public static bool TryMatchOrder(Order order, Orders orders, Trades trades)
{
List<Order> candidateOrders = order.BuySell == Order.BuyOrSell.Buy
? new List<Order>(orders.FindAll(o => o.Price <= order.Price))
: new List<Order>(orders.FindAll(o => o.Price >= order.Price));
if (candidateOrders.Count == 0)
return false;
foreach (Order candidateOrder in candidateOrders)
{
//once an order has been filled completely our job is done
if (order.Quantity == 0)
break;
ulong quantity = (candidateOrder.Quantity >= order.Quantity
? order.Quantity
: candidateOrder.Quantity);
candidateOrder.Quantity -= quantity;
order.Quantity -= quantity;
if (candidateOrder.Quantity == 0)
orders.Remove(candidateOrder);
trades.AddTrade(new Trade(order.Instrument, quantity, candidateOrder.Price));
}
return true;
}
public Trades CreateTrades()
{
var list = new Trades();
var rnd = new Random();
for (int i = 0; i < 50; i++)
{
var trade = new Trade()
{
Buys = rnd.Next(10000, 50000),
CIF = "A12345-" + i.ToString(CultureInfo.InvariantCulture),
DaysLeft = rnd.Next(1, 15),
Id = "T-987-" + i.ToString(CultureInfo.InvariantCulture),
IsAdvised = Convert.ToBoolean(i % 2),
Sells = rnd.Next(10000, 50000),
Spot = (decimal)0.25,
SpotDate = DateTime.Now.AddDays(rnd.Next(1, 15)),
TradeDate = DateTime.Now
};
list.Add(trade);
}
return list;
}
public override Task<object> ReadFromStreamAsync(Type type, Stream stream, HttpContent content, IFormatterLogger logger)
{
var trades = new Trades();
var symbol = _symbol;
using (var reader = new StreamReader(stream))
{
var line = reader.ReadLine();
var seperator = ",".ToCharArray();
while (null != (line = reader.ReadLine()))
{
if (!line.Contains("502 Bad Gateway"))
{
var parts = line.Split(seperator);
var unixtime = parts[0].Parse();
var price = decimal.Parse(parts[1], CultureInfo.InvariantCulture);
var quantity = decimal.Parse(parts[2], CultureInfo.InvariantCulture);
var datetime = Epoch.AddSeconds(unixtime);
trades.Add(symbol, datetime, price, quantity);
}
else throw new Exception("Bad Gateway");
}
}
var tcs = new TaskCompletionSource<object>();
tcs.SetResult(trades);
return tcs.Task;
}
public OrderProcessor(BuyOrders buyOrders, SellOrders sellOrders, Trades trades,
OrderMatcher tryMatchBuyOrder, OrderMatcher tryMatchSellOrder)
{
m_BuyOrders = buyOrders;
m_SellOrders = sellOrders;
m_Trades = trades;
TryMatchBuyOrder = tryMatchBuyOrder;
TryMatchSellOrder = tryMatchSellOrder;
}
public ChartItems CreateChartData(Trades trades)
{
// build query for past fortnight
var qry = (from t in trades
group t by new { t.DaysLeft }
into g
select new ChartItem()
{
DaysLeft = g.Key.DaysLeft,
SumOfBuys = g.Sum(t => t.Buys),
CountOfTrades = g.Count()
})
.OrderBy(x => x.DaysLeft)
.Take(15);
var data = qry;
return new ChartItems(data);
}
private void AdjustExitLevelsByTradeTime(Action <double, double> adjustExitLevels)
{
Func <double, IEnumerable <double> > rateSinceTrade = def => {
var d = Trades.Max(t => t.Time);
//d = d - ServerTime.Subtract(d);
return(TradingMacroTrender(tm
=> tm.UseRates(rates
=> rates.BackwardsIterator()
.TakeWhile(r => r.StartDate >= d)
.Select(GetPriceMA)))
.Concat()
.Concat()
.DefaultIfEmpty(def));
};
var buyLevel = Trades.HaveBuy() ? rateSinceTrade(BuyLevel.Rate).Min().Min(ExitByBuySellLevel ? BuyLevel.Rate : double.NaN) : BuyLevel.Rate;
var sellLevel = Trades.HaveSell() ? rateSinceTrade(SellLevel.Rate).Max().Max(ExitByBuySellLevel ? SellLevel.Rate : double.NaN) : SellLevel.Rate;
adjustExitLevels(buyLevel, sellLevel);
}
private void UpdateTrades(JArray trades)
{
if (trades == null)
{
return;
}
Log($"Got {trades.Count} trades");
var tradesArray = trades
.Where(jtoken =>
jtoken["txHash"] != null &&
jtoken["amount"] != null && jtoken["amount"].ToObject <decimal>() > 0m
)
.Select(jtoken => Trade.FromJson(jtoken));
Log($"Parsed {tradesArray.Count()} trades");
Trades = Trades.Union(tradesArray);
Log($"total {Trades.Count()} trades");
}
private async void OnCompleted()
{
Budget.Profit = Trades.Sum(t => t.Profit);
foreach (var trade in Trades)
{
Console.WriteLine($"{Trades.IndexOf(trade)}\t{trade.Status}\t{trade.Profit}");
}
Console.WriteLine($"Profit: {Budget.Profit}");
Console.WriteLine($"Available: {Budget.Available}");
Console.WriteLine($"Invested: {Budget.Invested}");
Console.WriteLine($"Earned: {Budget.Earned}");
await _traderGrain.UpdateTrades(Trades);
await _hubNotifier.UpdateTicker(Ticker);
await _hubNotifier.UpdateTrader(await _traderGrain.GetTraderData());
_taskCompletionSource.SetResult(Budget);
}
/// <summary>
/// Close the specified trade.
