/// <summary>
/// Primary constructor
/// </summary>
public CandlePriceSaver(string u, string p)
{
m_username = u;
m_password = p;
instrumentList = ContractUtilities.ContractMetaInfo.cmeFuturesTickerheadList.Union(ContractUtilities.ContractMetaInfo.iceFuturesTickerheadList).ToArray();
liquidContractList = new ContractUtilities.ContractList(instrumentList);
DateTime referanceDate = DateTime.Today;
int minInterval = 10; //30
startTime = new DateTime(referanceDate.Year, referanceDate.Month, referanceDate.Day, 1, 0, 0);
endTime = new DateTime(referanceDate.Year, referanceDate.Month, referanceDate.Day, 9, 0, 0); //900
candleObj = new DataAnalysis.CandleStick(startTime, endTime, liquidContractList.dbTickerList.ToArray(), minInterval);
OutputFolder = TA.DirectoryNames.GetDirectoryName(ext: "overnightCandlestick") +
TA.DirectoryNames.GetDirectoryExtension(DateTime.Now.Date);
System.IO.Directory.CreateDirectory(OutputFolder);
ttapiSubs = new ttapiUtils.Subscription(m_username, m_password);
ttapiSubs.dbTickerList = liquidContractList.dbTickerList;
ttapiSubs.ilsUpdateList = new List <EventHandler <InstrumentLookupSubscriptionEventArgs> > {
ttapiSubs.startPriceSubscriptions
};
ttapiSubs.asu_update = ttapiSubs.startInstrumentLookupSubscriptions;
ttapiSubs.priceUpdatedEventHandler = m_ps_FieldsUpdated;
}
/// <summary>
/// Primary constructor
/// </summary>
public saveVolume(string u, string p)
{
m_username = u;
m_password = p;
OutputFolder = TA.DirectoryNames.GetDirectoryName(ext: "ttapiContractVolume") +
TA.DirectoryNames.GetDirectoryExtension(DateTime.Now.Date);
System.IO.Directory.CreateDirectory(OutputFolder);
ilsUpdateList = new List <EventHandler <InstrumentLookupSubscriptionEventArgs> >();
sw = new StreamWriter(OutputFolder + "/ContractList.csv");
sw.WriteLine("{0},{1},{2},{3},{4}", "InstrumentName",
"MarketKey",
"ProductType",
"ProductName",
"Volume");
sw.Flush();
TTAPISubs = new ttapiUtils.Subscription(m_username, m_password);
IlsDictionary = TTAPISubs.IlsDictionary;
TTAPISubs.asu_update = TTAPISubs.startProductLookupSubscriptions;
TTAPISubs.PLSEventHandler = TTAPISubs.Subscribe2InstrumentCatalogs;
TTAPISubs.ICUEventHandler = TTAPISubs.StartInstrumentLookupSubscriptionsFromCatalog;
ilsUpdateList.Add(TTAPISubs.startPriceSubscriptions);
TTAPISubs.priceUpdatedEventHandler = WriteVolume2File;
TTAPISubs.ilsUpdateList = ilsUpdateList;
}
/// <summary>
/// Primary constructor
/// </summary>
public saveVolume(string u, string p)
{
m_username = u;
m_password = p;
OutputFolder = TA.DirectoryNames.GetDirectoryName(ext: "ttapiContractVolume") +
TA.DirectoryNames.GetDirectoryExtension(DateTime.Now.Date);
System.IO.Directory.CreateDirectory(OutputFolder);
ilsUpdateList = new List<EventHandler<InstrumentLookupSubscriptionEventArgs>>();
sw = new StreamWriter(OutputFolder + "/ContractList.csv");
sw.WriteLine("{0},{1},{2},{3},{4}", "InstrumentName",
"MarketKey",
"ProductType",
"ProductName",
"Volume");
sw.Flush();
TTAPISubs = new ttapiUtils.Subscription(m_username, m_password);
IlsDictionary = TTAPISubs.IlsDictionary;
TTAPISubs.asu_update = TTAPISubs.startProductLookupSubscriptions;
