public void OnAccountLoaded(MbtAccount account)
{
this.m_account = account;
if (firstTime)
{
orderLog.Notice("Starting account = " + Display(m_account));
m_position = m_OrderClient.Positions.Find(m_account, symbol.Symbol);
if (m_position != null)
{
orderLog.Notice("Starting position = " + Display(m_position));
}
MbtOpenOrders orders = m_OrderClient.OpenOrders;
orders.LockItems();
for (int i = 0; i < orders.Count; i++)
{
orderLog.Notice("Order " + i + ": " + Display(orders[i]));
m_orders[orders[i].OrderNumber] = orders[i];
}
orders.UnlockItems();
foreach (string orderNum in m_orders.Keys)
{
string bstrRetMsg = null;
if (m_OrderClient.Cancel(orderNum, ref bstrRetMsg) == true)
{
orderLog.Notice("Order " + orderNum + ": Canceled. " + bstrRetMsg);
}
else
{
orderLog.Notice("Order " + orderNum + ": Cancel Failed: " + bstrRetMsg);
}
}
CheckSignalSync();
}
firstTime = false;
}
public void OnPositionUpdated(MbtPosition position)
{
m_position = position;
if (debug)
{
orderLog.Debug("Account: OnPositionUpdated( )");
}
}
public void OnPositionAdded(MbtPosition position)
{
m_position = position;
if (debug)
{
orderLog.Debug("OnPositionAdded( )");
}
}
public int GetPositionSize()
{
int size = 0;
try {
MbtPosition position = m_position;
if (position != null)
{
size += position.PendingBuyShares - position.PendingSellShares +
position.IntradayPosition + position.OvernightPosition;
}
} catch (Exception ex) {
orderLog.Notice("Exception: " + ex);
}
return(size);
}
/// <summary>
/// Helper, converts from MBT to OFxP object.
/// </summary>
PositionInfo?ConvertToPositionInfo(MbtPosition position)
{
PositionInfo result = new PositionInfo();
Symbol?symbol = _adapter.GetSymbolByName(position.Symbol, true);
if (symbol.HasValue == false)
{
return(null);
}
result.Symbol = symbol.Value;
result.Volume = position.CloseableShares;
result.Commission = (decimal)Math.Round(position.Commission, 4);
result.PendingBuyVolume = position.PendingBuyShares;
result.PendingSellVolume = position.PendingSellShares;
result.Result = (decimal)Math.Round(position.RealizedPNL, 4);
return(result);
}
void _orderClient_OnPositionAdded(MbtPosition pPos)
{
}
/// <summary>
/// Helper, converts from MBT to OFxP object.
/// </summary>
PositionInfo? ConvertToPositionInfo(MbtPosition position)
{
PositionInfo result = new PositionInfo();
Symbol? symbol = _adapter.GetSymbolByName(position.Symbol, true);
if (symbol.HasValue == false)
{
return null;
}
result.Symbol = symbol.Value;
result.Volume = position.CloseableShares;
result.Commission = (decimal)Math.Round(position.Commission, 4);
result.PendingBuyVolume = position.PendingBuyShares;
result.PendingSellVolume = position.PendingSellShares;
result.Result = (decimal)Math.Round(position.RealizedPNL, 4);
return result;
}
void _orderClient_OnPositionAdded(MbtPosition pPos)
{
}
void m_OrderClient_OnPositionUpdated(MbtPosition pPos)
{
}
void PositionHasChanged(MbtPosition pPos) //pmh - Renamed from OnPositionChanged. This is not an event - don't name it so.
{
debug(String.Format("PositionHasChanged {0} {1}", pPos.Symbol, pPos.AggregatePosition));
string sym = pPos.Symbol;
//TODO: check accuracy of AveragePrice2. Currently known to not correctly include prices from further than 1 day back
//AveragePrice2 only available in release candidates so reverting to the calc below that
//decimal price = (decimal) pPos.AveragePrice2;
decimal price =
//pmh check each, not together (pPos.IntradayPosition + pPos.OvernightPosition != 0)
(pPos.IntradayPosition != 0 && pPos.OvernightPosition != 0) //pmh - do this instead!
