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private static Log ( |
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public Algo(string u, string p)
{
m_username = u;
m_password = p;
NumBets = 1;
MaxBetSize = 900;
connection = new mysql();
conn = connection.conn;
string OutputFolder = TA.DirectoryNames.GetDirectoryName("daily");
StreamWriter LogFile = new StreamWriter(OutputFolder + "/IFS.txt", true);
IFSLogger = new Logger(LogFile);
DateTime ReportDate = CalendarUtilities.BusinessDays.GetBusinessDayShifted(shiftInDays: -1);
DateTime TodayDate = DateTime.Now.Date;
IFSLogger.SW.WriteLine();
IFSLogger.Log("NOTES FOR " + TodayDate.ToString("MM/dd/yyyy"));
IFSLogger.Log(new String('-', 20));
string DirectoryName = TA.DirectoryNames.GetDirectoryName(ext: "ifsOutput");
string DirectoryExtension = TA.DirectoryNames.GetDirectoryExtension(directoryDate: ReportDate);
DataSet PythonOutput = IOUtilities.ExcelDataReader.LoadFile(DirectoryName + "/" + DirectoryExtension + "/ifs.xlsx");
DataTable IfsSheet = PythonOutput.Tables["all"];
DataColumn ExistingPositionColumn = new DataColumn("ExistingPosition", typeof(int));
ExistingPositionColumn.DefaultValue = 0;
IfsSheet.Columns.Add(ExistingPositionColumn);
DataColumn ExistingPositionAbsColumn = new DataColumn("ExistingPositionAbs", typeof(int));
ExistingPositionAbsColumn.DefaultValue = 0;
IfsSheet.Columns.Add(ExistingPositionAbsColumn);
IfsSheet.Columns.Add("Alias", typeof(string));
AutoSpreaderList = new List<ttapiUtils.AutoSpreader>();
MarketPriceTable = new DataTable();
MarketPriceTable.Columns.Add("Ticker", typeof(string));
MarketPriceTable.Columns.Add("TickerHead", typeof(string));
MarketPriceTable.Columns.Add("Tag", typeof(string));
MarketPriceTable.Columns.Add("Alias", typeof(string));
MarketPriceTable.Columns.Add("DescriptionString", typeof(string));
MarketPriceTable.Columns.Add("Settle", typeof(decimal));
MarketPriceTable.Columns.Add("Bid", typeof(decimal));
MarketPriceTable.Columns.Add("Ask", typeof(decimal));
MarketPriceTable.Columns.Add("Mid", typeof(decimal));
MarketPriceTable.Columns.Add("MidConverted", typeof(decimal));
MarketPriceTable.Columns.Add("SuggestedPosition", typeof(int));
MarketPriceTable.Columns.Add("WorkingPosition", typeof(int));
DataColumn ExistingPositionColumn2 = new DataColumn("ExistingPosition", typeof(int));
ExistingPositionColumn2.DefaultValue = 0;
MarketPriceTable.Columns.Add(ExistingPositionColumn2);
DataColumn ExistingPositionTickerHeadColumn = new DataColumn("ExistingPositionTickerHead", typeof(int));
ExistingPositionTickerHeadColumn.DefaultValue = 0;
MarketPriceTable.Columns.Add(ExistingPositionTickerHeadColumn);
MarketPriceTable.Columns.Add("Mean", typeof(double));
MarketPriceTable.Columns.Add("Std", typeof(double));
List<string> OpenStrategyList = TA.Strategy.GetFilteredOpenStrategyList(asOfDate: TodayDate, conn: conn, strategyClass: "ifs");
for (int i = 0; i < OpenStrategyList.Count; i++)
{
StrategyUtilities.PositionManagerOutput PositionManagerOut = PositionManager.GetIfsPosition(alias: OpenStrategyList[i], asOfDate: TodayDate, conn: conn);
if (PositionManagerOut.CorrectPositionQ)
{
string SelectString = "contract1='" + PositionManagerOut.SortedPosition.Rows[0].Field<string>("Ticker") + "' and contract2='" +
PositionManagerOut.SortedPosition.Rows[1].Field<string>("Ticker") + "'";
