public void Basics()
{
Account a = new Account();
Assert.That(!a.isValid);
const string myid = "jfranta";
a = new Account(myid);
Assert.That(a.isValid);
Assert.That(a.ID == myid);
}
public Order BestBidOrOffer(string sym, bool side,Account Account)
{
Order best = new OrderImpl();
if (!MasterOrders.ContainsKey(Account)) return best;
foreach (OrderImpl o in MasterOrders[Account])
{
if (o.symbol != sym) continue;
if (o.Side != side) continue;
if (!best.isValid)
{
best = new OrderImpl(o);
continue;
}
Order test = BestBidOrOffer(best, o);
if (test.isValid) best = new OrderImpl(test);
}
return best;
}
public Order BestBidOrOffer(string sym, bool side,Account Account)
{
Order best = new OrderImpl();
if (!MasterOrders.ContainsKey(Account)) return best;
List<Order> orders = MasterOrders[Account];
for (int i = 0; i<orders.Count; i++)
{
Order o = orders[i];
if (o.symbol != sym) continue;
if (o.side != side) continue;
if (!best.isValid)
{
best = new OrderImpl(o);
continue;
}
Order test = BestBidOrOffer(best, o);
if (test.isValid) best = new OrderImpl(test);
}
return best;
}
public Order BestBidOrOffer(string symbol,bool side)
{
Order best = new OrderImpl();
Order next = new OrderImpl();
Account[] accts = new Account[MasterOrders.Count];
MasterOrders.Keys.CopyTo(accts, 0);
for (int i = 0; i < accts.Length; i++)
{
Account a = accts[i];
// get our first order
if (!best.isValid)
{
// if we don't have a valid one yet, check this account
best = new OrderImpl(BestBidOrOffer(symbol,side,a));
continue; // keep checking the accounts till we find a valid one
}
// now we have our first order, which will be best if we can't find a second one
next = new OrderImpl(BestBidOrOffer(symbol,side,a));
if (!next.isValid) continue; // keep going till we have a second order
best = BestBidOrOffer(best, next); // when we have two, compare and get best
// then keep fetching next valid order to see if it's better
}
return best; // if there's no more orders left, this is best
}
protected void AddAccount(Account a)
{
Account t = null;
if (acctlist.TryGetValue(a.ID, out t)) return; // already had it
MasterOrders.Add(a, new List<Order>());
MasterTrades.Add(a.ID, new List<Trade>());
acctlist.Add(a.ID, a);
}
/// <summary>
/// Executes any open orders allowed by the specified tick.
/// </summary>
/// <param name="tick">The tick.</param>
/// <returns>the number of orders executed using the tick.</returns>
public int Execute(Tick tick)
{
if (_pendorders == 0) return 0;
if (!tick.isTrade && !_usebidaskfill) return 0;
int filledorders = 0;
Account[] accts = new Account[MasterOrders.Count];
MasterOrders.Keys.CopyTo(accts, 0);
for (int idx = 0; idx < accts.Length; idx++)
{ // go through each account
Account a = accts[idx];
// if account has requested no executions, skip it
if (!a.Execute) continue;
// make sure we have a record for this account
if (!MasterTrades.ContainsKey(a.ID))
MasterTrades.Add(a.ID, new List<Trade>());
// track orders being removed and trades that need notification
List<int> notifytrade = new List<int>();
List<int> remove = new List<int>();
// go through each order in the account
for (int i = 0; i < MasterOrders[a].Count; i++)
{
Order o = MasterOrders[a][i];
if (tick.symbol != o.symbol) continue; //make sure tick is for the right stock
bool filled = false;
if (o.TIF == "OPG")
{
// if it's already opened, we missed our shot
if (hasopened.Contains(o.symbol)) continue;
// otherwise make sure it's really the opening
if (((o.symbol.Length < 4) && (tick.ex.Contains("NYS"))) ||
(o.symbol.Length > 3))
{
// it's the opening tick, so fill it as an opg
filled = o.Fill(tick,_usebidaskfill, true);
// mark this symbol as already being open
