public void stopAndCross()
{
foreach (SterlingLib.ISTIOrder order in ordersAbove)
{
orderMaint.CancelOrder(Globals.account, 0, order.ClOrderID, Guid.NewGuid().ToString());
}
foreach (SterlingLib.ISTIOrder order in ordersBelow)
{
orderMaint.CancelOrder(Globals.account, 0, order.ClOrderID, Guid.NewGuid().ToString());
}
status = "Stopped";
//Cross out.
int orderQuantity = 0;
string orderSide = "B";
if (currentPosition > 0)
{
orderQuantity = currentPosition;
orderSide = "S";
}
else if (currentPosition < 0)
{
orderQuantity = -(currentPosition);
orderSide = "B";
}
else
{
return;
}
SterlingLib.STIOrder stiOrder = new SterlingLib.STIOrder();
stiOrder.Symbol = symbol;
stiOrder.Account = Globals.account;
if (orderSide != null)
{
stiOrder.Side = orderSide;
}
stiOrder.Quantity = orderQuantity;
stiOrder.Tif = "D"; //day order
stiOrder.PriceType = SterlingLib.STIPriceTypes.ptSTIMkt;
stiOrder.Destination = "BATS";
stiOrder.ClOrderID = Guid.NewGuid().ToString();
int orderStatus = stiOrder.SubmitOrder();
if (orderStatus != 0)
{
Debug.WriteLine("Order Error on Stop and Close Order: " + orderStatus.ToString());
}
else
{
//Success
}
}
private void stiEvents_OnSTIOrderUpdateXML(ref string orderUpdateInfo)
{
XmlSerializer xs = new XmlSerializer(typeof(SterlingLib.structSTIOrderUpdate));
SterlingLib.structSTIOrderUpdate structTrade = (SterlingLib.structSTIOrderUpdate)xs.Deserialize(new StringReader(orderUpdateInfo));
//MessageBox.Show(structTrade.nOrderStatus.ToString());
//Find associated order level, trigger new order
SterlingAlgos.OrderLevel orderLevel = orderLevels.Where(i => i.sittingOrder.ClOrderID == structTrade.bstrClOrderId).FirstOrDefault();
//MessageBox.Show(orderLevel.lastFilledOrder.fAvgExecPrice.ToString());
Console.WriteLine("TU" + " : " + orderLevel.startPrice + " : " + orderLevel.sittingOrder.ClOrderID);
if (orderLevel != null)
{ //Check if orderLevel actually found
if (orderLevel.isStop)
{
if (structTrade.nOrderStatus == 5)
{
stop();
}
}
else if (structTrade.nOrderStatus == 5) //Check for complete fill
{
bool isRestore = (direction == orderLevel.sittingOrder.Side) || (direction == "S" && orderLevel.sittingOrder.Side == "T"); //If true, size has been restored, so do TP order. If false, TP order is hit, calculate profit and do restore size order
if (direction == "B" && isRestore) // Restore Size has just occurred
{
orderLevel.totalFills += 1;
orderLevel.completedOrders.Add(orderLevel.sittingOrder);
orderLevel.lastFilledOrder = structTrade;
//Create take profit order
SterlingLib.STIOrder stiOrder = new SterlingLib.STIOrder();
stiOrder.Symbol = symbol;
stiOrder.Account = Globals.account;
stiOrder.Side = "S";
stiOrder.Quantity = incrementSize;
stiOrder.Tif = "D"; //day order
stiOrder.PriceType = SterlingLib.STIPriceTypes.ptSTILmt;
stiOrder.LmtPrice = Convert.ToDouble(orderLevel.startPrice + profitOffset);
stiOrder.Destination = Globals.desination;
stiOrder.ClOrderID = Guid.NewGuid().ToString();
if (!isStopped)
{
//Submit order
int ord = stiOrder.SubmitOrder();
if (ord != 0)
{
MessageBox.Show("Order Error: " + ord.ToString());
}
else //No error, new sitting order is the new "buy" order (restore size order)
{
orderLevel.sittingOrder = stiOrder;
orderLevel.isRestore = false;
}
}
else
{
orderLevel.sittingOrder = stiOrder;
orderLevel.isRestore = false;
}
}
if (direction == "B" && !isRestore) //Take Profit has just occurred
{
//orderLevel.PL += Convert.ToDecimal(structTrade.fExecPrice - orderLevel.lastFilledOrder.fExecPrice);
orderLevel.totalFills += 1;
orderLevel.completedOrders.Add(orderLevel.sittingOrder);
orderLevel.lastFilledOrder = structTrade;
//Create restore size order
SterlingLib.STIOrder stiOrder = new SterlingLib.STIOrder();
stiOrder.Symbol = symbol;
stiOrder.Account = Globals.account;
stiOrder.Side = "B";
stiOrder.Quantity = incrementSize;
stiOrder.Tif = "D"; //day order
stiOrder.PriceType = SterlingLib.STIPriceTypes.ptSTILmt;
