private MyOperationData InitializeOperationData(Operation op)
{
var execData = op.ExecutorData as MyOperationData;
if (execData == null)
{
execData = new MyOperationData();
if (op.Type == OperationType.BuyThenSell)
{
execData.EntryDirection = TradeDirection.Buy;
execData.ExitDirection = TradeDirection.Sell;
}
else if (op.Type == OperationType.SellThenBuy)
{
execData.EntryDirection = TradeDirection.Sell;
execData.ExitDirection = TradeDirection.Buy;
}
else
{
throw new NotSupportedException("Only supports buyThenSell and SellThenBuy operations");
}
}
return(execData);
}
private async Task ManageSymbol(SymbolData symData, TimeSlice slice)
{
var symbol = symData.Feed.Symbol;
//foreach operation check if the entry is enough
foreach (Operation operation in symData.ActiveOperations)
{
MyOperationData execData = InitializeOperationData(operation);
//check if it needs to be closed
if (operation.IsEntryExpired(Algo.Time) && (operation.AmountInvested <= 0 || operation.AmountRemaining / operation.AmountInvested <= 0.03m))
{
operation.ScheduleClose(Algo.Time.AddSeconds(5));
continue;
}
//check if entry needed
if (operation.AmountInvested <= 0 && !operation.IsEntryExpired(Algo.Time) && !Algo.EntriesSuspended)
{
var gotEntry = operation.Type == OperationType.BuyThenSell ?
(decimal)symData.Feed.Ask <= operation.Signal.PriceEntry :
(decimal)symData.Feed.Bid >= operation.Signal.PriceEntry;
//todo check if the last entry order was effectively executed
//check if we have already sent an order
if (execData.LastEntryOrder == null)
{
var originalAmount = AssetAmount.Convert(operation.AmountTarget, operation.Symbol.Asset, symData.Feed);
var stillToBuy = originalAmount - operation.AmountInvested;
if (stillToBuy / originalAmount > 0.2m)
{
//TODO check requirements for order: price precision, minimum amount, min notional, available money
var orderInfo = new OrderInfo()
{
Symbol = symbol.Key,
Type = OrderType.Market,
Effect = Algo.DoMarginTrading ? MarginOrderEffect.OpenPosition : MarginOrderEffect.None,
Amount = stillToBuy,
ClientOrderId = operation.GetNewOrderId(),
Direction = execData.EntryDirection
};
var ticket = await Algo.Market.PostNewOrder(orderInfo);
if (ticket.Status == RequestStatus.Completed)
{
//Market order was executed - we should expect the trade on next update
execData.LastEntryOrder = ticket.Result;
}
else
{
//todo log error
}
}
}
}
//check if exit needed
if (execData.LastExitOrder == null)
{
var shouldExit = operation.Signal.ExpireDate < Algo.Time;
var gotTarget = operation.Type == OperationType.BuyThenSell ?
(decimal)symData.Feed.Bid >= operation.Signal.PriceTarget :
(decimal)symData.Feed.Ask <= operation.Signal.PriceTarget;
if (shouldExit || gotTarget)
{
var amount = operation.AmountRemaining;
//TODO check requirements for order: price precision, minimum amount, min notional, available money
var orderInfo = new OrderInfo()
{
Symbol = symbol.Key,
Type = OrderType.Market,
Effect = Algo.DoMarginTrading ? MarginOrderEffect.ClosePosition : MarginOrderEffect.None,
Amount = amount,
ClientOrderId = operation.GetNewOrderId(),
Direction = execData.ExitDirection
};
var ticket = await Algo.Market.PostNewOrder(orderInfo);
if (ticket.Status == RequestStatus.Completed)
{
//Market order was executed - we should expect the trade on next update
execData.LastExitOrder = ticket.Result;
}
else
{
//TODO log error
}
}
}
}
}