/// </summary>
/// <returns>The close.</returns>
/// <param name="trade">Trade.</param>
public bool Close(ITrade trade, decimal closePrice)
{
trade.CloseDate = Candle.Timestamp;
trade.ClosePrice = closePrice;
trade.FeesPaid += (FeesPercentage / 100m) * trade.Investment;
trade.ProfitDollars = (trade.Coins * trade.ClosePrice) - trade.Investment;
if (trade.TradeType == TradeType.Short)
{
trade.ProfitDollars = -trade.ProfitDollars;
}
trade.ProfitDollars -= trade.FeesPaid;
trade.ProfitPercentage = (trade.ProfitDollars / trade.Investment) * 100m;
Trades.Add(trade);
AccountBalance += trade.ProfitDollars;
return(true);
}
public async Task StartAsync()
{
_traderGrain = _orleansClient.GetGrain <ITraderGrain>(Market);
await _traderGrain.UpdateTrades(new List <Trade>());
await _traderGrain.SetMarketAsync(Market);
var traderState = await _traderGrain.GetTraderData();
Trades = traderState.Trades ?? new List <Trade>();
Strategy.Settings = TraderSettings.Default;
if (Trades.Count == 0)
{
Trades.Add(new Trade {
Status = TradeStatus.Empty
});
}
}
// Make a trade with the bank
public bool tradeWithBank(int[] resRatios, int[] comRatios, Trades trade)
{
if (!isValidBankTrade(resRatios, comRatios, trade))
{
return(false);
}
// Extract the information from the trade
SyncListInt resOffered = trade.getResourcesOffered();
SyncListInt resWanted = trade.getResourcesWanted();
SyncListInt comOffered = trade.getCommoditiesOffered();
SyncListInt comWanted = trade.getCommoditiesWanted();
Player trader = trade.getPlayerOffering();
int tradeId = trader.getID();
int gold = trade.getGoldOffered();
// Update all relevent fields
for (int i = 0; i < resOffered.Count; i++)
{
trader.changeResource((Enums.ResourceType)i, resOffered[i]);
depositResource((Enums.ResourceType)i, resOffered[i], trader.isServer);
}
for (int i = 0; i < comOffered.Count; i++)
{
trader.changeCommodity((Enums.CommodityType)i, comOffered[i]);
depositCommodity((Enums.CommodityType)i, comOffered[i], trader.isServer);
}
for (int i = 0; i < resWanted.Count; i++)
{
trader.changeResource((Enums.ResourceType)i, resWanted[i]);
withdrawResource((Enums.ResourceType)i, resWanted[i], trader.isServer);
}
for (int i = 0; i < comWanted.Count; i++)
{
trader.changeCommodity((Enums.CommodityType)i, comWanted[i]);
withdrawCommodity((Enums.CommodityType)i, comWanted[i], trader.isServer);
}
trader.changeGoldCount(gold);
trade.CmdDestroy(trade.netId);
return(true);
}
public Task SaveTradeAsync(Trade trade)
{
var items = Trades.Where(x => x.Id == trade.Id).ToList();
if (items.Count > 0)
{
foreach (var item in items)
{
Trades.Remove(item);
}
Trades.Add(trade);
}
else
{
Trades.Add(trade);
}
return(Task.FromResult(true));
}
public decimal GetBalance(DateTime?dateTimeUtc = null)
{
var depositWithdrawTotal = DepositsWithdrawals
.Where(x => dateTimeUtc == null || x.Time <= dateTimeUtc)
.Sum(x => x.Amount);
if (dateTimeUtc == null)
{
return(Trades.Where(x => x.NetProfitLoss != null).Sum(x => x.NetProfitLoss.Value) + depositWithdrawTotal);
}
var openTradesTotal = Trades
.Where(x => x.EntryDateTime != null && x.CloseDateTime == null && x.NetProfitLoss != null)
.Sum(x => x.NetProfitLoss.Value);
var closedTradesTotal = Trades
.Where(x => x.CloseDateTime != null && x.NetProfitLoss != null && x.CloseDateTime.Value <= dateTimeUtc)
.Sum(x => x.NetProfitLoss.Value);
return(depositWithdrawTotal + openTradesTotal + closedTradesTotal);
}
private void SaveSellTradeData(Trades pair, decimal sellPrice)
{
try {
if (pair.Id != null)
{
pair.Id = pair.Id;
pair.SellTradeDateTime = DateTime.Now;
pair.SellPrice = sellPrice;
pair.TradeState = (int)TradeStates.Sell;
dbHelper.SaveTrades(pair);
BindOpenTrades();
string message = "SELL: " + pair.Symbol + " ::> Quantity ::> " + pair.Quantity + " ::> Buy Price: " + pair.BuyPrice + " ::> Sell Price: " + pair.SellPrice + " ::> Expected Sell Price was: " + pair.ExpectedSellPrice;
SafelyWriteToTradeLog(message);
_logger.LogInfoMessage(message);
}
} catch (Exception ex) {
_logger.LogException(ex);
}
}
public void AddInboxTrade(TradingModel message)
{
bool existing = false;
for (int i = 0; i < Trades.Count; i++)
{
if (Trades[i].Id == message.Id)
{
Trades[i].Accept = message.Accept;
existing = true;
}
}
if (!existing)
{
Trades.Add(message);
}
Trades = Trades.OrderByDescending(o => o.Time).ToList();
ShowNotificationIcon("test", null);
ShowMessages();
}
public void WrapTradeInTradingDistance(bool forceMove = false)
{
if (Trades.Any() && (SuppRes.All(sr => !sr.InManual) || forceMove))
{
SuppRes.ForEach(sr => sr.ResetPricePosition());
BuyLevel.InManual = SellLevel.InManual = true;
double offset = CalculateTradingDistance();
if (Trades.HaveBuy())
{
BuyLevel.Rate = Trades.NetOpen();
SellLevel.Rate = BuyLevel.Rate - offset;
}
else
{
SellLevel.Rate = Trades.NetOpen();
BuyLevel.Rate = SellLevel.Rate + offset;
}
SuppRes.ForEach(sr => sr.ResetPricePosition());
}
RaiseShowChart();
}
private Trades GetPairBySmartStrategy(BinanceClient client)
{
Trades pairSmart = new Trades();
decimal maxPercent = 25, minPercent = -25, minVolume = 250; //filter criteria
try {
List <Binance24HPrice> historicPairsList = GetPiarsHistoricData(client).OrderBy(d => d.PriceChangePercent).ToList();
foreach (Binance24HPrice pair in historicPairsList)
{
//check for smart stretegy criterias..
