public void Should_UpdatePriceLevel_When_Price_Crosses_PriceLevel()
{
var mockHttpClient = new Mock <IHttpPriceLevelRepository>();
var mockLogger = new Mock <ILogger <PriceTradeExecutor> >();
var mockCache = new Mock <ICacheManager>();
var mockTradeProfile = new Mock <ITradeProfileFactory>();
var p = new TradeParameters()
{
BuySell = ""
};
var trans = new TradeTransaction(p)
{
Closed = false
};
//mockTradeProfile.Setup(a=>a.GetTradeGenerationService(It.IsAny<string>()).Generate(It.IsAny<PriceDto>(),It.IsAny<string>())).Returns(trans);
var priceLevels = new List <PriceLevelDto>()
{
new PriceLevelDto()
{
BuySell = "BUY",
AskPrice = 1.3000m
},
new PriceLevelDto()
{
BuySell = "SELL",
BidPrice = 1.2000m
}
};
var lastPrice = new PriceDto()
{
Ask = 1.3001m, Bid = 1.1999m
};
mockCache.Setup(x => x.GetAsync <List <PriceLevelDto> >("price-levels")).ReturnsAsync(priceLevels);
mockCache.Setup(x => x.GetAsync <PriceDto>("price"))
.ReturnsAsync(lastPrice);
var mockPublisher = new Mock <IPriceTradePublisher>();
var subject = new PriceTradeExecutor(mockLogger.Object, mockCache.Object, mockPublisher.Object);
var price = new PriceDto()
{
Ask = 1.2999m, Bid = 1.2001m
};
subject.Execute(price, 0.0000m);
mockHttpClient.Verify(a => a.UpdatePriceLevel(It.IsAny <PriceLevelDto>()), Times.Exactly(2));
}
public override void CloseMarketOrder(MarketOrder order, CloseReason closeReason)
{
if (_orders.Contains(order))
{
_orders.Remove(order);
}
var exitPrice = order.TradeType == TradeType.Buy ? order.Symbol.GetPrice(TradeType.Sell) :
order.Symbol.GetPrice(TradeType.Buy);
var barsPeriod = order.Symbol.Bars.Time.Where(iBarTime => iBarTime >= order.OpenTime).Count();
var tradingEvent = new TradingEvent(Server.CurrentTime, TradingEventType.MarketOrderClosed, order, string.Empty);
_journal.Add(tradingEvent);
Account.ChangeMargin(-order.MarginUsed, Server.CurrentTime, string.Empty, AccountChangeType.Trading);
Account.ChangeBalance(order.NetProfit, Server.CurrentTime, string.Empty, AccountChangeType.Trading);
var tradeData = Trades.Select(iTrade => iTrade.Order.NetProfit);
var sharpeRatio = SharpeRatioCalculator.GetSharpeRatio(tradeData);
var sortinoRatio = SortinoRatioCalculator.GetSortinoRatio(tradeData);
var equityMaxDrawDown = MaxDrawdownCalculator.GetMaxDrawdown(Account.EquityChanges);
var balanceMaxDrawDown = MaxDrawdownCalculator.GetMaxDrawdown(Account.BalanceChanges);
var id = _trades.Count + 1;
var tradeParameters = new TradeParameters
{
Id = id,
Order = order,
ExitTime = Server.CurrentTime,
ExitPrice = exitPrice,
Balance = Account.CurrentBalance,
Equity = Account.Equity,
BalanceMaxDrawDown = balanceMaxDrawDown,
EquityMaxDrawDown = equityMaxDrawDown,
BarsPeriod = barsPeriod,
CloseReason = closeReason,
SharpeRatio = sharpeRatio,
SortinoRatio = sortinoRatio
};
var trade = new Trade(tradeParameters);
_trades.Add(trade);
}
private static TradeTransaction GetSellTrade()
{
var tradeParams = new TradeParameters()
{
BuySell = "SELL",
RiskReward = 3,
EntryPrice = 1.30m,
SpreadAsPips = 5,
Market = "GBP/USD",
TradeCounter = 3
};
return(new TradeTransaction(tradeParams));
}
public TradeTransaction Generate(PriceDto price, string buySell)
{
var tradeParams = new TradeParameters()
{
RiskRewardProfile = nameof(TradeProfileRiskThreeTimesEqual),
SpreadAsPips = 10,
RiskReward = 3,
TradeCounter = 3,
EntryPrice = 1.3m,
BuySell = buySell,
Market = price.Market
};
return(new TradeTransaction(tradeParams));
}
public async Task Trade(TradeParameters parameters)
{
var currency = parameters.Currency.ToUpperInvariant();
var rates = await _client.GetExchangeRates(new List <string> {
currency
});
var rate = rates[currency];
var currencySettings = ConsoleSettings.Instance.TradeParameters.First(p => p.Currency.Equals(currency, StringComparison.InvariantCultureIgnoreCase));
if (!_tradeInfos.ContainsKey(currency))
{
_tradeInfos.Add(currency, new Trade
{
PreviousTradePrice = currencySettings.LastTradePrice ?? rate,
Side = currencySettings.LastSide ?? Side.Sell
});
WriteOut(currency, rate, 0, 0, 0, "INITIALISE", ConsoleColor.Gray);
return;
}
var trade = _tradeInfos[currency];
var delta = trade.PreviousTradePrice - rate;
if (!string.IsNullOrWhiteSpace(trade.LastTradeId))
{
var status = await _client.GetOrderStatus(trade.LastTradeId);
if (status != null && !string.IsNullOrWhiteSpace(status.Status))
{
if (new[] { "pending", "active", "open" }.Contains(status.Status.ToLowerInvariant()))
{
WriteOut(currency, rate, delta, trade.Buys, trade.Sells, "ACTIVE TRADE", ConsoleColor.DarkCyan);
return;
}
if (new[] { "done", "settled" }.Contains(status.Status.ToLowerInvariant()))
{
WriteOut(currency, rate, delta, trade.Buys, trade.Sells, "TRADE COMPLETE", ConsoleColor.Blue);
trade.PreviousTradePrice = rate;
trade.LastTradeId = null;
currencySettings.LastTradePrice = rate;
currencySettings.LastSide = trade.Side;
ConsoleSettings.Instance.Save();
return;
}
}
WriteOut(currency, rate, delta, trade.Buys, trade.Sells, "TRADE CANCELLED", ConsoleColor.Blue);
trade.PreviousTradePrice = rate;
trade.LastTradeId = null;
trade.Side = trade.Side == Side.Buy ? Side.Sell : Side.Buy;
if (trade.Side == Side.Buy)
{
trade.Buys--;
}
else
{
trade.Sells--;
}
return;
}
WriteOut(currency, rate, delta, trade.Buys, trade.Sells, "POLL", ConsoleColor.Gray, true);
if (trade.Side == Side.Buy)
{
if (trade.PreviousTradePrice - rate > parameters.BuyDropThreshold)
{
trade.LastTradeId = await _client.Trade(currency, rate, parameters.BuyAmount, true);
trade.PreviousTradePrice = rate;
trade.Buys++;
trade.Side = Side.Sell;
WriteOut(currency, rate, 0, trade.Buys, trade.Sells, "BUY", ConsoleColor.Red);
}
return;
}
if (rate - trade.PreviousTradePrice > parameters.SellRiseThreshold)
{
trade.LastTradeId = await _client.Trade(currency, rate, parameters.SellAmount, false);
trade.PreviousTradePrice = rate;
trade.Sells++;
trade.Side = Side.Buy;
WriteOut(currency, rate, 0, trade.Buys, trade.Sells, "SELL", ConsoleColor.Green);
}
}