public static void Trace(string inMessage)
{
var consoleMessage = DateTime.Now.ToString() + " " + inMessage;
Console.WriteLine(consoleMessage);
FileTracing.TraceOut(inMessage);
}
public static ProgramRemoteControl GetProgramRemoteControlValue()
{
string pageData = HttpHelper.GetWebPageResponse("http://sites.google.com/site/munishgoyal/",
null,
null,
new CookieContainer());
ProgramRemoteControl controlValue = ProgramRemoteControl.RUN;
if (!string.IsNullOrEmpty(pageData))
{
if (pageData.Contains("StopKalaPudinaStockTraderPause"))
{
controlValue = ProgramRemoteControl.PAUSE;
}
else if (pageData.Contains("StopKalaPudinaStockTraderStop"))
{
controlValue = ProgramRemoteControl.STOP;
}
else if (pageData.Contains("StopKalaPudinaStockTraderHibernate"))
{
controlValue = ProgramRemoteControl.HIBERNATE;
}
else if (pageData.Contains("StopKalaPudinaStockTraderAtEndHibernate"))
{
controlValue = ProgramRemoteControl.HIBERNATEATEND;
}
}
string traceString = string.Format("GetProgramRemoteControlValue: {0}, {1}", controlValue.ToString(),
string.IsNullOrEmpty(pageData) ? "Failed Fetch" : "Succesful Contact");
FileTracing.TraceOut(traceString);
return(controlValue);
}
// Check Last Refresh time & if past 3 minutes then login
// Even if someone else acquired login Session by weblogin etc.
// Still this should work as the LastLoginRefreshTime becomes stale eventually and
// resulting into relogin trigger
// Keep calling this in a separate thread
public BrokerErrorCode CheckAndLogInIfNeeded(bool bForceLogin, bool bCheckRemoteControl = false)
{
TimeSpan maxTimeWithoutRefresh = new TimeSpan(0, 3, 0);
BrokerErrorCode errorCode = TouchServer();
lock (lockLoginMethod)
{
if (bForceLogin || (errorCode != BrokerErrorCode.Success) || ((DateTime.Now - LastLoginRefreshTime) > maxTimeWithoutRefresh))
{
ProgramRemoteControl remoteControlValue = ProgramRemoteControl.RUN;
if (bCheckRemoteControl)
{
remoteControlValue = RemoteUtils.GetProgramRemoteControlValue();
}
// keep looping until PAUSE status is reset
if (remoteControlValue.Equals(ProgramRemoteControl.PAUSE) ||
remoteControlValue.Equals(ProgramRemoteControl.STOP) ||
remoteControlValue.Equals(ProgramRemoteControl.HIBERNATE))
{
string traceString = string.Format("CheckAndLogInIfNeeded: Remote Control {0} the LOGIN\n", remoteControlValue.ToString());
FileTracing.TraceOut(traceString);
errorCode = BrokerErrorCode.RemotePausedOrStopped;
}
else
{
string traceString = string.Format("CheckAndLogInIfNeeded: Need to do actual LogIn. ");
errorCode = LogIn();
traceString += "LogIn() returned: " + errorCode.ToString();
FileTracing.TraceOut(traceString);
}
}
}
return(errorCode);
}
public void Login()
{
string postdata = "username="******"&password="******"Way2Sms login successful");
IsLoggedIn = true;
}
else
{
FileTracing.TraceInformation("Way2Sms login failed");
}
// Get action value
response = HttpHelper.GetWebPageResponse(URL_W2S_GETACTION, null, null, cookies);
string prefix = "<input type=\"hidden\" name=\"Action\" id=\"Action\" value=\"";
string postfix = "\"";
string action = StringParser.GetStringBetween(response, 0, prefix, postfix, null);
_action = action;
var cc = cookies.GetCookies(new Uri(URL_W2S_GETACTION));
URL_W2S_ID = cc["JSESSIONID"].Value.Split('~')[1];
URL_W2S_USERCONTACTS_REFERRER += URL_W2S_ID;
}
public void LogOut()
{
mLoggedIn = false;
FileTracing.TraceOut("LogOut");
HttpHelper.GetWebPageResponse(URL_ICICI_LOGOUT,
null,
null,
mCookieContainer);
LastLoginRefreshTime = DateTime.MinValue;
}
public static string GetLogContent()
{
FileStream logFileStream = new FileStream(FileTracing.GetTraceFilename(), FileMode.Open, FileAccess.Read, FileShare.ReadWrite);
StreamReader logFileReader = new StreamReader(logFileStream);
string logContent = logFileReader.ReadToEnd();
logFileReader.Close();
logFileStream.Close();
return(logContent);
}
// Helper function to cancel stock specific all outstanding orders and trace it out
public static BrokerErrorCode CancelStockOutstandingOrdersAndTrace(IBroker broker, string stockCode)
{
Dictionary <string, BrokerErrorCode> cancelOrderErrCodes;
BrokerErrorCode errorCode = broker.CancelAllOutstandingEquityOrders(stockCode, out cancelOrderErrCodes);
string traceString = Thread.CurrentThread.Name + ": CancelStockAllOutstandingEquityOrders: " + errorCode.ToString() + "\n";
foreach (KeyValuePair <string, BrokerErrorCode> errCodePair in cancelOrderErrCodes)
{
traceString += "Order: " + errCodePair.Key + ": Cancel status code is " + "\"" + errCodePair.Value.ToString() + "\"\n";
}
FileTracing.TraceOut(traceString);
return(errorCode);
}
public BrokerErrorCode Epilog()
{
// While exiting the thread, cancel all the outstanding orders
// Before cancel, store the state of any imbalanced outstanding order, i.e. 1-side executed(fully or partly) trade
BrokerErrorCode errorCode = BrokerErrorCode.Success;
string traceString = "Algo1_SimplePairedBuySellDelivery.Epilog :: ENTER";
FileTracing.TraceOut(traceString);
if (algoParams.bCancelOutstandingOrdersAtEnd)
{
errorCode = BrokerUtils.CancelStockOutstandingOrdersAndTrace(mBroker, stockCode);
}
traceString = "Algo1_SimplePairedBuySellDelivery.Epilog :: EXIT";
FileTracing.TraceOut(traceString);
return(errorCode);
}
// Login worker thread
public static void Background_LoginCheckerThread(object obj)
{
BrokingAccountObject brokerAccountObj = (BrokingAccountObject)obj;
IBroker iciciDirectAccount = brokerAccountObj.Broker;
BrokerErrorCode errorCode = BrokerErrorCode.Success;
while (!brokerAccountObj.DoStopThread)
{
// SIMPLETODO uncomment the below line
errorCode = iciciDirectAccount.CheckAndLogInIfNeeded(false);
string traceString = "Periodic login check: " + errorCode.ToString();
FileTracing.TraceOut(traceString);
// sleep of 3 minutes
Thread.Sleep(3000 * 60);
}
}
public BrokerErrorCode GetOrderStatus(string orderNumber,
InstrumentType instrumentType,
DateTime fromDate,
DateTime toDate,
out OrderStatus orderStatus)
{
BrokerErrorCode errorCode = BrokerErrorCode.Success;
orderStatus = OrderStatus.NOTFOUND;
if (instrumentType == InstrumentType.Share)
{
Dictionary <string, EquityOrderBookRecord> orders;
errorCode = GetEquityOrderBook(fromDate,
toDate,
false,
false,
null,
out orders);
if (errorCode.Equals(BrokerErrorCode.Success))
{
foreach (KeyValuePair <string, EquityOrderBookRecord> orderPair in orders)
{
EquityOrderBookRecord order = orderPair.Value;
if (order.OrderRefenceNumber == orderNumber)
{
orderStatus = order.Status;
break;
}
}
}
}
FileTracing.TraceOut(!errorCode.Equals(BrokerErrorCode.Success), "GetOrderStatus:" + errorCode.ToString(), TraceType.Error);
return(errorCode);
}
// Not used currently
public static ProgramRemoteControl CheckRemoteControlInAlgo(ref bool bChecked)
{
// TEMPTEMP: this check is currently temporary , need to place it properly to provide pause algo functionality
// Check after every 5 minutes
int minutes = DateTime.Now.Minute;
int seconds = DateTime.Now.Second;
string traceString;
ProgramRemoteControl remoteControlValue = ProgramRemoteControl.RUN;
if (minutes % 5 == 1)
{
bChecked = false;
}
if ((minutes >= 5) && (minutes % 5 == 0) && !bChecked)
{
bChecked = true;
remoteControlValue = RemoteUtils.GetProgramRemoteControlValue();