if (pair.PriceChangePercent < maxPercent && pair.PriceChangePercent >= minPercent && pair.QuoteVolume > minVolume)
{
//check if pair isn't already added or max limit exceeded for openTrades..
if (!IsMaxPairExistsInOpenTrades(pair.Symbol))
{
var expectedBuyPrice = GetBuyPrice(pair.WeightedAveragePrice);
if (pair.AskPrice <= expectedBuyPrice) //Bid/Buy price must be <= expected buy price
//check for valid quantity filters for binance..
{
decimal validQuantity = GetFilteredBuyQuantity(client, pair.Symbol, pair.AskPrice);
var openOrders = dbHelper.GetOpenTrades();
var symbolOpenTrade = openOrders.Where(p => p.Symbol == pair.Symbol).Count();
if (validQuantity > 0 && symbolOpenTrade == 0)
{
pairSmart.Symbol = pair.Symbol;
pairSmart.Quantity = validQuantity;
pairSmart.BuyPrice = expectedBuyPrice;
_logger.LogInfoMessage("Symbol: " + pair.Symbol + " ::> 24hr Change: " + pair.PriceChangePercent + " ::> Buy Price: " + expectedBuyPrice + " ::> Qty: " + validQuantity);
}
return(pairSmart);
}
}
}
}
} catch (Exception ex) {
_logger.LogException(ex);
}
return(pairSmart);
}
//call this from player accepting the trade
public void acceptTrade(Trades trade)
{
Player offered = trade.getPlayerOffering();
for (int i = 0; i < trade.getResourcesOffered().Count; i++)
{
offered.changeResource((Enums.ResourceType)i, -trade.getResourcesOffered()[i]);
offered.changeResource((Enums.ResourceType)i, trade.getResourcesWanted()[i]);
this.changeResource((Enums.ResourceType)i, trade.getResourcesOffered()[i]);
this.changeResource((Enums.ResourceType)i, -trade.getResourcesWanted()[i]);
}
for (int i = 0; i < trade.getCommoditiesOffered().Count; i++)
{
offered.changeCommodity((Enums.CommodityType)i, -trade.getCommoditiesOffered()[i]);
offered.changeCommodity((Enums.CommodityType)i, trade.getCommoditiesWanted()[i]);
this.changeCommodity((Enums.CommodityType)i, trade.getCommoditiesOffered()[i]);
this.changeCommodity((Enums.CommodityType)i, -trade.getCommoditiesWanted()[i]);
}
offered.changeGoldCount(trade.getGoldWanted() - trade.getGoldOffered());
this.changeGoldCount(trade.getGoldOffered() - trade.getGoldWanted());
trade.CmdDestroy(trade.netId);//destroy the trade
}
public DateTime GetEndTime()
{
DateTime end = DateTime.MaxValue;
if (SimulationData != null)
{
return(SimulationData[SimulationData.Count - 1].Time);
}
if (CaptureDataHistory != null)
{
end = MinTime(end, CaptureDataHistory.Items.Last().Time);
}
if (CandleStickData != null)
{
end = MinTime(end, CandleStickData.Last().Time);
}
if (Trades != null && Trades.Count > 0)
{
end = MinTime(end, Trades.Last().Time);
}
return(end);
}
/// <summary>
/// Create or Save Trade Record
/// </summary>
/// <param name="trades"></param>
public void SaveTrades(Trades trades)
{
try {
using (var db = new SQLiteDatabase(dbName)) {
var trade = new Trades();
trade.Id = trades.Id;
trade.Symbol = trades.Symbol;
trade.Quantity = trades.Quantity;
trade.BuyPrice = trades.BuyPrice;
trade.BuyQuoteTotalPrice = trades.BuyQuoteTotalPrice;
trade.BuyTradeDateTime = trades.BuyTradeDateTime;
trade.ExpectedSellPrice = trades.ExpectedSellPrice;
trade.SellPrice = trades.SellPrice;
trade.SellQuoteTotalPrice = trades.SellQuoteTotalPrice;
trade.SellTradeDateTime = trades.SellTradeDateTime;
trade.TradeState = trades.TradeState;
db.Save(trade);
}
} catch (Exception ex) {
_logger.LogException(ex);
}
}
public void WrapTradeInCorridorEdge()
{
if (Trades.Any())
{
SuppRes.ForEach(sr => sr.ResetPricePosition());
BuyLevel.InManual = SellLevel.InManual = true;
var sd = TrendLinesByDate.Last().StartDate;
var rates = RatesArray.BackwardsIterator().TakeWhile(r => r.StartDate >= sd);
if (Trades.HaveBuy())
{
SellLevel.Rate = rates.Min(r => r.BidLow);
BuyLevel.Rate = Trades.NetOpen();
}
else
{
BuyLevel.Rate = rates.Max(r => r.AskHigh);
SellLevel.Rate = Trades.NetOpen();
}
SuppRes.ForEach(sr => sr.ResetPricePosition());
}
RaiseShowChart();
}
// TODO: MinMaxMM
private double CalcCorridorStDev(List<Tuple<double, double, double>> doubles, double[] coeffs) {