stiOrder.LmtPrice = Convert.ToDouble(orderLevel.startPrice);
stiOrder.Destination = Globals.desination;
stiOrder.ClOrderID = Guid.NewGuid().ToString();
if (!isStopped)
{
//Submit order
if (restoreSize)
{
int ord = stiOrder.SubmitOrder();
if (ord != 0)
{
MessageBox.Show("Order Error: " + ord.ToString());
}
else //No error, new sitting order is the new "buy" order (restore size order)
{
orderLevel.sittingOrder = stiOrder;
}
}
else
{
orderLevel.sittingOrder = stiOrder; //Order will sit there but not execute is no restore size option
orderLevel.isRestore = true;
}
}
else
{
orderLevel.sittingOrder = stiOrder;
}
}
if (direction == "S" && isRestore) // Restore Size has just occurred
{
orderLevel.totalFills += 1;
orderLevel.completedOrders.Add(orderLevel.sittingOrder);
orderLevel.lastFilledOrder = structTrade;
//Create take profit order
SterlingLib.STIOrder stiOrder = new SterlingLib.STIOrder();
stiOrder.Symbol = symbol;
stiOrder.Account = Globals.account;
stiOrder.Side = "B";
stiOrder.Quantity = incrementSize;
stiOrder.Tif = "D"; //day order
stiOrder.PriceType = SterlingLib.STIPriceTypes.ptSTILmt;
stiOrder.LmtPrice = Convert.ToDouble(orderLevel.startPrice - profitOffset);
stiOrder.Destination = Globals.desination;
stiOrder.ClOrderID = Guid.NewGuid().ToString();
if (!isStopped)
{
//Submit order
int ord = stiOrder.SubmitOrder();
if (ord != 0)
{
MessageBox.Show("Order Error: " + ord.ToString());
}
else //No error, new sitting order is the new "buy" order (restore size order)
{
orderLevel.sittingOrder = stiOrder;
orderLevel.isRestore = false;
}
}
else
{
orderLevel.sittingOrder = stiOrder;
orderLevel.isRestore = false;
}
}
if (direction == "S" && !isRestore) //Take Profit has just occurred
{
//orderLevel.PL += Convert.ToDecimal(orderLevel.lastFilledOrder.fExecPrice - structTrade.fExecPrice);
orderLevel.totalFills += 1;
orderLevel.completedOrders.Add(orderLevel.sittingOrder);
orderLevel.lastFilledOrder = structTrade;
//Create restore size order
SterlingLib.STIOrder stiOrder = new SterlingLib.STIOrder();
stiOrder.Symbol = symbol;
stiOrder.Account = Globals.account;
stiOrder.Side = "S";
stiOrder.Quantity = incrementSize;
stiOrder.Tif = "D"; //day order
stiOrder.PriceType = SterlingLib.STIPriceTypes.ptSTILmt;
stiOrder.LmtPrice = Convert.ToDouble(orderLevel.startPrice);
stiOrder.Destination = Globals.desination;
stiOrder.ClOrderID = Guid.NewGuid().ToString();
if (!isStopped)
{
if (restoreSize)
{
//Submit order
int ord = stiOrder.SubmitOrder();
if (ord != 0)
{
MessageBox.Show("Order Error: " + ord.ToString());
}
else //No error, new sitting order is the new "buy" order (restore size order)
{
orderLevel.sittingOrder = stiOrder;
}
}
else
{
orderLevel.sittingOrder = stiOrder; //Order will sit there but not execute is no restore size option
orderLevel.isRestore = true;
}
}
else
{
orderLevel.sittingOrder = stiOrder;
}
}
}
}
}
public bool initiateTrade()
{
int restartLevels = 0; //Remaining restart levels
if (isRestart)
{
if (isRunning)
{
stop();
}
orderLevels.Clear();
restartLevels = restartInitialLevels;
isStopped = false;
}
priceLevels.Clear();
if (direction == "B")
{
SterlingLib.STIOrder stiOrder = new SterlingLib.STIOrder();
//Stop Order First
if (hasHardStop)
{
stiOrder.Symbol = symbol;
stiOrder.Account = Globals.account;
stiOrder.Side = "S";
stiOrder.Quantity = maxSize;
stiOrder.Tif = "D"; //day order
stiOrder.PriceType = SterlingLib.STIPriceTypes.ptSTILmtStp;
stiOrder.StpPrice = Convert.ToDouble(hardStop);
stiOrder.Destination = "EDGX";
stiOrder.ClOrderID = Guid.NewGuid().ToString();
int ord = stiOrder.SubmitOrder();
if (ord != 0)
{
MessageBox.Show("Order Error: " + ord.ToString() + " - 1");
}
else
{
OrderLevel orderLevel = new OrderLevel();
orderLevel.isStop = true;
orderLevel.startPrice = hardStop;
orderLevel.sittingOrder = stiOrder; //Setting start size order as trigger order for each level
