(todayOutstandingPrice, false, true);
errCode = PlaceEquityOrder(stockCode, ordQty, sellPrice.ToString(), ordPriceType, OrderDirection.SELL, EquityOrderType.MARGIN, exchange, out todayOutstandingSellOrderRef);
}
}
// sold qty needs square off. there is outstanding buy order, revise the price to try square off
else if (string.IsNullOrEmpty(todayOutstandingSellOrderRef) && !string.IsNullOrEmpty(todayOutstandingBuyOrderRef))
{
// cancel existing buy order
errCode = CancelEquityOrder("(EOD squareoff) @ " + ordPriceType, ref todayOutstandingBuyOrderRef, OrderDirection.BUY);
if (errCode == BrokerErrorCode.Success)
{
todayOutstandingBuyOrderRef = "";
// place new buy order, update buy order ref
Trace("Placing EOD squareoff updated order");
var buyPrice = GetBuySquareOffPrice(todayOutstandingPrice);
errCode = PlaceEquityOrder(stockCode, ordQty, buyPrice.ToString(), ordPriceType, OrderDirection.BUY, EquityOrderType.MARGIN, exchange, out todayOutstandingBuyOrderRef);
}
}
}
}
}
}