var cm = Trades.Any() && CorridorCalcMethod != CorridorCalculationMethod.MinMax ? CorridorCalculationMethod.Height : CorridorCalcMethod;
var ds = doubles.Select(r => r.Item3);
switch(cm) {
case CorridorCalculationMethod.PowerMeanPower:
return ds.ToArray().StDevByRegressoin(coeffs).RootMeanPower(ds.StandardDeviation(), 100);
case CorridorCalculationMethod.Height:
return ds.ToArray().StDevByRegressoin(coeffs);
case CorridorCalculationMethod.MinMax:
//var cmaPrices = UseRates(rates => rates.GetRange(doubles.Count)).SelectMany(rates => rates.Cma(r => r.PriceAvg, 1)).ToArray();
var mm = ds.ToArray().MinMaxByRegressoin2(coeffs).Select(d => d.Abs()).Max();
return mm / 2;
case CorridorCalculationMethod.MinMaxMM:
var mm2 = doubles.MinMaxByRegressoin2(t => t.Item2, t => t.Item1, coeffs).Select(d => d.Abs()).Max();
return mm2 / 2;
case CorridorCalculationMethod.RootMeanSquare:
return ds.ToArray().StDevByRegressoin(coeffs).SquareMeanRoot(ds.StandardDeviation());
default:
throw new NotSupportedException(new { CorridorCalcMethod, Error = "Nosupported by CalcCorridorStDev" } + "");
}
}
private void BitMex_TradesReceived(object sender, CollectionReceivedEventArgs <BitMexTrade> e)
{
var i = Instruments.FirstOrDefault(m => m.Id == e.Data[0].InstrumentId);
if (i != null)
{
i.LastError = null;
lock (Trades)
{
foreach (var m in e.Data)
{
Trades.Add(new TradeEntry(e.Action, i, m));
}
const int MAX = 100;
while (Trades.Count > 100)
{
Trades.RemoveAt(Trades.Count - 1 - MAX);
}
}
}
}
private void BtnAdd_Click(object sender, EventArgs e)
{
if (cbValue.Value == 0)
{
MessageBox.Show("Informe o valor");
return;
}
if (string.IsNullOrEmpty(Text))
{
MessageBox.Show("Informe o valor");
return;
}
if (Trades is null)
{
NewTrades();
}
Trades.Add(new Trade
{
Value = (double)cbValue.Value,
ClientSector = cmbClientSector.Text
});
BindGrid();
}
// aktualizacja danych obiektu po odebraniu ich z sieci
internal void Update(DTO.MarketData data)
{
if (data.BuyOffer != null)
{
BuyOffers.Update(data.BuyOffer);
}
if (data.SellOffer != null)
{
SellOffers.Update(data.SellOffer);
}
if (data.Trade != null)
{
Trades.Update(data.Trade);
}
if (data.Stats != null)
{
Session.Update(data.Stats);
}
if (data.OpenInt != null)
{
Trades.UpdateLop(data.OpenInt.Value);
}
}
private void SaveBuyTradeData(string symbol, decimal buyQuantity, decimal buyPrice)
{
try {
var expectedSellPrice = binanceHelper.GetSellPrice(buyPrice);
Trades trade = new Trades();
trade.Id = Guid.NewGuid().ToString();
trade.Symbol = symbol;
trade.BuyPrice = buyPrice;
trade.ExpectedSellPrice = expectedSellPrice;
trade.BuyQuoteTotalPrice = MinTradingLimitPerPair;
trade.BuyTradeDateTime = DateTime.Now;
trade.Quantity = Math.Round(buyQuantity, 8);
trade.TradeState = (int)TradeStates.Buy;
dbHelper.SaveTrades(trade);
BindOpenTrades();
string message = "BUY: " + symbol + " ::> Quantity ::> " + buyQuantity + " ::> Buy Price: " + buyPrice + " ::> Expected Sell Price: " + expectedSellPrice;
SafelyWriteToTradeLog(message);
_logger.LogInfoMessage(message);
} catch (Exception ex) {
_logger.LogException(ex);
}
}
/// <summary>
/// Records an order and the corresponding trade (if closed). </summary>
/// <param name="order"> the order to be recorded </param>
/// <param name="isEntry"> true if the order is an entry, false otherwise (exit) </param>
private void RecordOrder(Order order, bool isEntry)
{
if (order == null)
{
throw new ArgumentException("Order should not be null");
}
// Storing the new order in entries/exits lists
if (isEntry)
{
_entryOrders.Add(order);
}
else
{
_exitOrders.Add(order);
}
// Storing the new order in orders list
_orders.Add(order);
if (OrderType.Buy.Equals(order.OrderType))
{
// Storing the new order in buy orders list
_buyOrders.Add(order);
}
else if (OrderType.Sell.Equals(order.OrderType))
{
// Storing the new order in sell orders list
_sellOrders.Add(order);
}
// Storing the trade if closed
if (CurrentTrade.Closed)
{
Trades.Add(CurrentTrade);
CurrentTrade = new Trade(_startingType);
}
}
internal void Trade(List <Price> prices)
{
// 하루에 한 주씩 매수한다.