// keep looping until PAUSE status is reset
while (remoteControlValue.Equals(ProgramRemoteControl.PAUSE))
{
traceString = string.Format("AlgoRunner: Remote Control PAUSED the Algo, sleeping for 30 seconds before rechecking\n");
FileTracing.TraceOut(traceString);
// sleep 60 seconds
Thread.Sleep(60000);
remoteControlValue = RemoteUtils.GetProgramRemoteControlValue();
}
if (remoteControlValue.Equals(ProgramRemoteControl.STOP) ||
remoteControlValue.Equals(ProgramRemoteControl.HIBERNATE))
{
traceString = string.Format("AlgoRunner: Remote Control issued STOP/HIBERNATE command to the Algo\n");
FileTracing.TraceOut(traceString);
}
}
return(remoteControlValue);
}
// IEOD - with Only LTP files (and no re-run) algo
public void RunAlgos(object obj)
{
int symbolCounter = 0;
var sts = new List <SymbolTick>(10000);
// Get algo data
var brokerAccountObj = (BrokingAccountObject)obj;
IBroker broker = brokerAccountObj.Broker;
var algoMetadata = (AlgoMetadata)brokerAccountObj.CustomData;
AddTickChartDelegate dataDelegate = algoMetadata.DataDelegate;
var chartDelegate = algoMetadata.ChartDelegate;
var logDelegate = algoMetadata.LogDelegate;
var tickMetaData = algoMetadata.TickMetadata;
string r1, r2;
var isForceUpdate = algoMetadata.IsForceUpdate;
var algoParams = algoMetadata.AlgoParams;
var AlgoIdSet = AlgoIds;
if (DoAllAlgos)
{
short minAlgo = 10;
short maxAlgo = 160;
AlgoIdSet = new short[maxAlgo - minAlgo + 1];
for (short i = minAlgo; i <= maxAlgo; i++)
{
AlgoIdSet[i - minAlgo] = i;
}
//AlgoIdSet[maxAlgo - minAlgo + 1] = 1;
}
// Go for each symbol
foreach (var tmd in tickMetaData)
{
r1 = tmd.R1;
r2 = tmd.R2;
var symbol = tmd.Symbol;
var tickFileName = tmd.Path;
logDelegate(string.Format("Thread {0}: Time: {4} Starting Stock: {1} r1: {2} r2: {3}\n",
Thread.CurrentThread.ManagedThreadId, symbol, r1, r2, DateTime.Now));
// CHECK TICKFILE EXISTS
if (!File.Exists(tickFileName))
{
Logger.LogWarningMessage(string.Format("TickFile {0} not found.", tickFileName));
continue;
}
// Check if ALGO results already exist (or need to be overwritten) PERIODWISE (r1, r2 combo).Checking last mktDir
// If this goes past then it means need to run at least 1 mktDirPerc
if (!isForceUpdate)
{
bool doesEOPExist = true;
foreach (var algoId in AlgoIdSet)
{
if (GetAlgo(algoId, algoParams.Clone(), true) == null)
{
continue;
}
// if trader run is already present for this symbol, then just move to next symbol
doesEOPExist = doesEOPExist && EOPTradeStats.DoesExistEOPStatsForMinMaxAlgos(symbol, algoId,
MktDirectionParams[MktDirectionParams.Length - 1], r1, r2);
if (!doesEOPExist)
{
break;
}
}
if (doesEOPExist)
{
continue;
}
}
++symbolCounter;
sts.Clear();
GC.Collect();
// Go through Each day's data for given symbol
logDelegate(string.Format("Thread {0}: Stock: {1} " +
"Time: {2} , Reading tickfile\n", Thread.CurrentThread.ManagedThreadId, symbol,
DateTime.Now));
Dictionary <int, Dictionary <int, SymbolTick> > TicksCall = new Dictionary <int, Dictionary <int, SymbolTick> >(10);
Dictionary <int, Dictionary <int, SymbolTick> > TicksPut = new Dictionary <int, Dictionary <int, SymbolTick> >(10);
DateTime expiryDate = DateTime.Now;
int lotSize = 50;
InstrumentType instrType = InstrumentType.OptionCallIndex;
Instrument instr = null;
if (algoParams.IsHedgeAlgo)
{
Dictionary <int, Dictionary <int, SymbolTick> > dict;
//OPT-CNXBAN-26-Jul-2012-10500-CE-Q25-0915
var dir = Path.GetDirectoryName(tickFileName);
var allTickFiles = Directory.EnumerateFiles(dir, "*", SearchOption.AllDirectories);
var allSymbolOptFiles = Directory.EnumerateFiles(dir, "OPT-" + symbol + "*", SearchOption.AllDirectories);
if (allSymbolOptFiles.Count() == 0)
{
continue;
}
foreach (string filePath in allTickFiles)
{
var fileName = Path.GetFileNameWithoutExtension(filePath);
if (!fileName.StartsWith("OPT-" + symbol))
{
continue;
}
var fileParts = fileName.Split('-');
expiryDate = DateTime.Parse(fileParts[2] + "-" + fileParts[3] + "-" + fileParts[4]);
lotSize = int.Parse(fileParts[7].Replace("Q", ""));
var strkPrc = int.Parse(fileParts[5]);
if (fileParts[6] == "CE")
{
instrType = InstrumentType.OptionCallIndex;
dict = TicksCall;
}
else
{
instrType = InstrumentType.OptionPutIndex;
dict = TicksPut;
}
instr = new Instrument(symbol, instrType, strkPrc, expiryDate, lotSize);
if (!dict.ContainsKey(strkPrc))
{
dict.Add(strkPrc, new Dictionary <int, SymbolTick>(400));
}
var prcStore = dict[strkPrc];
var arrOpt = File.ReadAllLines(filePath);
int tickCnt = 0;
foreach (var s in arrOpt)
{
var dqi = ParseTickString(s, tmd.TickFormatType);
// Add to list of DQI
if (dqi == null)
{
continue;
}
dqi.InstrumentType = instrType;
dqi.UnderlyingSymbol = symbol;
dqi.ExpiryDateTime = expiryDate;
dqi.StrikePriceDouble = strkPrc;
var si = new SymbolTick(true);
si.D.Q = dqi;
si.I = instr;
tickCnt++;
var datetime = si.D.Q.QuoteTime;
int time = datetime.Hour * 100 + datetime.Minute;
if (!prcStore.ContainsKey(time))
{
prcStore.Add(time, si);
}
}
}
}
// READ TICKFILE
var arr = File.ReadAllLines(tickFileName);
double ltp = 0;
int tickCount = 0;
instrType = InstrumentType.FutureIndex;
instr = new Instrument(symbol, instrType, 0, expiryDate, lotSize);
foreach (var s in arr)
{
var dqi = ParseTickString(s, tmd.TickFormatType);
// Add to list of DQI
if (dqi == null)
{
continue;
}
dqi.InstrumentType = instrType;
dqi.UnderlyingSymbol = symbol;
dqi.ExpiryDateTime = expiryDate;
// Add only stablemarket ticks, i.e. after inital 5 minutes. Start from 10 AM for stable data
//if (MarketUtils.IsTimeAfter10AM(dqi.UpdateTime))
{
var si = new SymbolTick(true);
si.D.Q = dqi;
si.I = instr;
sts.Add(si);
ltp += dqi.LastTradedPriceDouble;
tickCount++;
}
}
// Derive the quantity for FNO
int qty = 1;
double avgLotValue = 300000;
if (tickCount != 0 && ltp != 0)
{
ltp = ltp / tickCount;
qty = (int)Math.Round(avgLotValue / ltp);
}
foreach (var algoId in AlgoIdSet)
{
if (GetAlgo(algoId, algoParams.Clone(), true) == null)
{
continue;
}
// This is ALGO wise check. (for a given symbol, r1, r2) Check by last mktDirPerc
if (!isForceUpdate)
{
// if trader run is already present for this symbol, then just move to next symbol
var doesEOPExist = EOPTradeStats.DoesExistEOPStatsForMinMaxAlgos(symbol, algoId,
MktDirectionParams[MktDirectionParams.Length - 1], r1, r2);
if (doesEOPExist)
{
//Logger.LogWarningMessage(
// string.Format(
// "EOP TradeRun Stats for symbol={0}, algo={1} already exist. Skipping FULL symbol.",
// symbol, algoId));
continue;
}
}
foreach (var mktDirecparam in MktDirectionParams)
{
var percMarketDirectionChange = Math.Round(mktDirecparam, 2);
// Special for 1 sec data
//if (percMarketDirectionChange == 0.1)// || percMarketDirectionChange == 0.5)
// if (!(symbol == "NIFTY" || symbol == "DEFTY" || symbol == "SENSEX"))
// continue;
// MktDirPerc wise check for a given symbol, algo, r1 and r2
if (!isForceUpdate)
{
// if trader run is already present for this symbol, then just move to next symbol
bool doesEOPExist = EOPTradeStats.DoesExistEOPStatsForMinMaxAlgos(symbol, algoId,
percMarketDirectionChange,
r1, r2);
if (doesEOPExist)
{
//Logger.LogWarningMessage(
// string.Format(
// "EOP TradeRun Stats for symbol={0}, algo={1}, marketDirection={2} already exist. Skipping for this combination.",
