public async Task StopAsync()
{
if (ExchangeClient == null || MarketDataClient == null)
{
return;
}
Log.Information("Stop terminal services");
TaskPerformer.Stop();
TaskPerformer.Clear();
await Task.WhenAll(
ExchangeClient.CloseAsync(),
MarketDataClient.CloseAsync());
ExchangeClient.Connected -= OnExchangeConnectedEventHandler;
ExchangeClient.Disconnected -= OnExchangeDisconnectedEventHandler;
ExchangeClient.AuthOk -= OnExchangeAuthOkEventHandler;
ExchangeClient.AuthNonce -= OnExchangeAuthNonceEventHandler;
ExchangeClient.Error -= OnExchangeErrorEventHandler;
ExchangeClient.OrderReceived -= OnExchangeOrderEventHandler;
ExchangeClient.SwapReceived -= OnSwapReceivedEventHandler;
MarketDataClient.Connected -= OnMarketDataConnectedEventHandler;
MarketDataClient.Disconnected -= OnMarketDataDisconnectedEventHandler;
MarketDataClient.AuthOk -= OnMarketDataAuthOkEventHandler;
MarketDataClient.AuthNonce -= OnMarketDataAuthNonceEventHandler;
MarketDataClient.Error -= OnMarketDataErrorEventHandler;
MarketDataClient.QuotesReceived -= OnQuotesReceivedEventHandler;
MarketDataClient.EntriesReceived -= OnEntriesReceivedEventHandler;
MarketDataClient.SnapshotReceived -= OnSnapshotReceivedEventHandler;
}
public void SubscribeToMarketData(SubscriptionType type)
{
MarketDataClient.SubscribeAsync(new List <Subscription> {
new Subscription {
Type = type
}
});
}
private async void OnMarketDataAuthNonceEventHandler(object sender, EventArgs args)
{
try
{
var auth = await Account
.CreateAuthRequestAsync(
nonce : MarketDataClient.Nonce,
keyIndex : Account.UserSettings.AuthenticationKeyIndex)
.ConfigureAwait(false);
MarketDataClient.AuthAsync(auth);
}
catch (Exception e)
{
Log.Error(e, "MarketData auth error");
}
}
protected override Position Build()
{
Position?existingPosition = Database.GetPosition(Symbol);
if (existingPosition?.LongQuantity == Quantity)
{
return(existingPosition);
}
else
{
bool isValid = MarketDataClient.ValidateWithinTodaysRangeAndGetQuote(Symbol, (float)Last, out _);
if (isValid)
{
return(new Position(Symbol, Quantity, (float)Average));
}
else
{
Log.Information("Found invalid symbol/price in parsed position: Symbol {Symbol}. Builder {@Builder}", Symbol, this);
return(BuildModelFromSimilarUsedSymbol());
}
}
}
protected override FilledOrder Build()
{
UnvalidatedFilledOrder unvalidatedOrder = new UnvalidatedFilledOrder(Symbol, (float)FilledPrice, Instruction, OrderType, (float)Limit, Quantity, Time);
FilledOrder? existingOrder = Database.GetTodaysFilledOrders().FirstOrDefault(order => unvalidatedOrder.StrictEquals(order));
if (existingOrder != null)
{
return(existingOrder);
}
else
{
bool isValid = MarketDataClient.ValidateWithinTodaysRangeAndGetQuote(unvalidatedOrder, out OptionQuote? quote);
if (isValid)
{
return(new FilledOrder(unvalidatedOrder, quote));
}
else
{
Log.Information("Found invalid symbol/price in parsed order: Symbol {Symbol}. Builder {@Builder}", Symbol, this);
return(BuildModelFromSimilarUsedSymbol());
}
}
}
public LottoXClient(RagingBullConfig rbConfig, OCRConfig ocrConfig, PortfolioDatabase database, MarketDataClient marketDataClient) : base(rbConfig, database, marketDataClient)
{
PositionBuilder positionBuilder = new PositionBuilder(marketDataClient, database);
