//public override bool reqOrder_mt4(...
public EFILLED_STATE reqOrder_mt4(string sSymbol, ETRADER_OP nCmd, ref double dLots, ref double dPrice, EORDER_TYPE nOrderType, string sLogicID, string sComment = "",
double dLots_exc = 0, double dPrice_exc = 0, DateTime dtTime_exc = default(DateTime))
{
if (CFATManager.m_nRunMode == ERUN_MODE.SIMULATION)
{
return(base.reqOrder(sSymbol, nCmd, ref dLots, ref dPrice, nOrderType, sLogicID, sComment, dLots, dPrice, DateTime.Now));
}
bool bRet = true;
double dLots_req = dLots;
double dPrice_req = dPrice;
//Send Request newOrder or Close or
if (nCmd == ETRADER_OP.BUY)
{
bRet = m_mt4ApiDLL.mt4_reqNewOrder(sSymbol, "BUY", ref dLots, ref dPrice);
}
if (nCmd == ETRADER_OP.SELL)
{
bRet = m_mt4ApiDLL.mt4_reqNewOrder(sSymbol, "SELL", ref dLots, ref dPrice);
}
if (nCmd == ETRADER_OP.BUY_CLOSE || nCmd == ETRADER_OP.SELL_CLOSE)
{
bRet = closeOrder(sSymbol, nCmd, ref dLots, ref dPrice, nOrderType, sLogicID);
}
if (!bRet)
{
return(EFILLED_STATE.FAIL);
}
return(base.reqOrder(sSymbol, nCmd, ref dLots_req, ref dPrice_req, nOrderType, sLogicID, sComment, dLots, dPrice, DateTime.Now));
}
private EFILLED_STATE register2Vt(string sSymbol, ETRADER_OP nCmd, ref double dLots, ref double dPrice, EORDER_TYPE nOrderType, string sLogicID, string sComment = "",
double dLots_exc = 0, double dPrice_exc = 0, DateTime dtTime_exc = default(DateTime))
{
if (dLots_exc == 0)
{
dLots_exc = dLots;
}
if (dPrice_exc == 0)
{
dPrice_exc = dPrice;
}
if (dtTime_exc == default(DateTime))
{
dtTime_exc = m_rates[sSymbol].m_dtTime;
}
if (nCmd == ETRADER_OP.BUY || nCmd == ETRADER_OP.SELL)
{//For new order
TPosItem posItem = new TPosItem();
posItem.m_dtOpenTime_req = m_rates[sSymbol].m_dtTime;
posItem.m_dtOpenTime_exc = dtTime_exc;
posItem.m_dOpenPrice_req = dPrice;
posItem.m_dOpenPrice_exc = dPrice_exc;
posItem.m_dLots_req = dLots;
posItem.m_dLots_exc = dLots_exc;
posItem.m_nCmd = nCmd;
posItem.m_sSymbol = sSymbol;
posItem.m_dProfit_vt = 0;
posItem.m_sLogicID = sLogicID;
posItem.m_sComment = sComment;
posItem.m_dContractSize = getContractSize(sSymbol);
posItem.m_dCommission_percent = getCommissionPercent(sSymbol);
if (sLogicID != "REQ_MERGE")
{
m_lstPos_vt.Add(posItem);
}
}
if (nCmd == ETRADER_OP.BUY_CLOSE || nCmd == ETRADER_OP.SELL_CLOSE)
{//For close order
closeOrder(sSymbol, nCmd, dLots, dPrice, nOrderType, sLogicID, sComment, dLots_exc, dPrice_exc, dtTime_exc);
}
EFILLED_STATE nRet = EFILLED_STATE.PARTIAL;
if (Math.Abs(dLots - dLots_exc) < CFATCommon.ESP)
{
nRet = EFILLED_STATE.FULL;
}
if (Math.Abs(dLots_exc) < CFATCommon.ESP)
{
nRet = EFILLED_STATE.FAIL;
}
return(nRet);// updateRealPositions();
}
private void calcSHTrailingStop()
{
//m_dTrailingStop_sh
if (m_products[ID_SHANGHAI].getPosCount_vt() == 0)
{
return;
}
ETRADER_OP nCmd = m_products[ID_SHANGHAI].getPosCmd_vt(0);
if (m_products[ID_SHANGHAI].getPosProfit_vt(0) < 500)
{
return;
}
double dSL = 0;
if (nCmd == ETRADER_OP.BUY)
{
dSL = m_dBid_Shanghai - 0.5;
if (m_dTrailingStop_sh < dSL)
{
m_dTrailingStop_sh = dSL;
}
}
if (nCmd == ETRADER_OP.SELL)
{
dSL = m_dAsk_Shanghai + 0.5;
if (m_dTrailingStop_sh > dSL)
{
m_dTrailingStop_sh = dSL;
}
}
}
public void setData(string sData)
{
string[] sVals = sData.Split(',');
m_dtOpenTime_req = Convert.ToDateTime(sVals[0]);
m_dtOpenTime_exc = Convert.ToDateTime(sVals[1]);