orderLevels.Add(orderLevel);
}
}
//Initial position
//Create Order Levels for Starting Size and all levels above it (for buy side)
//for (decimal price = startingPrice; price < rangeTop; price += incrementPrice)
for (decimal price = rangeTop - incrementPrice; price >= startingPrice; price -= incrementPrice)
{
stiOrder = new SterlingLib.STIOrder();
stiOrder.Symbol = symbol;
stiOrder.Account = Globals.account;
stiOrder.Side = direction;
stiOrder.Quantity = incrementSize;
stiOrder.Tif = "D"; //day order
stiOrder.PriceType = SterlingLib.STIPriceTypes.ptSTILmt;
stiOrder.LmtPrice = Convert.ToDouble(startingPrice);
stiOrder.Destination = Globals.desination;
stiOrder.ClOrderID = Guid.NewGuid().ToString();
if (restartLevels > 0) //If this is a restart scale trade and one of the initial position levels, make it a take profit instead of a restore size
{
stiOrder.Side = "S";
stiOrder.LmtPrice = Convert.ToDouble(price + profitOffset);
restartLevels -= 1;
}
//Submit order
int ord = stiOrder.SubmitOrder();
if (ord != 0)
{
MessageBox.Show("Order Error: " + ord.ToString() + " - 2");
}
else
{
OrderLevel orderLevel = new OrderLevel();
orderLevel.startPrice = price;
orderLevel.sittingOrder = stiOrder; //Setting start size order as trigger order for each level
if (stiOrder.Side == "B")
{
orderLevel.isRestore = true;
}
orderLevels.Add(orderLevel);
}
}
//Price Levels
for (decimal price = rangeBottom; price < rangeTop; price += incrementPrice)
{
priceLevels.Add(price);
}
priceLevels.Reverse();
//allOrders.Add(stiOrder);
//Stopwatch sw = new Stopwatch();
//sw.Start();
//All prices below (for buy side) starting price
foreach (decimal price in priceLevels)
{
SterlingLib.STIOrder order = new SterlingLib.STIOrder();
if (price < startingPrice)
{
order.Symbol = symbol;
order.Account = Globals.account;
order.Side = direction;
order.Quantity = incrementSize;
order.Tif = "D"; //day order
order.PriceType = SterlingLib.STIPriceTypes.ptSTILmt;
order.LmtPrice = Convert.ToDouble(price);
order.Destination = Globals.desination;
order.ClOrderID = Guid.NewGuid().ToString();
if (restartLevels > 0) //If this is a restart scale trade and one of the initial position levels, make it a take profit instead of a restore size
{
order.Side = "S";
order.LmtPrice = Convert.ToDouble(price + profitOffset);
restartLevels--;
}
int orderSuccess = order.SubmitOrder();
if (orderSuccess != 0)
{
Console.WriteLine("Order Error :" + order.ToString() + " - 3");
}
else //Create order level then append to orderLevels list
{
OrderLevel orderLevel = new OrderLevel();
orderLevel.startPrice = Convert.ToDecimal(price);
orderLevel.sittingOrder = order;
orderLevels.Add(orderLevel);
}
}
}
orderLevels.Sort((x, y) => x.startPrice.CompareTo(y.startPrice));
orderLevels.Reverse();
//sw.Stop();
//Console.WriteLine(sw.Elapsed);
foreach (OrderLevel level in orderLevels)
{
Console.WriteLine(level.startPrice);
}
}
else if (direction == "S")
{
//Stop order first
SterlingLib.STIOrder stiOrder = new SterlingLib.STIOrder();
if (hasHardStop)
{
stiOrder.Symbol = symbol;
stiOrder.Account = Globals.account;
stiOrder.Side = "B";
stiOrder.Quantity = maxSize;
stiOrder.Tif = "D"; //day order
stiOrder.PriceType = SterlingLib.STIPriceTypes.ptSTILmtStp;
stiOrder.StpPrice = Convert.ToDouble(hardStop);
stiOrder.Destination = "EDGX";
stiOrder.ClOrderID = Guid.NewGuid().ToString();
int ord = stiOrder.SubmitOrder();
if (ord != 0)
{
MessageBox.Show("Order Error: " + ord.ToString() + " - 4");
}
else
{
OrderLevel orderLevel = new OrderLevel();
orderLevel.isStop = true;
orderLevel.startPrice = hardStop;
orderLevel.sittingOrder = stiOrder; //Setting start size order as trigger order for each level
orderLevels.Add(orderLevel);
}
}
//Create Order Levels for Starting Size and all levels above it (for sell side)
//Initial Position
for (decimal price = rangeBottom + incrementPrice; price <= startingPrice; price += incrementPrice)
