static public string TradeSideToString(ProtoOATradeSide tradeSide)
{
switch (tradeSide)
{
case ProtoOATradeSide.Buy:
return("BUY");
case ProtoOATradeSide.Sell:
return("SELL");
default:
return("unknown");
}
}
public void SendTrade(UserConfig config, string symbolName, string direction, long size, string clientMsgId, string orderComment, long stopPoints = 0, long takeProfitPoints = 0)
{
ProtoOATradeSide tradeSide = ProtoOATradeSide.BUY;
if (direction == "SHORT")
{
tradeSide = ProtoOATradeSide.SELL;
}
int symbolId = config.Symbols.SymbolId(symbolName);
//create the trade request message and queue it
var _msg = ProtoOANewOrderReq.CreateBuilder();
_msg.SetCtidTraderAccountId(config.AccountId);
_msg.SetSymbolId(symbolId);
_msg.SetOrderType(ProtoOAOrderType.MARKET);
_msg.SetTradeSide(tradeSide);
_msg.SetVolume(size);
_msg.SetLabel("LABEL");
if (stopPoints > 0)
{
_msg.SetRelativeStopLoss(stopPoints);
}
if (takeProfitPoints > 0)
{
_msg.SetRelativeTakeProfit(takeProfitPoints);
}
_msg.SetComment(orderComment);
var protoMsg = ProtoMessage.CreateBuilder();
protoMsg.PayloadType = (uint)_msg.PayloadType;
protoMsg.SetPayload(_msg.Build().ToByteString());
protoMsg.SetClientMsgId(clientMsgId);
_trasmitQueue.Enqueue(protoMsg.Build());
}
public ProtoMessage CreateStopLimitOrderRequest(long accountId, string accessToken, int symbolId, ProtoOATradeSide tradeSide, long volume, double stopPrice, int slippageInPoints, string clientMsgId = null)
{
var _msg = ProtoOANewOrderReq.CreateBuilder();;
_msg.SetCtidTraderAccountId(accountId);
_msg.SetSymbolId(symbolId);
_msg.SetOrderType(ProtoOAOrderType.STOP_LIMIT);
_msg.SetTradeSide(tradeSide);
_msg.SetVolume(volume);
_msg.SetSlippageInPoints(slippageInPoints);
_msg.SetStopPrice(stopPrice);
_msg.SetComment("TradingApiTest.CreateStopLimitOrderRequest");
return(CreateMessage((uint)_msg.PayloadType, _msg.Build().ToByteString(), clientMsgId));
}
public ProtoMessage CreateLimitOrderRequest(long accountId, string accessToken, int symbolId, ProtoOATradeSide tradeSide, long volume, double limitPrice, string clientMsgId = null)
{
var _msg = ProtoOANewOrderReq.CreateBuilder();;
_msg.SetCtidTraderAccountId(accountId);
_msg.SetSymbolId(symbolId);
_msg.SetOrderType(ProtoOAOrderType.LIMIT);
_msg.SetTradeSide(tradeSide);
_msg.SetVolume(volume);
_msg.SetLimitPrice(limitPrice);
_msg.SetComment("TradingApiTest.CreateLimitOrderRequest");
DateTime epoch = new DateTime(1970, 1, 1, 0, 0, 0, DateTimeKind.Utc);
_msg.SetExpirationTimestamp((long)(DateTime.UtcNow.AddHours(1) - epoch).TotalMilliseconds);
return(CreateMessage((uint)_msg.PayloadType, _msg.Build().ToByteString(), clientMsgId));
}
public ProtoMessage CreateMarketOrderRequest(long accountId, string accessToken, int symbolId, ProtoOATradeSide tradeSide, long volume, string clientMsgId = null)
{
var _msg = ProtoOANewOrderReq.CreateBuilder();
_msg.SetCtidTraderAccountId(accountId);
_msg.SetSymbolId(symbolId);
_msg.SetOrderType(ProtoOAOrderType.MARKET);
_msg.SetTradeSide(tradeSide);
_msg.SetVolume(volume);
_msg.SetComment("TradingApiTest.CreateMarketOrderRequest");
return(CreateMessage((uint)_msg.PayloadType, _msg.Build().ToByteString(), clientMsgId));
}
public static ProtoMessage New_Order_Req(long ctidTraderAccountId,