Buy(prices);
// 마지막 날의 가격으로 매수한 주식을 모두 매도한다.
Price lastPrice = prices[prices.Count - 1];
foreach (var trade in Trades)
{
trade.SellValue = lastPrice.Value;
trade.SellOn = lastPrice.Date;
trade.Rate = trade.BuyValue.GetRate(trade.SellValue);
}
// 총매수액 등을 구한다.
TotalSum = Trades.Sum(x => x.DailyInvest);
BuySum = Trades.Sum(x => x.BuyValue);
SellSum = Trades.Sum(x => x.SellValue);
BuyAmount = Trades.Sum(x => x.BuyAmount);
//Rate = Trades.Sum(x => 1 - x.BuyAmount);
}
public WebsocketClient(Network network)
{
var networkEnv = BinanceEnvironment.GetEnvironment(network);
_ws = new WebSocket(networkEnv.WssApiAddress);
_ws.SslConfiguration.EnabledSslProtocols = System.Security.Authentication.SslProtocols.Tls12;
_ws.EmitOnPing = true;
_ws.OnMessage += _ws_OnMessage;
_ws.OnError += _ws_OnError;
BlockHeight = new BlockHeight(this);
AllMiniTicker = new AllMiniTicker(this);
IndividualMiniTicker = new IndividualMiniTicker(this);
AllTicker = new AllTicker(this);
IndividualTicker = new IndividualTicker(this);
Klines = new Klines(this);
BookDepth = new BookDepth(this);
DiffDepth = new DiffDepth(this);
Trades = new Trades(this);
Transfer = new Transfer(this);
Account = new Account(this);
Orders = new Orders(this);
}
public void WrapTradeInCorridor(bool forceMove = false, bool useTakeProfit = true)
{
if (Trades.Any() && (SuppRes.All(sr => !sr.InManual) || forceMove))
{
SuppRes.ForEach(sr => sr.ResetPricePosition());
var isActive = IsTradingActive;
IsTradingActive = false;
BuyLevel.InManual = SellLevel.InManual = true;
double offset = HeightForWrapToCorridor(useTakeProfit);
if (Trades.HaveBuy())
{
BuyLevel.Rate = Trades.NetOpen();
SellLevel.Rate = BuyLevel.Rate - offset;
}
else
{
SellLevel.Rate = Trades.NetOpen();
BuyLevel.Rate = SellLevel.Rate + offset;
}
SuppRes.ForEach(sr => sr.ResetPricePosition());
IsTradingActive = isActive;
}
RaiseShowChart();
}
public override Task <object> ReadFromStreamAsync(Type type, Stream stream, HttpContent content, IFormatterLogger logger)
{
var trades = new Trades();
var symbol = _symbol;
using (var reader = new StreamReader(stream))
{
var line = reader.ReadLine();
var seperator = ",".ToCharArray();
while (null != (line = reader.ReadLine()))
{
if (!line.Contains("502 Bad Gateway"))
{
var parts = line.Split(seperator);
var unixtime = parts[0].Parse();
var price = decimal.Parse(parts[1], CultureInfo.InvariantCulture);
var quantity = decimal.Parse(parts[2], CultureInfo.InvariantCulture);
var datetime = Epoch.AddSeconds(unixtime);
trades.Add(symbol, datetime, price, quantity);
}
else
{
throw new Exception("Bad Gateway");
}
}
}
var tcs = new TaskCompletionSource <object>();
tcs.SetResult(trades);
return(tcs.Task);
}
public Trades EvalTrades(TradeSystem tradeSystem, TradeCondition buyCondition, TradeCondition sellCondition, double stopOutValue, bool log = false)
{
object[] logRowData = null;
if (log)
{
int logIndex = -1;
this.LogTables = new DataTable("LogTable");
this.LogTables.Columns.Add("Date");
this.LogTables.Columns.Add("Time");
this.LogTables.Columns.Add("Open");
this.LogTables.Columns.Add("High");
this.LogTables.Columns.Add("Low");
this.LogTables.Columns.Add("Close");
this.LogTables.Columns.Add("Volume");
this.LogTables.Columns.Add("StopOut");
this.LogTables.Columns.Add("Buy Signal");
this.LogTables.Columns.Add("Sell Signal");
TradeRule tr;
for (int i = 0; i < buyCondition.TradeRules.Count; i++)
{
tr = buyCondition.TradeRules[i];
logIndex++;
this.LogTables.Columns.Add(string.Format("{0} {1} {2} -BR{3}", tr.IndicatorName1, tr.CompareType.ToString(), tr.IndicatorName2, logIndex));
this.LogTables.Columns.Add(string.Format("Result -BR{0}", logIndex));
this.LogTables.Columns.Add(string.Format("JoinType -BR{0}", logIndex));
}
logIndex = 0;
for (int i = 0; i < sellCondition.TradeRules.Count; i++)
{
tr = sellCondition.TradeRules[i];
logIndex++;
this.LogTables.Columns.Add(string.Format("{0} {1} {2} -SR{3}", tr.IndicatorName1, tr.CompareType.ToString(), tr.IndicatorName2, logIndex));
this.LogTables.Columns.Add(string.Format("Result -SR{0}", logIndex));
this.LogTables.Columns.Add(string.Format("JoinType -SR{0}", logIndex));
}
logRowData = GetEmptyArray(this.LogTables.Columns.Count);
}
bool stopout = stopOutValue != double.MaxValue;
DateTime startDate = tradeSystem.StartDate;
DateTime endDate = tradeSystem.EndDate;
TradeType? tradeType = null;
if(tradeSystem.Longs && ! tradeSystem.Shorts)
{
tradeType = TradeType.longTrade;
}
else if (!tradeSystem.Longs && tradeSystem.Shorts)
{