// symbol, algoId, percMarketDirectionChange));
continue;
}
}
logDelegate(string.Format("Thread {0} Time {1} ~ Stock: {2}, R1: {3}, Running {4} @ {5}%\n",
Thread.CurrentThread.ManagedThreadId,
DateTime.Now,
symbol,
r1,
algoId,
percMarketDirectionChange));
// RUN ALGO
var algoParamsClone = algoParams.Clone();
algoParamsClone.PercMarketDirectionChange = percMarketDirectionChange;
algoParamsClone.AlgoId = algoId;
algoParamsClone.R1 = r1;
algoParamsClone.R2 = r2;
if (symbol.Contains("OPT-"))
{
algoParamsClone.I = new Instrument(symbol, InstrumentType.OptionCallIndex, ltp, new DateTime(2013, 03, 28), 50);
}
else
{
algoParamsClone.I = new Instrument(symbol, InstrumentType.FutureStock, 100, new DateTime(2013, 03, 28), qty);
}
algoParamsClone.PositionsFile = SystemUtils.GetStockRunTempFileName("Positions-" + algoParamsClone.Description());
algoParamsClone.StateFile = SystemUtils.GetStockRunTempFileName("AlgoState-" + algoParamsClone.Description());
TradingAlgo algo = GetAlgo(algoId, algoParamsClone, false);
algo.Prolog();
if (algoParams.IsHedgeAlgo)
{
algo.S.TicksCall = TicksCall;
algo.S.TicksPut = TicksPut;
}
//int tickCntr1Min = 0;
// Run for each quote tick now out of all collected from the replay file
foreach (var st in sts)
{
//if (!MarketUtils.IsTimeAfter10AM(dqi.UpdateTime))
//{
// continue;
//}
//tickCntr1Min++;
try
{
if (algo.DoStopAlgo)
{
logDelegate(string.Format("Thread {0}: Stock: {1} " +
"Time: {2} , Coming out due to Stop loss/NumTrades for the day\n", Thread.CurrentThread.ManagedThreadId, symbol,
DateTime.Now));
break;
}
//if (algo.AlgoParams.AlgoId >= 120 && algo.AlgoParams.AlgoId < 150)
//{
// if (tickCntr1Min % 5 == 0)
// {
// algo.S.TotalTickCount++;
// algo.AddTick(st);
// }
// continue;
//}
algo.S.TotalTickCount++;
algo.AddTick(st);
}
catch (Exception ex)
{
FileTracing.TraceOut("Exception in algo.AddTick(): " + ex.Message + "\n" + ex.StackTrace);
}
algo.LTP = st.GetLTP();
}
algo.Epilog();
//EventResetChart(null, null);
// RESET Time in Ticks
//foreach (var st in sts)
// st.D.Q.UpdateTime = st.D.Q.QuoteTime;
} // foreach algo param
} // foreach algo
} //foreach symbol
logDelegate(string.Format("Thread {0} completed !! at Time: {1} \n", Thread.CurrentThread.ManagedThreadId,
DateTime.Now));
}
// Do login
public BrokerErrorCode LogIn()
{
if (_fatalNoTryLogin)
{
FileTracing.TraceOut(Thread.CurrentThread.Name + "ERROR: Not trying Actual LogIn() because now in FatalNoLoginTry mode.");
return(BrokerErrorCode.FatalNoLoginTry);
}
BrokerErrorCode errorCode = IsLoggedIn();
if (!errorCode.Equals(BrokerErrorCode.Success))
{
mLoggedIn = false;
//FileTracing.TraceOut(Thread.CurrentThread.Name + ": In Actual LogIn()");
var postData =
string.Format("ctl00%24Hearder1%24drpStock=India&ctl00%24Hearder1%24txtTopSearch=Stock+Name+%2F+Stock+Code&ctl00%24Hearder1%24hidHandler=https%3A%2F%2Fsecure.icicidirect.com%2FIDirectTrading%2FBasemasterpage%2FHeaderDataHandler.ashx&__EVENTTARGET=lbtLogin&__EVENTARGUMENT=&npage=&ctl00%24ContentPlaceHolder1%24hisreen=1366x768&ctl00%24ContentPlaceHolder1%24lms_lnk=&ctl00%24ContentPlaceHolder1%24txtUserId={0}&ctl00%24ContentPlaceHolder1%24txtu=&ctl00%24ContentPlaceHolder1%24m_StartIn_Fld=&ctl00%24ContentPlaceHolder1%24txtPass={1}&ctl00%24ContentPlaceHolder1%24txtDOB={2}&ctl00%24ContentPlaceHolder1%24drpTrade=12&ctl00%24Footer1%24showplus=&ctl00%24hidIsTrade=1&__VIEWSTATEGENERATOR=241519BE",
mUsername, mPassword, mDOB);
// re-login
mCookieContainer = new CookieContainer();
// This GET is to populate session id in cookies
string initGetResponse = HttpHelper.GetWebPageResponse(URL_ICICI_LOGON, null,
URL_ICICI_LOGON_REFERRER,
mCookieContainer);
string loginResponse = HttpHelper.GetWebPageResponse(URL_ICICI_LOGON, postData,
URL_ICICI_LOGON_REFERRER,
mCookieContainer);
if (String.IsNullOrEmpty(loginResponse))
{
errorCode = BrokerErrorCode.Http;
}
else if ((loginResponse.IndexOf("You last accessed the site", StringComparison.OrdinalIgnoreCase) >= 0) || (IsLoggedIn() == BrokerErrorCode.Success))
{
errorCode = GetImportantValues();
if (errorCode.Equals(BrokerErrorCode.Success))
{
mLoggedIn = true;
RefreshLastServerContactTime();
}
}
else
{
if (loginResponse.IndexOf("customer_change_password", StringComparison.OrdinalIgnoreCase) >= 0)
{
errorCode = BrokerErrorCode.ChangePassword;
}
if (loginResponse.IndexOf("echnical reason", StringComparison.OrdinalIgnoreCase) >= 0)
{
errorCode = BrokerErrorCode.TechnicalReason;
}
else if (loginResponse.IndexOf("Locked", StringComparison.OrdinalIgnoreCase) >= 0)
{
_fatalNoTryLogin = true;
errorCode = BrokerErrorCode.Locked;
}
else if (loginResponse.IndexOf("Invalid Login Id or Password", StringComparison.OrdinalIgnoreCase) >= 0)
{
_fatalNoTryLogin = true;
errorCode = BrokerErrorCode.InvalidLoginPassword;
}
else
{
errorCode = BrokerErrorCode.Unknown;
}
}
}
return(errorCode);
}
public override void AddTick(SymbolTick si)
{
bool marketClosing = false;
if (!AlgoUpdateTick(si))
{
PostProcAddTick();
return;
}
UpdateMinMax();
OrderPlaceAlgoCode isOrderPlaceSuccess = OrderPlaceAlgoCode.ALGORISKREJECT;
// ************** 1. CHECK TOP ********************** //
// detect peaks and square off trigger points
if (S.LastPeakType == PeakType.BOTTOM)
{
bool canOrderThisAnalysis = true; // whether can palce new order on same tick where squareoff is tried
// Sell Squareoff check
if (AlgoParams.IsSquareOffTrigger && S.PercChangeFromMax < 0 &&
Math.Abs(S.PercChangeFromMax) >= AlgoParams.PercSquareOffThreshold)
{
int numOpenPositions = Math.Abs(S.TotalBuyTrades - S.TotalSellTrades);
if (numOpenPositions != 0)
{
// May be add quantity also to all these calculations
double profitPerc = GetSquareOffProfitPerc();
if (!AlgoParams.IsMinProfitMust || profitPerc > AlgoParams.PercMinProfit)
{
// SquareOff point reached
canOrderThisAnalysis = AlgoTryPlaceOrder(false, S.Ticks.CurrTick) != OrderPlaceAlgoCode.SUCCESS;
}
}
}
// New sell order
if (S.PercChangeFromMax < 0 && Math.Abs(S.PercChangeFromMax) >= S.PercChangeThreshold)
{
// Record tick abberations
if (Math.Abs(S.PercChangeFromMax) - S.PercChangeThreshold > 1)
{
Logger.LogWarningMessage(
string.Format("{3}: {0} : PriceTick non-continuous {1}: PercThreshold = {4} S.PercChangeFromMax = {2} times.",
S.Ticks.CurrTick.Di.QuoteTime, _discontinuousMaxTickNum++,
S.PercChangeFromMax / S.PercChangeThreshold, AlgoParams.I.Symbol, S.PercChangeThreshold));
}
// New top found
S.LastPeakType = PeakType.TOP;
_lastPeak = S.Ticks.MaxTick;
S.Ticks.MinTick = S.Ticks.CurrTick;
_allPeaks.Add(S.TotalTickCount, _lastPeak);
if (canOrderThisAnalysis)
{
isOrderPlaceSuccess = AlgoTryPlaceOrder(false, S.Ticks.CurrTick);
}
}
}
// 2. CHECK BOTTOM
else if (S.LastPeakType == PeakType.TOP)
{
bool canOrderThisAnalysis = true; // whether can palce new order on same tick where squareoff is tried
// Look for squareoff
if (AlgoParams.IsSquareOffTrigger && S.PercChangeFromMin > 0 &&
Math.Abs(S.PercChangeFromMin) >= AlgoParams.PercSquareOffThreshold)
{
int numOpenPositions = Math.Abs(S.TotalBuyTrades - S.TotalSellTrades);
if (numOpenPositions != 0)
{
double profitPerc = GetSquareOffProfitPerc();
if (!AlgoParams.IsMinProfitMust || profitPerc > AlgoParams.PercMinProfit)
{
// SquareOff point reached
