/// <summary>
///
/// </summary>
/// <param name="quote"></param>
/// <param name="isUp"></param>
public void Update(Quote? quote, bool isUp)
{
_quote = quote;
_isUpFromPrevious = isUp;
_lastUpdate = DateTime.Now;
}
public void BeginManagedOrdersUpdate(Quote? quote)
{
//List<Order> orders = _provider.Account.TradeEntities.GetOrdersByState(OrderStateEnum.Executed | OrderStateEnum.Submitted);
if (quote.HasValue == false)
{
SystemMonitor.OperationError("Quote not assigned.");
return;
}
decimal? ask = quote.Value.Ask;
decimal? bid = quote.Value.Bid;
decimal? spread = quote.Value.Spread;
if (ask.HasValue == false || bid.HasValue == false || spread.HasValue == false)
{
return;
}
foreach (Order order in _orders.Values)
{
if (order.State != OrderStateEnum.Executed
&& order.State != OrderStateEnum.Submitted)
{
continue;
}
if (order.IsDelayed && order.State == OrderStateEnum.Submitted)
{// Pending order, check for opening conditions.
switch (order.Type)
{
case OrderTypeEnum.BUY_LIMIT_MARKET:
// Submitted buy above the current price.
if (order.OpenPrice <= ask)
{
order.AcceptPendingExecuted(ask.Value);
}
break;
case OrderTypeEnum.BUY_STOP_MARKET:
// Submitted buy below the current price.
if (order.OpenPrice >= ask)
{
order.AcceptPendingExecuted(ask.Value);
}
break;
case OrderTypeEnum.SELL_LIMIT_MARKET:
// Submitted sell above the current price.
if (order.OpenPrice <= bid)
{
order.AcceptPendingExecuted(bid.Value);
}
break;
case OrderTypeEnum.SELL_STOP_MARKET:
// Submitted sell below the current price.
if (order.OpenPrice >= bid)
{
order.AcceptPendingExecuted(bid.Value);
}
break;
}
// A pending order is executed if it is between low and high.
if (_lastDataBar.HasValue
&& order.OpenPrice.HasValue
&& order.State == OrderStateEnum.Submitted
&& order.OpenPrice <= _lastDataBar.Value.High
&& order.OpenPrice >= _lastDataBar.Value.Low)
{
order.AcceptPendingExecuted(order.OpenPrice.Value + spread.Value);
}
}
if (order.StopLoss.HasValue
&& order.StopLoss.Value != 0)
{// Check Stop Loss level.
if ((order.IsBuy && bid <= order.StopLoss) ||
(order.IsBuy == false && ask >= order.StopLoss))
{
if (order.State == OrderStateEnum.Executed)
{
string tmp;
((PassiveOrder)order).CloseOrCancel(null, null, out tmp);
continue;
}
}
}
if (order.TakeProfit.HasValue
&& order.TakeProfit.Value != 0)
{// Check Take Profit level.
if ((order.IsBuy && bid >= order.TakeProfit) ||
(order.IsBuy == false && ask <= order.TakeProfit))
{
if (order.State == OrderStateEnum.Executed)
{
string tmp;
((PassiveOrder)order).CloseOrCancel(null, null, out tmp);
continue;
}
}
}
if ((CheckForConflictsInsideBar(order)
|| CheckStopLossInsideBar(order)
|| CheckTakeProfitInsideBar(order))
&& order.State == OrderStateEnum.Executed)
{
string tmp;
((PassiveOrder)order).CloseOrCancel(null, null, out tmp);
continue;
}
} // foreach
}
void delivery_QuoteUpdateEvent(ISourceDataDelivery dataDelivery, DataSessionInfo session, Quote? quote)
{
bool isUp = true;
SymbolInformation information;
lock (this)
{
if (_symbolQuotes.ContainsKey(session.Symbol) == false
|| _symbolQuotes[session.Symbol] == null)
{
information = new SymbolInformation(session.Symbol);
_symbolQuotes.Add(session.Symbol, information);
}
else
{
information = _symbolQuotes[session.Symbol];
if (information.Quote.HasValue && quote.HasValue)
{
if (information.Quote.Value.Ask == quote.Value.Ask
&& information.Quote.Value.Bid == quote.Value.Bid)
{
return;
}
