// quoteDict has been moved to PairPos Dict
// CSV writer for checking quotes
// public void CSVWriter(int tickerID)
// {
// // create filename
// string fileName = "";
// try
// {
// fileName = string.Format("{0}{1}_{2}.csv", QUOTE_FOLDER_DIR, tickerID, TickerSymbolDict[tickerID]);
// }
// catch (Exception)
// {
// Console.WriteLine("No ticker ID: {0}", tickerID);
// return;
// }
//
//
// // delete the file if exists
// if (File.Exists(fileName))
// {
// File.Delete(fileName);
// }
//
// try
// {
// using (FileStream fs = File.Create(fileName))
// {
// // write title
// Byte[] title = new UTF8Encoding(true).GetBytes("Time, Price, Size\n");
// fs.Write(title, 0, title.Length);
//
// // write contents
// for (int i = 0; i < QuoteDict[tickerID].Count; i++)
// {
// QuoteTick tmpQtItm = QuoteDict[tickerID][i];
// string tmpStr = String.Format("{0},{1},{2}\n", tmpQtItm.QtTime, tmpQtItm.QtLastPrice, tmpQtItm.QtLastSize);
// Byte[] line = new UTF8Encoding(true).GetBytes(tmpStr);
// fs.Write(line, 0, line.Length);
// }
// }
// }
// catch (Exception)
// {
// throw;
// }
// }
// go through the symbol dictionary, and fill out the PairPosition dictionary
public void CreatePairObjs()
{
this.PairPosDict.Clear();
foreach (var KeyValuePair in this.TickerSymbolDict)
{
// skip etf
if ((KeyValuePair.Key & 1) == 1)
{
continue;
}
PairPos newPair = new PairPos();
newPair.PairBeta = 0; // beta initialize
int tmpEtfTID = (KeyValuePair.Key & 1024) + 1; // clear all digits in 1 to 9. Aka, clear stk infomation
newPair.pairEtfLeg.TickerID = tmpEtfTID;
try
{
newPair.pairEtfLeg.Symbol = this.TickerSymbolDict[tmpEtfTID];
}
catch (Exception)
{
throw;
}
newPair.pairStkLeg.TickerID = KeyValuePair.Key;
newPair.pairStkLeg.Symbol = KeyValuePair.Value;
this.PairPosDict.Add(KeyValuePair.Key, newPair);
}
}
public PairPos createPair(PairSignal oneSignal)
{
Equities etfLeg = this.equityDict[oneSignal.EtfTID];
Equities stkLeg = this.equityDict[oneSignal.StkTID];
PairPos newPair = new PairPos(etfLeg, stkLeg);
return(newPair);
// blah blah
//foreach (var KeyValuePair in this.TickerSymbolDict)
//{
// // skip etf
// if ((KeyValuePair.Key & 1) == 1)
// continue;
// PairPos newPair = new PairPos();
// newPair.PairBeta = 0; // beta initialize
// int tmpEtfTID = (KeyValuePair.Key & 1024) + 1; // clear all digits in 1 to 9. Aka, clear stk infomation
// newPair.pairEtfLeg.TickerID = tmpEtfTID;
// try
// {
// newPair.pairEtfLeg.Symbol = this.TickerSymbolDict[tmpEtfTID];
// }
// catch (Exception)
// {
// throw;
// }
// newPair.pairStkLeg.TickerID = KeyValuePair.Key;
// newPair.pairStkLeg.Symbol = KeyValuePair.Value;
// this.PairPosDict.Add(KeyValuePair.Key, newPair);
//}
}
// quoteDict has been moved to PairPos Dict
// CSV writer for checking quotes
// public void CSVWriter(int tickerID)
// {
// // create filename
// string fileName = "";
// try
// {
// fileName = string.Format("{0}{1}_{2}.csv", QUOTE_FOLDER_DIR, tickerID, TickerSymbolDict[tickerID]);
// }
// catch (Exception)
// {
// Console.WriteLine("No ticker ID: {0}", tickerID);
// return;