if (PositionManagerOut.SortedPosition.Rows.Count==3)
{
SelectString = SelectString + " and contract3='" + PositionManagerOut.SortedPosition.Rows[2].Field<string>("Ticker") + "'";
}
DataRow Row = IfsSheet.Select(SelectString)[0];
Row["ExistingPosition"] = Math.Round(PositionManagerOut.Scale);
Row["ExistingPositionAbs"] = Math.Abs(PositionManagerOut.Scale);
Row["Alias"] = OpenStrategyList[i];
}
else
{
IFSLogger.Log("Check " + OpenStrategyList[i] + " ! Position may be incorrect.");
}
}
DataTable newDataTable = IfsSheet.AsEnumerable()
.OrderBy(r => r.Field<string>("spread_description"))
.ThenByDescending(r => r.Field<double>("min_volume"))
.ThenByDescending(r => r.Field<int>("ExistingPositionAbs"))
.CopyToDataTable();
DataRow[] ExistingPositions = IfsSheet.Select("ExistingPositionAbs>0");
LiquidSpreads = newDataTable.AsEnumerable().GroupBy(r => r["spread_description"]).Select(w => w.First()).CopyToDataTable();
LiquidSpreads = LiquidSpreads.Select("upside<" + MaxBetSize).CopyToDataTable();
foreach (DataRow item in ExistingPositions)
{
LiquidSpreads.ImportRow(item);
}
LiquidSpreads = LiquidSpreads.AsEnumerable().GroupBy(r => r["ticker"]).Select(w => w.First()).CopyToDataTable();
for (int i = 0; i < LiquidSpreads.Rows.Count; i++)
{
List<string> TickerList = new List<string> { LiquidSpreads.Rows[i].Field<string>("Contract1"), LiquidSpreads.Rows[i].Field<string>("Contract2"), LiquidSpreads.Rows[i].Field<string>("Contract3") };
TickerList.RemoveAll(item => item == null);
AutoSpreaderList.Add(new ttapiUtils.AutoSpreader(dbTickerList:TickerList,payUpTicks:2));
DataRow Row = MarketPriceTable.NewRow();
Row["Ticker"] = AutoSpreaderList[i].AutoSpreaderName;
Row["TickerHead"] = LiquidSpreads.Rows[i].Field<string>("spread_description");
Row["Tag"] = "ifs_" + i.ToString();
if (LiquidSpreads.Rows[i].Field<int>("ExistingPositionAbs")!=0)
{
Row["Alias"] = LiquidSpreads.Rows[i].Field<string>("alias");
Row["ExistingPosition"] = LiquidSpreads.Rows[i].Field<int>("ExistingPosition");
}
else
{
Row["Alias"] = LiquidSpreads.Rows[i].Field<string>("spread_description") + "_ifs_" + DateTime.Now.ToString("MMM-yyyy");
}
Row["DescriptionString"] = "strategy_class=ifs&betsize=" + MaxBetSize.ToString();
Row["WorkingPosition"] = 0;
Row["Settle"] = LiquidSpreads.Rows[i].Field<double>("settle");
Row["Mean"] = LiquidSpreads.Rows[i].Field<double>("mean1");
Row["Std"] = LiquidSpreads.Rows[i].Field<double>("std1");
MarketPriceTable.Rows.Add(Row);
}
List<string> TickerHeadList = DataAnalysis.DataTableFunctions.GetColumnAsList<string>(dataTableInput: MarketPriceTable, columnName: "TickerHead", uniqueQ: true);
foreach (string item in TickerHeadList)
{
DataRow[] RowList = MarketPriceTable.Select("TickerHead='" + item + "'");
int TotalPosition = 0;
foreach (DataRow Row in RowList)
{
TotalPosition += Row.Field<int>("ExistingPosition");
}
foreach (DataRow Row in RowList)
{
Row["ExistingPositionTickerHead"] = TotalPosition;
}
}
ASENameList = MarketPriceTable.AsEnumerable().Select(x => x.Field<string>("Ticker")).ToList();
TagList = MarketPriceTable.AsEnumerable().Select(x => x.Field<string>("Tag")).ToList();
TTAPISubs = new ttapiUtils.Subscription(m_username, m_password);
TTAPISubs.AutoSpreaderList = AutoSpreaderList;
TTAPISubs.AsuUpdateList = new List<EventHandler<AuthenticationStatusUpdateEventArgs>> { TTAPISubs.StartASESubscriptions };