long symbolId,
ProtoOAOrderType orderType,
ProtoOATradeSide tradeSide,
long volume,
double limitPrice = 0,
double stopPrice = 0,
ProtoOATimeInForce timeInForce = ProtoOATimeInForce.GoodTillCancel,
long expirationTimestamp = 0,
double stopLoss = 0,
double takeProfit = 0,
string comment = "",
double baseSlippagePrice = 0,
int slippageInPoints = 0,
string label = "",
long positionId = 0,
string clientOrderId = "",
long relativeStopLoss = 0,
long relativeTakeProfit = 0,
bool guaranteedStopLoss = false,
bool trailingStopLoss = false,
ProtoOAOrderTriggerMethod stopTriggerMethod = ProtoOAOrderTriggerMethod.Trade)
{
ProtoOANewOrderReq message = new ProtoOANewOrderReq
{
payloadType = ProtoOAPayloadType.ProtoOaNewOrderReq,
ctidTraderAccountId = ctidTraderAccountId,
symbolId = symbolId,
orderType = orderType,
tradeSide = tradeSide,
Volume = volume
};
if (limitPrice > 0)
{
message.limitPrice = limitPrice;
}
if (stopPrice > 0)
{
message.stopPrice = stopPrice;
}
if (timeInForce > 0)
{
message.timeInForce = timeInForce;
}
if (expirationTimestamp > 0)
{
message.expirationTimestamp = expirationTimestamp;
}
if (stopLoss > 0)
{
message.stopLoss = stopLoss;
}
if (takeProfit > 0)
{
message.takeProfit = takeProfit;
}
if (comment != "")
{
message.Comment = comment;
}
if (baseSlippagePrice > 0)
{
message.baseSlippagePrice = baseSlippagePrice;
}
if (slippageInPoints > 0)
{
message.slippageInPoints = slippageInPoints;
}
if (label != "")
{
message.Label = label;
}
if (positionId > 0)
{
message.positionId = positionId;
}
if (clientOrderId != "")
{
message.clientOrderId = clientOrderId;
}
if (relativeStopLoss != 0)
{
message.relativeStopLoss = relativeStopLoss;
}
if (relativeTakeProfit != 0)
{
message.relativeTakeProfit = relativeTakeProfit;
}
if (guaranteedStopLoss)
{
message.guaranteedStopLoss = true;
}
if (trailingStopLoss)
{
message.trailingStopLoss = true;
}
if (stopTriggerMethod != ProtoOAOrderTriggerMethod.Trade)
{
message.stopTriggerMethod = stopTriggerMethod;
}
Log.Info("ProtoOANewOrderReq:: " +
$"ctidTraderAccountId: {ctidTraderAccountId}; " +
$"symbolId: {symbolId}; " +
$"orderType: {orderType}; " +
$"tradeSide: {tradeSide}; " +
$"volume: {volume}; " +
$"limitPrice: {limitPrice}; " +
$"stopPrice: {stopPrice}; " +
$"timeInForce: {timeInForce}; " +
$"expirationTimestamp: {expirationTimestamp} ({EpochToString(expirationTimestamp)}; " +
$"stopLoss: {stopLoss}; " +
$"takeProfit: {takeProfit}; " +
$"comment: {comment}; " +
$"baseSlippagePrice: {baseSlippagePrice}; " +
$"slippageInPoints: {slippageInPoints}; " +
$"label: {label}; " +
$"positionId: {positionId}; " +
$"clientOrderId: {clientOrderId}; " +
$"relativeStopLoss: {relativeStopLoss}; " +
$"relativeTakeProfit: {relativeTakeProfit}; " +
$"guaranteedStopLoss: {guaranteedStopLoss}; " +
$"trailingStopLoss: {trailingStopLoss}; " +
$"stopTriggerMethod: {stopTriggerMethod}");
InnerMemoryStream.SetLength(0);
Serializer.Serialize(InnerMemoryStream, message);
return(Encode((uint)message.payloadType, InnerMemoryStream.ToArray()));
}
public ProtoMessage CreateStopOrderRequest(long accountId, string accessToken, int symbolId, ProtoOATradeSide tradeSide, long volume, double stopPrice, double takeProfitPrice, double stopLossPrice, string label = null, string clientMsgId = null)
