private void SetupParamValue(Project prj, string paramName, object val, bool logValue)
{
if (prj.Parameters.Contains(paramName))
{
if (logValue)
Console.WriteLine(string.Format("PARAM : {0} [VALUE: {1}]", paramName, val));
prj.Parameters[paramName].Value = val;
}
}
private void SetupInstruments(Project prj)
{
string[] symbols = stockSymbols.Split(new char[] { '\n', '\r' });
prj.ClearInstruments();
foreach (string symbol in symbols)
{
AttachInstrument(prj, symbol);
}
}
private void SetupParams(Project prj, Dictionary<string, object> paramsDictionary, bool logValues)
{
foreach (string currentParamName in paramsDictionary.Keys)
{
object val = paramsDictionary[currentParamName];
if (null != val && prj.Parameters.Contains(currentParamName))
{
SetupParamValue(prj, currentParamName, val, logValues);
}
}
}
public void SetupProject(Project prj)
{
SetupInstruments(prj);
SetupParams(prj, SolutionWideParameters, false);
//private int? retryInterval;
//private double? minSlippage;
//private double? maxSlippage;
//private string ibAccountNumber;
var localParamsDictionary = new Dictionary<string, object>(StringComparer.InvariantCultureIgnoreCase);
if (executionHour.HasValue)
localParamsDictionary.Add("ValidityTriggerHour", executionHour.Value);
if (executionMinute.HasValue)
localParamsDictionary.Add("ValidityTriggerMinute", executionMinute.Value);
if (portfolioAmt.HasValue)
localParamsDictionary.Add("TotalPortfolioAmount", portfolioAmt.Value);
if (portfolioAllocation.HasValue)
localParamsDictionary.Add("PositionSizePercentage", portfolioAllocation.Value);
if (noOfPositions.HasValue)
localParamsDictionary.Add("NumberOfPortfolioPositions", noOfPositions.Value);
if (retryInterval.HasValue)
localParamsDictionary.Add("MaximumIntervalInMinutesBetweenOrderRetries", retryInterval.Value);
if (minSlippage.HasValue)
localParamsDictionary.Add("MinAllowedSlippage", minSlippage.Value);
if (maxSlippage.HasValue)
localParamsDictionary.Add("MaxAllowedSlippage", maxSlippage.Value);
if (!string.IsNullOrWhiteSpace(ibAccountNumber))
localParamsDictionary.Add("IbAccountNumber", ibAccountNumber);
if (executionHour.HasValue)
localParamsDictionary.Add("ValidityTriggerHour", executionHour.Value);
if (fastMaPeriod.HasValue)
localParamsDictionary.Add("FastMaPeriod", fastMaPeriod.Value);
if (slowMaPeriod.HasValue)
localParamsDictionary.Add("SlowMaPeriod", slowMaPeriod.Value);
if (specificSize.HasValue)
localParamsDictionary.Add("SpecificPositionSize", specificSize.Value);
if (specificPosSide.HasValue)
localParamsDictionary.Add("SpecificPositionSideToReverse", specificPosSide.Value);
if (ProjectTemplate.Value == ProjectTemplateType.OpenLong)
{
localParamsDictionary.Add("OpeningOrderSide", OrderSide.Buy);
}
else if (ProjectTemplate.Value == ProjectTemplateType.OpenShort)
{
localParamsDictionary.Add("OpeningOrderSide", OrderSide.Sell);
}
string projNameForStrategy = "P00";
if (projIndex.HasValue)
{
projNameForStrategy = ProjectTemplate.Value.ToString().ToUpper().Substring(0, 1) +
projIndex.Value.ToString("00");
}
localParamsDictionary.Add("ProjectName", projNameForStrategy);
SetupParams(prj, localParamsDictionary, true);
}
private void AttachInstrument(Project prj, string symbol)
{
if (string.IsNullOrEmpty(symbol))
return;
string trimmedSymbol = symbol.Trim();
string normalizedSymbol = string.Empty;
if (trimmedSymbol.Length > 0)
{
normalizedSymbol = trimmedSymbol.Replace(".", "");
Instrument currentIns = InstrumentManager.Instruments[normalizedSymbol];
if (null == currentIns || currentIns.Type != InstrumentType.Stock)
{
Console.WriteLine("ADDING SYMBOL -- " + trimmedSymbol);
Instrument newInstrument = new Instrument(InstrumentType.Stock, normalizedSymbol);
newInstrument.Currency = defaultCurrency;
newInstrument.Exchange = defaultExchange;
int dotIdx = trimmedSymbol.IndexOf('.');
if (dotIdx > -1)
{
AltIDGroup ibAltIdGroup = newInstrument.AltIDGroups.Add("IB");
ibAltIdGroup.AltSource = "IB";
ibAltIdGroup.AltSymbol = trimmedSymbol.Replace(".", " ");
}
}
currentIns = InstrumentManager.Instruments[normalizedSymbol];
if (null != currentIns)
prj.AddInstrument(currentIns);
}
}
private void SetupInstruments(Project prj)
{
string[] symbols = stockSymbols
.Split(new char[] {'\n', '\r'}, StringSplitOptions.RemoveEmptyEntries)