canOrderThisAnalysis = AlgoTryPlaceOrder(true, S.Ticks.CurrTick) != OrderPlaceAlgoCode.SUCCESS;
}
}
}
// New buy trade
if (S.PercChangeFromMin > 0 && Math.Abs(S.PercChangeFromMin) >= S.PercChangeThreshold)
{
// Record tick abberations
if (Math.Abs(S.PercChangeFromMin) - S.PercChangeThreshold > 1)
{
Logger.LogWarningMessage(
string.Format("{3}: {0} : PriceTick non-continuous {1}: PercThreshold = {4} S.PercChangeFromMin = {2} times.",
S.Ticks.CurrTick.Di.QuoteTime, _discontinuousMaxTickNum++,
S.PercChangeFromMax / S.PercChangeThreshold, AlgoParams.I.Symbol, S.PercChangeThreshold));
}
// New bottom found
S.LastPeakType = PeakType.BOTTOM;
_lastPeak = S.Ticks.MinTick;
S.Ticks.MaxTick = S.Ticks.CurrTick; // range of maxtick set at this point
_allPeaks.Add(S.TotalTickCount, _lastPeak);
if (canOrderThisAnalysis)
{
isOrderPlaceSuccess = AlgoTryPlaceOrder(true, S.Ticks.CurrTick);
}
}
}
// 3. 1st PEAK (TOP/BOTTOM)
else if (S.LastPeakType == PeakType.NONE)
{
// 1st peak
double percDiffMinMax = 100 *
((GetPriceForAnalysis(S.Ticks.MaxTick.Di) - GetPriceForAnalysis(S.Ticks.MinTick.Di)) /
GetPriceForAnalysis(S.Ticks.MinTick.Di)); // should be > than mPercChangeThreshold
bool isBuy = S.PercChangeFromMin > 0 && Math.Abs(S.PercChangeFromMin) >= S.PercChangeThreshold;
bool isSell = S.PercChangeFromMax < 0 && Math.Abs(S.PercChangeFromMax) >= S.PercChangeThreshold;
if (isBuy && isSell)
{
FileTracing.TraceOut("Error , 1st peak says both buy and sell. Bug in order placing, order not getting executed. Still recover from it..");
isBuy = Math.Abs(S.PercChangeFromMin) > Math.Abs(S.PercChangeFromMax);
isSell = !isBuy;
}
//if (Math.Abs(percDiffMinMax) >= mPercChangeThreshold)
if (isBuy || isSell)
{
isOrderPlaceSuccess = AlgoTryPlaceOrder(isBuy, S.Ticks.CurrTick);
if (isOrderPlaceSuccess == OrderPlaceAlgoCode.SUCCESS)
{
// Set last peak as reverse of current tick direction
S.LastPeakType = isBuy ? PeakType.BOTTOM : PeakType.TOP;
if (S.LastPeakType == PeakType.BOTTOM)
{
// 1st peak is BOTTOM
_lastPeak = S.Ticks.MinTick;
}
else
{
// 1st peak is TOP
_lastPeak = S.Ticks.MaxTick;
}
_allPeaks.Add(S.TotalTickCount, _lastPeak);
}
}
}
PostProcAddTick();
}
// Stock algo worker thread
public static void Background_StockWorkerThread(object obj)
{
BrokerErrorCode errorCode = BrokerErrorCode.Success;
BrokerSymbolAlgosObject stockTraderObj = (BrokerSymbolAlgosObject)obj;
IBroker broker = stockTraderObj.Broker;
//EquityStockTradeStats stockInfo = stockTraderObj.stockInfo;
ITradingAlgo algo = stockTraderObj.Algos[0];
// Thread local params
int threadRunCount = 0;
int threadFailCount = 0;
//string stockCode = stockInfo.StockCode;
string traceString;
bool bChecked = false;
// On program re-run, cancel any previous outstanding orders
// BUGBUGCD: is this infinite loop necessary or try only once
// and come out on failure
do
{
errorCode = algo.Prolog();
if (!errorCode.Equals(BrokerErrorCode.Success))
{
Thread.Sleep(1000 * 30);
}
} while (!stockTraderObj.DoStopThread && !errorCode.Equals(BrokerErrorCode.Success));
while (!stockTraderObj.DoStopThread)
{
// Main Algo
errorCode = algo.RunCoreAlgo();
// thread stats
if (!errorCode.Equals(BrokerErrorCode.Success))
{
threadFailCount++;
}
threadRunCount++;
// Check remote control
//ProgramRemoteControl remoteControlValue = CheckRemoteControlInAlgo(ref bChecked);
//if (remoteControlValue.Equals(ProgramRemoteControl.STOP) ||
// remoteControlValue.Equals(ProgramRemoteControl.HIBERNATE))
// break;
// Check if login problem
if (errorCode == BrokerErrorCode.NotLoggedIn)
{
FileTracing.TraceOut("AlgoRunner: " + errorCode.ToString() + " Trying to login again\n");
// MGOYAL: TEMP SLEEP this is for external login to do some work .
// External logger will have 2 minute (CheckAndLoginIfNeeded) window to complete a work before he is logged out.
// Sleep for a minute
// It means someone has stolen session, so let it be. if they need for more time then will set remote to PAUSE
Thread.Sleep(120000);
broker.LogOut();
errorCode = broker.CheckAndLogInIfNeeded(true);
continue;
}
if (errorCode == BrokerErrorCode.InvalidLoginPassword || errorCode == BrokerErrorCode.ChangePassword)
{
FileTracing.TraceOut("AlgoRunner: InvalidLoginPassword, Exiting");
break;
}
Thread.Sleep(algo.GetSleepTimeInMilliSecs());
}
errorCode = algo.Epilog();
// Trace out Thread run stats
// TODO: more such fancy stuff later
traceString = string.Format("AlgoRunner: Thread Run Stats: \nTotalRuns: {0}\nFailures: {1}\nFailurePercentagH: {2}",
threadRunCount, threadFailCount, (double)(threadFailCount / (threadRunCount > 0 ? threadRunCount : 1)) * 100);
FileTracing.TraceOut(traceString);
}
public static bool GetConfig(out ProgramConfigParams config)
{
config = new ProgramConfigParams();
string traceString;
try
{
config.username = ConfigurationManager.AppSettings["IciciDirect_Username"];
config.password = ConfigurationManager.AppSettings["IciciDirect_Password"];
config.bRunStockTrader = bool.Parse(ConfigurationManager.AppSettings["RunStockTrader"]);
config.bRunTillMarketOpen = bool.Parse(ConfigurationManager.AppSettings["RunTillMarketOpen"]);
config.runTimeInMinutes = double.Parse(ConfigurationManager.AppSettings["ProgramRunTime"]);
config.bProgramRemoteControl = bool.Parse(ConfigurationManager.AppSettings["ProgramRemoteControl"]);
config.numStocks = UInt32.Parse(ConfigurationManager.AppSettings["NumStocks"]);
config.fundsStartingLimitAccount = double.Parse(ConfigurationManager.AppSettings["FundsStartingLimitAccount"]);
config.lossLimitAccount = double.Parse(ConfigurationManager.AppSettings["LossLimitAccount"]);
traceString = "\n----------- Program run configuration ----------\n";
traceString += string.Format("Run till Market Open = {0}\n", config.bRunTillMarketOpen ? bool.TrueString : bool.FalseString);
traceString += string.Format("Run time of Program = {0}\n", config.runTimeInMinutes);
traceString += string.Format("Remote Program Control = {0}\n", config.bProgramRemoteControl ? bool.TrueString : bool.FalseString);
traceString += string.Format("Run StockTrader = {0}\n", config.bRunStockTrader);
traceString += string.Format("Number of Stocks in System = {0}\n", config.numStocks);
traceString += "\n----------- Account-wide Configuration ----------\n";
traceString += string.Format("Account-wide starting FundLimit = {0}\n", config.fundsStartingLimitAccount);
traceString += string.Format("Account-wide loss Limit set = {0}\n", config.lossLimitAccount);
traceString += "\n----------- Stock Specific Configuration ----------\n";
config.stockParams = new ProgramStockParams[config.numStocks];
for (int i = 0; i < config.numStocks; i++)
{
ProgramStockParams stockParams = new ProgramStockParams();
config.stockParams[i] = stockParams;
string stockPrefix = "Stock" + i.ToString() + "_";
stockParams.stockCode = ConfigurationManager.AppSettings[stockPrefix + "StockCode"];
stockParams.stockTradingLot = int.Parse(ConfigurationManager.AppSettings[stockPrefix + "StockTradingLot"]);
stockParams.bStartAFresh = bool.Parse(ConfigurationManager.AppSettings[stockPrefix + "StartAFresh"]);
stockParams.bCancelExistingOrdersAtStart = bool.Parse(ConfigurationManager.AppSettings[stockPrefix + "CancelExistingOrdersAtStart"]);