TTAPISubs.priceUpdatedEventHandler = m_ps_FieldsUpdated;
TTAPISubs.orderFilledEventHandler = m_ts_OrderFilled;
}
public FuturesButterflyTTAPI(string u, string p)
{
m_username = u;
m_password = p;
mysql connection = new mysql();
conn = connection.conn;
string OutputFolder = TA.DirectoryNames.GetDirectoryName("daily");
StreamWriter LogFile = new StreamWriter(OutputFolder + "/FuturesButterfly.txt", true);
ButterflyLogger = new Logger(LogFile);
AutoSpreaderList = new List<ttapiUtils.AutoSpreader>();
AutoSpreaderDictionary = new Dictionary<string, ttapiUtils.AutoSpreader>();
AliasDictionary = new Dictionary<string, string>();
TagDictionary = new Dictionary<string, string>();
PriceTableSymbolsReceived = new List<string>();
StrategyPositionDictionary = new Dictionary<string, DataTable>();
TTAPISubs = new ttapiUtils.Subscription(m_username, m_password);
SpreadList = new List<string>();
DateTime ReportDate = CalendarUtilities.BusinessDays.GetBusinessDayShifted(shiftInDays: -1);
DateTime TodayDate = DateTime.Now.Date;
ButterflyLogger.SW.WriteLine();
ButterflyLogger.Log("NOTES FOR " + TodayDate.ToString("MM/dd/yyyy"));
ButterflyLogger.Log(new String('-', 20));
string DirectoryName = TA.DirectoryNames.GetDirectoryName(ext: "ta");
string DirectoryExtension = TA.DirectoryNames.GetDirectoryExtension(directoryDate: ReportDate);
DataSet FollowupOutput = IOUtilities.ExcelDataReader.LoadFile(DirectoryName + "/" + DirectoryExtension + "/followup.xlsx");
DataTable ButterfliesFollowupSheet = FollowupOutput.Tables["butterflies"];
PriceTable = new DataTable();
PriceTable.Columns.Add("Ticker", typeof(string));
PriceTable.Columns.Add("TickerHead", typeof(string));
PriceTable.Columns.Add("IsAutoSpreaderQ", typeof(bool));
PriceTable.Columns.Add("BidPrice", typeof(double));
PriceTable.Columns.Add("AskPrice", typeof(double));
HistoricPriceTable = GetPrice.GetFuturesPrice.getFuturesPrice4Ticker(tickerHeadList: ContractUtilities.ContractMetaInfo.FuturesButterflyTickerheadList,
dateTimeFrom: ReportDate, dateTimeTo: ReportDate, conn: conn);
DataRow [] StopList = ButterfliesFollowupSheet.Select("Recommendation='STOP'");
if (StopList.Length>0)
{
ButterfliesStopSheet = StopList.CopyToDataTable();
ButterfliesStopSheet.Columns.Add("PnlMid",typeof(double));
ButterfliesStopSheet.Columns.Add("PnlWorst", typeof(double));
for (int i = 0; i < StopList.Length; i++)
{
string Alias = StopList[i].Field<string>("Alias");
StrategyUtilities.PositionManagerOutput PositionManagerOut = PositionManager.GetFuturesButterflyPosition(alias: Alias, asOfDate: TodayDate, conn: conn);
DataTable StrategyPosition = PositionManagerOut.SortedPosition;
StrategyPosition.Columns.Add("ClosePrice", typeof(double));
for (int j = 0; j < StrategyPosition.Rows.Count; j++)
{
DataRow SelectedHistRow = HistoricPriceTable.Select("ticker='" + StrategyPosition.Rows[j].Field<string>("Ticker") + "'")[0];
StrategyPosition.Rows[j]["ClosePrice"] = SelectedHistRow.Field<decimal>("close_price");
}
List<string> TickerList = new List<string> { StrategyPosition.Rows[0].Field<string>("Ticker") + "-" + StrategyPosition.Rows[1].Field<string>("Ticker"),
StrategyPosition.Rows[1].Field<string>("Ticker") + "-" + StrategyPosition.Rows[2].Field<string>("Ticker")};
StrategyPositionDictionary.Add(Alias, StrategyPosition);
SpreadList.AddRange(TickerList);