isUp = information.Quote.Value.Ask < quote.Value.Ask;
}
}
information.Update(quote, isUp);
}
if (QuotesUpdateEvent != null)
{
QuotesUpdateEvent(this, information);
}
}
void _dataDelivery_QuoteUpdateEvent(ISourceDataDelivery dataDelivery, DataSessionInfo session, Quote? quote)
{
if (session.Symbol == this.Symbol)
{
if (quote.HasValue)
{
lock(this)
{
if (this.Volume > 0)
{
_price = quote.Value.Ask;
}
else
{
_price = quote.Value.Bid;
}
}
}
else
{
_price = null;
}
RecalculateParameters(true);
}
}
void _dataDelivery_QuoteUpdateEvent(ISourceDataDelivery dataDelivery, DataSessionInfo session, Quote? quote)
{
_lastDataQuote = quote;
BeginAccountInfoUpdate(_account.Info);
BeginManagedOrdersUpdate(quote);
}
void _dataDelivery_QuoteUpdateEvent(ISourceDataDelivery dataDelivery, DataSessionInfo session, Quote? quote)
{
if (_sessionInfo.Equals(session) == false)
{
return;
}
lock (this)
{
_lastQuoteTime = DateTime.Now;
_currentQuote = quote;
}
if (QuoteUpdateEvent != null)
{
QuoteUpdateEvent(this);
}
}
/// <summary>
/// This will work properly only for USD *BASED ACCOUNTS*.
/// Code based on the forexOpenPnL.txt VB6 code file from the SDK.
/// See here for details: http://finance.groups.yahoo.com/group/mbtsdk/message/6120
/// </summary>
/// <returns></returns>
bool CalculatePositionOpenPnLAndBasis(MbtPosition position, Quote? positionSymbolQuote, out double openPnL, out double basis)
{
openPnL = 0;
basis = 0;
if (positionSymbolQuote.HasValue == false ||
positionSymbolQuote.Value.Ask.HasValue == false || positionSymbolQuote.Value.Bid.HasValue == false)
{
return false;
}
long aggregatedPosition = position.AggregatePosition;
if (aggregatedPosition == 0)
{
return true;
}
// This also assumes aggregatedPosition is not zero!
basis = ((position.OvernightPrice * position.OvernightPosition) + (position.IntradayPrice * position.IntradayPosition)) / aggregatedPosition;
Symbol? symbol = Symbol.CreateForexPairSymbol(position.Symbol);
if (symbol.HasValue == false)
{
return false;
}
bool isLong = aggregatedPosition > 0;
double ask = (double)positionSymbolQuote.Value.Ask.Value;
double bid = (double)positionSymbolQuote.Value.Bid.Value;
if (symbol.Value.ForexCurrency1 == "USD")
{// Based C1.
if (isLong)
{// Long. long position - use Bid ' ((bid - basis) / bid) * qty
openPnL = ((bid - basis) / bid) * aggregatedPosition;
return true;
}
else
{// Short. short position - use Ask ' ((ask - basis) / ask) * qty
openPnL = ((ask - basis) / ask) * aggregatedPosition;
return true;
}
}
else if (symbol.Value.ForexCurrency2 == "USD")
{// Based C2.
if (isLong)
{// Long. ' long position - use Bid ' (bid - basis) * qty
openPnL = (bid - basis) * aggregatedPosition;
return true;
}
else
{// Short. ' short position - use Ask ' (ask - basis) * qty
openPnL = (ask - basis) * aggregatedPosition;
return true;
}
}
else
{// Not based.
// This is the code that covers this scenario (from the forexOpenPnL.txt from the SDK),
// however it requires the usage of other pairs data... so not implemented right now.
//SystemMonitor.OperationWarning(string.Format("Position PnL not calculated for symbol [{0}] since pair not USD based.", position.Symbol));
return false;
//' Neither C1 or C2 is our base. therefore, find a "related symbol" for
//' C2 that will relate C2 back to our base "USD", and use the related
//' symbol's Bid/Ask as part of the calculation. Do this by creating a
//' temp variable "f" with the value of the Bid/Ask, inverted if necessary.