{
stiOrder = new SterlingLib.STIOrder();
stiOrder.Symbol = symbol;
stiOrder.Account = Globals.account;
stiOrder.Side = "T";
stiOrder.Quantity = incrementSize;
stiOrder.Tif = "D"; //day order
stiOrder.PriceType = SterlingLib.STIPriceTypes.ptSTILmt;
stiOrder.LmtPrice = Convert.ToDouble(startingPrice);
stiOrder.Destination = Globals.desination;
stiOrder.ClOrderID = Guid.NewGuid().ToString();
if (restartLevels > 0) //If this is a restart scale trade and one of the initial position levels, make it a take profit instead of a restore size
{
stiOrder.Side = "B";
stiOrder.LmtPrice = Convert.ToDouble(price - profitOffset);
restartLevels--;
}
//Submit order
int ord = stiOrder.SubmitOrder();
if (ord != 0)
{
MessageBox.Show("Order Error: " + ord.ToString() + " - 5");
}
else
{
OrderLevel orderLevel = new OrderLevel();
orderLevel.startPrice = price;
orderLevel.sittingOrder = stiOrder; //Setting start size order as trigger order for each level
if (stiOrder.Side == "S")
{
orderLevel.isRestore = true;
}
orderLevels.Add(orderLevel);
}
}
//Price Levels
for (decimal price = rangeBottom + incrementPrice; price <= rangeTop; price += incrementPrice)
{
priceLevels.Add(price);
}
//allOrders.Add(stiOrder);
//Stopwatch sw = new Stopwatch();
//sw.Start();
//All prices below (for buy side) starting price
foreach (decimal price in priceLevels)
{
SterlingLib.STIOrder order = new SterlingLib.STIOrder();
if (price > startingPrice)
{
order.Symbol = symbol;
order.Account = Globals.account;
order.Side = "T";
order.Quantity = incrementSize;
order.Tif = "D"; //day order
order.PriceType = SterlingLib.STIPriceTypes.ptSTILmt;
order.LmtPrice = Convert.ToDouble(price);
order.Destination = Globals.desination;
order.ClOrderID = Guid.NewGuid().ToString();
if (restartLevels > 0) //If this is a restart scale trade and one of the initial position levels, make it a take profit instead of a restore size
{
order.Side = "B";
order.LmtPrice = Convert.ToDouble(price - profitOffset);
restartLevels--;
}
int orderSuccess = order.SubmitOrder();
if (orderSuccess != 0)
{
Console.WriteLine("Order Error :" + order.ToString() + " - 6");
}
else //Create order level then append to orderLevels list
{
OrderLevel orderLevel = new OrderLevel();
orderLevel.startPrice = Convert.ToDecimal(price);
orderLevel.sittingOrder = order;
orderLevels.Add(orderLevel);
}
}
}
orderLevels.Sort((x, y) => x.startPrice.CompareTo(y.startPrice));
//sw.Stop();
//Console.WriteLine(sw.Elapsed);
foreach (OrderLevel level in orderLevels)
{
Console.WriteLine(level.startPrice);
}
}
foreach (OrderLevel level in orderLevels)
{
Console.WriteLine("IO" + " : " + level.startPrice + " : " + level.sittingOrder.ClOrderID + " : " + level.sittingOrder.LmtPrice);
}
isRunning = true;
return(true);
}
public void Start(decimal _midPrice)
{
midPrice = _midPrice;
ordersBelow.Clear();
ordersAbove.Clear();
//Create orders around midprice...
//Closest first...
List <decimal> orderPrices = new List <decimal>();
orderPrices.Add(midPrice + incrementPrice);
orderPrices.Add(midPrice - incrementPrice);
orderPrices.Add(midPrice + (incrementPrice * 2));
orderPrices.Add(midPrice - (incrementPrice * 2));
orderPrices.Add(midPrice + (incrementPrice * 3));
orderPrices.Add(midPrice - (incrementPrice * 3));
orderPrices.Add(midPrice + (incrementPrice * 4));
orderPrices.Add(midPrice - (incrementPrice * 4));
orderPrices.Add(midPrice + (incrementPrice * 5));
orderPrices.Add(midPrice - (incrementPrice * 5));
foreach (decimal price in orderPrices)
{
//Create order, execute, add to list
string side = null;
if (price < midPrice)
{
side = "B";
}
if (price > midPrice)
{
side = "S";
}
SterlingLib.STIOrder stiOrder = new SterlingLib.STIOrder();
stiOrder.Symbol = symbol;
stiOrder.Account = Globals.account;
if (side != null)
{
stiOrder.Side = side;
}
stiOrder.Quantity = 100;
stiOrder.Tif = "D"; //day order