tradeType = TradeType.shortTrade;
}
this.Winners = 0;
this.Losers = 0;
this.StopOuts = 0;
this.Trades = new Trades();
this.Capital = tradeSystem.FinancialSettings.InitialCapital;
bool[] buys = GetValues(buyCondition);
bool[] sells = GetValues(sellCondition);
List<int> endOfDaysIndexes = this.IndicatorLibraryAdapter.EndOfDayIndex;
bool buySignal;
bool sellSignal;
bool longEntered = false;
bool shortEntered = false;
double maxDrawDown = tradeSystem.FinancialSettings.MaxDrawdown;
double dollarsPerPoint = tradeSystem.FinancialSettings.DollarsPerPoint;
double roundTripCommision = tradeSystem.FinancialSettings.RoundTripCommission;
double currentCapital = tradeSystem.FinancialSettings.InitialCapital;
double equityPerContract = tradeSystem.FinancialSettings.EquityPerContract;
int maxContracts = tradeSystem.FinancialSettings.MaxContracts;
int counter = 0;
Trade trade = null;
StockPoint stockPoint = null;
DateTime currentDateTime;
#region Enter/Exit and Log Trade Func
int stopOutCounter = 0;
Action EnterLog = () =>
{
StockPoint point = StockPoints[counter];
logRowData[0] = point.Date;
logRowData[1] = point.Time;
logRowData[2] = point.Open.ToString("0.00");
logRowData[3] = point.High.ToString("0.00");
logRowData[4] = point.Low.ToString("0.00");
logRowData[5] = point.Close.ToString("0.00");
logRowData[6] = point.Volume.ToString();
if (stopOutCounter != this.StopOuts)
{
stopOutCounter = this.StopOuts;
this.LogTables.Rows[this.LogTables.Rows.Count - 1][7] = "1";
}
logRowData[7] = "0";
if (endOfDaysIndexes.Contains(counter))
{
logRowData[8] = "end of day";
logRowData[9] = "end of day";
}
else
{
logRowData[8] = buys[counter] ? "1" : "0";
logRowData[9] = sells[counter] ? "1" : "0";
}
int logIndex = 9;
TradeRule tr;
double[] evalData;
for (int i = 0; i < buyCondition.TradeRules.Count; i++)
{
tr = buyCondition.TradeRules[i];
evalData = this.Data[tr.Name];
logRowData[++logIndex] = string.Format("{0} {1} {2}",
this.IndicatorLibraryAdapter.Data[tr.IndicatorName1][counter].ToString(),
tr.CompareType.ToString(),
tr.IndicatorName2.Contains("#")
? tr.IndicatorName2.Replace("#", "")
: Convert.ToString(this.IndicatorLibraryAdapter.Data[tr.IndicatorName2][counter]));
logRowData[++logIndex] = evalData[counter].ToString("0");
logRowData[++logIndex] = buyCondition.RuleJoinTypes[i].ToString();
}
for (int i = 0; i < sellCondition.TradeRules.Count; i++)
{
tr = sellCondition.TradeRules[i];
evalData = this.Data[tr.Name];
logRowData[++logIndex] = string.Format("{0} {1} {2}",
this.IndicatorLibraryAdapter.Data[tr.IndicatorName1][counter],
tr.CompareType.ToString(),
tr.IndicatorName2.Contains("#")
? tr.IndicatorName2.Replace("#", "")
: Convert.ToString(this.IndicatorLibraryAdapter.Data[tr.IndicatorName2][counter]));
logRowData[++logIndex] = evalData[counter].ToString("0");
logRowData[++logIndex] = sellCondition.RuleJoinTypes[i].ToString();
}
this.LogTables.Rows.Add(logRowData);
logRowData = GetEmptyArray(this.LogTables.Columns.Count);
};
// returns if entry point is the last point
Action<TradeType> EnterTrade = (entryTradeType) =>
{
longEntered = entryTradeType == TradeType.longTrade;
shortEntered = entryTradeType == TradeType.shortTrade;
trade = new Trade(maxDrawDown, dollarsPerPoint, roundTripCommision, currentCapital);
trade.Enter(this.StockPoints[counter + 1], entryTradeType, Math.Min((int)(currentCapital / equityPerContract), maxContracts));
};
// returns if the needs to exit
Func<bool, int, int, bool> ExitTrade = (isStopped, indexIncreamentvalue, decrement) =>
{
trade.Exit(this.StockPoints[counter + indexIncreamentvalue], decrement, isStopped);
currentCapital = Math.Round(Math.Max(currentCapital + trade.Profit, 0D), 2);
if (trade.Profit > 0)
{
this.Winners++;
}
else if (trade.Profit < 0)
{
this.Losers++;
}
if(isStopped)
{
this.StopOuts++;
}
Trades.Add(trade);
longEntered = false;
shortEntered = false;
return currentCapital < equityPerContract;
};
#endregion Enter/Exit Trade Func
for (counter = 0; counter < this.StockPoints.Count(); counter++)
{
if (this.Cancelled)
{
this.Cancelled = false;
return Trades;
}
buySignal = buys[counter];
sellSignal = sells[counter];
stockPoint = StockPoints[counter];
currentDateTime = stockPoint.PointDateTime;
if (currentDateTime >= endDate)
{
if (longEntered || shortEntered)
{
ExitTrade(false, 0, 0);
}
break;
}
if (currentDateTime < startDate)
{
continue;
}
if (log) EnterLog();
if (currentDateTime.AddMinutes(30).Hour >= 9)
{
if (longEntered || shortEntered)
{