FilledOrderBuilder orderBuilder = new FilledOrderBuilder(marketDataClient, database);
ImageToPositionsConverter = new ImageToPositionsConverter(ocrConfig, positionBuilder);
ImageToOrdersConverter = new ImageToOrdersConverter(ocrConfig, orderBuilder);
QuantityConsistencyClient = new ImageConsistencyClient();
HeaderConsistencyClient = new ImageConsistencyClient();
OrderConsistencyClient = new ImageConsistencyClient();
}
protected override bool ValidateWithSymbolOverride(string overrideSymbol, out OptionQuote?quote)
{
return(MarketDataClient.ValidateWithinTodaysRangeAndGetQuote(overrideSymbol, (float)Last, out quote));
}
public PositionBuilder(MarketDataClient client, PortfolioDatabase database) : base(client, database)
{
}
protected override async Task ExecuteAsync(CancellationToken stoppingToken)
{
//TimeSortedCollection<FilledOrder> liveOrders = new TimeSortedCollection<FilledOrder>();
//liveOrders.Add(new FilledOrder("NIO_201204C55", (float)0.5, "BUY_TO_OPEN", "LIMIT", (float)0.5, 50, new DateTime(2020, 12, 1, 12, 25, 33)));
//liveOrders.Add(new FilledOrder("NIO_201204C60", (float)0.5, "BUY_TO_OPEN", "LIMIT", (float)0.5, 50, new DateTime(2020, 12, 1, 12, 22, 30)));
//liveOrders.Add(new FilledOrder("NIO_201204C62", (float)0.5, "BUY_TO_OPEN", "LIMIT", (float)0.5, 50, new DateTime(2020, 12, 1, 12, 22, 30)));
//liveOrders.Add(new FilledOrder("NIO_201204C65", (float)0.5, "BUY_TO_OPEN", "LIMIT", (float)0.5, 50, new DateTime(2020, 12, 1, 12, 30, 00)));
//LivePortfolioClient.IdentifyNewAndUpdatedOrders(liveOrders, 260);
//IEnumerable<Position> positions = BrokerClient.GetPositions();
//OptionQuote quote;
//try
//{
// quote = MarketDataClient.GetOptionQuote("AAPL_201218C140");
// //OptionQuote quote = MarketDataClient.GetQuote("AAPL_121819C140");
//}
//catch (Exception ex)
//{
// Log.Information(ex, "hello");
//}
//Order o1 = new Order("AAPL_201218C150", 1, InstructionType.SELL_TO_CLOSE, OrderType.MARKET, (float)0.08);
//BrokerClient.PlaceOrder(o1);
//Log.Information("Placing Order: {@Order}", o1);
//IList<Position> positions = await ((LottoXClient)LivePortfolioClient).GetPositionsFromImage("C:/Users/Admin/WindowsServices/MarketCode/LottoXService/screenshots/portfolio-4380.png");
//Order o1 = new Order("AAPL_201231C150", 1, InstructionType.BUY_TO_OPEN, OrderType.LIMIT, (float).03);
//Order o2 = new Order("CMG_201231C150", 1, InstructionType.BUY_TO_OPEN, OrderType.LIMIT, (float).03);
//BrokerClient.PlaceOrder(o1);
//BrokerClient.PlaceOrder(o2);
BrokerClient.CancelExistingBuyOrders("ZM_210115C550");
Log.Information("RETURNING EARLY");
return;
if (!MarketDataClient.IsMarketOpenToday())
{
Log.Information("Market closed today");
return;
}
//Log.Information("NOT LOGGING IN");
await LivePortfolioClient.Login();
TimeSpan marketOpenTime = new TimeSpan(9, 30, 0);
TimeSpan marketCloseTime = new TimeSpan(16, 0, 0);
int invalidPortfolioStateCount = 0;
int errorCount = 0;
//string seedOrdersFilename = "C:/Users/Admin/WindowsServices/MarketCode/LottoXService/screenshots/orders-4173.png";
string seedOrdersFilename = "";
while (!stoppingToken.IsCancellationRequested)
{
TimeSpan now = DateTime.Now.TimeOfDay;
if (now >= marketCloseTime)
{
Log.Information("Market now closed!");
ElmahClient.Dispose();
//Log.Information("NOT BREAKING ON MARKET CLOSED");
