public static void Init(this FinancialCalculator calculator, DataFeed dataFeed)
{
if (calculator == null)
{
throw new ArgumentNullException("calculator");
}
if (dataFeed == null)
{
throw new ArgumentNullException("dataFeed");
}
var symbols = new SymbolInfo[0];
try
{
calculator.Currencies.Clear();
calculator.Symbols.Clear();
symbols = dataFeed.Server.GetSymbols();
dataFeed.Server.SubscribeToQuotes(symbols.Select(s => s.Name), 1);
InitializeCalculator(calculator, dataFeed, symbols);
}
finally
{
dataFeed.Server.UnsubscribeQuotes(symbols.Select(symbol => symbol.Name));
}
}
/// <summary>
/// Converts volume in currency X to currency Z (margin currency to deposit currency)
/// </summary>
/// <param name="calculator">Financial calculator.</param>
/// <param name="amount">Volume.</param>
/// <param name="symbol">Symbol X/Y.</param>
/// <param name="depositCurrency">Deposit currency.</param>
/// <returns>Rate or null if rate cannot be calculated.</returns>
public static double?ConvertXToZ(this FinancialCalculator calculator, double amount, string symbol, string depositCurrency)
{
if (calculator == null)
{
throw new ArgumentNullException(nameof(calculator));
}
if (symbol == null)
{
throw new ArgumentNullException(nameof(symbol));
}
if (depositCurrency == null)
{
throw new ArgumentNullException(nameof(depositCurrency));
}
if (calculator.MarketState == null)
{
calculator.Calculate();
}
try
{
double rate = (double)calculator.MarketState.ConversionMap.GetMarginConversion(symbol, depositCurrency).Value;
return(rate * amount);
}
catch (BusinessLogicException)
{
return(null);
}
}
public NewSymbolDialog(ListBox symbols, FinancialCalculator calcualtor)
{
this.symbols = symbols;
this.calculator = calcualtor;
this.InitializeComponent();
this.UpdatePreview();
}
internal FinancialCalculator CreateCalculator()
{
var result = new FinancialCalculator();
//{
// MarginMode = this.MarginMode
//};
foreach (var element in this.Prices)
{
result.Prices.Update(element.Symbol, element.Bid, element.Ask);
}
foreach (var element in this.Symbols)
{
var entry = element.CreateEntry(result);
result.Symbols.Add(entry);
}
foreach (var element in this.Accounts)
{
var entry = element.CreateEntry(result);
result.Accounts.Add(entry);
}
foreach (var element in this.Currencies)
{
var entry = new CurrencyEntry(result, element, 2, 0);
result.Currencies.Add(entry);
}
return(result);
}
internal FinancialCalculator CreateCalculator()
{
var result = new FinancialCalculator();
//{
// MarginMode = this.MarginMode
//};
foreach (var element in this.Prices)
{
result.Prices.Update(element.Symbol, element.Bid, element.Ask);
}
foreach (var element in this.Symbols)
{
var entry = element.CreateEntry(result);
result.Symbols.Add(entry);
}
foreach (var element in this.Accounts)
{
var entry = element.CreateEntry(result);
result.Accounts.Add(entry);
}
foreach (var element in this.Currencies)
{
result.Currencies.Add(element);
}
return result;
}
public NewCurrencyDialog(ListBox currencies, FinancialCalculator calcualtor)
{
this.currencies = currencies;
this.calculator = calcualtor;
this.InitializeComponent();
this.UpdateState();
}
public static void RegisterToFeed(DataFeed feed, FinancialCalculator calculator)
{
feed.Tick += (object sender, TickEventArgs e) =>
{
calculator.Prices.Update(e.Tick.Symbol, e.Tick.Bid, e.Tick.Ask);
};
feed.Server.SubscribeToQuotes(Symbols.Select(symbol => symbol.Name), 1);
}
public static int ConnectToFdk(string address, string login, string password, string path)
{
Calculator = null;
Console.WriteLine("Connecting ... ");
var result = FdkHelper.ConnectToFdk(address, login, password, path);
Console.WriteLine("Done");
return(result);
}
public static double CalculatePriceBid(SymbolInfo symbol)
{
FinancialCalculator financialCalculator = FdkStatic.Calculator;
double?rateK = financialCalculator.CalculateAssetRate(1, symbol.SettlementCurrency, "USD");
if (!rateK.HasValue)
{
return(double.NaN);
}
return(rateK.Value);
}
public static double CalculatePriceAsk(SymbolInfo symbol)
{
FinancialCalculator financialCalculator = FdkStatic.Calculator;