// exit end of day, if long/short entered or beyond specified date
if (endOfDaysIndexes.Contains(counter))
{
if (ExitTrade(false, 0, 0)) break;
}
// exit trade logic
else if ((longEntered && sellSignal) || (shortEntered && buySignal))
{
if (ExitTrade(false, 1, 5)) break;
}
//stopout
else if (stopout && ((trade.TradeType == TradeType.longTrade && trade.EntryPrice - stockPoint.Low >= stopOutValue) ||
(trade.TradeType == TradeType.shortTrade && stockPoint.High - trade.EntryPrice >= stopOutValue)))
{
if (ExitTrade(true, 1, 5)) break;
}
continue;
}
// enter trade logic
if (!(longEntered || shortEntered || endOfDaysIndexes.Contains(counter)))
{
if (buySignal && (tradeType == null || tradeType.Value == TradeType.longTrade))
{
EnterTrade(TradeType.longTrade);
}
else if (sellSignal && (tradeType == null || tradeType.Value == TradeType.shortTrade))
{
EnterTrade(TradeType.shortTrade);
}
}
}
}
return Trades;
}
public OrderProcessor(BuyOrders buyOrders, SellOrders sellOrders, Trades trades)
: this(buyOrders, sellOrders, trades,
TryMatchOrder,
TryMatchOrder)
{
}
public static List <Position> CheckAndCloseFollowPositions(int posIdToFollowClose)
{
List <Position> result = new List <Position>();
var db = YJYEntities.Create();
var basePosition = db.Positions.FirstOrDefault(o => o.Id == posIdToFollowClose);
if (basePosition != null)
{
if (basePosition.ClosedAt != null && basePosition.ClosePrice != null)
{
var positions = db.Positions.Where(o => o.FollowPosId == basePosition.Id && o.ClosedAt == null).ToList();
foreach (var position in positions)
{
try
{
using (
var scope = new TransactionScope(TransactionScopeOption.RequiresNew,
new TransactionOptions {
IsolationLevel = IsolationLevel.Serializable
}))
{
using (var dbIsolated = YJYEntities.Create())
{
var p = dbIsolated.Positions.FirstOrDefault(o => o.Id == position.Id);
var u = dbIsolated.Users.FirstOrDefault(o => o.Id == position.UserId);
if (u == null || p == null)
{
throw new ObjectNotFoundException();
}
//position's balance, not user's current active balance
var b = dbIsolated.Balances.FirstOrDefault(o => o.Id == p.BalanceId && o.UserId == u.Id);
if (p.ClosedAt == null)
{
var pl = Trades.CalculatePL(p, basePosition.ClosePrice.Value);
p.ClosedAt = DateTime.UtcNow;
p.ClosePrice = basePosition.ClosePrice.Value;
p.PL = pl;
p.CloseType = PositionCloseType.Follow.ToString();
var pValue = p.Invest + pl;
if (pValue > 0)
{
b.Amount = b.Amount + pValue;
}
//add a new transfer
dbIsolated.Transfers.Add(new Transfer()
{
Amount = pValue,
BalanceAfter = b.Amount,
Time = DateTime.UtcNow,
Type = TransferType.Close.ToString(),
UserId = u.Id,
PositionId = p.Id,
BalanceId = b.Id,
});
dbIsolated.SaveChanges();
result.Add(p);
}
}
scope.Complete();
}
}
catch (Exception e)
{
YJYGlobal.LogWarning("follow close error:");
YJYGlobal.LogExceptionAsWarning(e);
}
}
}
else
{
YJYGlobal.LogWarning("FOLLOW CLOSE fail: base position is not closed");
}
}
return(result);
}
public static Position AutoClosePosition(PosToClose posToClose)
{
Position position = null;
using (
var scope = new TransactionScope(TransactionScopeOption.RequiresNew,
new TransactionOptions {
IsolationLevel = IsolationLevel.Serializable
}))
{
using (var dbIsolated = YJYEntities.Create())
{
position = dbIsolated.Positions.FirstOrDefault(o => o.Id == posToClose.Id);
var user = dbIsolated.Users.FirstOrDefault(o => o.Id == position.UserId);
if (user == null || position == null)
{
throw new ObjectNotFoundException();
}
//position's balance, not user's current active balance
var balance = dbIsolated.Balances.FirstOrDefault(o => o.Id == position.BalanceId && o.UserId == user.Id);
if (position.ClosedAt == null)
{
var pl = Trades.CalculatePL(position, posToClose.closePx);
position.ClosedAt = DateTime.UtcNow;
position.PL = pl;
position.CloseType = posToClose.closeType.ToString();
position.ClosePrice = posToClose.closePx;
position.ClosePriceTime = posToClose.closePxTime;
var pValue = position.Invest + pl;
if (pValue > 0)
{
balance.Amount = balance.Amount + pValue;
}
//add a new transfer
dbIsolated.Transfers.Add(new Transfer()
{
Amount = pValue,
BalanceAfter = balance.Amount,
Time = DateTime.UtcNow,
Type = TransferType.Close.ToString(),
UserId = user.Id,
PositionId = position.Id,
BalanceId = balance.Id,
});
dbIsolated.SaveChanges();
}
}
scope.Complete();
}
return(position);
}
public MainWindowViewModel(
Func <string> getTradeCommentsFunc,
Action <string> showMessageAction,
Action <Cursor> setCursorAction,
Func <IDisposable> suspendChartUpdatesAction,