.Distinct()
.ToArray();
prj.ClearInstruments();
foreach (string symbol in symbols)
{
AttachInstrument(prj, symbol);
}
}
public bool TryGetValue(string name, out Project project)
{
return this.projects.TryGetValue(name, out project);
}
private void SetupIwmForStopTriggerIfRequired(Project prj)
{
Parameter iwmStopPriceParam = null;
if (prj.Parameters.Contains(IwmStopPriceTriggerStrategy))
{
iwmStopPriceParam = prj.Parameters[IwmStopPriceTriggerStrategy];
if (null != iwmStopPriceParam)
{
OrderTriggerStrategy ordStrat = (OrderTriggerStrategy)Enum.Parse(typeof(OrderTriggerStrategy), iwmStopPriceParam.Value.ToString(), true);
bool isBasedOnIwmStopPrice = ordStrat == OrderTriggerStrategy.IwmStopPriceBasedTrigger;
bool isIwmAlreadyAttached = false;
foreach (Instrument currentIns in prj.Instruments)
{
if (SolutionUtility.IsInstrumentIwm(currentIns))
{
isIwmAlreadyAttached = true;
break;
}
}
if (isBasedOnIwmStopPrice)
{
if (!isIwmAlreadyAttached)
{
AttachInstrument(prj, "IWM");
SetupParamValue(prj, "IsIwmAlsoToBeIncludedInOrder", false, false);
}
else
{
SetupParamValue(prj, "IsIwmAlsoToBeIncludedInOrder", true, false);
}
}
}
}
}
private void SetupClosingProjectParameters(Project prj, string ibAccountNumber)
{
if (prj.Name.StartsWith("CLOSE", StringComparison.InvariantCultureIgnoreCase))
{
foreach (Instrument currentIns in prj.Instruments)
{
if (!SolutionUtility.IsInstrumentIwm(currentIns))
{
OrderSide ordSide = SolutionUtility.GetOrderSideToCloseCurrentPosition(currentIns.Symbol, ibAccountNumber);
SetupParamValue(prj, "OrderSideForIwmStopTriggerForClosing", ordSide, true);
break;
}
}
}
}
public void SetupProject(Project prj)
{
SetupInstruments(prj);
SetupParams(prj, ProjectTemplateParameters, false);
SetupParams(prj, SolutionWideParameters, false);
var localParamsDictionary = new Dictionary<string, object>(StringComparer.InvariantCultureIgnoreCase);
if (executionHour.HasValue)
ParamsSetterUtility.SetExecutionHour(localParamsDictionary, executionHour.Value);
if (executionMinute.HasValue)
ParamsSetterUtility.SetExecutionMinute(localParamsDictionary, executionMinute.Value);
if (portfolioAmt.HasValue)
localParamsDictionary.Add("GrandTotalPortfolioAmount", portfolioAmt.Value);
if (portfolioAllocation.HasValue)
localParamsDictionary.Add("PortfolioAllocationPercentage", portfolioAllocation.Value);
if (noOfPositions.HasValue)
localParamsDictionary.Add("NumberOfPortfolioPositions", noOfPositions.Value);
if (maxPortfolioRisk.HasValue)
localParamsDictionary.Add("MaxPortfolioRisk", maxPortfolioRisk.Value);
if (maxPositionRisk.HasValue)
localParamsDictionary.Add("MaxPositionRisk", maxPositionRisk.Value);
if (riskAppetiteStrategy.HasValue)
localParamsDictionary.Add("RiskAppetiteStrategy", riskAppetiteStrategy.Value);
if (noOfRetries.HasValue)
{
if (noOfRetries.Value <= 0)
{
localParamsDictionary.Add("OrderRetrialStrategy", OrderRetrialStrategy.None);
localParamsDictionary.Add("MaximumRetries", 0);
}
else
{
localParamsDictionary.Add("MaximumRetries", noOfRetries.Value);
}
}
if (retryInterval.HasValue)
localParamsDictionary.Add("RetryTriggerIntervalMinute", retryInterval.Value);
if(minSlippage.HasValue)
localParamsDictionary.Add("MinAllowedSlippage", minSlippage.Value);
if (maxSlippage.HasValue)
localParamsDictionary.Add("MaxAllowedSlippage", maxSlippage.Value);
if (stopTriggerAtr.HasValue)
{
localParamsDictionary.Add("IwmCalculatedStopAtrCoefficient", stopTriggerAtr.Value);
localParamsDictionary.Add("CalculatedStopAtrCoefficient", stopTriggerAtr.Value);
}
if (gapTriggerAtr.HasValue)
{
localParamsDictionary.Add("IwmOpeningGapAtrCoefficient", gapTriggerAtr.Value);
localParamsDictionary.Add("OpeningGapAtrCoefficient", gapTriggerAtr.Value);
}
if (SolutionWideParameters.ContainsKey("IbBrokerAccountNumber"))
{
object tempAccountNumber = SolutionWideParameters["IbBrokerAccountNumber"].ToString();
if (null != tempAccountNumber)
{
ibAccountNumber = tempAccountNumber.ToString();
}
}
if (string.IsNullOrWhiteSpace(ibAccountNumber))
{
throw new ArgumentNullException("IbBrokerAccountNumber", "!!!! IB ACCOUNT NUMBER NOT PROVIDED. !!!!");
}
SetupClosingProjectParameters(prj, ibAccountNumber);
SetupIwmForStopTriggerIfRequired(prj);
SetupParams(prj, localParamsDictionary, true);
}