stiOrder.PriceType = SterlingLib.STIPriceTypes.ptSTILmt;
stiOrder.LmtPrice = Convert.ToDouble(price);
stiOrder.Destination = "BATS";
stiOrder.ClOrderID = Guid.NewGuid().ToString();
if (side == "B")
{
ordersBelow.Add(stiOrder);
}
else if (side == "S")
{
ordersAbove.Add(stiOrder);
}
}
if (ordersBelow.Count == 5 && ordersAbove.Count == 5)
{
for (int i = 0; i <= 4; i++)
{
int orderStatus = ordersAbove[i].SubmitOrder();
if (orderStatus != 0)
{
MessageBox.Show("Order Error: " + orderStatus.ToString());
}
orderStatus = ordersBelow[i].SubmitOrder();
if (orderStatus != 0)
{
MessageBox.Show("Order Error: " + orderStatus.ToString());
}
}
}
}
private void OnSTIOrderUpdateXML(ref string strOrder)
{
if (testAlgo.status == "Stopped")
{
return;
}
XmlSerializer xs = new XmlSerializer(typeof(SterlingLib.structSTIOrderUpdate));
SterlingLib.structSTIOrderUpdate structOrder = (SterlingLib.structSTIOrderUpdate)xs.Deserialize(new StringReader(strOrder));
if (structOrder.bstrSymbol.ToUpper() == testAlgo.symbol.ToUpper() && structOrder.nOrderStatus == 5)
{ //Limit Order has been filled
if (Convert.ToDecimal(structOrder.fLmtPrice) < testAlgo.midPrice) //Buy order has been filled
{
testAlgo.buyFills++;
//Calculate priceMovePL
if (testAlgo.currentPosition > 0)
{
testAlgo.priceMovePL -= testAlgo.currentPosition * testAlgo.incrementPrice;
}
else if (testAlgo.currentPosition < 0)
{
testAlgo.priceMovePL -= (testAlgo.currentPosition + testAlgo.incrementSize) * testAlgo.incrementPrice;
}
//Shift orders
//Normal behaviour, if lists are full
if (testAlgo.ordersAbove.Count == 5 && testAlgo.ordersBelow.Count == 5)
{
testAlgo.midPrice = Convert.ToDecimal(structOrder.fLmtPrice);
//UPDATE METRICS
if (testAlgo.currentPosition < 0) // If short, Add to incrementPL
{
testAlgo.incrementPL += testAlgo.incrementPrice * testAlgo.incrementSize;
}
//Update TotalPL
testAlgo.totalPL = testAlgo.incrementPL + testAlgo.priceMovePL;
//Update position
testAlgo.currentPosition += structOrder.nQuantity;
//Hard Stop Check
if (-(testAlgo.totalPL) >= testAlgo.hardStop)
{
testAlgo.stopAndCross();
updateAlgoStatusDB("Stopped");
return;
}
//Move filled order to completed list, remove from active list
SterlingLib.ISTIOrder filledOrder = testAlgo.ordersAbove.Find(i => i.ClOrderID == structOrder.bstrClOrderId);
testAlgo.ordersBelow.RemoveAt(0);
testAlgo.filledOrders.Add(filledOrder);
//Insert new order below 5 orders away
SterlingLib.STIOrder stiOrder = new SterlingLib.STIOrder();
stiOrder.Symbol = testAlgo.symbol;
stiOrder.Account = Globals.account;
stiOrder.Side = "B";
stiOrder.Quantity = testAlgo.incrementSize;
stiOrder.Tif = "D"; //day order
stiOrder.PriceType = SterlingLib.STIPriceTypes.ptSTILmt;
stiOrder.LmtPrice = Convert.ToDouble(testAlgo.midPrice - (testAlgo.incrementPrice * 5));
stiOrder.Destination = "BATS";
stiOrder.ClOrderID = Guid.NewGuid().ToString();
int orderStatus = stiOrder.SubmitOrder();
if (orderStatus != 0)
{
MessageBox.Show("Order Error: " + orderStatus.ToString());
}
else
{
//Add to appropriate list
testAlgo.ordersBelow.Add(stiOrder);
}
//Cancel the "6th" order from opposite side order list
SterlingLib.ISTIOrder cancelOrder = testAlgo.ordersAbove[testAlgo.ordersAbove.Count - 1];
orderMaint.CancelOrder(Globals.account, 0, cancelOrder.ClOrderID, Guid.NewGuid().ToString());
testAlgo.ordersAbove.RemoveAt(testAlgo.ordersAbove.Count - 1);
//Place new order in opposite side order list
int orderQuantity = testAlgo.incrementSize;
//Autobalance check
//If over long
if (testAlgo.currentPosition >= testAlgo.autoBalance)
{
orderQuantity = testAlgo.incrementSize * 2;
}
stiOrder = new SterlingLib.STIOrder();
stiOrder.Symbol = testAlgo.symbol;
stiOrder.Account = Globals.account;
stiOrder.Side = "S";
stiOrder.Quantity = orderQuantity;
stiOrder.Tif = "D"; //day order
stiOrder.PriceType = SterlingLib.STIPriceTypes.ptSTILmt;
stiOrder.LmtPrice = Convert.ToDouble(testAlgo.midPrice + (testAlgo.incrementPrice));