stockParams.bCancelOutstandingOrdersAtEnd = bool.Parse(ConfigurationManager.AppSettings[stockPrefix + "CancelOutstandingOrdersAtEnd"]);
stockParams.stockAvailableStarting = int.Parse(ConfigurationManager.AppSettings[stockPrefix + "StockAvailableStarting"]);
stockParams.initBidPrice = double.Parse(ConfigurationManager.AppSettings[stockPrefix + "InitBidPrice"]);
stockParams.initOfferPrice = double.Parse(ConfigurationManager.AppSettings[stockPrefix + "InitOfferPrice"]);
traceString += "---------------------------------------------------------------\n";
traceString += "Stock: #" + i.ToString() + "\n";
traceString += string.Format("Stock code = {0}\n", stockParams.stockCode);
traceString += string.Format("Stock Trading lot = {0}\n", stockParams.stockTradingLot);
traceString += string.Format("Start Afresh = {0}\n", stockParams.bStartAFresh);
traceString += string.Format("Cancel existing outstanding orders at start= {0}\n", stockParams.bCancelExistingOrdersAtStart);
traceString += string.Format("Cancel outstanding orders at exit = {0}\n", stockParams.bCancelOutstandingOrdersAtEnd);
traceString += string.Format("Stock available in DP to sell at start = {0}\n", stockParams.stockAvailableStarting);
traceString += string.Format("InitBidPrice = {0}\n", stockParams.initBidPrice);
traceString += string.Format("InitOfferPrice = {0}\n", stockParams.initOfferPrice);
traceString += "---------------------------------------------------------------\n";
}
// Trace out the big config info string now at once
// this contains all of APPCONFIG info
FileTracing.TraceOut(traceString);
}
catch (Exception e)
{
FileTracing.TraceOut("Exception: " + e);
return(false);
}
return(true);
}
public void loggedIn(object o)
{
IsActive = true;
FileTracing.TraceOut("Xmpp Logged in and Active.");
}
} // Refresh state ends
public List <EquityOrder> ReturnFilteredValidOrders(List <EquityOrder> orders)
{
int numOrders = orders.Count;
List <EquityOrder> feasibleOrders = new List <EquityOrder>();
double orderFundLimit = OrderFundLimit;
// TODO: BUGBUG make types coherent all across
// some places we use uint for Quantity some places it is int
int orderStockAvailable = OrderStockAvailable;
// Need to weed out and return only the feasible orders as per stock's stock/fund limit
for (int i = 0; i < numOrders; i++)
{
EquityOrder order = orders[i];
if (order.OrderDirection == OrderDirection.BUY)
{
// Buy trades
// Order value
double price = 0;
double orderValue = 0;
if (double.TryParse(order.LimitPrice, out price))
{
orderValue = order.Quantity * price;
}
else
{
FileTracing.TraceOut("ReturnFilteredValidOrders: Could not parse order.LimitPrice");
continue;
}
// Estimated Brokerage
double brokerage = EstimatedBrokerage(orderValue);
// Funds limit needed to fund this trade
double fundsNeededForTrade = orderValue + brokerage;
// If order limit is able to cover the order value (incl. brokerage) then it is a feasible order, add it
if (orderFundLimit >= fundsNeededForTrade)
{
orderFundLimit -= fundsNeededForTrade;
feasibleOrders.Add(order);
}
}
else
{
// Sell Trades
// Order value
double price = 0;
double orderValue = 0;
if (double.TryParse(order.LimitPrice, out price))
{
orderValue = order.Quantity * price;
}
else
{
FileTracing.TraceOut("ReturnFilteredValidOrders: Could not parse order.LimitPrice");
continue;
}
// Estimated Brokerage
double orderBrokerage = EstimatedBrokerage(orderValue);
// If enough stocks are available to sell
// and order limit is able to cover the brokerage costs then it is a feasible order, add it
if (orderStockAvailable >= order.Quantity &&
orderFundLimit >= orderBrokerage)
{
orderFundLimit -= orderBrokerage;
orderStockAvailable -= order.Quantity;
feasibleOrders.Add(order);
}
}
}
return(feasibleOrders);
} // ReturnFilteredValidOrders ends
// -------------- Work in Progress : TEST ------------------------//
protected virtual bool FindPeaksAndOrder150()
{
int numOpenPositions = Math.Abs(S.TotalBuyTrades - S.TotalSellTrades);
bool isFreshOrder = numOpenPositions == 0;
//double percChange =
OrderPlaceAlgoCode orderPlaceCode = OrderPlaceAlgoCode.ALGOLIMITREJECT;
// 1. CHECK NEW TOP (Always occur for square off trade only)
if (S.LastPeakType == PeakType.BOTTOM)
{
if (S.Ticks.PercChangeFromMax < 0 && Math.Abs(S.Ticks.PercChangeFromMax) >= S.PercChangeThreshold)
{
// Record tick abberations
if (Math.Abs(S.Ticks.PercChangeFromMax) - S.PercChangeThreshold > 1)
{
Logger.LogWarningMessage(
string.Format("{0}: At {1} : PriceTick non-continuous {4} times. PercThreshold = {2} S.Ticks.PercChangeFromMax = {3}.",
AlgoParams.I.Symbol, S.Ticks.CurrTick.Di.QuoteTime, S.PercChangeThreshold, S.Ticks.PercChangeFromMax, S.Ticks.PercChangeFromMax / S.PercChangeThreshold));
}
orderPlaceCode = AlgoTryPlaceOrder(false, S.Ticks.CurrTick); // Sell
if (orderPlaceCode == OrderPlaceAlgoCode.SUCCESS)
{
// New TOP found
S.LastPeakType = PeakType.TOP;
S.Ticks.ResetMinMaxAndGetLastPeak(false, out _lastPeak);
}
}
}
// 2. CHECK NEW BOTTOM (Always occur for square off trade only)
else if (S.LastPeakType == PeakType.TOP)
{
// Peak - New trades or pending squareoffs
if (S.Ticks.PercChangeFromMin > 0 && Math.Abs(S.Ticks.PercChangeFromMin) >= S.PercChangeThreshold)
{
// Record tick abberations
if (Math.Abs(S.Ticks.PercChangeFromMin) - S.PercChangeThreshold > 1)
{
Logger.LogWarningMessage(
string.Format("{0}: At {1} : PriceTick non-continuous {4} times. PercThreshold = {2} S.Ticks.PercChangeFromMin = {3}.",
AlgoParams.I.Symbol, S.Ticks.CurrTick.Di.QuoteTime, S.PercChangeThreshold, S.Ticks.PercChangeFromMin, S.Ticks.PercChangeFromMin / S.PercChangeThreshold));
}
orderPlaceCode = AlgoTryPlaceOrder(true, S.Ticks.CurrTick); // Buy
if (orderPlaceCode == OrderPlaceAlgoCode.SUCCESS)
{
// New BOTTTOM found
S.LastPeakType = PeakType.BOTTOM;
S.Ticks.ResetMinMaxAndGetLastPeak(true, out _lastPeak);
}
}
}
// 3. 1st or FRESH position PEAK (TOP/BOTTOM) (Never occurs for square off trade and always occur for fresh trade)
else if (S.LastPeakType == PeakType.NONE)
{
bool isBuy = S.Ticks.PercChangeFromMin > 0 && Math.Abs(S.Ticks.PercChangeFromMin) >= S.PercChangeThreshold;
bool isSell = S.Ticks.PercChangeFromMax < 0 && Math.Abs(S.Ticks.PercChangeFromMax) >= S.PercChangeThreshold;
if (isBuy && isSell)
{
// May occur due to order not getting executed. But in offline analysis should not occur ideally
var msg = string.Format("Error: NONE peak says both buy and sell." +
"Some bug. Overcome is assume buy. max={0}, min={1}, th={2}", S.Ticks.PercChangeFromMax, S.Ticks.PercChangeFromMin, S.PercChangeThreshold);
FileTracing.TraceOut(msg);
isBuy = Math.Abs(S.Ticks.PercChangeFromMin) > Math.Abs(S.Ticks.PercChangeFromMax);
isSell = !isBuy;
}
if (isBuy || isSell)
{
orderPlaceCode = AlgoTryPlaceOrder(isBuy, S.Ticks.CurrTick); // buy or sell
if (orderPlaceCode == OrderPlaceAlgoCode.SUCCESS)
{
// Set last peak as reverse of current tick direction
S.LastPeakType = isBuy ? PeakType.BOTTOM : PeakType.TOP;
if (S.LastPeakType == PeakType.BOTTOM)
{
// 1st peak is BOTTOM
_lastPeak = S.Ticks.MinTick;
}
else
{
// 1st peak is TOP
_lastPeak = S.Ticks.MaxTick;
}
}
}
}
if (orderPlaceCode == OrderPlaceAlgoCode.SUCCESS)
{
var tickNum = S.TotalTickCount;
