public override void PlaceOrder(Order order)
{
var price = order.Side == OrderSideBuy ? this.CurrentRate.Ask : this.CurrentRate.Bid;
var trailingSize = order.TrailingStop * 0.0001m;
var trailingAmount = order.Side == OrderSideBuy ? price - trailingSize : price + trailingSize;
this.currentTrade = new Trade
{
Side = order.Side,
TrailingAmount = trailingAmount,
Price = price,
TrailingStop = order.TrailingStop,
StopLoss = order.StopLoss,
Time = order.Timestamp,
Units = order.Units
};
Console.WriteLine("Order placed ...");
}
public override void UpdateTrade(Trade updatedTrade)
{
this.currentTrade.StopLoss = updatedTrade.StopLoss;
this.currentTrade.TrailingAmount = updatedTrade.TrailingAmount;
this.currentTrade.TrailingStop = updatedTrade.TrailingStop;
}
private void LiquidateTrade(Rate newRate, Rate accountCurrencyRate, Trade currentTrade, decimal referencePrice)
{
var gainLoss = 0m;
if (currentTrade.Side == OrderSideBuy)
{
if ((newRate.Bid - referencePrice) > DebouncingLimit) return;
gainLoss = referencePrice - currentTrade.Price;
}
else
{
if (referencePrice - newRate.Ask > DebouncingLimit) return;
gainLoss = currentTrade.Price - referencePrice;
}
Console.WriteLine("Stop loss triggered=>Gain/Loss={0} pips", gainLoss / newRate.QuoteCurrency.GetPipFraction());
var gainLossInQuoteCurrency = gainLoss * currentTrade.Units;
var gainLossConversionRate = this.GetAccountCurrencyRate(newRate, accountCurrencyRate);
this.accountInformation.Balance += gainLossInQuoteCurrency * gainLossConversionRate;
Console.WriteLine("{1} - Balance = {0}", this.accountInformation.Balance, currentTrade.Time);
this.trades.Remove(currentTrade);
}
public override Rate GetRate(string instrument)
{
var currentCandle = this.GetCurrentCandle(this.nbOfCalls);
var rateValue = currentCandle.FullRange * (decimal)this.rateGenerator.NextDouble() + currentCandle.Low;
var minuteFraction = (double)(this.nbOfCalls % this.ticksInPeriod) / this.ticksInPeriod;
this.nbOfCalls++;
this.CurrentRate = new Rate
{
Ask = rateValue,
Bid = rateValue,
Instrument = instrument,
Time = currentCandle.Timestamp.AddMinutes(this.periodInMinutes * minuteFraction)
};
if (this.currentTrade == null)
{
return this.CurrentRate;
}
var amountToCompare = 0m;
if (this.currentTrade.Side == OrderSideBuy)
{
if (this.currentTrade.TrailingStop > 0)
{
var newTrailingAmount = this.CurrentRate.Bid - this.currentTrade.TrailingStop * 0.0001m;
this.currentTrade.TrailingAmount = newTrailingAmount >= this.currentTrade.TrailingAmount
? newTrailingAmount
: this.currentTrade.TrailingAmount;
amountToCompare = this.currentTrade.TrailingAmount;
}
else
{
this.currentTrade.TrailingAmount = 0;
amountToCompare = this.currentTrade.StopLoss;
}
}
else
{
if (this.currentTrade.TrailingStop > 0)
{
var newTrailingAmount = this.CurrentRate.Ask + this.currentTrade.TrailingStop * 0.0001m;
this.currentTrade.TrailingAmount = newTrailingAmount < this.currentTrade.TrailingAmount
? newTrailingAmount
: this.currentTrade.TrailingAmount;
amountToCompare = this.currentTrade.TrailingAmount;
}
else
{
this.currentTrade.TrailingAmount = 0;
amountToCompare = this.currentTrade.StopLoss;
}
}
var gainLoss = 0m;
if (this.currentTrade.Side == OrderSideBuy)
{
if (this.CurrentRate.Bid < amountToCompare)
{
gainLoss = (this.currentTrade.Price - amountToCompare) / DolarsByPip;
Console.WriteLine("Stop loss triggered=>Gain/Loss={0}", gainLoss);
this.balancePips += gainLoss * this.currentTrade.Units * DolarsByPip;
Console.WriteLine("{1} - Balance = {0}", this.balancePips, this.currentTrade.Time);
this.currentTrade = null;
}
}
else
{
if (this.CurrentRate.Ask > amountToCompare)
{
gainLoss = (amountToCompare - this.currentTrade.Price) / DolarsByPip;
Console.WriteLine("Stop loss triggered=>Gain/Loss={0}", gainLoss);
this.balancePips += gainLoss * this.currentTrade.Units * DolarsByPip;
Console.WriteLine("{1} - Balance = {0}", this.balancePips, this.currentTrade.Time);
this.currentTrade = null;
}
}
return this.CurrentRate;
}
public void UpdateTrade(Trade updatedTrade)
{
var trade = this.trades.FirstOrDefault(x => x.Id == updatedTrade.Id);
if (trade == null)
{
throw new Exception($"No such trade with Id = {updatedTrade.Id}");
}
trade.StopLoss = updatedTrade.StopLoss;
trade.TakeProfit = updatedTrade.TakeProfit;
trade.TrailingStop = updatedTrade.TrailingStop;
}
private bool ShouldSetStopLoss(Trade currentTrade, Rate currentRate)
{
if (currentTrade.StopLoss > 0)
{
return false;
}
var pipFraction = currentTrade.QuoteCurrency.GetPipFraction();
decimal? spreadPips = (currentRate.Ask - currentRate.Bid) / (2 * pipFraction);
var cushionDeltaPrice = (spreadPips + SlippagePips + MarginalGainPips) * pipFraction;
switch (currentTrade.Side)
{
case OrderSideBuy:
return currentTrade.TrailingAmount >= currentTrade.Price + cushionDeltaPrice;
default:
return currentTrade.TrailingAmount <= currentTrade.Price - cushionDeltaPrice;
}
}
private bool ShouldCloseTrade(Trade currentTrade)
{
if (currentTrade.TrailingStop > 0)
{
return false;
}
var currentCandle = this.candles.LastOrDefault();
switch (currentTrade.Side)
{
case OrderSideBuy:
{
var fastEmaLowValue = this.fastEmaLow.Values.FirstOrDefault();
return currentCandle.Close < fastEmaLowValue;
}
case OrderSideSell:
{
var fastEmaHighValue = this.fastEmaHigh.Values.FirstOrDefault();
return currentCandle.Close > fastEmaHighValue;
}
}
return true;
//This should not happen, but in case it happens, it could be wise to close the trade or maybe send a notification
}
/// <summary>
/// Should happen every minute because the check needs to be frequent,
/// but the candles are queried in the predefined timeframe
/// </summary>
public void CheckRate(Rate newRate)
{
Trace.CorrelationManager.ActivityId = Guid.NewGuid();
validations.Clear();
if (this.CurrentRate != null && newRate.Time < this.CurrentRate.Time)
{
//This is likely to happen in a backtest or practice scenario
validations.AddErrorMessage("Rate timer is going backwards");
}
else
{
this.CurrentRate = newRate;
}
candleBuilder.AddRate(newRate);
Trace.TraceInformation("New rate : {0}", JsonConvert.SerializeObject(newRate));
if (!this.isbacktesting)
{
var systemTimeDiff = this.dateProvider.GetCurrentUtcDate() - newRate.Time.ToUniversalTime();
if (systemTimeDiff.TotalMinutes >= MaxRateStaleTime)
{
validations.AddErrorMessage("Price timer lagging behind current time");
}
}
if (!this.ValidateIndicatorsState(newRate))
{
validations.AddErrorMessage("Incomplete indicator values");
}
if (this.tradingAdapter.HasOpenTrade(this.AccountId))
{
var currentTrade = this.tradingAdapter.GetOpenTrade(this.AccountId);
//Not sure if doing this or just keep the trailing stop
if (!validations.IsValid && currentTrade.StopLoss > 0)
{
Trace.TraceInformation("Closing trade because of validation errors and open trade with stop loss");
//If the trade is open with stop loss, it is likely that we can close the trade with a profit
this.tradingAdapter.CloseTrade(this.AccountId, currentTrade.Id);
Trace.TraceError(validations.ToString());
return;
}
if (!validations.IsValid)
{
Trace.TraceInformation("Exit early because of validation errors and open trade");
Trace.TraceError(validations.ToString());
return;
}
if (this.ShouldCloseTrade(currentTrade))
{
Trace.TraceInformation("Closing trade");
this.tradingAdapter.CloseTrade(this.AccountId, currentTrade.Id);
return;
}
if (this.ShouldSetStopLoss(currentTrade, newRate))
{
Trace.TraceInformation("Break even");
var updatedTrade = new Trade
{
Id = currentTrade.Id,
StopLoss = currentTrade.TrailingAmount,
TrailingStop = 0,
TakeProfit = 0,
AccountId = this.AccountId
};
this.tradingAdapter.UpdateTrade(updatedTrade);
return;
}
Trace.TraceInformation("Exit early because of open trade, trailing amount {0}", currentTrade.TrailingAmount);
return;
}
if (!validations.IsValid)
{
Trace.TraceInformation("Exit early because of validation errors");
Trace.TraceError(validations.ToString());
return;
}
if (this.tradingAdapter.HasOpenOrder(this.AccountId))
{
Trace.TraceInformation("Open order");
return;
}
if (!this.IsTradingDay())
{
Trace.TraceInformation("Non trading day");
return;
}
if (!this.IsTradingTime())
{
Trace.TraceInformation("Non trading time");
return;
}
var currentSpread = Math.Abs(newRate.Ask - newRate.Bid) * (1.00m / newRate.QuoteCurrency.GetPipFraction());
if (currentSpread > MaxSpread)
{
Trace.TraceInformation($"Not enough liquidity, spread = {currentSpread}");
return;
}
var currentAdxValue = this.adx.Values.LastOrDefault() * 100;
if (currentAdxValue < AdxTrendLevel)
{
Trace.TraceInformation("ADX ({0}) below threshold ({1})", currentAdxValue, AdxTrendLevel);
return;
}
//TODO: Set history to calculate adx direction in app config
//Calculating adx trend with more than one candle back will cause to lost many chances to enter and will enter late
var previousAdxValue = this.adx.Values.TakeLast(2).Skip(1).FirstOrDefault() * 100m;
if (currentAdxValue <= previousAdxValue)
{
Trace.TraceInformation("ADX not increasing {0} => {1}", previousAdxValue, currentAdxValue);
return;
}
if (this.CanGoLong(newRate))
{
this.PlaceOrder(OrderSideBuy, newRate);
return;
}
if (this.CanGoShort(newRate))
{
this.PlaceOrder(OrderSideSell, newRate);
}
}
public virtual void UpdateTrade(Trade updatedTrade)
{
var result = this.proxy.PatchTradeAsync(updatedTrade.AccountId,
updatedTrade.Id,
new Dictionary<string, string>
{
{ "takeProfit", updatedTrade.TakeProfit.ToString(CultureInfo.InvariantCulture) },
{ "trailingStop", updatedTrade.TrailingStop.ToString(CultureInfo.InvariantCulture) },
{ "stopLoss", updatedTrade.StopLoss.ToString(CultureInfo.InvariantCulture) }
}).Result;
}