{
var _msg = ProtoOANewOrderReq.CreateBuilder();
_msg.SetCtidTraderAccountId(accountId);
_msg.SetSymbolId(symbolId);
_msg.SetOrderType(ProtoOAOrderType.STOP);
_msg.SetTradeSide(tradeSide);
_msg.SetVolume(volume);
_msg.SetStopPrice(stopPrice);
if (takeProfitPrice > 0)
{
_msg.SetTakeProfit(takeProfitPrice);
}
if (stopLossPrice > 0)
{
_msg.SetStopLoss(stopLossPrice);
}
_msg.SetComment("TradingApiTest.CreateStopOrderRequest");
if (!string.IsNullOrEmpty(label))
{
_msg.SetLabel(label);
}
return(CreateMessage((uint)_msg.PayloadType, _msg.Build().ToByteString(), clientMsgId));
}
public ProtoMessage CreateMarketRangeOrderRequest(long accountId, string accessToken, int symbolId, ProtoOATradeSide tradeSide, long volume, double baseSlippagePrice, int slippageInPoints, string label = null, string clientMsgId = null)
{
var _msg = ProtoOANewOrderReq.CreateBuilder();;
_msg.SetCtidTraderAccountId(accountId);
_msg.SetSymbolId(symbolId);
_msg.SetOrderType(ProtoOAOrderType.MARKET_RANGE);
_msg.SetTradeSide(tradeSide);
_msg.SetVolume(volume);
_msg.SetBaseSlippagePrice(baseSlippagePrice);
_msg.SetSlippageInPoints(slippageInPoints);
_msg.SetComment("TradingApiTest.CreateMarketRangeOrderRequest");
if (!string.IsNullOrEmpty(label))
{
_msg.SetLabel(label);
}
return(CreateMessage((uint)_msg.PayloadType, _msg.Build().ToByteString(), clientMsgId));
}
public ProtoOAPosition.Builder CreatePositionBuilder(long positionId, ProtoOAPositionStatus positionStatus, long accountId, ProtoOATradeSide tradeSide, int symbolId, long volume, double entryPrice, long swap,
long commission, long openTimestamp, string channel = null, string comment = null)
{
var _obj = ProtoOAPosition.CreateBuilder();
var _objTradeData = ProtoOATradeData.CreateBuilder();
_obj.SetPositionId(positionId);
_obj.SetPositionStatus(positionStatus);
_objTradeData.SetTradeSide(tradeSide);
_objTradeData.SetSymbolId(symbolId);
_objTradeData.SetVolume(volume);
_obj.SetSwap(swap);
_obj.SetCommission(commission);
_obj.SetTradeData(_objTradeData);
// _obj.SetOpenTimestamp(openTimestamp);
//if (channel != null)
// _obj.SetChannel(channel);
//if (comment != null)
// _obj.SetComment(comment);
return(_obj);
}
//public ProtoOASpotSubscription GetSpotSubscription(byte[] obj = null)
//{
// return ProtoOASpotSubscription.CreateBuilder().MergeFrom(obj).Build();
//}
#endregion
#region Creating new Proto Model objects with parameters specified
public ProtoOAOrder.Builder CreateOrderBuilder(long orderId, long accountId, ProtoOAOrderType orderType, ProtoOATradeSide tradeSide, int symbolId, long requestedVolume, long executedVolume, bool closingOrder,
string channel = null, string comment = null)
{
var _obj = ProtoOAOrder.CreateBuilder();
var _objTradeData = ProtoOATradeData.CreateBuilder();
_objTradeData.SetTradeSide(tradeSide);
_objTradeData.SetSymbolId(symbolId);
_objTradeData.SetVolume(requestedVolume);
_obj.SetOrderId(orderId);
// _obj.SetAccountId(accountId);
_obj.SetOrderType(orderType);
_obj.SetTradeData(_objTradeData);
_obj.SetExecutedVolume(executedVolume);
_obj.SetClosingOrder(closingOrder);
//if (channel != null)
// _obj.SetChannel(channel);
//if (comment != null)
// _obj.SetComment(comment);
return(_obj);
}