m_dtCloseTime_req = Convert.ToDateTime(sVals[2]);
m_dtCloseTime_exc = Convert.ToDateTime(sVals[3]);
m_sSymbol = sVals[4];
m_dLots_req = Convert.ToDouble(sVals[5]);
m_dLots_exc = Convert.ToDouble(sVals[6]);
m_nCmd = TRADER.string2Cmd(sVals[7]);
m_dOpenPrice_req = Convert.ToDouble(sVals[8]);
m_dOpenPrice_exc = Convert.ToDouble(sVals[9]);
m_dClosePrice_req = Convert.ToDouble(sVals[10]);
m_dClosePrice_exc = Convert.ToDouble(sVals[11]);
m_dProfit_real = Convert.ToDouble(sVals[12]);
m_sLogicID = sVals[13];
m_sComment = sVals[14];
}
public bool reqCloseAll(string sComment = "")
{
int nPosCnt = m_site.getPosCount_vt(m_sSymbol, m_sLogicID);
ETRADER_OP nCmd = ETRADER_OP.NONE;
double dPrice = 0;
double dLots = 0;
for (int i = 0; i < nPosCnt; i++)
{
nCmd = m_site.getPosCmd_vt(m_sSymbol, i, m_sLogicID);
if (nCmd == ETRADER_OP.BUY)
{
nCmd = ETRADER_OP.BUY_CLOSE;
}
if (nCmd == ETRADER_OP.SELL)
{
nCmd = ETRADER_OP.SELL_CLOSE;
}
dPrice = m_site.getPosClosePrice_req(m_sSymbol, i, m_sLogicID);
dLots = m_site.getPosLots_exc(m_sSymbol, i, m_sLogicID);
m_site.reqOrder(m_sSymbol, nCmd, ref dLots, ref dPrice, EORDER_TYPE.MARKET, m_sLogicID, sComment);
}
return(true);
}
// ---
public int reqOrder_async(ETRADER_OP nCmd, double dLots, double dPrice, EORDER_TYPE nOrderType, int nPriority, string sComment = "")
{
m_reqOrder_async.m_bProcessed = false;
m_reqOrder_async.setProduct(m_sSymbol, m_site, m_sLogicID, m_dContractSize);
m_reqOrder_async.setVal(nCmd, dLots, dPrice, nOrderType, nPriority, m_sLogicID, sComment);
return(CSiteMng.registerOrder(m_reqOrder_async));
}
private void checkForClose()
{
if (m_product_diff.getPosCount_vt() == 0)
{
return;
}
//CheckForClose by Signal line
int nSignal = getSignal();
int nSig_cc = m_indCC.getSignal(ex_dOpen_abs, ex_dClose_abs);
ETRADER_OP nCmd = m_product_diff.getPosCmd_vt(0);
if (nCmd == ETRADER_OP.BUY && TRADER.isContain(nSignal, (int)ETRADER_OP.BUY_CLOSE) &&
TRADER.isContain(nSig_cc, (int)ETRADER_OP.BUY_CLOSE))
{
requestOrder(ETRADER_OP.BUY_CLOSE);
return;
}
if (nCmd == ETRADER_OP.SELL && TRADER.isContain(nSignal, (int)ETRADER_OP.SELL_CLOSE) &&
TRADER.isContain(nSig_cc, (int)ETRADER_OP.SELL_CLOSE))
{
requestOrder(ETRADER_OP.SELL_CLOSE);
return;
}
//CheckForClose by Absolution profit
if (m_products[0].getPosProfit_vt(0) + m_products[1].getPosProfit_vt(0) * m_products[2].m_dMid >= ex_dP_ABS)
{
if (nCmd == ETRADER_OP.BUY)
{
requestOrder(ETRADER_OP.BUY_CLOSE);
}
if (nCmd == ETRADER_OP.SELL)
{
requestOrder(ETRADER_OP.SELL_CLOSE);
}
return;
}
/*
* //CheckForClose by MarketEndTime with minimum profit, 15:00~ 15:30
* if ( CFATCommon.m_dtCurTime.Hour == 15 )
* {
* if (m_products[0].getPosProfit_vt(0) + m_products[1].getPosProfit_vt(0) * m_products[2].m_dMid >= ex_dP_MIN)
* {
* if (nCmd == ETRADER_OP.BUY)
* requestOrder(ETRADER_OP.BUY_CLOSE);
* if (nCmd == ETRADER_OP.SELL)
* requestOrder(ETRADER_OP.SELL_CLOSE);
* return;
* }
* }
*/
}
public static ETRADER_OP getCloseCmd(ETRADER_OP nCmd)
{
if (nCmd == ETRADER_OP.BUY)
{
return(ETRADER_OP.BUY_CLOSE);
}
if (nCmd == ETRADER_OP.SELL)
{
return(ETRADER_OP.SELL_CLOSE);
}
return(nCmd);
}
public void requestOrder(ETRADER_OP nCmd, double dLots_req, bool bReqAsync = false)
{
double dReqPrice_A = 0;
double dReqPrice_B = 0;
double dReqPrice_C = 0;
double dLots = dLots_req;
//HSM???