hasopened.Add(tick.symbol);
}
}
else // otherwise fill order normally
filled = o.Fill(tick,_usebidaskfill,false); // fill our trade
if (filled)
{
// remove filled size from size available in trade
tick.size -= o.UnsignedSize;
// get copy of trade for recording
Trade trade = new TradeImpl((Trade)o);
// if trade represents entire requested order, mark order for removal
if (trade.UnsignedSize == o.UnsignedSize)
remove.Add(i);
else // otherwise reflect order's remaining size
o.size = (o.UnsignedSize - trade.UnsignedSize) * (o.side ? 1 : -1);
// record trade
MasterTrades[a.ID].Add(trade);
// mark it for notification
notifytrade.Add(MasterTrades[a.ID].Count-1);
// count the trade
filledorders++;
}
}
int rmcount = remove.Count;
// remove the filled orders
for (int i = remove.Count - 1; i >= 0; i--)
MasterOrders[a].RemoveAt(remove[i]);
// unmark filled orders as pending
_pendorders -= rmcount;
if (_pendorders < 0) _pendorders = 0;
// notify subscribers of trade
if ((GotFill != null) && a.Notify)
for (int tradeidx = 0; tradeidx<notifytrade.Count; tradeidx++)
GotFill(MasterTrades[a.ID][notifytrade[tradeidx]]);
}
return filledorders;
}
public void CancelOrders(Account a)
{
if (!MasterOrders.ContainsKey(a)) return;
foreach (Order o in MasterOrders[a])
if ((GotOrderCancel != null) && a.Notify)
GotOrderCancel(o.symbol,o.side,o.id); //send cancel notifcation to any subscribers
MasterOrders[a].Clear(); // clear the account
}
/// <summary>
/// Gets the closed PL for an entire account. (all symbols)
/// </summary>
/// <param name="a">The account.</param>
/// <returns>Closed PL</returns>
public decimal GetClosedPL(Account a)
{
Dictionary<string, Position> poslist = new Dictionary<string, Position>();
Dictionary<string,decimal> pllist = new Dictionary<string,decimal>();
if (!MasterTrades.ContainsKey(a.ID)) return 0;
List<Trade> trades = MasterTrades[a.ID];
for (int i = 0; i < trades.Count; i++)
{
Trade trade = trades[i];
if (!poslist.ContainsKey(trade.symbol))
{
poslist.Add(trade.symbol, new PositionImpl(trade.symbol));
pllist.Add(trade.symbol, 0);
}
pllist[trade.symbol] += poslist[trade.symbol].Adjust(trade);
}
decimal pl = 0;
string[] syms = new string[pllist.Count];
pllist.Keys.CopyTo(syms, 0);
for (int i = 0; i<syms.Length; i++)
pl += pllist[syms[i]];
return pl;
}
/// <summary>
/// Gets the closed Points on a specific account, all symbols.
/// </summary>
/// <param name="account">The account.</param>
/// <returns></returns>
public decimal GetClosedPT(Account account)
{
Dictionary<string, PositionImpl> poslist = new Dictionary<string, PositionImpl>();
Dictionary<string, decimal> ptlist = new Dictionary<string, decimal>();
if (!MasterTrades.ContainsKey(account.ID)) return 0;
List<Trade> trades = MasterTrades[account.ID];
for (int i = 0; i < trades.Count; i++)
{
Trade trade = trades[i];
if (!poslist.ContainsKey(trade.symbol))
{
poslist.Add(trade.symbol, new PositionImpl(trade.symbol));
ptlist.Add(trade.symbol, 0);
}
ptlist[trade.symbol] += Calc.ClosePT(poslist[trade.symbol], trade);
poslist[trade.symbol].Adjust(trade);
}
decimal points = 0;
string[] syms = new string[ptlist.Count];
ptlist.Keys.CopyTo(syms, 0);
for (int i = 0; i < syms.Length; i++)
points += ptlist[syms[i]];
return points;
}
/// <summary>
/// Gets the complete execution list for this account
/// </summary>
/// <param name="a">account to request blotter from.</param>
/// <returns></returns>
public List<Trade> GetTradeList(Account a) { List<Trade> res; bool worked = MasterTrades.TryGetValue(a.ID, out res); return worked ? res : new List<Trade>(); }
/// <summary>
/// Gets the open position for the specified account.