// }
//
//
// // delete the file if exists
// if (File.Exists(fileName))
// {
// File.Delete(fileName);
// }
//
// try
// {
// using (FileStream fs = File.Create(fileName))
// {
// // write title
// Byte[] title = new UTF8Encoding(true).GetBytes("Time, Price, Size\n");
// fs.Write(title, 0, title.Length);
//
// // write contents
// for (int i = 0; i < QuoteDict[tickerID].Count; i++)
// {
// QuoteTick tmpQtItm = QuoteDict[tickerID][i];
// string tmpStr = String.Format("{0},{1},{2}\n", tmpQtItm.QtTime, tmpQtItm.QtLastPrice, tmpQtItm.QtLastSize);
// Byte[] line = new UTF8Encoding(true).GetBytes(tmpStr);
// fs.Write(line, 0, line.Length);
// }
// }
// }
// catch (Exception)
// {
// throw;
// }
// }
// go through the symbol dictionary, and fill out the PairPosition dictionary
public void CreatePairObjs()
{
this.PairPosDict.Clear();
foreach (var KeyValuePair in this.TickerSymbolDict)
{
// skip etf
if ((KeyValuePair.Key & 1) == 1)
continue;
PairPos newPair = new PairPos();
newPair.PairBeta = 0; // beta initialize
int tmpEtfTID = (KeyValuePair.Key & 1024) + 1; // clear all digits in 1 to 9. Aka, clear stk infomation
newPair.pairEtfLeg.TickerID = tmpEtfTID;
try
{
newPair.pairEtfLeg.Symbol = this.TickerSymbolDict[tmpEtfTID];
}
catch (Exception)
{
throw;
}
newPair.pairStkLeg.TickerID = KeyValuePair.Key;
newPair.pairStkLeg.Symbol = KeyValuePair.Value;
this.PairPosDict.Add(KeyValuePair.Key, newPair);
}
}
static void Main(string[] args)
{
//Connect
EWrapperImpl.Instance.ClientSocket.eConnect("127.0.0.1", 7496, 0);
Thread.Sleep(2000);
#region test
// Contract contract = new Contract();
// contract.Symbol = "DIA";
// contract.SecType = "STK";
// contract.Currency = "USD";
// contract.Exchange = "SMART";
//
// Order tmpOrder = new Order();
// //tmpOrder.ClientId = 0;
// tmpOrder.OrderId = EWrapperImpl.Instance.NextOrderId;
// tmpOrder.Action = "SELL";
// tmpOrder.TotalQuantity = 20;
// tmpOrder.OrderType = "MKT";
//
// EWrapperImpl.Instance.ClientSocket.placeOrder(EWrapperImpl.Instance.NextOrderId, contract, tmpOrder);
// Console.ReadKey();
#endregion
//EWrapperImpl.Instance.getAllQuote();
// PairSignal tmpSignal = new PairSignal();
// tmpSignal.StkTID = 8; // CSCO
// tmpSignal.EtfTID = 1;
// tmpSignal.TrSignal = PairType.openLong;
//
// EWrapperImpl.Instance.processSignal(tmpSignal);
// Console.ReadKey();
//
// //EWrapperImpl.Instance.getAllQuote();
//
// tmpSignal.TrSignal = PairType.closeLong;
// EWrapperImpl.Instance.processSignal(tmpSignal);
//
// Console.ReadKey();
// self close
PairSignal tmpSignal = new PairSignal();
tmpSignal.StkTID = 8; // CSCO
tmpSignal.EtfTID = 1;
tmpSignal.TrSignal = PairType.openLong;
EWrapperImpl.Instance.processSignal(tmpSignal);
Console.ReadKey();
PairPos tmpPair = EWrapperImpl.Instance.PairPosDict[tmpSignal.StkTID];
tmpPair.closeThisPosition();
#region request market data IB
//Create and define a contract to fetch data for
// Contract contract = new Contract();
// contract.Symbol = "EUR";
// contract.SecType = "CASH";
// contract.Currency = "GBP";