if (PositionManagerOut.CorrectPositionQ)
{
bool wuhu = TickerList[0].Contains("-");
string[] TickerListAux = TickerList[0].Split('-');
ttapiUtils.AutoSpreader As = new ttapiUtils.AutoSpreader(dbTickerList: TickerList, payUpTicks: 2);
AutoSpreaderList.Add(As);
AutoSpreaderDictionary.Add(As.AutoSpreaderName, As);
AliasDictionary.Add(As.AutoSpreaderName, Alias);
TagDictionary.Add(As.AutoSpreaderName, "fut_but_fol" + i);
DataRow PriceRow = PriceTable.NewRow();
PriceRow["Ticker"] = As.AutoSpreaderName;
PriceRow["TickerHead"] = StrategyPosition.Rows[0].Field<string>("TickerHead");
PriceRow["IsAutoSpreaderQ"] = true;
PriceTable.Rows.Add(PriceRow);
}
else
{
ButterflyLogger.Log("Check " + Alias + " ! Position may be incorrect.");
}
}
SpreadList = SpreadList.Distinct().ToList();
SpreadTable = new DataTable();
SpreadTable.Columns.Add("Ticker", typeof(string));
SpreadTable.Columns.Add("IsSpreadQ", typeof(bool));
for (int i = 0; i < SpreadList.Count; i++)
{
DataRow SpreadRow = SpreadTable.NewRow();
SpreadRow["Ticker"] = SpreadList[i];
SpreadRow["IsSpreadQ"] = true;
SpreadTable.Rows.Add(SpreadRow);
DataRow PriceRow = PriceTable.NewRow();
PriceRow["Ticker"] = SpreadList[i];
string[] SpreadAsArray = SpreadList[i].Split(new char[] { '-' });
PriceRow["TickerHead"] = ContractUtilities.ContractMetaInfo.GetContractSpecs(SpreadAsArray[0]).tickerHead;
PriceRow["IsAutoSpreaderQ"] = false;
PriceTable.Rows.Add(PriceRow);
}
}
PriceTableSymbols = DataAnalysis.DataTableFunctions.GetColumnAsList<string>(dataTableInput: PriceTable, columnName: "Ticker");
TTAPISubs.TickerTable = SpreadTable;
TTAPISubs.AutoSpreaderList = AutoSpreaderList;
TTAPISubs.AsuUpdateList = new List<EventHandler<AuthenticationStatusUpdateEventArgs>> { TTAPISubs.StartASESubscriptions,TTAPISubs.startInstrumentLookupSubscriptionsFromDataTable };
//TTAPISubs.AsuUpdateList = new List<EventHandler<AuthenticationStatusUpdateEventArgs>> {TTAPISubs.startInstrumentLookupSubscriptionsFromDataTable };
TTAPISubs.ilsUpdateList = new List<EventHandler<InstrumentLookupSubscriptionEventArgs>> { TTAPISubs.startPriceSubscriptions, TTAPISubs.startTradeSubscriptions };
//TTAPISubs.ilsUpdateList = new List<EventHandler<InstrumentLookupSubscriptionEventArgs>> { TTAPISubs.startPriceSubscriptions};
TTAPISubs.priceUpdatedEventHandler = m_ps_FieldsUpdated;
TTAPISubs.orderFilledEventHandler = m_ts_OrderFilled;
}
public static bool SendAutospreaderOrder(TradingTechnologies.TTAPI.Instrument instrument, InstrumentDetails instrumentDetails, ttapiUtils.AutoSpreader autoSpreader,
int qty, decimal price, string orderTag,Logger logger)
{
AutospreaderSyntheticOrderProfile op = new AutospreaderSyntheticOrderProfile(((AutospreaderInstrument)instrument).GetValidGateways()[autoSpreader.GateWay],
(AutospreaderInstrument)instrument);
BuySell Direction = BuySell.Buy;
Rounding Rounding = Rounding.Down;
if (qty < 0)
{
Direction = BuySell.Sell;
qty = -qty;
Rounding = Rounding.Up;
}
op.BuySell = Direction;
op.OrderQuantity = Quantity.FromInt(instrument, qty);
op.OrderType = OrderType.Limit;
op.OrderTag = orderTag;
op.LimitPrice = Price.FromDouble(instrumentDetails, Convert.ToDouble(price), Rounding);
if (!autoSpreader.ts.SendOrder(op))
{
logger.Log("Send new order failed: " + op.RoutingStatus.Message);
return false;
}
else
{
logger.Log("Send new order succeeded.");
return true;
}
}