//Dim f As Double
// f = 0
// For j = 0 To mlSymCnt
//' Find C1 base (e.g. EUR/CHF produces USD/CHF)
// If Left(msSyms(j), 3) = "USD" And Right(s, 3) = Right(msSyms(j), 3) Then
//' use Ask for short, Bid for long, and invert
// f = 1 / (IIf(aggregatedPosition < 0, mdCAsk(j), mdCBid(j)))
//' dOpenPnL = (IIf(aggregatedPosition < 0, a, b) - dBasis) * f * aggregatedPosition
// Exit For ' found it !
// End If
// Next
// If f = 0 Then
//' If C1 base not found, find C2 base (e.g. EUR/GBP produces GBP/USD)
// For j = 0 To mlSymCnt
// If Right(msSyms(j), 3) = "USD" And Right(s, 3) = Left(msSyms(j), 3) Then
//' use Ask for short, Bid for long, but don't invert
// f = IIf(aggregatedPosition < 0, mdCAsk(j), mdCBid(j))
//' dOpenPnL = (IIf(aggregatedPosition < 0, a, b) - dBasis) * f * aggregatedPosition
// Exit For ' found it !
// End If
// Next
// End If
// If f = 0 Then ' for some reason, none found (you should find out why) !
// Debug.Print "ERROR"
// Else
//' (bidOrAsk - basis) * f * qty
//' f contains the Bid/Ask of the related symbol, inverted if necessary
// dOpenPnL = (IIf(aggregatedPosition < 0, a, b) - dBasis) * f * aggregatedPosition
// End If
//End If
}
}
void ConvertQuoteRecord(ref Quote quote, QUOTERECORD pRec)
{
quote.Ask = (0 == pRec.dAsk) ? (decimal?)null : (decimal)pRec.dAsk;
quote.Bid = (0 == pRec.dBid) ? (decimal?)null : (decimal)pRec.dBid;
quote.High = (0 == pRec.dHigh) ? (decimal?)null : (decimal)pRec.dHigh;
quote.Low = (0 == pRec.dLow) ? (decimal?)null : (decimal)pRec.dLow;
quote.Open = (decimal)pRec.dOpen;
quote.Volume = pRec.lVolume;
quote.Time = pRec.UTCDateTime;
}
public Quote? GetSingleSymbolQuote(string symbolName, TimeSpan timeOut, out string symbolMarket)
{
symbolMarket = string.Empty;
if (IsInitialized == false)
{
return null;
}
string market = string.Empty;
Quote? result = null;
_messageLoopOperator.Invoke(delegate()
{
MbtQuotes client = _quotesClient;
if (client == null)
{
return;
}
QUOTERECORD record = client.GetSingleQuote(symbolName, (int)timeOut.TotalMilliseconds);
if (string.IsNullOrEmpty(record.bstrSymbol) == false
&& record.bstrSymbol.ToUpper() == symbolName.ToUpper())
{// Match found.
Quote quoteResult = new Quote();
ConvertQuoteRecord(ref quoteResult, record);
market = record.bstrMarket;
result = quoteResult;
}
else
{
// Failed to find baseCurrency.
SystemMonitor.OperationWarning("Failed to find requested symbol.");
}
});
if (result.HasValue)
{
symbolMarket = market;
}
return result;
}
/// <summary>
/// Create a dataDelivery bar based on quote.
/// </summary>
/// <param name="quote"></param>
/// <returns></returns>
public DataBar UpdateCurrentBar(DataBar currentBar, Quote quote)
{
if (quote.Bid.HasValue == false || quote.Ask.HasValue == false)
{
return currentBar;
}
currentBar.Low = Math.Min(quote.Bid.Value, currentBar.Low);
currentBar.High = Math.Max(quote.Bid.Value, currentBar.High);
currentBar.Close = quote.Bid.Value;
if (quote.Volume.HasValue)
{
currentBar.Volume = quote.Volume.Value;
}
return currentBar;
}
/// <summary>
/// Follow quotes update.
/// </summary>
void _dataDelivery_QuoteUpdateEvent(ISourceDataDelivery dataDelivery, DataSessionInfo session, Quote? quote)
{
if (_sessionInfo.Equals(session) == false || _period.HasValue == false
|| quote.HasValue == false)
{
return;
}
DataBar? lastBar = null;
if (_dataBars.Count > 0)
{
lastBar = _dataBars[_dataBars.Count - 1];
}
else
{// If there are no existing bars, we do not operate, to evade mixing up start / end period etc.
return;
}
TimeSpan? period = _period;
DataBarUpdateType? updateType = null;
// The time of a bar is its open time, so everything after a "period" closeVolume of time after it is part of that bar.
if (lastBar.Value.DateTime + period < quote.Value.Time)
{// We need to append a new bar.