while (_allPeaks.ContainsKey(tickNum))
{
tickNum += 1;
}
_allPeaks.Add(tickNum, _lastPeak);
}
else if (orderPlaceCode == OrderPlaceAlgoCode.RETRY)
{
S.IsOrderExecutionPending = true;
}
return(orderPlaceCode == OrderPlaceAlgoCode.SUCCESS);
}
public BrokerErrorCode Prolog()
{
BrokerErrorCode errorCode = BrokerErrorCode.Success;
string traceString = "Algo1_SimplePairedBuySellDelivery.Prolog :: ENTER";
FileTracing.TraceOut(traceString);
if (algoParams.bCancelOutstandingOrdersAtStart)
{
errorCode = BrokerUtils.CancelStockOutstandingOrdersAndTrace(mBroker, stockCode);
}
if (!algoParams.bStartAFresh)
{
// Start from last run state and try to be in pair-execute state
// There may be less than or equal to 1 lot of stock as long or short
// Pick up the last trade from xml
// TODO:
}
// Get latest quote
EquitySymbolQuote[] stockPrice;
errorCode = mBroker.GetEquityQuote(stockCode, out stockPrice);
if (!errorCode.Equals(BrokerErrorCode.Success))
{
return(errorCode);
}
int stockExchange = stockInfo.MainExchange == Exchange.NSE ? 0 : 1;
double buyOrderValue = (stockPrice[stockExchange].LastTradePriceDouble * algoParams.StockTradingLot);
buyOrderValue += stockInfo.EstimatedBrokerage(buyOrderValue);
// Erroneous conditions get out, do later
// TODO: right now assume stock abvailable is at least = stock trading lot
// and assume limit is available
//if(stockInfo.StockAvailableAtStart <
// TODO: find better alternative to fit this variable
if ((stockInfo.StockAvailableAtStart < algoParams.StockTradingLot) && (stockInfo.FundLimitAtStart >= 2 * buyOrderValue))
{
// This means first buy the stock, then start trading it
bGenerateASingleBuyOrderAtStart = true;
}
else if (stockInfo.StockAvailableAtStart < algoParams.StockTradingLot)
{
errorCode = BrokerErrorCode.InValidArg;
}
if (!bGenerateASingleBuyOrderAtStart && errorCode.Equals(BrokerErrorCode.Success))
{
// There should be suficient stock to place a sell order to generate limit first
// and then for the pair-orders
// stockavailable should be at least twice the trading lot
if ((stockInfo.FundLimitAtStart < buyOrderValue) && (stockInfo.StockAvailableAtStart >= 2 * algoParams.StockTradingLot))
{
// Generate a sell order
bGenerateASingleSellOrderAtStart = true;
}
else if (stockInfo.FundLimitAtStart < buyOrderValue)
{
errorCode = BrokerErrorCode.InValidArg;
}
}
string price = "1";
bool bGenerateOrder = false;
OrderDirection orderDirection = OrderDirection.BUY;
// BUY order
if (bGenerateASingleBuyOrderAtStart)
{
// price decision
if (algoParams.initBidPrice > 0)
{
price = algoParams.initBidPrice.ToString();
}
// First orders, only if market not open and it is first order pair
else if (!MarketUtils.IsMarketOpen())
{
double closePrice = stockPrice[stockExchange].PreviousClosePriceDouble;
decimal buy = (decimal)(closePrice - ((double)(3.0 / 100) * closePrice));//prevclose - 3%
buy = decimal.Subtract(buy, 0.05M);
buy = decimal.Round(buy, 1);
price = buy.ToString();
}
// Subsequent orders
// TODO: May put time conditions or market volatility conditions here in else if
else
{
double ltp = stockPrice[stockExchange].LastTradePriceDouble;
decimal buy = (decimal)(ltp - ((double)(0.65 / 100) * ltp));//prevclose - 0.65%
buy = decimal.Subtract(buy, 0.05M);
buy = decimal.Round(buy, 1);
price = buy.ToString();
}
orderDirection = OrderDirection.BUY;
bGenerateASingleBuyOrderAtStart = false;
bGenerateOrder = true;
}
// SELL order
if (bGenerateASingleSellOrderAtStart)
{
// price decision
if (algoParams.initOfferPrice > 0)
{
price = algoParams.initOfferPrice.ToString();
}
// First orders, only if market not open and it is first order pair
if (!MarketUtils.IsMarketOpen())
{
double closePrice = stockPrice[stockExchange].PreviousClosePriceDouble;
decimal sell = (decimal)(closePrice + (3.0 / 100 * closePrice));//prevclose + 3%
sell = decimal.Add(sell, 0.05M);
sell = decimal.Round(sell, 1, MidpointRounding.AwayFromZero);
price = sell.ToString();
}
// Subsequent orders
// TODO: May put time conditions or market volatility conditions here in else if
else
{
double ltp = stockPrice[stockExchange].LastTradePriceDouble;
decimal sell = (decimal)(ltp + (0.65 / 100 * ltp));//prevclose + 0.65%
sell = decimal.Add(sell, 0.05M);
sell = decimal.Round(sell, 1, MidpointRounding.AwayFromZero);
price = sell.ToString();
}
orderDirection = OrderDirection.SELL;
bGenerateASingleSellOrderAtStart = false;
bGenerateOrder = true;
}
if (bGenerateOrder)
{
// Generate orders
List <EquityOrderRecord> generatedOrders = new List <EquityOrderRecord>
{
new EquityOrderRecord(stockCode,
algoParams.StockTradingLot,
price, OrderPriceType.LIMIT,
orderDirection,
stockInfo.MainExchange,
EquityOrderType.DELIVERY, "0",
"0")
};
List <BrokerErrorCode> errorCodes = null;
// Validate orders
List <EquityOrderRecord> ordersToPlace = stockInfo.ReturnFilteredValidOrders(generatedOrders);
// Place validated orders
errorCodes = mBroker.PlaceMultipleEquityOrders(ordersToPlace, 5);
traceString = "Algo1_SimplePairedBuySellDelivery.Prolog\n" + "Stock: " + stockInfo.StockCode + " :PlaceMultipleEquityOrders: 1\n";
int o = 0;
foreach (BrokerErrorCode errCodeEach in errorCodes)
{
EquityOrderRecord order = ordersToPlace[o++];
traceString = traceString + order.OrderDirection.ToString() + "-" + order.Quantity.ToString() +
" at " + order.Price + ": " + errCodeEach.ToString() + "\n";
errorCode = errCodeEach;
}
FileTracing.TraceOut(traceString);
}
traceString = "Algo1_SimplePairedBuySellDelivery.Prolog :: EXIT";
FileTracing.TraceOut(traceString);
return(errorCode);
}
// Stock trading lot(qty) for orders
//private int mStockTradingLot;
//protected int StockTradingLot
//{
// get { lock (lockObjectProperties) { return mStockTradingLot; } }
// set { lock (lockObjectProperties) { mStockTradingLot = value; } }
//}
public BrokerErrorCode RunCoreAlgo()
{
#region SimpleBuySellPairSquareAlgo
bool bCancelPairOrder = false;
string stockCode = stockInfo.StockCode;
int stockExchange = stockInfo.MainExchange == Exchange.NSE ? 0 : 1;
BrokerErrorCode errorCode = BrokerErrorCode.Unknown;
int tryCnt = 0;
while (errorCode != BrokerErrorCode.Success && tryCnt <= 5)
{
// refresh stock state (doesnt have price info)
errorCode = EquityStockState.EquityRefreshStockStateToday(mBroker, stockInfo);
if (errorCode == BrokerErrorCode.NotLoggedIn)
{
mBroker.LogOut();
errorCode = mBroker.CheckAndLogInIfNeeded(true);
tryCnt++;
}
}
string traceString = "RefreshEquityStockStateToday: " + errorCode.ToString();
FileTracing.TraceOut(traceString);
if (errorCode.Equals(BrokerErrorCode.Success))
{
// If no buy or sell order pending, i.e. the square-off pair orders have executed
// then place a pair of fresh buy-sell orders
if (!(stockInfo.IsAnyOutstandingBuyOrder() ||
stockInfo.IsAnyOutstandingSellOrder()
))
{
// Place buy-sell order pair
// Get latest quote
EquitySymbolQuote[] stockPrice;
errorCode = mBroker.GetEquityQuote(stockCode, out stockPrice);
if (!errorCode.Equals(BrokerErrorCode.Success))
{
return(errorCode);
}
// Generate orders
List <EquityOrderRecord> generatedOrders = new List <EquityOrderRecord>();
string BidPrice;
string OfferPrice;
// price decision
// First orders, only if market not open and it is first order pair