/// </summary>
/// <param name="symbol">The symbol to get a position for.</param>
/// <param name="a">the account.</param>
/// <returns>current position</returns>
public Position GetOpenPosition(string symbol,Account a)
{
Position pos = new PositionImpl(symbol);
if (!MasterTrades.ContainsKey(a.ID)) return pos;
List<Trade> trades = MasterTrades[a.ID];
for (int i = 0; i<trades.Count; i++)
if (trades[i].symbol==symbol)
pos.Adjust(trades[i]);
return pos;
}
public void MultiAccount()
{
const string sym = "TST";
const string me = "tester";
const string other = "anotherguy";
const int od = 20070926;
const int ot = 95400;
Account a = new Account(me);
Account b = new Account(other);
Account c = new Account("sleeper");
OrderImpl oa = new BuyMarket(sym,100);
OrderImpl ob = new BuyMarket(sym, 100);
oa.time = ot;
oa.date = od;
ob.time = ot;
ob.date = od;
oa.Account = me;
ob.Account = other;
// send order to account for jfranta
broker.SendOrderStatus(oa);
broker.SendOrderStatus(ob);
TickImpl t = new TickImpl(sym);
t.trade = 100m;
t.size = 200;
t.date = od;
t.time = ot;
Assert.AreEqual(2,broker.Execute(t));
Position apos = broker.GetOpenPosition(sym,a);
Position bpos = broker.GetOpenPosition(sym,b);
Position cpos = broker.GetOpenPosition(sym, c);
Assert.That(apos.isLong);
Assert.AreEqual(100,apos.Size);
Assert.That(bpos.isLong);
Assert.AreEqual(100,bpos.Size);
Assert.That(cpos.isFlat);
// make sure that default account doesn't register
// any trades
Assert.That(broker.GetOpenPosition(sym).isFlat);
}
public void CancelOrders()
{
Account[] accts = new Account[MasterOrders.Count];
MasterOrders.Keys.CopyTo(accts, 0);
for (int idx = 0; idx < accts.Length; idx++)
CancelOrders(accts[idx]);
}
/// <summary>
/// Gets the open position for the specified account.
/// </summary>
/// <param name="symbol">The symbol to get a position for.</param>
/// <param name="a">the account.</param>
/// <returns>current position</returns>
public Position GetOpenPosition(string symbol,Account a)
{
Position pos = new PositionImpl(symbol);
if (!MasterTrades.ContainsKey(a.ID)) return pos;
foreach (TradeImpl trade in MasterTrades[a.ID])
if (trade.symbol==symbol)
pos.Adjust(trade);
return pos;
}
/// <summary>
/// Gets the closed Points on a specific account, all symbols.
/// </summary>
/// <param name="account">The account.</param>
/// <returns></returns>
public decimal GetClosedPT(Account account)
{
Dictionary<string, PositionImpl> poslist = new Dictionary<string, PositionImpl>();
Dictionary<string, decimal> ptlist = new Dictionary<string, decimal>();
if (!MasterTrades.ContainsKey(account.ID)) return 0;
foreach (TradeImpl trade in MasterTrades[account.ID])
{
if (!poslist.ContainsKey(trade.symbol))
{
poslist.Add(trade.symbol, new PositionImpl(trade.symbol));
ptlist.Add(trade.symbol, 0);
}
ptlist[trade.symbol] += Calc.ClosePT(poslist[trade.symbol], trade);
poslist[trade.symbol].Adjust(trade);
}
decimal points = 0;
foreach (string sym in ptlist.Keys)
points += ptlist[sym];
return points;
}
/// <summary>
/// Gets the closed points (points = PL on per-share basis) for given symbol/account.