DateTime newBarDateTime = lastBar.Value.DateTime;
int i = 0;
while (newBarDateTime.Add(period.Value) < quote.Value.Time)
{// Establish end time of new bar (max 1000 steps to evade potential lockups).
newBarDateTime = newBarDateTime.Add(period.Value);
i++;
if (i > 1000)
{// We have tried and failed to establish proper new period so just abort.
SystemMonitor.OperationError("We have tried and failed to establish proper new period so quote aborted.");
return;
}
}
DataBar? newBar = BarFromQuote(lastBar, newBarDateTime, quote.Value);
if (newBar.HasValue == false)
{// Failed to establish bar from quote.
return;
}
updateType = DataBarUpdateType.NewPeriod;
lock (this)
{// Add the new bar.
_lastDataUpdate = DateTime.Now;
_dataBars.Add(newBar.Value);
}
}
else
{
updateType = DataBarUpdateType.CurrentBarUpdate;
lock (this)
{// Just update the current last bar.
_lastDataUpdate = DateTime.Now;
_dataBars[_dataBars.Count - 1] = UpdateCurrentBar(lastBar.Value, quote.Value);
}
}
if (updateType.HasValue && DataBarHistoryUpdateEvent != null)
{
DataBarHistoryUpdateEvent(this, updateType.Value, 1);
}
}
public DataBar? BarFromQuote(DataBar? previousBar, DateTime time, Quote quote)
{
if ((quote.IsFullySet == false && previousBar.HasValue == false)
|| (quote.Ask.HasValue == false || quote.Bid.HasValue == false))
{// We need at least previous bar if quote is not fully set.
return null;
}
decimal open = quote.Open.HasValue ? quote.Open.Value : previousBar.Value.Close;
decimal close = quote.Bid.Value;
DataBar result = new DataBar(time,
open,
Math.Max(open, close),
Math.Min(open, close),
close,
0);
return result;
}
public void BeginManagedOrdersUpdate(Quote? quote)
{
//List<Order> orders = _provider.Account.TradeEntities.GetOrdersByState(OrderStateEnum.Executed | OrderStateEnum.Submitted);
if (quote.HasValue == false)
{
SystemMonitor.OperationError("Quote not assigned.");
return;
}
decimal? ask = quote.Value.Ask;
decimal? bid = quote.Value.Bid;
decimal? spread = quote.Value.Spread;
if (ask.HasValue == false || bid.HasValue == false || spread.HasValue == false)
{
return;
}
foreach (Order order in _orders.Values)
{
if (order.State != OrderStateEnum.Executed
&& order.State != OrderStateEnum.Submitted)
{
continue;
}
if (order.IsDelayed && order.State == OrderStateEnum.Submitted)
{// Pending order, check for opening conditions.
switch (order.Type)
{
case OrderTypeEnum.BUY_LIMIT_MARKET:
// Submitted buy below the current price.
if (order.OpenPrice >= ask)
{
DateTime? time = order.QuoteProvider != null && order.QuoteProvider.CurrentQuote.HasValue? order.QuoteProvider.CurrentQuote.Value.Time : null;
order.AcceptPendingExecuted(ask.Value, time);
string operationResultMessage;
UpdatePosition(order.Symbol, order.CurrentDirectionalVolume, out operationResultMessage);
}
break;
//case OrderTypeEnum.BUY_STOP_MARKET:
// // Submitted buy below the current price.
// if (order.OpenPrice >= ask)
// {
// order.AcceptPendingExecuted(ask.Value);
// }
// break;
case OrderTypeEnum.SELL_LIMIT_MARKET:
// Submitted sell above the current price.
if (order.OpenPrice <= bid)
{
DateTime? time = order.QuoteProvider != null && order.QuoteProvider.CurrentQuote.HasValue ? order.QuoteProvider.CurrentQuote.Value.Time : null;
order.AcceptPendingExecuted(bid.Value, time);
string operationResultMessage;
UpdatePosition(order.Symbol, order.CurrentDirectionalVolume, out operationResultMessage);
}
break;
//case OrderTypeEnum.SELL_STOP_MARKET:
// // Submitted sell below the current price.