TTAPISubs.PLSEventHandler = TTAPISubs.Subscribe2InstrumentCatalogs;
TTAPISubs.ICUEventHandler = TTAPISubs.StartInstrumentLookupSubscriptionsFromCatalog;
ilsUpdateList.Add(TTAPISubs.startPriceSubscriptions);
TTAPISubs.priceUpdatedEventHandler = WriteVolume2File;
TTAPISubs.ilsUpdateList = ilsUpdateList;
}
/// <summary>
/// Primary constructor
/// </summary>
public CandlePriceSaver(string u, string p)
{
m_username = u;
m_password = p;
instrumentList = ContractUtilities.ContractMetaInfo.cmeFuturesTickerheadList.Union(ContractUtilities.ContractMetaInfo.iceFuturesTickerheadList).ToArray();
liquidContractList = new ContractUtilities.ContractList(instrumentList);
DateTime referanceDate = DateTime.Today;
int minInterval = 10; //30
startTime = new DateTime(referanceDate.Year, referanceDate.Month, referanceDate.Day, 1, 0, 0);
endTime = new DateTime(referanceDate.Year, referanceDate.Month, referanceDate.Day, 9, 0, 0); //900
candleObj = new DataAnalysis.CandleStick(startTime, endTime, liquidContractList.dbTickerList.ToArray(), minInterval);
OutputFolder = TA.DirectoryNames.GetDirectoryName(ext: "overnightCandlestick") +
TA.DirectoryNames.GetDirectoryExtension(DateTime.Now.Date);
System.IO.Directory.CreateDirectory(OutputFolder);
ttapiSubs = new ttapiUtils.Subscription(m_username, m_password);
ttapiSubs.dbTickerList = liquidContractList.dbTickerList;
ttapiSubs.ilsUpdateList = new List<EventHandler<InstrumentLookupSubscriptionEventArgs>> { ttapiSubs.startPriceSubscriptions };
ttapiSubs.asu_update = ttapiSubs.startInstrumentLookupSubscriptions;
ttapiSubs.priceUpdatedEventHandler = m_ps_FieldsUpdated;
}
public static void SendLimitOrder(TradingTechnologies.TTAPI.Instrument instrument,
TradingTechnologies.TTAPI.Price price, int qty, Subscription ttapisubs, string orderTag="")
{
BuySell Direction = BuySell.Buy;
string AccountName = "H1KOC";
if (qty<0)
{
Direction = BuySell.Sell;
qty = -qty;
}
string tickerDB = TA.TickerConverters.ConvertFromTTAPIFields2DB(instrument.Product.ToString(), instrument.Name.ToString());
string[] TickerList = tickerDB.Split('-');
string TickerHead = ContractUtilities.ContractMetaInfo.GetContractSpecs(TickerList[0]).tickerHead;
string ExchangeName = ContractUtilities.ContractMetaInfo.GetExchange4Tickerhead(TickerHead);
AccountType AccType = AccountType.P2;
OrderProfile op = new OrderProfile(instrument.GetValidOrderFeeds()[0], instrument);
op.BuySell = Direction;
op.AccountName = AccountName;
if (ExchangeName == "ICE")
{
AccType = AccountType.G2;
op.GiveUp = "5283";
}
op.AccountType = AccType;
op.OrderQuantity = Quantity.FromInt(instrument, qty);
op.OrderType = OrderType.Limit;
if (orderTag.Count()>0)
{
op.OrderTag = orderTag;
}
op.LimitPrice = price;
InstrumentTradeSubscription TS = ttapisubs.TsDictionary[instrument.Key];
if (!TS.SendOrder(op))
{
Console.WriteLine("Send new order failed. {0}", op.RoutingStatus.Message);
ttapisubs.Dispose();
}
else
{
Console.WriteLine("Send new order succeeded.");
}
}
/// <summary>
/// Primary constructor
/// </summary>
public BreakoutTrader(string u, string p)
{
m_username = u;
m_password = p;