stiOrder.Destination = "BATS";
stiOrder.ClOrderID = Guid.NewGuid().ToString();
orderStatus = stiOrder.SubmitOrder();
if (orderStatus != 0)
{
MessageBox.Show("Order Error: " + orderStatus.ToString());
}
else
{
//Add to appropriate list
testAlgo.ordersAbove.Insert(0, stiOrder);
}
//If over autobalance, check orders above and adjust sizes
if (testAlgo.currentPosition >= testAlgo.autoBalance)
{
int ifFilledPosition = testAlgo.currentPosition - testAlgo.ordersAbove[0].Quantity;
for (int i = 1; i < testAlgo.bracketedOrders; i++)
{
//Calculation
if (ifFilledPosition < testAlgo.autoBalance)
{
if (testAlgo.ordersAbove[i].Quantity == testAlgo.incrementSize * 2) // Order should be reverted to regular increment size
{
//First cancel order
orderMaint.CancelOrder(Globals.account, 0, testAlgo.ordersAbove[i].ClOrderID, Guid.NewGuid().ToString());
//Then resubmit with base increment size
stiOrder = new SterlingLib.STIOrder();
stiOrder.Symbol = testAlgo.symbol;
stiOrder.Account = Globals.account;
stiOrder.Side = "S";
stiOrder.Quantity = testAlgo.incrementSize;
stiOrder.Tif = "D"; //day order
stiOrder.PriceType = SterlingLib.STIPriceTypes.ptSTILmt;
stiOrder.LmtPrice = testAlgo.ordersAbove[i].LmtPrice;
stiOrder.Destination = "BATS";
stiOrder.ClOrderID = Guid.NewGuid().ToString();
//Remove cancelled order
testAlgo.ordersAbove.RemoveAt(i);
//Submit new order and add to list
orderStatus = stiOrder.SubmitOrder();
if (orderStatus != 0)
{
MessageBox.Show("Order Error: " + orderStatus.ToString());
}
else
{
//Add to appropriate list
testAlgo.ordersAbove.Insert(i, stiOrder);
}
break; //Should only be one order to adjust
}
}
ifFilledPosition -= testAlgo.ordersAbove[i].Quantity;
}
}
}
foreach (SterlingLib.ISTIOrder order in testAlgo.ordersAbove)
{
Debug.WriteLine(order.LmtPrice);
}
foreach (SterlingLib.ISTIOrder order in testAlgo.ordersBelow)
{
Debug.WriteLine(order.LmtPrice);
}
Debug.WriteLine("Buy Fills: " + testAlgo.buyFills);
Debug.WriteLine("Sell Fills: " + testAlgo.sellFills);
Debug.WriteLine("Current Position: " + testAlgo.currentPosition);
Debug.WriteLine("Increment PL: " + testAlgo.incrementPL);
Debug.WriteLine("Price Move PL: " + testAlgo.priceMovePL);
Debug.WriteLine("Total PL: " + testAlgo.totalPL);
Debug.WriteLine("--------------");
Debug.WriteLine("--------------");
}
else if (Convert.ToDecimal(structOrder.fLmtPrice) > testAlgo.midPrice)
{
testAlgo.sellFills++;
//Calculate priceMovePL
if (testAlgo.currentPosition < 0)
{
testAlgo.priceMovePL += testAlgo.currentPosition * testAlgo.incrementPrice;
}
else if (testAlgo.currentPosition > 0)
{
testAlgo.priceMovePL += (testAlgo.currentPosition - testAlgo.incrementSize) * testAlgo.incrementPrice;
}
//Shift orders
//Normal behaviour, if lists are full
if (testAlgo.ordersAbove.Count == 5 && testAlgo.ordersBelow.Count == 5)
{
testAlgo.midPrice = Convert.ToDecimal(structOrder.fLmtPrice);
//UPDATE METRICS
if (testAlgo.currentPosition > 0) // If long, Add to incrementPL
{
testAlgo.incrementPL += testAlgo.incrementPrice * testAlgo.incrementSize;
}
testAlgo.currentPosition -= structOrder.nQuantity; //Update position
//Update TotalPL
testAlgo.totalPL = testAlgo.incrementPL + testAlgo.priceMovePL;
//Hard Stop Check
if (-(testAlgo.totalPL) >= testAlgo.hardStop)
{
testAlgo.stopAndCross();
updateAlgoStatusDB("Stopped");
return;
}
//Move filled order to completed list, remove from active list
SterlingLib.ISTIOrder filledOrder = testAlgo.ordersAbove.Find(i => i.ClOrderID == structOrder.bstrClOrderId);
testAlgo.ordersAbove.RemoveAt(0);
testAlgo.filledOrders.Add(filledOrder);
//Insert new order above 5 orders away
SterlingLib.STIOrder stiOrder = new SterlingLib.STIOrder();
stiOrder.Symbol = testAlgo.symbol;
stiOrder.Account = Globals.account;
stiOrder.Side = "S";
stiOrder.Quantity = testAlgo.incrementSize;
stiOrder.Tif = "D"; //day order
stiOrder.PriceType = SterlingLib.STIPriceTypes.ptSTILmt;