// if (nCmd == ETRADER_OP.BUY_CLOSE || nCmd == ETRADER_OP.SELL_CLOSE)
// dLots = Math.Abs(m_product_A.getPosLots_Total_real()); //Some times there is different virtual & real lots
if (nCmd == ETRADER_OP.BUY || nCmd == ETRADER_OP.SELL_CLOSE)
{
dReqPrice_A = m_product_A.m_dAsk;
dReqPrice_B = m_product_B.m_dBid;
if (m_nType_trade == EPRODUCT_TYPE_TRADE.A_BC)
{
dReqPrice_C = m_product_C.m_dBid;
}
}
if (nCmd == ETRADER_OP.SELL || nCmd == ETRADER_OP.BUY_CLOSE)
{
dReqPrice_A = m_product_A.m_dBid;
dReqPrice_B = m_product_B.m_dAsk;
if (m_nType_trade == EPRODUCT_TYPE_TRADE.A_BC)
{
dReqPrice_C = m_product_C.m_dAsk;
}
}
if (!bReqAsync)
{
m_product_A.reqOrder(nCmd, ref dLots, ref dReqPrice_A, EORDER_TYPE.MARKET);//First Order
m_product_B.reqOrder(TRADER.cmdOpposite(nCmd), ref dLots, ref dReqPrice_B, EORDER_TYPE.MARKET);
if (m_nType_trade == EPRODUCT_TYPE_TRADE.A_BC)
{
m_product_C.reqOrder(TRADER.cmdOpposite(nCmd), ref dLots, ref dReqPrice_C, EORDER_TYPE.MARKET);
}
}
else
{
m_product_A.reqOrder_async(nCmd, dLots, dReqPrice_A, EORDER_TYPE.PENDING_STOP, 0);//First Order
m_product_B.reqOrder_async(TRADER.cmdOpposite(nCmd), dLots * 0.32, dReqPrice_B, EORDER_TYPE.MARKET, 1);
if (m_nType_trade == EPRODUCT_TYPE_TRADE.A_BC)
{
m_product_C.reqOrder_async(TRADER.cmdOpposite(nCmd), dLots * 0.46, dReqPrice_C, EORDER_TYPE.MARKET, 2);
}
}
}
private bool isValidCloseCommand(ETRADER_OP posCmd, ETRADER_OP reqCmd)
{
if (reqCmd == ETRADER_OP.BUY_CLOSE && posCmd == ETRADER_OP.BUY)
{
return(true);
}
if (reqCmd == ETRADER_OP.SELL_CLOSE && posCmd == ETRADER_OP.SELL)
{
return(true);
}
return(false);
}
private void checkForClose()
{
// added by cmh
if (m_bIsFirstThreadLive || m_bIsSecondThreadLive)
{
return;
}
if (m_products[_FIRST].m_site.getStatus() == Site.CSite.SITE_STATUS.PROCESSING || m_products[_SECOND].m_site.getStatus() == Site.CSite.SITE_STATUS.PROCESSING)
{
return;
}
// ---
if (m_products[_FIRST].getPosCount_vt() == 0)
{
return;
}
if ((DateTime.Now - m_dtLastFilledTime).TotalSeconds < ex_nPosHoldTimeSec)
{
return;
}
int nSignal = getSignal();
ETRADER_OP nCmd = m_products[_FIRST].getPosCmd_vt(0);
double dLots = ex_dLots;
if (nCmd == ETRADER_OP.BUY && TRADER.isContain(nSignal, (int)ETRADER_OP.BUY_CLOSE))
{
if (CFATManager.isOnlineMode())
{
CFATLogger.output_proc("close buy !");
}
requestOrder(ETRADER_OP.BUY_CLOSE);
check3Times_loss();
return;
}
if (nCmd == ETRADER_OP.SELL && TRADER.isContain(nSignal, (int)ETRADER_OP.SELL_CLOSE))
{
if (CFATManager.isOnlineMode())
{
CFATLogger.output_proc("close sell !");
}
requestOrder(ETRADER_OP.SELL_CLOSE);
check3Times_loss();
return;
}
}