if ((stockInfo.NumTrades == 0) && !MarketUtils.IsMarketOpen())
{
double closePrice = stockPrice[stockExchange].PreviousClosePriceDouble;
if (algoParams.initBidPrice > 0)
{
BidPrice = algoParams.initBidPrice.ToString();
}
else
{
decimal buy = (decimal)(closePrice - (2.0 / 100 * closePrice));//prevclose - 3%
buy = decimal.Subtract(buy, 0.05M);
buy = decimal.Round(buy, 1);
BidPrice = buy.ToString();
}
if (algoParams.initOfferPrice > 0)
{
OfferPrice = algoParams.initOfferPrice.ToString();
}
else
{
decimal sell = (decimal)(closePrice + (2.0 / 100 * closePrice));//prevclose + 3%
sell = decimal.Add(sell, 0.05M);
sell = decimal.Round(sell, 1, MidpointRounding.AwayFromZero);
OfferPrice = sell.ToString();
}
}
// Subsequent orders
// TODO: May put time conditions or market volatility conditions here in else if
else
{
double ltp = stockPrice[stockExchange].LastTradePriceDouble;
decimal buy = (decimal)(ltp - ((double)(0.85 / 100) * ltp));//prevclose - 0.85%
buy = decimal.Subtract(buy, 0.05M);
buy = decimal.Round(buy, 1);
BidPrice = buy.ToString();
decimal sell = (decimal)(ltp + ((double)(0.85 / 100) * ltp));//prevclose + 0.85%
sell = decimal.Add(sell, 0.05M);
sell = decimal.Round(sell, 1, MidpointRounding.AwayFromZero);
OfferPrice = sell.ToString();
}
// Buy
generatedOrders.Add(new EquityOrderRecord(stockCode, algoParams.StockTradingLot, BidPrice, OrderPriceType.LIMIT, OrderDirection.BUY, stockInfo.MainExchange, EquityOrderType.DELIVERY, "0", "0"));
if (!bGenerateASingleBuyOrderAtStart)
{
// Sell
generatedOrders.Add(new EquityOrderRecord(stockCode, algoParams.StockTradingLot, OfferPrice, OrderPriceType.LIMIT, OrderDirection.SELL, stockInfo.MainExchange, EquityOrderType.DELIVERY, "0", "0"));
}
List <BrokerErrorCode> errorCodes = null;
// Validate orders
List <EquityOrderRecord> ordersToPlace = stockInfo.ReturnFilteredValidOrders(generatedOrders);
// Place validated orders
errorCodes = mBroker.PlaceMultipleEquityOrders(ordersToPlace, 5);
traceString = "Stock: " + stockInfo.StockCode + " :PlaceMultipleEquityOrders: 2\n";
int o = 0;
foreach (BrokerErrorCode errCodeEach in errorCodes)
{
EquityOrderRecord order = ordersToPlace[o++];
traceString = traceString + order.OrderDirection.ToString() + "-" + order.Quantity.ToString() +
" at " + order.Price + ": " + errCodeEach.ToString() + "\n";
// Place Order failed
if (!errCodeEach.Equals(BrokerErrorCode.Success))
{
// Cancel both the orders
bCancelPairOrder = true;
}
}
FileTracing.TraceOut(traceString);
// Even if any one of the orders failed to place, cancel the pair
if (bCancelPairOrder)
{
errorCode = BrokerUtils.CancelStockOutstandingOrdersAndTrace(mBroker, stockCode);
}
}
}
return(errorCode);
#endregion
}
public static bool GetConfigFor_StockTrader(out ProgramMKDConfig mkdConfig)
{
string traceString = null;
mkdConfig = new ProgramMKDConfig();
try
{
mkdConfig.mock = bool.Parse(ConfigurationManager.AppSettings["BuySellAnalyzer_MOCK"]);
traceString += string.Format("MOCK = {0}\n", mkdConfig.mock);
mkdConfig.bIsReplayMode = bool.Parse(ConfigurationManager.AppSettings["BuySellAnalyzer_RunInReplayMode"]);
traceString += string.Format("IsReplayMode = {0}\n", mkdConfig.bIsReplayMode);
mkdConfig.replayTickFile = null;
if (mkdConfig.bIsReplayMode)
{
mkdConfig.replayTickFile = ConfigurationManager.AppSettings["BuySellAnalyzer_ReplayTickFile"];
traceString += string.Format("ReplayTickFile = {0}\n", mkdConfig.replayTickFile);
}
mkdConfig.expiryDate = DateTime.ParseExact(ConfigurationManager.AppSettings["BuySellAnalyzer_Expiry"], "yyyy-MM-dd", DateTimeFormatInfo.InvariantInfo);
traceString += "ExpiryDate = " + mkdConfig.expiryDate.ToLongDateString() + "\n";
mkdConfig.stockCode = ConfigurationManager.AppSettings["BuySellAnalyzer_StockCode"];
traceString += "StockCode = " + mkdConfig.stockCode + "\n";
mkdConfig.positionsFile = "C:\\StockTraderStateFiles\\S.OpenPositions-" + mkdConfig.stockCode + ".txt";
traceString += string.Format("OpenPositionsStatusFile = {0}\n", mkdConfig.positionsFile);
mkdConfig.brokerage = double.Parse(ConfigurationManager.AppSettings["BuySellAnalyzer_Brokerage"]);
traceString += string.Format("brokerage = {0}\n", mkdConfig.brokerage);
mkdConfig.instType = (InstrumentType)Enum.Parse(typeof(InstrumentType), ConfigurationManager.AppSettings["BuySellAnalyzer_Instrument"]);
traceString += "InstrumentType = " + mkdConfig.instType.ToString() + "\n";
mkdConfig.quantity = ConfigurationManager.AppSettings["BuySellAnalyzer_Quantity"];
traceString += string.Format("TradeQuantity = {0}\n", mkdConfig.quantity);
mkdConfig.percMarketDirectionChange = double.Parse(ConfigurationManager.AppSettings["BuySellAnalyzer_PercentageChangeForMarketDirection"]);
mkdConfig.percSquareOffThreshold = double.Parse(ConfigurationManager.AppSettings["BuySellAnalyzer_PercChangeThresholdForSquareOff"]);
//mkdConfig.percentageChangeForFreshBuy = double.Parse(ConfigurationManager.AppSettings["BuySellAnalyzer_PercentageChangeForFreshBuy"]);
//mkdConfig.percentageChangeForShortSquareOff = double.Parse(ConfigurationManager.AppSettings["BuySellAnalyzer_PercentageChangeForShortSquareOff"]);
//mkdConfig.percentageChangeForFreshShort = double.Parse(ConfigurationManager.AppSettings["BuySellAnalyzer_PercentageChangeForFreshShort"]);
//mkdConfig.percentageChangeForLongSquareOff = double.Parse(ConfigurationManager.AppSettings["BuySellAnalyzer_PercentageChangeForLongSquareOff"]);
traceString += string.Format("percMarketDirectionChange = {0}\n", mkdConfig.percMarketDirectionChange);
traceString += string.Format("percSquareOffThreshold = {0}\n", mkdConfig.percSquareOffThreshold);
//traceString += string.Format("percentageChangeForFreshBuy = {0}\n", mkdConfig.percentageChangeForFreshBuy);
//traceString += string.Format("percentageChangeForShortSquareOff = {0}\n", mkdConfig.percentageChangeForShortSquareOff);
//traceString += string.Format("percentageChangeForFreshShort = {0}\n", mkdConfig.percentageChangeForFreshShort);
//traceString += string.Format("percentageChangeForLongSquareOff = {0}\n", mkdConfig.percentageChangeForLongSquareOff);
mkdConfig.minProfitPerc = double.Parse(ConfigurationManager.AppSettings["BuySellAnalyzer_MinProfitPerc"]);
traceString += string.Format("minProfitPerc = {0}\n", mkdConfig.minProfitPerc);
mkdConfig.stopLossPerc = double.Parse(ConfigurationManager.AppSettings["BuySellAnalyzer_StopLossPerc"]);
traceString += string.Format("stopLossPerc = {0}\n", mkdConfig.stopLossPerc);
mkdConfig.percPositionSpacing = double.Parse(ConfigurationManager.AppSettings["BuySellAnalyzer_PositionSpacingPerc"]);
Console.WriteLine("percPositionSpacing = " + mkdConfig.percPositionSpacing);
mkdConfig.maxTotalPositions = int.Parse(ConfigurationManager.AppSettings["BuySellAnalyzer_MaxTotalPositions"]);
mkdConfig.maxLongPositions = int.Parse(ConfigurationManager.AppSettings["BuySellAnalyzer_MaxLongPositions"]);
mkdConfig.maxShortPositions = int.Parse(ConfigurationManager.AppSettings["BuySellAnalyzer_MaxShortPositions"]);
traceString += string.Format("maxTotalPositions = {0}\n", mkdConfig.maxTotalPositions);
traceString += string.Format("maxLongPositions = {0}\n", mkdConfig.maxLongPositions);
traceString += string.Format("maxShortPositions = {0}\n", mkdConfig.maxShortPositions);