break;
}
else if (now <= marketOpenTime)
{
Log.Information("Market not open yet!");
// Or, wait until 9:30am
await Task.Delay(30 * 1000, stoppingToken);
continue;
}
try
{
Task _ = ElmahClient.Heartbeats.HealthyAsync(new Guid(_elmahConfig.LogId), _elmahConfig.HeartbeatId);
TimeSortedCollection <PositionDelta> deltas;
if (seedOrdersFilename.Length > 0)
{
Log.Information("*********Seeding live orders with file " + seedOrdersFilename);
deltas = await LivePortfolioClient.GetLiveDeltasFromPositions(seedOrdersFilename);
seedOrdersFilename = "";
}
else if (errorCount > 0 ||
invalidPortfolioStateCount > 0)
{
Log.Information("***Getting live deltas after error");
deltas = await LivePortfolioClient.GetLiveDeltasFromPositions();
}
else if (await LivePortfolioClient.HaveOrdersChanged(null))
{
Log.Information("***Change in top orders detected- getting live orders");
deltas = await LivePortfolioClient.GetLiveDeltasFromPositions();
}
else
{
deltas = new TimeSortedCollection <PositionDelta>();
}
foreach (PositionDelta delta in deltas)
{
Order?order = OrderManager.DecideOrder(delta);
if (order != null)
{
if (order.Instruction == InstructionType.SELL_TO_CLOSE)
{
BrokerClient.CancelExistingBuyOrders(order.Symbol);
}
BrokerClient.PlaceOrder(order);
}
}
invalidPortfolioStateCount = 0;
errorCount = 0;
}
catch (InvalidPortfolioStateException)
{
invalidPortfolioStateCount++;
if (invalidPortfolioStateCount == 2)
{
Log.Error("Portfolio found invalid {InvalidCount} times", invalidPortfolioStateCount);
}
else if (invalidPortfolioStateCount > 2)
{
Log.Fatal("Portfolio found invalid {InvalidCount} times", invalidPortfolioStateCount);
break;
}
await LivePortfolioClient.Login();
continue;
}
catch (PortfolioDatabaseException)
{
//Assume the exception is already logged
break;
}
catch (OptionParsingException ex)
{
Log.Fatal(ex, "Error parsing option symbol. Symbol {Symbol}. Terminating program.", ex.Symbol);
break;
}
catch (ArgumentException ex)
{
Log.Fatal(ex, "Arument exception encountered- terminating program.");
break;
}
catch (ModelBuilderException ex)
{
Log.Error(ex, "ModelBuilderException encountered");
errorCount++;
if (errorCount > 2)
{
Log.Fatal(ex, "Too many consecutive errors encountered. Terminating program. Error count = {ErrorCount}", errorCount);
break;
}
}
catch (Exception ex)
{
errorCount++;
if (errorCount <= 2)
{
Log.Error(ex, "Unexpected error: count = {ErrorCount}", errorCount);
}
else if (errorCount > 2)
{
Log.Fatal(ex, "Too many consecutive errors encountered. Terminating program. Error count = {ErrorCount}", errorCount);
break;
}
}
await Task.Delay(15 *1000, stoppingToken);
}
_hostApplicationLifetime.StopApplication();
}
public FilledOrderBuilder(MarketDataClient client, PortfolioDatabase database) : base(client, database)
{
Instruction = "";
OrderType = "";
}
public LtxModelBuilder(MarketDataClient marketDataClient, PortfolioDatabase database)
{
Symbol = "";
MarketDataClient = marketDataClient;
Database = database;
}
public RagingBullClient(RagingBullConfig config, PortfolioDatabase positionDB, MarketDataClient marketDataClient) : base(positionDB, marketDataClient)
{
Email = config.Email;
Password = config.Password;
PortfolioUrl = config.PortfolioUrl;
ChromePath = config.ChromePath;
}