/// </summary>
/// <param name="symbol">The symbol.</param>
/// <param name="account">The account.</param>
/// <returns>points</returns>
public decimal GetClosedPT(string symbol, Account account)
{
PositionImpl pos = new PositionImpl(symbol);
decimal points = 0;
if (!MasterTrades.ContainsKey(account.ID)) return points;
foreach (TradeImpl t in MasterTrades[account.ID])
{
points += Calc.ClosePT(pos, t);
pos.Adjust(t);
}
return points;
}
/// <summary>
/// Gets the closed PL for an entire account. (all symbols)
/// </summary>
/// <param name="a">The account.</param>
/// <returns>Closed PL</returns>
public decimal GetClosedPL(Account a)
{
Dictionary<string, Position> poslist = new Dictionary<string, Position>();
Dictionary<string,decimal> pllist = new Dictionary<string,decimal>();
if (!MasterTrades.ContainsKey(a.ID)) return 0;
foreach (TradeImpl trade in MasterTrades[a.ID])
{
if (!poslist.ContainsKey(trade.symbol))
{
poslist.Add(trade.symbol, new PositionImpl(trade.symbol));
pllist.Add(trade.symbol, 0);
}
pllist[trade.symbol] += poslist[trade.symbol].Adjust(trade);
}
decimal pl = 0;
foreach (string sym in pllist.Keys)
pl += pllist[sym];
return pl;
}
/// <summary>
/// Gets the closed PL for a particular symbol and brokerage account.
/// </summary>
/// <param name="symbol">The symbol.</param>
/// <param name="a">The Account.</param>
/// <returns>Closed PL</returns>
public decimal GetClosedPL(string symbol, Account a)
{
Position pos = new PositionImpl(symbol);
decimal pl = 0;
if (!MasterTrades.ContainsKey(a.ID)) return pl;
foreach (Trade trade in MasterTrades[a.ID])
{
if (trade.symbol == pos.Symbol)
pl += pos.Adjust(trade);
}
return pl;
}
public void CancelOrders(Account a)
{
if (!MasterOrders.ContainsKey(a)) return;
List<Order> orders = MasterOrders[a];
for (int i = 0; i < orders.Count; i++)
{
Order o = orders[i];
//send cancel notifcation to any subscribers
if ((GotOrderCancel != null) && a.Notify)
GotOrderCancel(o.symbol, o.side, o.id);
if ((GotOrderCancelEvent != null) && a.Notify)
GotOrderCancelEvent(o.id);
}
MasterOrders[a].Clear(); // clear the account
}
public bool Equals(Account a)
{
return this._id.Equals(a.ID);
}
/// <summary>
/// Gets the list of open orders for this account.
/// </summary>
/// <param name="a">Account.</param>
/// <returns></returns>
public List<Order> GetOrderList(Account a) { List<Order> res; bool worked = MasterOrders.TryGetValue(a, out res); return worked ? res : new List<Order>(); }
protected void AddOrder(Order o,Account a)
{
if (!a.isValid) throw new Exception("Invalid account provided"); // account must be good
if ((FillMode== FillMode.OwnBook) && a.Execute)
{
// get best bid or offer from opposite side,
// see if we can match against this BBO and cross locally
Order match = BestBidOrOffer(o.symbol, !o.side);
// first we need to make sure the book we're matching to allows executions
Account ma = new Account();
if (acctlist.TryGetValue(match.Account,out ma) && ma.Execute)
{
// if it's allowed, try to match it
bool filled = o.Fill(match);
int avail = o.UnsignedSize;
// if it matched
if (filled)
{
// record trade
Trade t = (Trade)o;
MasterTrades[a.ID].Add(t);
// notify the trade occured
if (GotFill != null)
GotFill(t);
// update the order's size (in case it was a partial fill)
o.size = (avail - Math.Abs(t.xsize)) * (o.side ? 1 : -1);
// if it was a full fill, no need to add order to the book
if (Math.Abs(t.xsize) == avail) return;
}
}
}
// add any remaining order to book as new liquidity route
List<Order> tmp;
// see if we have a book for this account
if (!MasterOrders.TryGetValue(a, out tmp))
{
tmp = new List<Order>();
MasterOrders.Add(a, tmp); // if not, create one
}
o.Account = a.ID; // make sure order knows his account
tmp.Add(o); // record the order
// increment pending count
_pendorders++;
}
/// <summary>
/// Gets the closed PL for a particular symbol and brokerage account.