// if (order.OpenPrice >= bid)
// {
// order.AcceptPendingExecuted(bid.Value);
// }
// break;
}
// Don't think this is needed as it should be satisfied by the above??
//
// A pending order is executed if it is between low and high.
//if (_lastDataBar.HasValue
// && order.OpenPrice.HasValue
// && order.State == OrderStateEnum.Submitted
// && order.OpenPrice <= _lastDataBar.Value.High
// && order.OpenPrice >= _lastDataBar.Value.Low)
//{
// order.AcceptPendingExecuted(order.OpenPrice.Value + spread.Value);
//}
}
if (order.StopLoss.HasValue
&& order.StopLoss.Value != 0)
{// Check Stop Loss level.
if ((order.IsBuy && bid <= order.StopLoss) ||
(order.IsBuy == false && ask >= order.StopLoss))
{
if (order.State == OrderStateEnum.Executed)
{
string tmp;
((PassiveOrder)order).CloseOrCancel(null, null, out tmp);
continue;
}
}
}
if (order.TakeProfit.HasValue
&& order.TakeProfit.Value != 0)
{// Check Take Profit level.
if ((order.IsBuy && bid >= order.TakeProfit) ||
(order.IsBuy == false && ask <= order.TakeProfit))
{
if (order.State == OrderStateEnum.Executed)
{
string tmp;
((PassiveOrder)order).CloseOrCancel(null, null, out tmp);
continue;
}
}
}
if ((CheckForConflictsInsideBar(order)
|| CheckStopLossInsideBar(order)
|| CheckTakeProfitInsideBar(order))
&& order.State == OrderStateEnum.Executed)
{
string tmp;
((PassiveOrder)order).CloseOrCancel(null, null, out tmp);
continue;
}
} // foreach
}
protected override void dataDelivery_QuoteUpdateEvent(ISourceDataDelivery dataDelivery, DataSessionInfo session, Quote? quote)
{
base.dataDelivery_QuoteUpdateEvent(dataDelivery, session, quote);
DoUpdate();
}
protected virtual void dataDelivery_QuoteUpdateEvent(ISourceDataDelivery dataDelivery, DataSessionInfo session, Quote? quote)
{
}
public void Quote(string sessionName, DateTime? sessionStart, Quote quote)
{
}
public bool RequestQuoteUpdate(DataSessionInfo sessionInfo, bool waitResult)
{
Quote? quote = null;
lock (this)
{
if (_sourceDataBarProvider == null || _sourceDataBarProvider.BarCount == 0)
{// No steps done yet.
return true;
}
}
lock (_sourceDataBarProvider)
{
if (_sourceDataBarProvider.BarCount < _step)
{
SystemMonitor.Error("Unexpected case.");
return false;
}
else
{
if (_step - 1 >= 0 && _step - 1 < _sourceDataBarProvider.BarCount)
{
quote = new Quote(_sourceDataBarProvider.BarsUnsafe[_step - 1], _spreadPoints * _sessionInfo.DecimalIncrement);
}
}
}
if (quote.HasValue == false)
{// No dataDelivery.
return false;
}
if (QuoteUpdateEvent != null)
{
QuoteUpdateEvent(this, sessionInfo, quote);
}
return true;
}
void ConvertQuoteRecord(ref Quote quote, Commission? commission, QUOTERECORD pRec)
{
quote.Ask = (0 == pRec.dAsk) ? (decimal?)null : (decimal)pRec.dAsk;
quote.Bid = (0 == pRec.dBid) ? (decimal?)null : (decimal)pRec.dBid;
MBTradingConnectionManager manager = _manager;
if (commission.HasValue && (manager != null && manager.Adapter != null && manager.Adapter.ApplyQuoteCommission))
{
commission.Value.ApplyCommissions(manager.Adapter, ref quote);
}
quote.High = (0 == pRec.dHigh) ? (decimal?)null : (decimal)pRec.dHigh;
quote.Low = (0 == pRec.dLow) ? (decimal?)null : (decimal)pRec.dLow;
quote.Open = (decimal)pRec.dOpen;
quote.Volume = pRec.lVolume;
quote.Time = pRec.UTCDateTime;
}
