public Position DoClosePosition(int userId, int posId, int secId, decimal closePrice)
{
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 == posId && o.UserId == userId && o.SecurityId == secId);
var user = dbIsolated.Users.FirstOrDefault(o => o.Id == 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, closePrice);
position.ClosedAt = DateTime.UtcNow;
position.ClosePrice = closePrice;
position.PL = pl;
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 PositionDTO SetStopTake(StopTakeFormDTO form)
{
var position = db.Positions.FirstOrDefault(o => o.Id == form.posId && o.UserId == UserId);
if (position == null)
{
throw new HttpResponseException(Request.CreateErrorResponse(HttpStatusCode.BadRequest,
"no such position"));
}
if (position.ClosedAt != null)
{
throw new HttpResponseException(Request.CreateErrorResponse(HttpStatusCode.BadRequest,
"position closed"));
}
if (position.FollowPosId != null || position.FollowUserId != null)
{
throw new HttpResponseException(Request.CreateErrorResponse(HttpStatusCode.BadRequest,
"cannot set stop/take for followed position"));
}
//var quote = WebCache.Instance.Quotes.FirstOrDefault(o => o.Id == position.SecurityId);
//var lastPrice = Quotes.GetLastPrice(quote);
if (form.stopPx != null)
{
if (Trades.CalculatePL(position, form.stopPx.Value, false) + position.Invest <= 0)
{
throw new HttpResponseException(Request.CreateErrorResponse(HttpStatusCode.BadRequest,
"stop cannot be <= 0%"));
}
//if(position.Side.Value && form.stopPx>=lastPrice || !position.Side.Value && form.stopPx<=lastPrice)
// throw new HttpResponseException(Request.CreateErrorResponse(HttpStatusCode.BadRequest,
// "invalid stopPx against current price"));
}
if (position.StopPx != form.stopPx)
{
position.StopPx = form.stopPx;
position.StopSetAt = DateTime.UtcNow;
}
if (position.TakePx != form.takePx)
{
position.TakePx = form.takePx;
position.TakeSetAt = DateTime.UtcNow;
}
db.SaveChanges();
return(Mapper.Map <PositionDTO>(position));
}
public List <PositionDTO> GetOpenPositions(int pageNum = 1, int pageSize = YJYGlobal.DEFAULT_PAGE_SIZE)
{
var me = GetUser();
var positions = db.Positions.Where(o => o.UserId == UserId && o.ClosedAt == null && o.BalanceId == me.ActiveBalanceId)
.OrderByDescending(o => o.CreateTime)
.Skip((pageNum - 1) * pageSize).Take(pageSize)
.ToList();
var followUserIds = positions.Where(o => o.FollowUserId.HasValue).Select(o => o.FollowUserId).ToList();
var users = db.Users.Where(o => followUserIds.Contains(o.Id)).ToList();
var cache = WebCache.Instance;
var positionDtos = positions.Select(delegate(Position p)
{
var prodDef = cache.ProdDefs.FirstOrDefault(o => o.Id == Convert.ToInt32(p.SecurityId));
var quote = cache.Quotes.FirstOrDefault(o => o.Id == Convert.ToInt32(p.SecurityId));
var security = Mapper.Map <SecurityDetailDTO>(prodDef);
if (quote != null)
{
security.last = Quotes.GetLastPrice(quote);
//security.ask = quote.Ask;
//security.bid = quote.Bid;
}
var posDTO = Mapper.Map <PositionDTO>(p);
//security
posDTO.security = security;
//calculate UPL
posDTO.upl = Trades.CalculatePL(p, quote);
if (p.FollowUserId.HasValue)
{
var user = users.FirstOrDefault(o => o.Id == p.FollowUserId.Value);
posDTO.followUser = new UserBaseDTO()
{
id = user.Id,
nickname = user.Nickname,
picUrl = user.PicUrl,
};
}
return(posDTO);
}).Where(o => o != null).ToList();
return(positionDtos);
}
public List <PositionBaseDTO> GetUserOpenPositions(int userId)
{
var tryGetAuthUser = TryGetAuthUser();
int balanceTypeId = 1;
if (tryGetAuthUser != null)
{
balanceTypeId = db.Balances.FirstOrDefault(o => o.Id == tryGetAuthUser.ActiveBalanceId).TypeId;
}
var positions =
db.Positions.Where(p => p.UserId == userId && p.ClosedAt == null && p.BalanceTypeId == balanceTypeId)
.OrderByDescending(p => p.CreateTime)
.Take(YJYGlobal.DEFAULT_PAGE_SIZE)
.ToList();
var prods = WebCache.Instance.ProdDefs;
var quotes = WebCache.Instance.Quotes;
var result = new List <PositionBaseDTO>();
positions.ForEach(p =>
{
var dto = new PositionBaseDTO();
dto.id = p.Id;
var prodDef = prods.FirstOrDefault(pd => pd.Id == p.SecurityId);
var quote = quotes.FirstOrDefault(o => o.Id == p.SecurityId);
if (prodDef != null)
{
//dto.invest = p.Invest;
dto.upl = Trades.CalculatePL(p, quote);
dto.roi = dto.upl / p.Invest;
dto.createAt = p.CreateTime;
dto.isLong = p.Side;
dto.security = new SecurityBaseDTO()
{
id = p.SecurityId.Value,
name = Translator.GetProductNameByThreadCulture(prodDef.Name),
symbol = prodDef.Symbol,
};
}
result.Add(dto);
});
return(result);
}
public BalanceDTO GetBalance()
{
var user = GetUser();