public void setVal(ETRADER_OP nCmd, double dLots_req, double dPrice_req, EORDER_TYPE nOrderType,
int nPriority, string sLogicID, string sComment)
{
m_nCmd = nCmd;
m_dLots_req = dLots_req;
m_dPrice_req = dPrice_req;
m_nOrderType = nOrderType;
m_nPriority = nPriority;
m_sLogicID = sLogicID;
m_sComment = sComment;
m_dLots_exc = 0;
m_nOrderResult = EFILLED_STATE.FAIL;
m_dPrice_exc = 0;
}
public override EFILLED_STATE reqOrder(string sSymbol, ETRADER_OP nCmd, ref double dLots, ref double dPrice, EORDER_TYPE nOrderType, string sLogicID, string sComment = "",
double dLots_exc = 0, double dPrice_exc = 0, DateTime dtTime_exc = default(DateTime))
{
EFILLED_STATE nRet = EFILLED_STATE.FULL;
ETRADER_OP nCmd_req = nCmd;
double dLots_req = dLots;
available_lots_cmd(sSymbol, ref nCmd_req, ref dLots_req);
if (Math.Abs(dLots_req - dLots) > CFATCommon.ESP)
{
nRet = EFILLED_STATE.PARTIAL;
dLots = dLots_req;
}
base.reqOrder(sSymbol, nCmd_req, ref dLots_req, ref dPrice, nOrderType, sLogicID, sComment, dLots_req, dPrice, CFATCommon.m_dtCurTime);
return(nRet);
}
public override EFILLED_STATE reqOrder(string sSymbol, ETRADER_OP nCmd, ref double dLots, ref double dPrice, EORDER_TYPE nOrderType, string sLogicID, string sComment = "",
double dLots_exc = 0, double dPrice_exc = 0, DateTime dtTime_exc = default(DateTime))
{
if (CFATManager.m_nRunMode == ERUN_MODE.SIMULATION)
{
return(base.reqOrder(sSymbol, nCmd, ref dLots, ref dPrice, nOrderType, sLogicID, sComment, dLots, dPrice, DateTime.Now));
}
//Send Request newOrder or Close or
//MessageBox.Show("CSiteFixMt4::reqOrder !");
string sOrderID = "FAT" + DateTime.Now.ToString("yyyyMMddHHmmssfff");
double dAmount = 0;
string sFixSymbol = sSymbol;
if (sFixSymbol.Contains(".agg"))//HSM_TestCode!!!
{
sFixSymbol = sSymbol.Insert(3, "/");
sFixSymbol = sFixSymbol.Replace(".agg", "");
}
string sCmd = "";
if (nCmd == ETRADER_OP.BUY || nCmd == ETRADER_OP.SELL_CLOSE)
{
sCmd = "BUY";
}
if (nCmd == ETRADER_OP.SELL || nCmd == ETRADER_OP.BUY_CLOSE)
{
sCmd = "SELL";
}
dAmount = dLots * getContractSize(sSymbol);
//MessageBox.Show("Before QueryEnterOrder!");
CFATLogger.output_proc(string.Format("Fix req : sym={0},price={1}, amount={2}, order id= {3}, acc = {4}, cmd = {5}", sFixSymbol, dPrice, dAmount, sOrderID, m_sFixAcc, sCmd));
double dPrice_req = dPrice;
double dLots_req = dLots;
int nRet = m_fixApi_trade.QueryEnterOrder(sFixSymbol, sCmd, ref dPrice, ref dAmount, sOrderID, m_sFixAcc);
dLots = dAmount / getContractSize(sSymbol);
CFATLogger.output_proc(string.Format("Fix response : result = {0}, sym={1},price={2}, amount={3}, ", nRet, sFixSymbol, dPrice, dAmount));
//if ( nRet == TORDER_RESULT.FILLED) //HSM_???