// contract.Exchange = "IDEALPRO";
//
// //Invoke IB's ClientSocket's data request
// ibClient.ClientSocket.reqMktData(1, contract, "", false, null);
#endregion
//Stay alive for a little while
Console.ReadKey();
Console.WriteLine("The End.");
}
public void processSignal(PairSignal oneSignal)
{
if (oneSignal.TrSignal == PairType.nullType)
{
// do nothing
return;
}
if (!PairPosDict.ContainsKey(oneSignal.StkTID))
{
PairPos newPair = this.createPair(oneSignal);
PairPosDict.Add(oneSignal.StkTID, newPair);
}
// retrieve Pair information from pair dict, based on this signal
PairPos tmpPair = this.PairPosDict[oneSignal.StkTID];
//tmpPair.ThisPairStatus = oneSignal.TrSignal;
// TODO: remove this line later, this is just for test
tmpPair.PairBeta = 1;
if (tmpPair.PairBeta == 0)
{
// the beta of this pair is zero, this pair hasn't be completely set up. exit application
throw new Exception("Please build your model first!");
}
// create contract objects for both stk and etf
Contract etfContract = new Contract();
etfContract.Symbol = tmpPair.EtfLeg.Symbol;
etfContract.SecType = "STK"; // Both etf and stk are using the same security type, required by IB
etfContract.Currency = "USD";
etfContract.Exchange = "SMART";
Contract stkContract = new Contract();
stkContract.Symbol = tmpPair.StkLeg.Symbol;
stkContract.SecType = "STK";
stkContract.Currency = "USD";
stkContract.Exchange = "SMART";
// create order objects for both stk and etf
Order etfOrder = new Order();
etfOrder.OrderId = this.NextOrderId;
etfOrder.OrderType = "MKT";
Order stkOrder = new Order();
stkOrder.OrderId = this.NextOrderId + 1;
stkOrder.OrderType = "MKT";
// pass order ID to Pair Dictionary
switch (oneSignal.TrSignal)
{
case PairType.openLong:
if (tmpPair.ThisPairStatus == PairType.openLong | tmpPair.ThisPairStatus == PairType.openShort)
{
throw new Exception(string.Format("Pair {0} and {1} already open, cannot open again!", tmpPair.EtfLeg.Symbol, tmpPair.StkLeg.Symbol));
}
tmpPair.ThisPairStatus = PairType.openLong;
tmpPair.EtfLeg.OpenOrderID = this.nextOrderId;
tmpPair.StkLeg.OpenOrderID = this.nextOrderId + 1;
tmpPair.CurrHoldingPeriod = 0; // open, holding period = 0
break;
case PairType.openShort:
if (tmpPair.ThisPairStatus == PairType.openLong | tmpPair.ThisPairStatus == PairType.openShort)
{
throw new Exception(string.Format("Pair {0} and {1} already open, cannot open again!", tmpPair.EtfLeg.Symbol, tmpPair.StkLeg.Symbol));
}
tmpPair.ThisPairStatus = PairType.openShort;
tmpPair.EtfLeg.OpenOrderID = this.nextOrderId;
tmpPair.StkLeg.OpenOrderID = this.nextOrderId + 1;
tmpPair.CurrHoldingPeriod = 0;
break;
case PairType.closeLong:
if (tmpPair.ThisPairStatus == PairType.closeLong | tmpPair.ThisPairStatus == PairType.closeShort | tmpPair.ThisPairStatus == PairType.nullType)
{
throw new Exception(string.Format("Pair {0} and {1} not opened, cannot close!", tmpPair.EtfLeg.Symbol, tmpPair.StkLeg.Symbol));
}
tmpPair.ThisPairStatus = PairType.closeLong;
tmpPair.EtfLeg.CloseOrderID = this.nextOrderId;
tmpPair.StkLeg.CloseOrderID = this.nextOrderId + 1;