?
//pmh bug! (decimal)(((pPos.IntradayPosition * pPos.IntradayPrice) + (pPos.OvernightPosition * pPos.OvernightPrice)) / (pPos.IntradayPrice + pPos.OvernightPosition))
(decimal)(((pPos.IntradayPosition * pPos.IntradayPrice) + (pPos.OvernightPosition * pPos.OvernightPrice)) / (pPos.IntradayPosition + pPos.OvernightPosition))
:
0;
int size = pPos.AggregatePosition; //TODO: make this pPos.RealizedPNL2 when it is available
decimal cpl = (decimal)pPos.RealizedPNL;
string account = pPos.Account.Account;
Position p = new PositionImpl(sym, price, size, cpl, account);
pt.NewPosition(p);
}
void m_OrderClient_OnPositionUpdated(MbtPosition pPos)
{
debug(String.Format("m_OrderClient_OnPositionUpdated: {0} {1} {2}", pPos.Account.Account, pPos.Symbol, pPos.AggregatePosition));
PositionHasChanged(pPos);
}
void m_OrderClient_OnPositionUpdated(MbtPosition pPos)
{
}
/// <summary>
/// Helper, converts from MBT to OFxP object.
/// </summary>
PositionInfo? ConvertToPositionInfo(MbtPosition position, MBTradingQuote quotes)
{
PositionInfo result = new PositionInfo();
Symbol? symbol = _adapter.GetSymbolByName(position.Symbol, true);
if (symbol.HasValue == false)
{
return null;
}
result.Symbol = symbol.Value;
result.Volume = position.AggregatePosition;/*position.CloseableShares;*/
result.Commission = (decimal)Math.Round(position.Commission, IntegrationAdapter.AdvisedAccountDecimalsPrecision);
result.PendingBuyVolume = position.PendingBuyShares;
result.PendingSellVolume = position.PendingSellShares;
result.MarketValue = 0;
result.ClosedResult = (decimal)Math.Round(position.RealizedPNL, 4);
if (quotes.SessionsQuotes.ContainsKey(symbol.Value.Name))
{
double openPnL, basis;
if (CalculatePositionOpenPnLAndBasis(position, quotes.SessionsQuotes[symbol.Value.Name].Quote, out openPnL, out basis))
{
result.Result = (decimal)Math.Round(openPnL, IntegrationAdapter.AdvisedAccountDecimalsPrecision);
result.Basis = (decimal)basis;
}
}
return result;
}
/// <summary>
/// This will work properly only for USD *BASED ACCOUNTS*.
/// Code based on the forexOpenPnL.txt VB6 code file from the SDK.
/// See here for details: http://finance.groups.yahoo.com/group/mbtsdk/message/6120
/// </summary>
/// <returns></returns>
bool CalculatePositionOpenPnLAndBasis(MbtPosition position, Quote? positionSymbolQuote, out double openPnL, out double basis)
{
openPnL = 0;
basis = 0;
if (positionSymbolQuote.HasValue == false ||
positionSymbolQuote.Value.Ask.HasValue == false || positionSymbolQuote.Value.Bid.HasValue == false)
{
return false;
}
long aggregatedPosition = position.AggregatePosition;
if (aggregatedPosition == 0)
{
return true;
}
// This also assumes aggregatedPosition is not zero!
basis = ((position.OvernightPrice * position.OvernightPosition) + (position.IntradayPrice * position.IntradayPosition)) / aggregatedPosition;
Symbol? symbol = Symbol.CreateForexPairSymbol(position.Symbol);
if (symbol.HasValue == false)
{
return false;
}
bool isLong = aggregatedPosition > 0;
double ask = (double)positionSymbolQuote.Value.Ask.Value;
double bid = (double)positionSymbolQuote.Value.Bid.Value;
if (symbol.Value.ForexCurrency1 == "USD")
{// Based C1.
if (isLong)
{// Long. long position - use Bid ' ((bid - basis) / bid) * qty
openPnL = ((bid - basis) / bid) * aggregatedPosition;
return true;
}
else
{// Short. short position - use Ask ' ((ask - basis) / ask) * qty
openPnL = ((ask - basis) / ask) * aggregatedPosition;
return true;
}
}
else if (symbol.Value.ForexCurrency2 == "USD")
{// Based C2.
if (isLong)
{// Long. ' long position - use Bid ' (bid - basis) * qty
openPnL = (bid - basis) * aggregatedPosition;
return true;
}
else
{// Short. ' short position - use Ask ' (ask - basis) * qty
openPnL = (ask - basis) * aggregatedPosition;
return true;
}
}
else
{// Not based.