return(base.reqOrder(sSymbol, nCmd, ref dLots_req, ref dPrice_req, nOrderType, sLogicID, sComment, dLots, dPrice, DateTime.Now));
//return false;
}
private bool closeOrder(string sSymbol, ETRADER_OP nCmd, ref double dLots, ref double dPrice, EORDER_TYPE nOrderType, string sLogicID, string sComment = "")
{
CFATLogger.output_proc(string.Format("close order : site = {0}, sym= {1}, cmd = {2}, lots = {3}", m_sSiteName, sSymbol, nCmd, dLots));
double dRemainLots = dLots;
TPosItem posItem;
bool bRet = true;
for (int i = 0; i < m_lstPos_real.Count; i++)
{
posItem = m_lstPos_real[i];
if (posItem.m_sSymbol != sSymbol)
{
continue;
}
//if (posItem.m_nLogicID != nLogicID) continue;
if (!isValidCloseCommand(posItem.m_nCmd, nCmd))
{
continue;
}
if (dRemainLots >= posItem.m_dLots_exc)
{
CFATLogger.output_proc(string.Format("close item : ticket = {0}, lots = {1}", posItem.m_nTicket, posItem.m_dLots_exc));
bRet = m_mt4ApiDLL.mt4_reqCloseOrder(posItem.m_nTicket, ref posItem.m_dLots_exc, ref dPrice);
dRemainLots -= posItem.m_dLots_exc;
}
else
{
CFATLogger.output_proc(string.Format("close item : ticket = {0}, lots = {1}", posItem.m_nTicket, dRemainLots));
bRet = m_mt4ApiDLL.mt4_reqCloseOrder(posItem.m_nTicket, ref dRemainLots, ref dPrice);
dRemainLots = 0;
}
if (Math.Abs(dRemainLots) < CFATCommon.ESP)
{
break;
}
}
return(true);
}
private void checkForClose()
{
if (m_product_diff.getPosCount_vt() == 0)
{
return;
}
int nSignal = getSignal();
ETRADER_OP nCmd = m_product_diff.getPosCmd_vt(0);
if (nCmd == ETRADER_OP.BUY && TRADER.isContain(nSignal, (int)ETRADER_OP.BUY_CLOSE))
{
requestOrder(ETRADER_OP.BUY_CLOSE);
}
if (nCmd == ETRADER_OP.SELL && TRADER.isContain(nSignal, (int)ETRADER_OP.SELL_CLOSE))
{
requestOrder(ETRADER_OP.SELL_CLOSE);
}
}
public static string cmd2String(ETRADER_OP nCmd)
{
if (nCmd == ETRADER_OP.BUY)
{
return("BUY");
}
if (nCmd == ETRADER_OP.SELL)
{
return("SELL");
}
if (nCmd == ETRADER_OP.BUY_CLOSE)
{
return("BUYCLOSE");
}
if (nCmd == ETRADER_OP.SELL_CLOSE)
{
return("SELLCLOSE");
}
return("NONE");
}
private bool isHedgePosition(string sSymbol, double dLots, ETRADER_OP nCmd)
{
foreach (TPosItem posItem in m_lstPos_real)
{
if (posItem.m_sSymbol != sSymbol)
{
continue;
}
if (Math.Abs(posItem.m_dLots_exc - dLots) > CFATCommon.ESP)
{
continue;
}
if (posItem.m_nCmd != nCmd)
{//Hedge position
m_lstPos_real.Remove(posItem);
return(true);
}
}
return(false);
}
public override EFILLED_STATE reqOrder(string sSymbol, ETRADER_OP nCmd, ref double dLots, ref double dPrice, EORDER_TYPE nOrderType, string sLogicID, string sComment = "",
double dLots_exc = 0, double dPrice_exc = 0, DateTime dtTime_exc = default(DateTime))
{
if (CFATManager.m_nRunMode == ERUN_MODE.SIMULATION)
{
return(base.reqOrder(sSymbol, nCmd, ref dLots, ref dPrice, nOrderType, sLogicID, sComment, dLots, dPrice, DateTime.Now));
}
string sCmd = TRADER.cmd2String(nCmd);
double dLots_req = dLots;
double dPrice_req = dPrice;
bool bRet = CSHGoldAPI.sg_newOrder(sSymbol, sCmd, ref dPrice, ref dLots);
if (!bRet)
{
return(EFILLED_STATE.FAIL);