PriceEntry? priceEntry = financialCalculator.Prices.TryGetPriceEntry(symbol.Name);
if (!priceEntry.HasValue)
{
return(double.NaN);
}
return(priceEntry.Value.Ask);
}
public static void Main()
{
decimal[] prices = { 1m, 2m, 3m };
Type calcType = typeof(FinancialCalculator);
MethodInfo sumMethod = calcType.GetMethod("Sum");
FinancialCalculator calc = (FinancialCalculator)Activator.CreateInstance(calcType);
decimal sum = (decimal)sumMethod.Invoke(calc, new object[] { prices });
Console.WriteLine($"Sum: {sum}\nPress any key to continue.");
Console.ReadKey();
}
static string FormatTextFromCalculator(FinancialCalculator calc)
{
using (var stream = new MemoryStream())
{
calc.Save(stream);
stream.Position = 0;
using (var reader = new StreamReader(stream))
{
var result = reader.ReadToEnd();
return(result);
}
}
}
internal SymbolEntry CreateEntry(FinancialCalculator owner)
{
var result = new SymbolEntry(owner, this.Symbol, this.From, this.To)
{
Tag = this.Tag,
ContractSize = this.ContractSize,
Hedging = this.Hedging,
MarginFactorOfPositions = this.MarginFactorOfPositions,
MarginFactorOfLimitOrders = this.MarginFactorOfLimitOrders,
MarginFactorOfStopOrders = this.MarginFactorOfStopOrders
};
return result;
}
static FinancialCalculator CreateCalculatorFromText(string text)
{
using (var stream = new MemoryStream(text.Length))
{
using (var writer = new StreamWriter(stream))
{
writer.Write(text);
writer.Flush();
stream.Position = 0;
var result = FinancialCalculator.Load(stream);
return(result);
}
}
}
public static double CalculatePipsValue(SymbolInfo symbol)
{
FinancialCalculator financialCalculator = FdkStatic.Calculator;
int decimals = symbol.Precision;
double?amountZ = financialCalculator.ConvertYToZ(Math.Pow(10, -decimals) * symbol.RoundLot, symbol.Name, "USD");
if (!amountZ.HasValue)
{
Log.WarnFormat("No rate for currency pair: {0}/USD", symbol.Name);
return(double.NaN);
// throw new InvalidOperationException(
// string.Format("No rate for currency pair: {0}/USD", symbol.Name));
}
return(amountZ.Value);
}
public static double CalculatePipsValue(SymbolInfo symbol)
{
FinancialCalculator financialCalculator = FdkStatic.Calculator;
int decimals = symbol.Precision;
double contractSize = symbol.ContractMultiplier;
double?rateK = financialCalculator.CalculateAssetRate(1, symbol.SettlementCurrency, "USD");
if (!rateK.HasValue)
{
throw new InvalidOperationException(
string.Format("No rate for currency pair: {0}/USD", symbol.SettlementCurrency));
}
double formula = Math.Pow(10, -decimals) * contractSize * rateK.Value;
return(formula);
}
internal SymbolEntry CreateEntry(FinancialCalculator owner)
{
var result = new SymbolEntry(owner, this.Symbol, this.From, this.To)
{
Tag = this.Tag,
ContractSize = this.ContractSize,
Hedging = this.Hedging,
MarginFactorOfPositions = this.MarginFactorOfPositions,
MarginFactorOfLimitOrders = this.MarginFactorOfLimitOrders,
MarginFactorOfStopOrders = this.MarginFactorOfStopOrders,
StopOrderMarginReduction = this.StopOrderMarginReduction,
HiddenLimitOrderMarginReduction = this.HiddenLimitOrderMarginReduction
};
return(result);
}
internal CalculatorData(FinancialCalculator calculator)
: this()
{
if (calculator == null)
throw new ArgumentNullException(nameof(calculator));
//this.MarginMode = calculator.MarginMode;
this.Prices.AddRange(calculator.Prices.Select(o => new PriceData(o)));
this.Symbols.AddRange(calculator.Symbols.Select(o => new SymbolData(o)));
this.Accounts.AddRange(calculator.Accounts.Select(o => new AccountData(o)));
this.Currencies.AddRange(calculator.Currencies);
}
private static void InitializeCalculator(FinancialCalculator calculator, DataFeed dataFeed, SymbolInfo[] symbols)
{
var dtUtcNow = DateTime.UtcNow;
var currenciesHashSet = new HashSet <string>();
symbols.ToList().ForEach(s =>
{
var symbolEntry = new SymbolEntry(calculator, s.Name, s.SettlementCurrency, s.Currency)
{
ContractSize = s.RoundLot,
MarginFactor = s.MarginFactor,
Hedging = s.MarginHedge
};
calculator.Symbols.Add(symbolEntry);
if (currenciesHashSet.Add(s.Currency))