mkdConfig.longCeilingPrice = double.Parse(ConfigurationManager.AppSettings["BuySellAnalyzer_LongCeilingPrice"]);
traceString += string.Format("longCeilingPrice = {0}\n", mkdConfig.longCeilingPrice);
mkdConfig.shortFloorPrice = double.Parse(ConfigurationManager.AppSettings["BuySellAnalyzer_ShortFloorPrice"]);
traceString += string.Format("shortFloorPrice = {0}\n", mkdConfig.shortFloorPrice);
mkdConfig.useProbableTradeValue = bool.Parse(ConfigurationManager.AppSettings["BuySellAnalyzer_UseProbableTradeValue"]);
string str_LongShort = ConfigurationManager.AppSettings["BuySellAnalyzer_LongOrShort"];
if (str_LongShort != "S" && str_LongShort != "L" && str_LongShort != "LS" && str_LongShort != "SL")
{
traceString += "Invalid value for str_LongShort";
FileTracing.TraceOut(traceString);
return(false);
}
mkdConfig.allowShort = (str_LongShort == "S") || (str_LongShort == "LS") || (str_LongShort == "SL");
mkdConfig.allowLong = (str_LongShort == "L") || (str_LongShort == "LS") || (str_LongShort == "SL");
traceString += string.Format("allowShort = {0}\n", mkdConfig.allowShort);
traceString += string.Format("allowLong = {0}\n", mkdConfig.allowLong);
//bool bIsInitialOrder = bool.Parse(ConfigurationManager.AppSettings["BuySellAnalyzer_IsInitialOrder"]);
//Order initialOrder = null;
//if (bIsInitialOrder)
//{
// {
// string str_BuyPos = ConfigurationManager.AppSettings["BuySellAnalyzer_InitialOrder_OrderPosition"];
// double db_Price = -1;
// if (double.TryParse(ConfigurationManager.AppSettings["BuySellAnalyzer_InitialOrder_OrderPrice"], out db_Price) &&
// (!string.IsNullOrEmpty(str_BuyPos)))
// {
// Position position = (Position)Enum.Parse(typeof(Position), str_BuyPos);
// mkdConfig.initialOrder = new Order(position, db_Price);
// }
// else
// {
// mkdConfig.initialOrder = new Order(Position.None, 0);
// }
// }
//}
//else
//{
// mkdConfig.initialOrder = new Order(Position.None, 0);
//}
//traceString += bIsInitialOrder ? ("InitialOrder = " + mkdConfig.ToString()) : "No Initial Order" + "\n";
FileTracing.TraceOut(traceString);
}
catch (Exception e)
{
FileTracing.TraceOut("Exception: " + e);
return(false);
}
return(true);
}
public void Trace(string message)
{
message = GetType().Name + " " + stockCode + " " + message;
Console.WriteLine(DateTime.Now.ToString() + " " + message);
FileTracing.TraceOut(message);
}
// State values updated as non-incremental (i.e. each time whole of tradebook and orderbook are parsed)
// Taking into account all trades, trade state variables are updated
// then taking all outstanding orders, order state variables are updated
// NOTH: ordering of TRADE update before ORDER update is required because trades (profit :-) )
// may have modified the FundLimitCurrent which is basically the limit available for orders
public BrokerErrorCode RefreshState(Dictionary <string, EquityOrderBookRecord> orders,
Dictionary <string, EquityTradeBookRecord> trades)
{
if (orders == null || trades == null)
{
return(BrokerErrorCode.InValidArg);
}
BrokerErrorCode errorCode = BrokerErrorCode.Success;
// lock for integrity of all STATE variable set [TODO: redundant lock, may remove]
lock (lockStateObject)
{
// None of the properties should be accessed when they are getting updated
// as part of the state refresh, so hold the properties lock
lock (lockObjectProperties)
{
// reassign the new order and trade books
OutstandingOrders = orders;
Trades = trades;
// Reset the dynamic values
ResetDynamicValues();
NumTrades = Trades.Count;
// Update the Trade values
foreach (KeyValuePair <string, EquityTradeBookRecord> tradePair in Trades)
{
EquityTradeBookRecord tradeInfo = tradePair.Value;
if (tradeInfo.Direction == OrderDirection.BUY)
{
// Buy trades
// Quantity
TradeQtyBought += tradeInfo.Quantity;
StockAvailableCurrent += tradeInfo.Quantity;
// Trade or Estimated Brokerage
double tradeBrokerage = tradeInfo.Brokerage == 0 ? EstimatedBrokerage(tradeInfo.TradeValue) : tradeInfo.Brokerage;
TradeBrokerage += tradeBrokerage;
// Funds limit
FundLimitCurrent = FundLimitCurrent - tradeInfo.TradeValue - tradeBrokerage;
string traceString = "FundLimitCurrent should never go below ZERO";
Debug.Assert(FundLimitCurrent >= 0, traceString);
FileTracing.TraceOut(FundLimitCurrent < 0, traceString);
}
else
{
// Sell Trades
// Quantity
TradeQtySold += tradeInfo.Quantity;
StockAvailableCurrent -= tradeInfo.Quantity;
string traceString = "StockAvailableCurrent should never go below ZERO";
Debug.Assert(StockAvailableCurrent >= 0, traceString);
FileTracing.TraceOut(StockAvailableCurrent < 0, traceString);
// Trade or Estimated Brokerage
double tradeBrokerage = tradeInfo.Brokerage == 0 ? EstimatedBrokerage(tradeInfo.TradeValue) : tradeInfo.Brokerage;
TradeBrokerage += tradeBrokerage;
// Funds limit
FundLimitCurrent = FundLimitCurrent + tradeInfo.TradeValue - tradeBrokerage;
traceString = "FundLimitCurrent should never go below ZERO";
Debug.Assert(FundLimitCurrent >= 0, traceString);
FileTracing.TraceOut(FundLimitCurrent < 0, traceString);
}
// TODO: calculate brokerage properly for same day buy/sell trades
}
// HACKHACK: Dependency of Order limit values on Trade limit values being updated above
OrderFundLimit = FundLimitCurrent;
OrderStockAvailable = StockAvailableCurrent;
// Also maintain the buy and sell outstanding orders separately
OutstandingBuyOrders.Clear();
OutstandingSellOrders.Clear();
NumOrders = OutstandingOrders.Count;
// Update the order values
foreach (KeyValuePair <string, EquityOrderBookRecord> orderPair in OutstandingOrders)
{
EquityOrderBookRecord orderInfo = orderPair.Value;
if (orderInfo.Direction == OrderDirection.BUY)
{
// Buy orders
OutstandingBuyOrders.Add(orderPair.Key, orderInfo);
// Quantity
OutstandingBuyQty += orderInfo.Quantity;
//because these order stocks are not really available until the buy order executes
//OrderStockAvailable += orderInfo.Quantity;
// Order value
double orderValue = orderInfo.Quantity * orderInfo.Price;
// Estimated Brokerage
double orderBrokerage = EstimatedBrokerage(orderValue);
OrderBrokerage += orderBrokerage;
// Funds limit
OrderFundLimit = OrderFundLimit - orderValue - orderBrokerage;
string traceString = "OrderFundLimit should never go below ZERO";
Debug.Assert(OrderFundLimit >= 0, traceString);
FileTracing.TraceOut(OrderFundLimit < 0, traceString);
}
else
{
// Sell orders
OutstandingSellOrders.Add(orderPair.Key, orderInfo);
// Quantity
OutstandingSellQty += orderInfo.Quantity;
OrderStockAvailable -= orderInfo.Quantity;
string traceString = "OrderStockAvailable should never go below ZERO";
Debug.Assert(OrderStockAvailable >= 0, traceString);
FileTracing.TraceOut(OrderStockAvailable < 0, traceString);
// Order value
double orderValue = orderInfo.Quantity * orderInfo.Price;
// Estimated Brokerage
double orderBrokerage = EstimatedBrokerage(orderValue);
OrderBrokerage += orderBrokerage;
// Funds limit will reduce because of to-be-incurred brokerage
OrderFundLimit = OrderFundLimit - orderBrokerage;
traceString = "OrderFundLimit should never go below ZERO";
Debug.Assert(OrderFundLimit >= 0, traceString);
FileTracing.TraceOut(OrderFundLimit < 0, traceString);
}
}
}
}
return(errorCode);
} // Refresh state ends