}
return(base.reqOrder(sSymbol, nCmd, ref dLots_req, ref dPrice_req, nOrderType, sLogicID, sComment, dLots, dPrice, DateTime.Now));
}
public static ETRADER_OP cmdOpposite(ETRADER_OP nCmd)
{
if (nCmd == ETRADER_OP.BUY)
{
return(ETRADER_OP.SELL);
}
if (nCmd == ETRADER_OP.SELL)
{
return(ETRADER_OP.BUY);
}
if (nCmd == ETRADER_OP.BUY_CLOSE)
{
return(ETRADER_OP.SELL_CLOSE);
}
if (nCmd == ETRADER_OP.SELL_CLOSE)
{
return(ETRADER_OP.BUY_CLOSE);
}
return(ETRADER_OP.NONE);
}
private void calcATRVal()
{
if (m_products[ID_SHANGHAI].getPosCount_vt() == 0)
{
return;
}
ETRADER_OP nCmd = m_products[ID_SHANGHAI].getPosCmd_vt(0);
for (int i = 0; i < ex_nATRPeriod; i++)
{
m_dATR += Math.Abs(m_products[ID_LONDON].getTick(i).dBid - m_products[ID_LONDON].getTick(i + 1).dBid);
}
m_dATR = m_dATR / ex_nATRPeriod;
//m_dATR = m_products[ID_LONDON].getStd_tick(ex_nATRPeriod);
if (m_dATR < 0.2)
{
m_dATR = 0.2;
}
double dSL = 0;
if (nCmd == ETRADER_OP.BUY)
{
dSL = m_dMid_London - m_dATR * ex_dATRMultiple;
if (m_dTrailingStop_ld < dSL)
{
m_dTrailingStop_ld = (m_dTrailingStop_ld + dSL) / 2;
}
}
if (nCmd == ETRADER_OP.SELL)
{
dSL = m_dMid_London + m_dATR * ex_dATRMultiple;
if (m_dTrailingStop_ld > dSL)
{
m_dTrailingStop_ld = (m_dTrailingStop_ld + dSL) / 2;
}
}
}
public void clearPositions()
{
//Clear Virtual positions
m_site.clearVirtualPositions(m_sSymbol);
//Clear Real positions
double dLots = m_site.getPosLots_Total_real(m_sSymbol);
if (Math.Abs(dLots) < CFATCommon.ESP)
{
return;
}
ETRADER_OP nCmd = ETRADER_OP.NONE;
if (dLots > 0) // Buy
{
nCmd = ETRADER_OP.BUY_CLOSE;
}
else // Sell
{
nCmd = ETRADER_OP.SELL_CLOSE;
}
double dReqLots = Math.Abs(dLots);
double dReqPrice = 0;
if (nCmd == ETRADER_OP.BUY_CLOSE) //Sell
{
dReqPrice = getTick(0).dBid;
}
if (nCmd == ETRADER_OP.SELL_CLOSE) //Buy
{
dReqPrice = getTick(0).dAsk;
}
reqOrder(nCmd, ref dReqLots, ref dReqPrice, EORDER_TYPE.MARKET);
}
public override EFILLED_STATE reqOrder(string sSymbol, ETRADER_OP nCmd, ref double dLots, ref double dPrice, EORDER_TYPE nOrderType, string sLogicID, string sComment = "",
double dLots_exc = 0, double dPrice_exc = 0, DateTime dtTime_exc = default(DateTime))
{
if (CFATManager.m_nRunMode == ERUN_MODE.SIMULATION)
{
return(base.reqOrder(sSymbol, nCmd, ref dLots, ref dPrice, nOrderType, sLogicID, sComment, dLots, dPrice, DateTime.Now));
}
double dAmount = 0;
string sCmd = "";
if (nCmd == ETRADER_OP.BUY || nCmd == ETRADER_OP.SELL_CLOSE)
{
sCmd = "BUY";
}
if (nCmd == ETRADER_OP.SELL || nCmd == ETRADER_OP.BUY_CLOSE)
{
sCmd = "SELL";
}
dAmount = dLots * getContractSize(sSymbol);
CFATLogger.output_proc(string.Format("IB req : sym={0},price={1}, amount={2}, cmd = {3}", sSymbol, dPrice, dAmount, sCmd));
double dPrice_req = dPrice;
double dLots_req = dLots;
bool bRet = apiIB.reqOrder(sSymbol, sCmd, ref dAmount, ref dPrice);
dLots = dAmount / getContractSize(sSymbol);
CFATLogger.output_proc(string.Format("IB response : result = {0}, sym={1},price={2}, amount={3}, ", bRet, sSymbol, dPrice, dAmount));
//if ( nRet == TORDER_RESULT.FILLED) //HSM_???