{
calculator.Currencies.Add(s.Currency);
}
if (currenciesHashSet.Add(s.SettlementCurrency))
{
calculator.Currencies.Add(s.SettlementCurrency);
}
try
{
double priceBid = 0;
double priceAsk = 0;
TryGetBidAsk(dataFeed, s.Name, ref priceBid, ref priceAsk);
try
{
calculator.Prices.Update(s.Name, priceBid, priceAsk);
}
catch (Exception ex)
{
Log.Error(string.Format("Failed to update calculator for symbol: {0} exception: {1}", s.Name, ex));
}
}
catch (Exception ex)
{
Log.Error(string.Format("Failed to get bid/ask for symbol {0}", s.Name));
}
});
currenciesHashSet.Clear();
}
internal CalculatorData(FinancialCalculator calculator)
: this()
{
if (calculator == null)
{
throw new ArgumentNullException(nameof(calculator));
}
//this.MarginMode = calculator.MarginMode;
this.Prices.AddRange(calculator.Prices.Select(o => new PriceData(o)));
this.Symbols.AddRange(calculator.Symbols.Select(o => new SymbolData(o)));
this.Accounts.AddRange(calculator.Accounts.Select(o => new AccountData(o)));
this.Currencies.AddRange(calculator.Currencies.Select(o => o.Name));
}
void OnOpen(object sender, EventArgs e)
{
var result = this.m_openFileDialog.ShowDialog();
if (result != DialogResult.OK)
{
return;
}
var path = this.m_openFileDialog.FileName;
try
{
this.calculator = FinancialCalculator.Load(path);
this.RefreshData();
}
catch (Exception ex)
{
MessageBox.Show(ex.ToString(), this.Text, MessageBoxButtons.OK, MessageBoxIcon.Error);
}
}
public SetRatesOfCurrentTime(List <SymbolInfo> symbolInfoDic, FinancialCalculator calculator)
{
_symbolInfoDic = symbolInfoDic;
_calculator = calculator;
_currencies = new HashSet <string>();
Symbols = new Dictionary <string, SymbolInfo>();
foreach (var sym in symbolInfoDic)
{
_currencies.Add(sym.Currency);
_currencies.Add(sym.SettlementCurrency);
Symbols[sym.Name] = sym;
}
foreach (var curr in _calculator.Currencies)
{
_currencies.Remove(curr);
}
foreach (var sym in _calculator.Symbols)
{
Symbols.Remove(sym.Symbol);
}
}
internal AccountEntry CreateEntry(FinancialCalculator owner)
{
var result = new AccountEntry(owner)
{
Tag = this.Tag,
Type = this.Type,
Leverage = this.Leverage,
Balance = this.Balance,
Currency = this.Currency,
Profit = this.Profit,
ProfitStatus = this.ProfitStatus,
Margin = this.Margin,
MarginStatus = this.MarginStatus
};
foreach (var element in this.Trades)
{
var entry = element.CreateEntry(result);
result.Trades.Add(entry);
}
return result;
}
internal AccountEntry CreateEntry(FinancialCalculator owner)
{
var result = new AccountEntry(owner)
{
Tag = this.Tag,
Type = this.Type,
Leverage = this.Leverage,
Balance = this.Balance,
Currency = this.Currency,
Profit = this.Profit,
ProfitStatus = this.ProfitStatus,
Margin = this.Margin,
MarginStatus = this.MarginStatus
};
foreach (var element in this.Trades)
{
var entry = element.CreateEntry(result);
result.Trades.Add(entry);
}
return(result);
}
public static double?CalculateAssetRate(this FinancialCalculator calculator, double asset, string assetCurrency, string currency)
{
if (calculator == null)
{
throw new ArgumentNullException(nameof(calculator));
}
if (assetCurrency == null)
{
throw new ArgumentNullException(nameof(assetCurrency));
}
if (currency == null)
{
throw new ArgumentNullException(nameof(currency));
}
if (calculator.MarketState == null)
{
calculator.Calculate();
}
try
{
if (asset >= 0)
{
return((double)calculator.MarketState.ConversionMap.GetPositiveAssetConversion(assetCurrency, currency).Value);
}
else
{
return((double)calculator.MarketState.ConversionMap.GetNegativeAssetConversion(assetCurrency, currency).Value);
}
}
catch (BusinessLogicException)
{
return(null);
}
}
static FdkStatic()
{
Calculator = new FinancialCalculator();
SetupLog4Net();
}
internal CurrencyEntry CreateEntry(FinancialCalculator owner)
{
var result = new CurrencyEntry(owner, this.Name, this.Precision, this.SortOrder);
return(result);
}
public static void Disconnect()
{
Calculator = null;
FdkHelper.Disconnect();
FdkVars.ClearAll();
}
public void Setup()
{
_financialCalculator = new FinancialCalculator();
}