Action updateWindowAction)
{
DependencyContainer.ComposeParts(this);
_directory = _dataDirectoryService.MainDirectoryWithApplicationName;
if (!Directory.Exists(_directory))
{
Directory.CreateDirectory(_directory);
}
_candlesService = new CandlesService();
/* // Create candles
* Task.Run(() =>
* {
* Log.Info("Creating candles");
* _candlesService.ConvertCandles(_brokerCandlesService, _fxcm, _marketsService.GetAllMarketDetails().Select(m => m.Name).ToList());
* Log.Info("Candles created");
* });
* return;*/
TimeFrameItems = new List <Timeframe> {
Timeframe.D1, Timeframe.H4, Timeframe.H2, Timeframe.H1, Timeframe.M1
};
LargeChartTimeframeOptions.Clear();
LargeChartTimeframeOptions.Add(Timeframe.H4);
LargeChartTimeframeOptions.Add(Timeframe.H2);
// Setup available indicators
AddAvailableIndicator(new ExponentialMovingAverage(8), Colors.DarkBlue, false, true);
AddAvailableIndicator(new ExponentialMovingAverage(20), Colors.Blue, false, false);
AddAvailableIndicator(new ExponentialMovingAverage(25), Colors.Blue, false, true);
AddAvailableIndicator(new ExponentialMovingAverage(50), Colors.LightBlue, false, true);
AddAvailableIndicator(new SimpleMovingAverage(50), Colors.Green, false, false);
AddAvailableIndicator(new SimpleMovingAverage(200), Colors.LightGreen, false, false);
AddAvailableIndicator(new AverageTrueRange(), Colors.Red, true, false);
AddAvailableIndicator(new CommodityChannelIndex(), Colors.Red, true, false);
AddAvailableIndicator(new T3CommodityChannelIndex(), Colors.Red, true, false);
NewChartCommand = new DelegateCommand(o => NewChartMarket(), o => !Running);
NextCandleCommand = new DelegateCommand(o => ProgressTime());
ClearTradesCommand = new DelegateCommand(o => ClearTrades());
CloseTradeCommand = new DelegateCommand(o => CloseTrade());
DeleteTradeCommand = new DelegateCommand(o => DeleteTrade());
StartLongTradeCommand = new DelegateCommand(o => StartTrade(TradeDirection.Long));
StartShortTradeCommand = new DelegateCommand(o => StartTrade(TradeDirection.Short));
_getTradeCommentsFunc = getTradeCommentsFunc;
_showMessageAction = showMessageAction;
_setCursorAction = setCursorAction;
_suspendChartUpdatesAction = suspendChartUpdatesAction;
_updateWindowAction = updateWindowAction;
DependencyContainer.ComposeParts(this);
_dispatcher = Dispatcher.CurrentDispatcher;
_chartModeDisposable = ChartingService.ChartModeObservable.Subscribe(ChartModeChanged);
TradeListDisplayOptions = TradeListDisplayOptionsFlag.ClosePrice
| TradeListDisplayOptionsFlag.Comments
| TradeListDisplayOptionsFlag.OrderPrice
| TradeListDisplayOptionsFlag.Limit
| TradeListDisplayOptionsFlag.OrderDate
| TradeListDisplayOptionsFlag.ResultR
| TradeListDisplayOptionsFlag.Status
| TradeListDisplayOptionsFlag.Stop
| TradeListDisplayOptionsFlag.Strategies;
_markets = new List <string>();
foreach (var m in _marketsService.GetAllMarketDetails().Select(m => m.Name))
{
if (File.Exists(_candlesService.GetCandlesPath(m, Timeframe.M5)) &&
File.Exists(_candlesService.GetCandlesPath(m, Timeframe.H2)) &&
File.Exists(_candlesService.GetCandlesPath(m, Timeframe.H4)) &&
File.Exists(_candlesService.GetCandlesPath(m, Timeframe.D1)))
{
_markets.Add(m);
}
}
IsTradeEnabled = false;
var path = Path.Combine(Environment.GetFolderPath(Environment.SpecialFolder.LocalApplicationData), "TraderSimulator");
if (!Directory.Exists(path))
{
Directory.CreateDirectory(path);
}
_orderExpiryCandlesIndex = 0;
ResultsViewModel = new TradesResultsViewModel(() => Trades.ToList())
{
ShowOptions = true, ShowSubOptions = false, AdvStrategyNaming = true
};
ResultsViewModel.ResultOptions.Remove("Timeframe");
ResultsViewModel.ShowOptions = false;
ResultsViewModel.ShowIncludeOpenClosedTradesOptions = false;
LoadTrades();
RemoveIncompleteTrades();
NewChartMarket();
_chartClickedDisposable = ChartingService.ChartClickObservable.Subscribe(ChartClicked);
}
public DedicatedThreadsOrderProcessor(BuyOrders buyOrders, SellOrders sellOrders, Trades trades)
: base(buyOrders, sellOrders, trades)
{
m_Thread = new Thread(ProcessOrders);
m_Thread.Start();
}
public OrderProcessor(BuyOrders buyOrders, SellOrders sellOrders, Trades trades)
: this(buyOrders, sellOrders, trades,
TryMatchOrder,
TryMatchOrder)
{
}
public ThreadPooledOrderProcessor(BuyOrders buyOrders, SellOrders sellOrders, Trades trades)
: base(buyOrders, sellOrders, trades)
{
}
public SynchronousOrderProcessor(BuyOrders buyOrders, SellOrders sellOrders, Trades trades)
: base(buyOrders, sellOrders, trades)
{
}