if (!bRet)
{
return(EFILLED_STATE.FAIL);
}
return(base.reqOrder(sSymbol, nCmd, ref dLots_req, ref dPrice_req, nOrderType, sLogicID, sComment, dLots, dPrice, DateTime.Now));
//return false;
}
private void checkForClose()
{
if (m_products[ID_SHANGHAI].getPosCount_vt() == 0)
{
return;
}
ETRADER_OP nCmd = m_products[ID_SHANGHAI].getPosCmd_vt(0);
ETRADER_OP nCloseCmd = TRADER.getCloseCmd(nCmd);
double dProfit = m_products[ID_SHANGHAI].getPosProfit_vt(0);
setMinMax_forLog();
if (isMarketCloseTime_forClose())
{
//m_products[ID_SHANGHAI].reqCloseAll("Market Time Close");
requestOrder(nCloseCmd, getMinMaxStr_forLog());
return;
}
int nSignal = getSignal();
if (nCmd == ETRADER_OP.BUY && TRADER.isContain(nSignal, (int)ETRADER_OP.BUY_CLOSE))
{
//m_products[ID_SHANGHAI].reqCloseAll();
requestOrder(ETRADER_OP.BUY_CLOSE, getMinMaxStr_forLog());
return;
}
if (nCmd == ETRADER_OP.SELL && TRADER.isContain(nSignal, (int)ETRADER_OP.SELL_CLOSE))
{
//m_products[ID_SHANGHAI].reqCloseAll();
requestOrder(ETRADER_OP.SELL_CLOSE, getMinMaxStr_forLog());
return;
}
}
public void requestOrder(ETRADER_OP nCmd)
{
if (nCmd == ETRADER_OP.BUY || nCmd == ETRADER_OP.SELL)
{
setParam_newOrder(ex_nIsNewOrder - 1);
}
if (CFATManager.isOnlineMode())
{
CFATLogger.output_proc(string.Format("Order : {0}, diff = {1}", nCmd.ToString(), m_product_diff.m_dMid));
}
m_product_diff.requestOrder(nCmd, ex_dLots, true);
if (CFATManager.isOnlineMode())
{
setState(ELOGIC_STATE.WAITING_ORDER_RESPONSE);
}
else
{
setState(ELOGIC_STATE.NORMAL);
}
//setState(ELOGIC_STATE.NEED_CHECK_POSITION_MATCH);
}
private void calcSARVal()
{
if (m_products[ID_SHANGHAI].getPosCount_vt() == 0)
{
return;
}
ETRADER_OP nCmd = m_products[ID_SHANGHAI].getPosCmd_vt(0);
if (nCmd == ETRADER_OP.BUY)
{
if (m_dMaxVal + ex_dLDStepForSAR < m_dMid_London)
{
m_dMaxVal = m_dMid_London;
m_dAlpha += ex_dSARStep;
if (m_dAlpha > ex_dSARMax)
{
m_dAlpha = ex_dSARMax;
}
m_dTrailingStop_ld = m_dTrailingStop_ld + m_dAlpha * (m_dMaxVal - m_dTrailingStop_ld);
}
}
if (nCmd == ETRADER_OP.SELL)
{
if (m_dMaxVal - ex_dLDStepForSAR > m_dMid_London)
{
m_dMaxVal = m_dMid_London;
m_dAlpha += ex_dSARStep;
if (m_dAlpha > ex_dSARMax)
{
m_dAlpha = ex_dSARMax;
}
m_dTrailingStop_ld = m_dTrailingStop_ld + m_dAlpha * (m_dMaxVal - m_dTrailingStop_ld);
}
}
m_dTrailingStop_ld = m_dTrailingStop_ld + (ex_dAlphaSAR) * (m_dMaxVal - m_dTrailingStop_ld);
}
private void closeOrder(string sSymbol, ETRADER_OP nCmd, double dLots, double dPrice, EORDER_TYPE nOrderType, string sLogicID, string sComment = "",
double dLots_exc = 0, double dPrice_exc = 0, DateTime dtTime_exc = default(DateTime))
{
if (sLogicID == "REQ_MERGE")
{
return;
}
double dRemainLots = dLots_exc;
TPosItem posItem;
for (int i = 0; i < m_lstPos_vt.Count; i++)
{
posItem = m_lstPos_vt[i];
if (posItem.m_sSymbol != sSymbol)
{
continue;
}
if (posItem.m_sLogicID != sLogicID)
{
continue;
}
if (!isValidCloseCommand(posItem.m_nCmd, nCmd))
{
continue;
}