/// </summary>
/// <param name="symbol">The symbol.</param>
/// <param name="a">The Account.</param>
/// <returns>Closed PL</returns>
public decimal GetClosedPL(string symbol, Account a)
{
Position pos = new PositionImpl(symbol);
decimal pl = 0;
if (!MasterTrades.ContainsKey(a.ID)) return pl;
List<Trade> trades = MasterTrades[a.ID];
for (int i = 0; i < trades.Count; i++)
{
if (trades[i].symbol == pos.Symbol)
pl += pos.Adjust(trades[i]);
}
return pl;
}
/// <summary>
/// cancel order from any account
/// </summary>
/// <param name="orderid"></param>
/// <returns></returns>
public bool CancelOrder(long orderid)
{
bool worked = false;
Account[] accts = new Account[MasterOrders.Count];
MasterOrders.Keys.CopyTo(accts,0);
for (int i = 0; i<accts.Length; i++)
worked |= CancelOrder(accts[i], orderid);
return worked;
}
/// <summary>
/// Gets the closed points (points = PL on per-share basis) for given symbol/account.
/// </summary>
/// <param name="symbol">The symbol.</param>
/// <param name="account">The account.</param>
/// <returns>points</returns>
public decimal GetClosedPT(string symbol, Account account)
{
PositionImpl pos = new PositionImpl(symbol);
decimal points = 0;
if (!MasterTrades.ContainsKey(account.ID)) return points;
List<Trade> trades = MasterTrades[account.ID];
for (int i = 0; i < trades.Count; i++)
{
points += Calc.ClosePT(pos, trades[i]);
pos.Adjust(trades[i]);
}
return points;
}
/// <summary>
/// cancel order for specific account only
/// </summary>
/// <param name="a"></param>
/// <param name="orderid"></param>
/// <returns></returns>
public bool CancelOrder(Account a, long orderid)
{
List<Order> orderlist = new List<Order>();
if (!MasterOrders.TryGetValue(a, out orderlist)) return false;
int cancelidx = -1;
for (int i = orderlist.Count-1; i>=0; i--) // and every order
if (orderlist[i].id == orderid) // if we have order with requested id
{
if ((GotOrderCancel != null) && a.Notify)
GotOrderCancel(orderlist[i].symbol, orderlist[i].side,orderid); //send cancel notifcation to any subscribers
if ((GotOrderCancelEvent != null) && a.Notify)
GotOrderCancelEvent(orderid);
cancelidx = i;
}
if (cancelidx == -1) return false;
MasterOrders[a].RemoveAt(cancelidx);
return true;
}
public Order BestOffer(string symbol, Account account) { return BestBidOrOffer(symbol,false,account); }
/// <summary>
/// Sends the order to the broker. (uses the default account)
/// </summary>
/// <param name="o">The order to be send.</param>
/// <returns>status code</returns>
public int SendOrderStatus(Order o)
{
if (!o.isValid) return (int)MessageTypes.INVALID_ORDERSIZE;
// make sure book is clearly stamped
if (o.Account.Equals(string.Empty, StringComparison.OrdinalIgnoreCase))
{
o.Account = DEFAULT.ID;
return SendOrderAccount(o, DEFAULT);
}
// get account
Account a;
if (!acctlist.TryGetValue(o.Account, out a))
{
a = new Account(o.Account);
AddAccount(a);
}
return SendOrderAccount(o, a);
}
/// <summary>
/// Sends the order to the broker for a specific account.
/// </summary>
/// <param name="o">The order to be sent.</param>
/// <param name="a">the account to send with the order.</param>
/// <returns>status code</returns>
public int SendOrderAccount(Order o,Account a)
{
if (o.id == 0) // if order id isn't set, set it
o.id = _nextorderid++;
if ((GotOrder != null) && a.Notify)
GotOrder(o);
AddOrder(o, a);
return (int)MessageTypes.OK;
}
/// <summary>
/// Sends the order to the broker. (uses the default account)
/// </summary>
/// <param name="o">The order to be send.</param>
/// <returns>status code</returns>
public int sendOrder(Order o)
{
if (!o.isValid) return (int)MessageTypes.INVALID_ORDERSIZE;
if (o.Account == "") // make sure book is clearly stamped
{
o.Account = DEFAULT.ID;
return sendOrder(o, DEFAULT);
}
Account a = new Account();
if (!acctlist.TryGetValue(o.Account,out a))
AddAccount(new Account(o.Account));
return sendOrder(o, acctlist[o.Account]);
}