// Beyond 0.6 and less than 0.3 does not work good, at least surely in nifty
// Stoploss 1 is most optimized
// Min profit 0.5, 0.75 and 1 are optimized. Not needed to dabble with them
public static TradingAlgo GetAlgo(short algoId, AlgoParams algoParams, bool onlyCheckAlgoExist)//bool doLimitLoss = false)
{
TradingAlgo algo = null;
bool isAlgoFound = true;
//algoParams.AllowInitialTickStabilization = true;
switch (algoId)
{
// -------------------- New Experiments Scalper 150 Algos-------------------------------- //
case 150:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
break;
case 151:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 1;
break;
case 152:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.75;
break;
case 153:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.3;
break;
// --------------------Scalper Algos: Immediate squareoff on min profit. No peak or minmax reset-------------------------------- //
case 13:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
algoParams.IsFixedTradesPerDay = true;
algoParams.NumTradesStopForDay = 2;
break;
case 14:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 1;
algoParams.IsFixedTradesPerDay = true;
algoParams.NumTradesStopForDay = 2;
break;
case 15:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.75;
algoParams.IsFixedTradesPerDay = true;
algoParams.NumTradesStopForDay = 2;
break;
case 17:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
break;
case 18:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 1;
break;
case 19:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.75;
break;
// --------------------Scalper Algos: Immediate squareoff on min profit. Reset peaktype and minmax-------------------------------- //
case 20:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
break;
case 21:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 1;
break;
case 22:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.75;
break;
case 23:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.35;
break;
// ----------------------Min Profit must. threshold moves (perc-minprofit) ---------------------------------- //
case 30:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
break;
case 31:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 1;
break;
case 32:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.75;
break;
// ---------------------Min profit + half of over that is must. threshold moves (perc-minprofit)/2------------------------------------------- //
case 40:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
break;
case 41:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 1;
break;
case 42:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.75;
break;
// -------------------------Same like 40s with reset min-max--------------------------- //
case 50:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
break;
case 51:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.75;
break;
case 52:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 1;
break;
case 53:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.35;
break;
case 60:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
algoParams.IsFixedTradesPerDay = true;
algoParams.NumTradesStopForDay = 1;
break;
case 61:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
algoParams.IsFixedTradesPerDay = true;
algoParams.NumTradesStopForDay = 2;
break;
case 62:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
algoParams.IsFixedTradesPerDay = true;
algoParams.NumTradesStopForDay = 3;
break;
// ------------------ Stop loss threshold moves with profit : lenient------------------------- //
case 100:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
break;
case 101:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 1;
break;
case 102:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.75;
break;
case 113:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
algoParams.IsFixedTradesPerDay = true;
algoParams.NumTradesStopForDay = 2;
break;
case 114:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 1;
algoParams.IsFixedTradesPerDay = true;
algoParams.NumTradesStopForDay = 2;
break;
case 115:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.75;
algoParams.IsFixedTradesPerDay = true;
algoParams.NumTradesStopForDay = 2;
break;
// ------------------ Stop loss threshold moves with profit :Straight profit/3 lenient------------------------- //
case 116:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
break;
case 117:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 1;
break;
case 118:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.75;
break;
case 119:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.35;
algoParams.IsFixedTradesPerDay = true;
algoParams.NumTradesStopForDay = 2;
break;
default:
isAlgoFound = false;
break;
}
// Temporary test
//if (algoParams.IsReplayMode)
//{
// //algoParams.PercSquareOffThreshold = 1;
// //algoParams.AllowInitialTickStabilization = true;
// //algoParams.IsFixedTradesPerDay = true;
// algoParams.IsLimitLossPerDay = true;
// algoParams.NumTradesStopForDay = 2;
// algoParams.PercSquareOffThreshold = 1.25;
//}
if (!isAlgoFound)
{
return(null);
}
else if (onlyCheckAlgoExist)
{
algoParams.I = new Instrument("dummy", InstrumentType.FutureIndex, 100);
if (algoParams.IsHedgeAlgo)
{
algo = new AlgoHedge(algoParams);
}
else
{
algo = new AlgoScalper(algoParams);
}
return(algo);
}
algoParams.IsLimitLossPerDay = true;
algoParams.PercLossStopForDay = 2.5;
algoParams.NumNettLossTradesStopForDay = 5;
if (algoId >= 10)
{
algoParams.IsMinProfitMust = true;
}
if (StockUtils.IsInstrumentOptionType(algoParams.I.InstrumentType))
{
algoParams.PercMinProfit += 5;
if (algoParams.PercMarketDirectionChange == 7.05)
{
algoParams.PercSquareOffThreshold += 5;
}
else if (algoParams.PercMarketDirectionChange == 7.15)
{
//algoParams.PercMarketDirectionChange += 3.6;
algoParams.PercSquareOffThreshold += 15;
}
else
{
algoParams.PercSquareOffThreshold += 10;
}
algoParams.PercBrokerage = 12000 / (algoParams.I.StrikePrice * algoParams.I.Qty);
//algoParams.SquareOffBrokerageFactor = 1.3;
}
//if (algoId < 10)
// algo = new AlgoMinMax(algoParams);
//else
if (algoParams.IsHedgeAlgo)
{
algo = new AlgoHedge(algoParams);
}
else
{
algo = new AlgoScalper(algoParams);
}
return(algo);
}
// 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));
}