if (dRemainLots >= posItem.m_dLots_exc - CFATCommon.ESP)
{
m_lstPos_vt.Remove(posItem);
i--;
posItem.m_sComment += "@";
posItem.m_sComment += sComment;
posItem.m_dClosePrice_exc = dPrice_exc;
posItem.m_dtCloseTime_req = m_rates[sSymbol].m_dtTime;
posItem.m_dtCloseTime_exc = dtTime_exc;
posItem.calcProfit();
addToHistoryItem(posItem);
dRemainLots -= posItem.m_dLots_exc;
}
else
{
posItem.m_dLots_exc -= dRemainLots;
posItem.calcProfit();
m_lstPos_vt[i] = posItem;
posItem.m_dLots_exc = dRemainLots;
posItem.m_sComment += "@";
posItem.m_sComment += sComment;
posItem.m_dClosePrice_exc = dPrice_exc;
posItem.m_dtCloseTime_req = m_rates[sSymbol].m_dtTime;
posItem.m_dtCloseTime_exc = dtTime_exc;
posItem.calcProfit();
addToHistoryItem(posItem);
dRemainLots = 0;
}
if (Math.Abs(dRemainLots) < CFATCommon.ESP)
{
break;
}
}
}
// modified by cmh
public EFILLED_STATE reqOrder_withoutEXC(ETRADER_OP nCmd, ref double dLots, ref double dPrice, EORDER_TYPE nOrderType, string sLogicID, string sComment = "")
{
return(m_site.reqOrder_withoutEXC(m_sSymbol, nCmd, ref dLots, ref dPrice, nOrderType, sLogicID, sComment));
}
public void available_lots_cmd(string sSymbol, ref ETRADER_OP nCmd, ref double dLots)
{
double dLots_real = 0;
if (CFATManager.m_nRunMode == ERUN_MODE.REALTIME)
{
dLots_real = getPosLots_Total_real(sSymbol);
}
else
{
dLots_real = getPosLots_Total_vt(sSymbol);
}
//Case 1 :
if (Math.Abs(dLots_real) < CFATCommon.ESP)
{
if (nCmd == ETRADER_OP.BUY_CLOSE)
{
nCmd = ETRADER_OP.SELL;
}
if (nCmd == ETRADER_OP.SELL_CLOSE)
{
nCmd = ETRADER_OP.BUY;
}
return;
}
ETRADER_OP nCmd_real = ETRADER_OP.NONE;
dLots_real = Math.Abs(dLots_real);
if (dLots_real > CFATCommon.ESP)
{
nCmd_real = ETRADER_OP.BUY;
}
else
{
nCmd_real = ETRADER_OP.SELL;
}
//Case 2 :
if (nCmd_real == nCmd)
{
return;
}
//Case 3 :
if (nCmd_real == ETRADER_OP.BUY)
{
if (nCmd == ETRADER_OP.SELL)
{//Case 3-1 :
nCmd = ETRADER_OP.BUY_CLOSE;
if (dLots_real < dLots - CFATCommon.ESP)
{
dLots = dLots_real;
}
return;
}
if (nCmd == ETRADER_OP.BUY_CLOSE)
{//Case 3-2 :
if (dLots_real < dLots - CFATCommon.ESP)
{
dLots = dLots_real;
}
return;
}
if (nCmd == ETRADER_OP.SELL_CLOSE)
{//Case 3-3 :
return;
}
}
//Case 4 :
if (nCmd_real == ETRADER_OP.SELL)
{
if (nCmd == ETRADER_OP.BUY)
{//Case 4-1 :
nCmd = ETRADER_OP.SELL_CLOSE;
if (dLots_real < dLots - CFATCommon.ESP)
{
dLots = dLots_real;
}
return;
}
if (nCmd == ETRADER_OP.SELL_CLOSE)
{//Case 4-2 :
if (dLots_real < dLots - CFATCommon.ESP)
{
dLots = dLots_real;
}
return;
}
if (nCmd == ETRADER_OP.BUY_CLOSE)
{//Case 4-3 :
return;
}
}
}
public virtual EFILLED_STATE reqOrder(string sSymbol, ETRADER_OP nCmd, ref double dLots, ref double dPrice, EORDER_TYPE nOrderType, string sLogicID, string sComment = "",
double dLots_exc = 0, double dPrice_exc = 0, DateTime dtTime_exc = default(DateTime))
{
return(register2Vt(sSymbol, nCmd, ref dLots, ref dPrice, nOrderType, sLogicID, sComment, dLots_exc, dPrice_exc, dtTime_exc));
}