// This is the code that covers this scenario (from the forexOpenPnL.txt from the SDK),
// however it requires the usage of other pairs data... so not implemented right now.
//SystemMonitor.OperationWarning(string.Format("Position PnL not calculated for symbol [{0}] since pair not USD based.", position.Symbol));
return false;
//' Neither C1 or C2 is our base. therefore, find a "related symbol" for
//' C2 that will relate C2 back to our base "USD", and use the related
//' symbol's Bid/Ask as part of the calculation. Do this by creating a
//' temp variable "f" with the value of the Bid/Ask, inverted if necessary.
//Dim f As Double
// f = 0
// For j = 0 To mlSymCnt
//' Find C1 base (e.g. EUR/CHF produces USD/CHF)
// If Left(msSyms(j), 3) = "USD" And Right(s, 3) = Right(msSyms(j), 3) Then
//' use Ask for short, Bid for long, and invert
// f = 1 / (IIf(aggregatedPosition < 0, mdCAsk(j), mdCBid(j)))
//' dOpenPnL = (IIf(aggregatedPosition < 0, a, b) - dBasis) * f * aggregatedPosition
// Exit For ' found it !
// End If
// Next
// If f = 0 Then
//' If C1 base not found, find C2 base (e.g. EUR/GBP produces GBP/USD)
// For j = 0 To mlSymCnt
// If Right(msSyms(j), 3) = "USD" And Right(s, 3) = Left(msSyms(j), 3) Then
//' use Ask for short, Bid for long, but don't invert
// f = IIf(aggregatedPosition < 0, mdCAsk(j), mdCBid(j))
//' dOpenPnL = (IIf(aggregatedPosition < 0, a, b) - dBasis) * f * aggregatedPosition
// Exit For ' found it !
// End If
// Next
// End If
// If f = 0 Then ' for some reason, none found (you should find out why) !
// Debug.Print "ERROR"
// Else
//' (bidOrAsk - basis) * f * qty
//' f contains the Bid/Ask of the related symbol, inverted if necessary
// dOpenPnL = (IIf(aggregatedPosition < 0, a, b) - dBasis) * f * aggregatedPosition
// End If
//End If
}
}
void m_OrderClient_OnPositionUpdated(MbtPosition pPos)
{
//debug(String.Format("updating pos: {0} {1} {2}", pPos.Account.Account, pPos.Symbol, pPos.AggregatePosition));
OnPositionChanged(pPos);
}
void OnPositionChanged(MbtPosition pPos)
{
debug(String.Format("OnPositionChanged {0} {1}", pPos.Symbol, pPos.AggregatePosition));
string sym = pPos.Symbol;
int size = pPos.AggregatePosition;
//TODO: check accuracy of AveragePrice2. Currently known to not correctly include prices from further than 1 day back
//AveragePrice2 only available in release candidates so reverting to the calc below that
//decimal price = (decimal) pPos.AveragePrice2;
decimal price = (pPos.IntradayPosition + pPos.OvernightPosition != 0)
? (decimal)(((pPos.IntradayPosition * pPos.IntradayPrice) + (pPos.OvernightPosition * pPos.OvernightPrice)) / (pPos.IntradayPrice + pPos.OvernightPosition))
: 0;
//TODO: make this pPos.RealizedPNL2 when it is available
decimal cpl = (decimal)pPos.RealizedPNL;
string account = pPos.Account.Account;
Position p = new PositionImpl(sym, price, size, cpl, account);
pt.NewPosition(p);
}