stiOrder.LmtPrice = Convert.ToDouble(testAlgo.midPrice + (testAlgo.incrementPrice * 5));
stiOrder.Destination = "BATS";
stiOrder.ClOrderID = Guid.NewGuid().ToString();
int orderStatus = stiOrder.SubmitOrder();
if (orderStatus != 0)
{
MessageBox.Show("Order Error: " + orderStatus.ToString());
}
else
{
//Add to appropriate list
testAlgo.ordersAbove.Add(stiOrder);
}
//Cancel the "6th" order from opposite side order list
SterlingLib.ISTIOrder cancelOrder = testAlgo.ordersBelow[testAlgo.ordersBelow.Count - 1];
orderMaint.CancelOrder(Globals.account, 0, cancelOrder.ClOrderID, Guid.NewGuid().ToString());
testAlgo.ordersBelow.RemoveAt(testAlgo.ordersBelow.Count - 1);
//Place new order in opposite side order list
//Autobalance check
int orderQuantity = testAlgo.incrementSize;
//If over short
if (testAlgo.currentPosition <= -(testAlgo.autoBalance))
{
orderQuantity = testAlgo.incrementSize * 2;
}
stiOrder = new SterlingLib.STIOrder();
stiOrder.Symbol = testAlgo.symbol;
stiOrder.Account = Globals.account;
stiOrder.Side = "B";
stiOrder.Quantity = orderQuantity;
stiOrder.Tif = "D"; //day order
stiOrder.PriceType = SterlingLib.STIPriceTypes.ptSTILmt;
stiOrder.LmtPrice = Convert.ToDouble(testAlgo.midPrice - (testAlgo.incrementPrice));
stiOrder.Destination = "BATS";
stiOrder.ClOrderID = Guid.NewGuid().ToString();
orderStatus = stiOrder.SubmitOrder();
if (orderStatus != 0)
{
MessageBox.Show("Order Error: " + orderStatus.ToString());
}
else
{
//Add to appropriate list
testAlgo.ordersBelow.Insert(0, stiOrder);
}
//If over autobalance, check orders above and adjust sizes
if (testAlgo.currentPosition <= -(testAlgo.autoBalance))
{
int ifFilledPosition = testAlgo.currentPosition + testAlgo.ordersBelow[0].Quantity;
for (int i = 1; i < testAlgo.bracketedOrders; i++)
{
//Calculation
if (ifFilledPosition > -(testAlgo.autoBalance))
{
if (testAlgo.ordersBelow[i].Quantity == testAlgo.incrementSize * 2) // Order should be reverted to regular increment size
{
//First cancel order
orderMaint.CancelOrder(Globals.account, 0, testAlgo.ordersBelow[i].ClOrderID, Guid.NewGuid().ToString());
//Then resubmit with base increment size
stiOrder = new SterlingLib.STIOrder();
stiOrder.Symbol = testAlgo.symbol;
stiOrder.Account = Globals.account;
stiOrder.Side = "B";
stiOrder.Quantity = testAlgo.incrementSize;
stiOrder.Tif = "D"; //day order
stiOrder.PriceType = SterlingLib.STIPriceTypes.ptSTILmt;
stiOrder.LmtPrice = testAlgo.ordersBelow[i].LmtPrice;
stiOrder.Destination = "BATS";
stiOrder.ClOrderID = Guid.NewGuid().ToString();
//Remove cancelled order
testAlgo.ordersBelow.RemoveAt(i);
//Submit new order and add to list
orderStatus = stiOrder.SubmitOrder();
if (orderStatus != 0)
{
MessageBox.Show("Order Error: " + orderStatus.ToString());
}
else
{
//Add to appropriate list
testAlgo.ordersBelow.Insert(i, stiOrder);
}
break; //Should only be one order to adjust
}
}
ifFilledPosition += testAlgo.ordersBelow[i].Quantity;
}
}
}
Debug.WriteLine("Mid Price: " + testAlgo.midPrice);
Debug.WriteLine("--------------");
foreach (SterlingLib.ISTIOrder order in testAlgo.ordersAbove)
{
Debug.WriteLine(order.LmtPrice);
}
foreach (SterlingLib.ISTIOrder order in testAlgo.ordersBelow)
{
Debug.WriteLine(order.LmtPrice);
}
Debug.WriteLine("Buy Fills: " + testAlgo.buyFills);
Debug.WriteLine("Sell Fills: " + testAlgo.sellFills);
Debug.WriteLine("Current Position: " + testAlgo.currentPosition);
Debug.WriteLine("Increment PL: " + testAlgo.incrementPL);
Debug.WriteLine("Price Move PL: " + testAlgo.priceMovePL);
Debug.WriteLine("Total PL: " + testAlgo.totalPL);
Debug.WriteLine("--------------");
Debug.WriteLine("--------------");
}
}
}
private void button2_Click(object sender, EventArgs e) //Initiate Scale Trade
{
//if (!errorChecker()) return; //Error checker
if (direction == "B")
{
//fill 1
//Create take profit order