var balance = db.Balances.FirstOrDefault(o => o.Id == user.ActiveBalanceId);
var openPositions = db.Positions.Where(o => o.UserId == UserId && o.ClosedAt == null && o.BalanceId == balance.Id).ToList();
var quotes = WebCache.Instance.Quotes;
var sumOfPositionValue =
openPositions.Sum(
p => Trades.CalculatePL(p, quotes.FirstOrDefault(q => q.Id == p.SecurityId)) + p.Invest.Value);
return(new BalanceDTO()
{
balance = balance.Amount.Value,
total = balance.Amount.Value + sumOfPositionValue,
balanceType = balance.TypeId == 1 ? "Demo" : "Live"
});
}
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 void Run()
{
YJYGlobal.LogLine("Starting...");
//var mapper = MapperConfig.GetAutoMapperConfiguration().CreateMapper();
_queueClient = new QueueClient(ServiceBusConnectionString, QueueName);
while (true)
{
try
{
using (var redisClient = YJYGlobal.PooledRedisClientsManager.GetClient())
{
var redisProdDefClient = redisClient.As <ProdDef>();
var redisQuoteClient = redisClient.As <Quote>();
//var redisTickClient = redisClient.As<Tick>();
using (var db = YJYEntities.Create())
{
var openPositions = db.Positions.Where(o => o.ClosedAt == null).ToList();
var prodDefs = redisProdDefClient.GetAll();
var quotes = redisQuoteClient.GetAll();
var openPositionsNotSent = openPositions.Where(o => !_sentPosIds.ContainsKey(o.Id)).ToList();
if (new Random().NextDouble() > 0.9)
{
YJYGlobal.LogLine(openPositionsNotSent.Count + "/" + openPositions.Count + " (notSent/all) open positions.");
}
var messages = new List <Message>();
var posIds = new List <int>();
var groups = openPositionsNotSent.GroupBy(o => o.SecurityId).ToList();
foreach (var group in groups) //foreach security
{
var secId = group.Key;
//YJYGlobal.LogLine("sec: " + secId + " alert_count: " + group.Count());
var prodDef = prodDefs.FirstOrDefault(o => o.Id == secId);
var quote = quotes.FirstOrDefault(o => o.Id == secId);
if (prodDef == null || quote == null)
{
YJYGlobal.LogLine("cannot find prodDef/quote " + secId);
continue;
}
if (prodDef.QuoteType == enmQuoteType.Closed ||
prodDef.QuoteType == enmQuoteType.Inactive)
{
//YJYGlobal.LogLine("prod " + prodDef.Id + " quoteType is " + prodDef.QuoteType);
continue;
}
//if (DateTime.UtcNow - quote.Time > _tolerance)
//{
// YJYGlobal.LogLine("quote " + quote.Id + " too old " + quote.Time);
// continue;
//}
////get historical highest and lowest price
//decimal highestBid;
//decimal lowestAsk;
//var ticks = redisTickClient.Lists[Ticks.GetTickListNamePrefix(TickSize.Raw) + prodDef.Id].GetAll();
//var dtUtcNow = DateTime.UtcNow;
//if (!_lastFetchTill.ContainsKey(prodDef.Id))
//{s
// var historyTicks = ticks.Select(o => o.Time > dtUtcNow - _tolerance).ToList();
//}
var last = Quotes.GetLastPrice(quote);
foreach (var p in group) //foreach alert belong to a security
{
//position goes to 0%
var upl = Trades.CalculatePL(p, last, false);
var inv = p.Invest.Value.ToString("0");
var lev = p.Leverage.Value.ToString("0");
var setPx = p.SettlePrice.Value.ToString("F" + prodDef.Prec);
if (upl + p.Invest <= 0)
{
YJYGlobal.LogLine(
$"position {p.Id} ({(p.Side.Value ? "↗" : "↘")} {inv}x{lev} at {setPx}) CLOSED at {last} PL {upl.ToString("0.00")}");
posIds.Add(p.Id);
messages.Add(new Message(Serialization.ObjectToByteArray(
new PosToClose()
{
Id = p.Id,
closeType = PositionCloseType.Liquidate,
closePx = last,
closePxTime = quote.Time,
})));
continue;
}
//stop
if (p.StopPx != null)
{
if (p.Side.Value && last <= p.StopPx || !p.Side.Value && last >= p.StopPx)
{
YJYGlobal.LogLine(
$"position {p.Id} ({(p.Side.Value ? "↗" : "↘")} {inv}x{lev} at {setPx}) STOPPED at {last} PL {upl.ToString("0.00")}");
posIds.Add(p.Id);
messages.Add(new Message(Serialization.ObjectToByteArray(
new PosToClose()
{
Id = p.Id,
closeType = PositionCloseType.Stop,
closePx = last,
closePxTime = quote.Time,
})));
continue;
}
}
//take
if (p.TakePx != null)
{
if (p.Side.Value && last >= p.TakePx || !p.Side.Value && last <= p.TakePx)
{
YJYGlobal.LogLine(
$"position {p.Id} ({(p.Side.Value ? "↗" : "↘")} {inv}x{lev} at {setPx}) TAKEN at {last} PL {upl.ToString("0.00")}");
posIds.Add(p.Id);
messages.Add(new Message(Serialization.ObjectToByteArray(
new PosToClose()
{
Id = p.Id,
closeType = PositionCloseType.Take,
closePx = last,
closePxTime = quote.Time,
})));
continue;
}
}
}
//db.SaveChanges();
}
if (messages.Count > 0)
{
_queueClient.SendAsync(messages);
foreach (var posId in posIds)
{
_sentPosIds.Add(posId, DateTime.UtcNow);
}
}
}
}
}
catch (Exception e)
{
YJYGlobal.LogException(e);
}
//YJYGlobal.LogLine("");
Thread.Sleep(_sleepInterval);
}
}
