public async Task Run()
{
await _tradingClient.CancelAllOpenOrders();
var closingTime = await _tradingClient.GetMarketClose();
Console.WriteLine("Waiting for market open...");
await _tradingClient.AwaitMarketOpen();
Console.WriteLine("Market opened.");
// Check every minute for price updates.
TimeSpan timeUntilClose = closingTime - DateTime.UtcNow;
while (timeUntilClose.TotalMinutes > 15)
{
// Cancel old order if it's not already been filled.
await _tradingClient.Client().DeleteOrderAsync(lastTradeId);
// Get information about current account value.
var account = await _tradingClient.Client().GetAccountAsync();
Decimal buyingPower = account.BuyingPower;
Decimal portfolioValue = account.Equity;
// Get information about our existing position.
int positionQuantity = 0;
Decimal positionValue = 0;
try
{
var currentPosition = await _tradingClient.Client().GetPositionAsync(_stockSymbol);
positionQuantity = currentPosition.Quantity;
positionValue = currentPosition.MarketValue;
}
catch (Exception)
{
// No position exists. This exception can be safely ignored.
}
var bars = await _dataClient.GetBarSet(_stockSymbol);
Decimal avg = bars.Average(item => item.Close);
Decimal currentPrice = bars.Last().Close;
Decimal diff = avg - currentPrice;
if (diff <= 0)
{
// Above the 20 minute average - exit any existing long position.
if (positionQuantity > 0)
{
Console.WriteLine("Setting position to zero.");
var orderId = await _tradingClient.SubmitMarketOrder(_stockSymbol, positionQuantity, currentPrice, OrderSide.Sell);
if (orderId != Guid.Empty)
{
lastTradeId = orderId;
}
}
else
{
Console.WriteLine("No position to exit.");
}
}
else
{
// Allocate a percent of our portfolio to this position.
Decimal portfolioShare = diff / currentPrice * _scale;
Decimal targetPositionValue = portfolioValue * portfolioShare;
Decimal amountToAdd = targetPositionValue - positionValue;
if (amountToAdd > 0)
{
// Buy as many shares as we can without going over amountToAdd.
// Make sure we're not trying to buy more than we can.
if (amountToAdd > buyingPower)
{
amountToAdd = buyingPower;
}
int qtyToBuy = (int)(amountToAdd / currentPrice);
var orderId = await _tradingClient.SubmitMarketOrder(_stockSymbol, qtyToBuy, currentPrice, OrderSide.Buy);
if (orderId != Guid.Empty)
{
lastTradeId = orderId;
}
}
else
{
// Sell as many shares as we can without going under amountToAdd.
// Make sure we're not trying to sell more than we have.
amountToAdd *= -1;
int qtyToSell = (int)(amountToAdd / currentPrice);
if (qtyToSell > positionQuantity)
{
qtyToSell = positionQuantity;
}
var orderId = await _tradingClient.SubmitMarketOrder(_stockSymbol, qtyToSell, currentPrice, OrderSide.Sell);
if (orderId != Guid.Empty)
{
lastTradeId = orderId;
}
}
}
// Wait another minute.
Thread.Sleep(60000);
timeUntilClose = closingTime - DateTime.UtcNow;
}
Console.WriteLine("Market nearing close; closing position.");
await _tradingClient.ClosePositionAtMarket(_stockSymbol);
}
public void Dispose()
{
_tradingClient?.Client().Dispose();
_dataClient?.DataClient().Dispose();
}