SterlingLib.STIOrder stiOrder = new SterlingLib.STIOrder();
stiOrder.Symbol = symbol;
stiOrder.Account = Globals.account;
stiOrder.Side = "S";
stiOrder.Quantity = Convert.ToInt32(fill1[0]);
stiOrder.Tif = "D"; //day order
stiOrder.PriceType = SterlingLib.STIPriceTypes.ptSTILmt;
stiOrder.LmtPrice = Convert.ToDouble(fill1[1]);
stiOrder.Destination = Globals.desination;
stiOrder.ClOrderID = Guid.NewGuid().ToString();
//Submit order
int ord = stiOrder.SubmitOrder();
if (ord != 0)
{
MessageBox.Show("Order Error: " + ord.ToString());
}
else //No error, add to current order list
{
currentOrders.Add(stiOrder);
}
//fill 2
stiOrder = new SterlingLib.STIOrder();
stiOrder.Symbol = symbol;
stiOrder.Account = Globals.account;
stiOrder.Side = "S";
stiOrder.Quantity = Convert.ToInt32(fill2[0]);
stiOrder.Tif = "D"; //day order
stiOrder.PriceType = SterlingLib.STIPriceTypes.ptSTILmt;
stiOrder.LmtPrice = Convert.ToDouble(fill2[1]);
stiOrder.Destination = Globals.desination;
stiOrder.ClOrderID = Guid.NewGuid().ToString();
//Submit order
ord = stiOrder.SubmitOrder();
if (ord != 0)
{
MessageBox.Show("Order Error: " + ord.ToString());
}
else //No error, new sitting order is the new "buy" order (restore size order)
{
currentOrders.Add(stiOrder);
}
//fill 3
stiOrder = new SterlingLib.STIOrder();
stiOrder.Symbol = symbol;
stiOrder.Account = Globals.account;
stiOrder.Side = "S";
stiOrder.Quantity = Convert.ToInt32(fill3[0]);
stiOrder.Tif = "D"; //day order
stiOrder.PriceType = SterlingLib.STIPriceTypes.ptSTILmt;
stiOrder.LmtPrice = Convert.ToDouble(fill3[1]);
stiOrder.Destination = Globals.desination;
stiOrder.ClOrderID = Guid.NewGuid().ToString();
//Submit order
ord = stiOrder.SubmitOrder();
if (ord != 0)
{
MessageBox.Show("Order Error: " + ord.ToString());
}
else //No error, new sitting order is the new "buy" order (restore size order)
{
currentOrders.Add(stiOrder);
}
}
else if (direction == "S")
{
//fill 1
//Create take profit order
SterlingLib.STIOrder stiOrder = new SterlingLib.STIOrder();
stiOrder.Symbol = symbol;
stiOrder.Account = Globals.account;
stiOrder.Side = "B";
stiOrder.Quantity = Convert.ToInt32(fill1[0]);
stiOrder.Tif = "D"; //day order
stiOrder.PriceType = SterlingLib.STIPriceTypes.ptSTILmt;
stiOrder.LmtPrice = Convert.ToDouble(fill1[1]);
stiOrder.Destination = Globals.desination;
stiOrder.ClOrderID = Guid.NewGuid().ToString();
//Submit order
int ord = stiOrder.SubmitOrder();
if (ord != 0)
{
MessageBox.Show("Order Error: " + ord.ToString());
}
else //No error, new sitting order is the new "buy" order (restore size order)
{
currentOrders.Add(stiOrder);
}
//fill 2
stiOrder = new SterlingLib.STIOrder();
stiOrder.Symbol = symbol;
stiOrder.Account = Globals.account;
stiOrder.Side = "B";
stiOrder.Quantity = Convert.ToInt32(fill2[0]);
stiOrder.Tif = "D"; //day order
stiOrder.PriceType = SterlingLib.STIPriceTypes.ptSTILmt;
stiOrder.LmtPrice = Convert.ToDouble(fill2[1]);
stiOrder.Destination = Globals.desination;
stiOrder.ClOrderID = Guid.NewGuid().ToString();
//Submit order
ord = stiOrder.SubmitOrder();
if (ord != 0)
{
MessageBox.Show("Order Error: " + ord.ToString());
}
else //No error, new sitting order is the new "buy" order (restore size order)
{
currentOrders.Add(stiOrder);
}
//fill 3
stiOrder = new SterlingLib.STIOrder();
stiOrder.Symbol = symbol;
stiOrder.Account = Globals.account;
stiOrder.Side = "B";
stiOrder.Quantity = Convert.ToInt32(fill3[0]);
stiOrder.Tif = "D"; //day order
stiOrder.PriceType = SterlingLib.STIPriceTypes.ptSTILmt;
stiOrder.LmtPrice = Convert.ToDouble(fill3[1]);
stiOrder.Destination = Globals.desination;
stiOrder.ClOrderID = Guid.NewGuid().ToString();
//Submit order
ord = stiOrder.SubmitOrder();
if (ord != 0)
{
MessageBox.Show("Order Error: " + ord.ToString());
}
else //No error, new sitting order is the new "buy" order (restore size order)
{
currentOrders.Add(stiOrder);
}
}
isRunning = true;
button1.Enabled = true;
}