tmpPair.CurrHoldingPeriod = -1; // close, holding period = -1
break;
case PairType.closeShort:
if (tmpPair.ThisPairStatus == PairType.closeLong | tmpPair.ThisPairStatus == PairType.closeShort | tmpPair.ThisPairStatus == PairType.nullType)
{
throw new Exception(string.Format("Pair {0} and {1} not opened, cannot close!", tmpPair.EtfLeg.Symbol, tmpPair.StkLeg.Symbol));
}
tmpPair.ThisPairStatus = PairType.closeShort;
tmpPair.EtfLeg.CloseOrderID = this.nextOrderId;
tmpPair.StkLeg.CloseOrderID = this.nextOrderId + 1;
tmpPair.CurrHoldingPeriod = -1;
break;
default:
throw new Exception("Wrong signal type. Press any key to start over...");
}
this.PairPosDict[oneSignal.StkTID] = tmpPair;
switch (oneSignal.TrSignal)
{
case PairType.openLong:
// long etf short stk
stkOrder.Action = "SELL";
stkOrder.TotalQuantity = Convert.ToInt32(tmpPair.InitEtfShare * tmpPair.PairBeta);
stkOrder.OrderType = "MKT";
etfOrder.Action = "BUY";
etfOrder.TotalQuantity = tmpPair.InitEtfShare;
etfOrder.OrderType = "MKT";
break;
case PairType.openShort:
// short etf long stk
stkOrder.Action = "BUY";
stkOrder.TotalQuantity = Convert.ToInt32(tmpPair.InitEtfShare * tmpPair.PairBeta);
stkOrder.OrderType = "MKT";
etfOrder.Action = "SELL";
etfOrder.TotalQuantity = tmpPair.InitEtfShare;
etfOrder.OrderType = "MKT";
break;
case PairType.closeLong:
// close, sell etf buy cover stk
stkOrder.Action = "BUY";
stkOrder.TotalQuantity = Convert.ToInt32(tmpPair.InitEtfShare * tmpPair.PairBeta);
stkOrder.OrderType = "MKT";
etfOrder.Action = "SELL";
etfOrder.TotalQuantity = tmpPair.InitEtfShare;
etfOrder.OrderType = "MKT";
break;
case PairType.closeShort:
// close, buy cover etf sell stk
stkOrder.Action = "SELL";
stkOrder.TotalQuantity = Convert.ToInt32(tmpPair.InitEtfShare * tmpPair.PairBeta);
stkOrder.OrderType = "MKT";
etfOrder.Action = "BUY";
etfOrder.TotalQuantity = tmpPair.InitEtfShare;
etfOrder.OrderType = "MKT";
break;
default:
// not gonna happen
throw new Exception("Wrong signal!");
break;
}
// TODO: add log file here
this.ClientSocket.placeOrder(etfOrder.OrderId, etfContract, etfOrder);
this.ClientSocket.placeOrder(stkOrder.OrderId, stkContract, stkOrder);
this.ClientSocket.reqIds(1);
}
public PairPos createPair(PairSignal oneSignal)
{
Equities etfLeg = this.equityDict[oneSignal.EtfTID];
Equities stkLeg = this.equityDict[oneSignal.StkTID];
PairPos newPair = new PairPos(etfLeg, stkLeg);
return newPair;
// blah blah
//foreach (var KeyValuePair in this.TickerSymbolDict)
//{
// // skip etf
// if ((KeyValuePair.Key & 1) == 1)
// continue;
// PairPos newPair = new PairPos();
// newPair.PairBeta = 0; // beta initialize
// int tmpEtfTID = (KeyValuePair.Key & 1024) + 1; // clear all digits in 1 to 9. Aka, clear stk infomation
// newPair.pairEtfLeg.TickerID = tmpEtfTID;
// try
// {
// newPair.pairEtfLeg.Symbol = this.TickerSymbolDict[tmpEtfTID];
// }
// catch (Exception)
// {
// throw;
// }
// newPair.pairStkLeg.TickerID = KeyValuePair.Key;
// newPair.pairStkLeg.Symbol = KeyValuePair.Value;
// this.PairPosDict.Add(KeyValuePair.Key, newPair);
//}
}