/// <summary>
///
/// </summary>
/// <param name="tradeId"></param>
/// <param name="takeProfitPrice"></param>
/// <param name="stopLossPrice"></param>
/// <returns></returns>
protected virtual async Task UpdateOpenTrade(Thrust thrust, long tradeId, double?takeProfitPrice, double?stopLossPrice, int?places)
{
// create patch
Dictionary <string, string> patchData = new Dictionary <string, string>();
if (takeProfitPrice.GetValueOrDefault() > 0)
{
patchData.Add("takeProfit", takeProfitPrice.ToString());
}
if (stopLossPrice.GetValueOrDefault() > 0)
{
patchData.Add("stopLoss", stopLossPrice.ToString());
}
TradeData response = null;
// send patch
if (patchData.Count > 0)
{
try
{
response = await Rest.PatchTradeAsync(_accountId, tradeId, patchData);
}
catch (Exception e)
{
throw e;
}
thrust.SetTradePrices(null, takeProfitPrice, stopLossPrice, places);
}
}
/// <summary>
///
/// </summary>
/// <param name="orderTransaction"></param>
/// <param name="thrust"></param>
/// <param name="retracement"></param>
/// <returns></returns>
protected virtual async Task UpdateEntryOrder(StrategyTransaction orderTransaction, Chart chart, Thrust thrust)
{
long orderId = Convert.ToInt64(orderTransaction.BrokerTransactionID);
string side = thrust.Side;
Tuple <double, double, double> orderPrices = GetOrderPrices(chart.HistoricBidAskSpread, side, thrust);
double entryPrice = orderPrices.Item1;
double stopLossPrice = orderPrices.Item2;
double takeProfitPrice = orderPrices.Item3;
int tradeUnits = await TradeUnitsCapacity(thrust.Instrument, entryPrice, stopLossPrice, true);
if (tradeUnits > 0)
{
// 12 hours for now .. how should this change?
string expiry = MAOE.Utilities.GetTimeAsXmlSerializedUtc(DateTime.UtcNow.AddHours(12));
int places = ((FibonacciRetracement)thrust.Study).LevelPlaces();
// create patch
var patchData = new Dictionary <string, string>
{
{ "units", tradeUnits.ToString() },
{ "expiry", expiry },
{ "price", Math.Round(entryPrice, places).ToString() },
{ "stopLoss", Math.Round(stopLossPrice, places).ToString() },
{ "takeProfit", Math.Round(takeProfitPrice, places).ToString() }
};
// what if the fill happens just as execution arrives here?
// this bit should somehow affirm that the order remains unfilled
Order order = await Rest.PatchOrderAsync(_accountId, orderId, patchData);
if (order != null)
{
MarketMinerOrder orderUpdated = new MarketMinerOrder(order);
orderUpdated.SignalID = thrust.SignalID;
orderUpdated.StrategyTransactionID = orderTransaction.StrategyTransactionID;
orderTransaction.Price = orderUpdated.price;
orderTransaction.Time = Convert.ToDateTime(orderUpdated.time).ToUniversalTime();
orderTransaction = await StrategyCaller.Instance().UpdateStrategyTransactionAsync(orderTransaction);
AddOrUpdateAlgorithmOrder(orderUpdated);
thrust.SetTradePrices(entryPrice, takeProfitPrice, stopLossPrice, places);
}
}
else
{
thrust.Active = false;
// cancel the order
await Rest.DeleteOrderAsync(_accountId, orderId);
// clear the chart
PurgeThrust(chart, thrust);
string missedTradeReason = Utilities.GetMissedTradeReason(tradeUnits);
AddAlgorithmMessage(string.Format("Missed trade: {0} for signalId: {1}", missedTradeReason, thrust.SignalID), true, TraceEventType.Information);
}
}
/// <summary>
///
/// </summary>
/// <param name="signal"></param>
/// <param name="instrument"></param>
/// <param name="retracement"></param>
/// <returns></returns>
protected virtual async Task <int> CreateEntryOrder(MCE.Signal signal, Chart chart, Thrust thrust)
{
StrategyTransaction transaction = null;
Tuple <double, double, double> orderPrices = GetOrderPrices(chart.HistoricBidAskSpread, signal.Side, thrust);
double entryPrice = orderPrices.Item1;
double stopLossPrice = orderPrices.Item2;
double takeProfitPrice = orderPrices.Item3;
int tradeUnits = await TradeUnitsCapacity(chart.Instrument, entryPrice, stopLossPrice);
// catch bad orders here until I fix this
//if (signal.Side == MACC.Constants.SignalSide.Buy)
//{
// if (entryPrice > takeProfitPrice) tradeUnits = -96;
// if (entryPrice < stopLossPrice) tradeUnits = -97;
//}
//else
//{
// if (entryPrice < takeProfitPrice) tradeUnits = -98;
// if (entryPrice > stopLossPrice) tradeUnits = -99;
//}
if (tradeUnits > 0)
{
// 12 hours for now .. how should this change? .. read from metaSetting?
string expiry = MAOE.Utilities.GetTimeAsXmlSerializedUtc(DateTime.UtcNow.AddHours(12));
string type = "limit";
string side = signal.Side == MACC.Constants.SignalSide.Buy ? "buy" : "sell";
int places = ((FibonacciRetracement)thrust.Study).LevelPlaces();
// create order
var orderData = new Dictionary <string, string>
{
{ "instrument", chart.Instrument },
{ "units", tradeUnits.ToString() },
{ "side", side },
{ "type", type },
{ "expiry", expiry },
{ "price", Math.Round(entryPrice, places).ToString() },
{ "stopLoss", Math.Round(stopLossPrice, places).ToString() },
{ "takeProfit", Math.Round(takeProfitPrice, places).ToString() }
};
PostOrderResponse response = await PlaceLimitOrder(orderData);
if (response.orderOpened != null && response.orderOpened.id > 0)
{
MarketMinerOrder orderOpened = new MarketMinerOrder(response.orderOpened);
orderOpened.SignalID = signal.SignalID;
transaction = CreateEntryTransaction(chart.Instrument, orderOpened.side, response.time, type, response.price.GetValueOrDefault(), orderOpened.takeProfit, orderOpened.stopLoss, orderOpened.id.ToString());
transaction = await StrategyCaller.Instance().SaveStrategyTransactionAsync(transaction, MarketMiner.Common.Constants.Brokers.OANDA);
orderOpened.StrategyTransactionID = transaction.StrategyTransactionID;
// add entry trans id to the signal
signal.StrategyTransactionID = transaction.StrategyTransactionID;
await SubscriptionCaller.Instance().UpdateSignalAsync(signal);
AddOrUpdateAlgorithmOrder(orderOpened);
thrust.SetTradePrices(entryPrice, takeProfitPrice, stopLossPrice, places);
}
}
else
{
string missedTradeReason = Utilities.GetMissedTradeReason(tradeUnits);
AddAlgorithmMessage(string.Format("Missed trade: {0} for signalId: {1}", missedTradeReason, signal.SignalID), true, TraceEventType.Information);
}
return(transaction == null ? 0 : transaction.StrategyTransactionID);
}