todayDate = DateTime.Now.Date;
OutputFolder = TA.DirectoryNames.GetDirectoryName("overnightCandlestick") + TA.DirectoryNames.GetDirectoryExtension(todayDate);
LogFile = new StreamWriter(OutputFolder + "/Log" + DateTime.Now.ToString("HHmmss") + ".txt", true);
BreakoutLogger = new Logger(LogFile);
instrumentList = ContractUtilities.ContractMetaInfo.cmeFuturesTickerheadList.Union(ContractUtilities.ContractMetaInfo.iceFuturesTickerheadList).ToArray();
liquidContractList = new ContractUtilities.ContractList(instrumentList);
ttapiTickerList = liquidContractList.ttapiTickerList;
dbTickerList = liquidContractList.dbTickerList;
DateTimePastPnlDisplay = DateTime.MinValue;
BreakoutPosition = new Portfolio.Position(fullTickerList: dbTickerList);
CovMatrix = Risk.PorfolioRisk.LoadCovMatrix();
candleStickData = new DataTable();
rangeMinList = new List <double>();
rangeMaxList = new List <double>();
ilsUpdateList = new List <EventHandler <InstrumentLookupSubscriptionEventArgs> >();
candleStickData.ReadXml(OutputFolder + "/" + TA.FileNames.candlestick_signal_file);
StdDict = new Dictionary <string, double>();
QtyDict = new Dictionary <string, int>();
startTime = new DateTime(todayDate.Year, todayDate.Month, todayDate.Day, 8, 30, 0);
endTime = new DateTime(todayDate.Year, todayDate.Month, todayDate.Day, 9, 0, 0); //900
LastTradeEntryTime = new DateTime(todayDate.Year, todayDate.Month, todayDate.Day, 9, 20, 0); //920
selectedCandleStickData = candleStickData.Select("start>= #" + startTime.ToString() + "# AND end<= #" + endTime.ToString() + " # ");
for (int i = 0; i < dbTickerList.Count; i++)
{
double rangeMin = double.MaxValue;
double rangeMax = double.MinValue;
for (int j = 0; j < selectedCandleStickData.Length; j++)
{
rangeMax = Math.Max(selectedCandleStickData[j].Field <Double>(dbTickerList[i] + "_high"), rangeMax);
rangeMin = Math.Min(selectedCandleStickData[j].Field <Double>(dbTickerList[i] + "_low"), rangeMin);
}
rangeMinList.Add(rangeMin);
rangeMaxList.Add(rangeMax);
StdDict.Add(dbTickerList[i], Risk.PorfolioRisk.GetStd4Ticker(dbTickerList[i], CovMatrix));
QtyDict.Add(dbTickerList[i], (int)Math.Min(MaxQty4Ticker, Math.Floor(StdPerBet / StdDict[dbTickerList[i]])));
}
//
ttapiSubs = new ttapiUtils.Subscription(m_username, m_password);
ttapiSubs.dbTickerList = dbTickerList;
ilsUpdateList.Add(ttapiSubs.startPriceSubscriptions);
ilsUpdateList.Add(ttapiSubs.startTradeSubscriptions);
ttapiSubs.ilsUpdateList = ilsUpdateList;
ttapiSubs.asu_update = ttapiSubs.startInstrumentLookupSubscriptions;
ttapiSubs.priceUpdatedEventHandler = BreakoutAlgo;
ttapiSubs.orderFilledEventHandler = BreakoutStopLogic;
}
public Algo(string u, string p)
{
m_username = u;
m_password = p;
NumBets = 1;
MaxBetSize = 900;
connection = new mysql();
conn = connection.conn;
string OutputFolder = TA.DirectoryNames.GetDirectoryName("daily");
StreamWriter LogFile = new StreamWriter(OutputFolder + "/IFS.txt", true);
IFSLogger = new Logger(LogFile);
DateTime ReportDate = CalendarUtilities.BusinessDays.GetBusinessDayShifted(shiftInDays: -1);
DateTime TodayDate = DateTime.Now.Date;
IFSLogger.SW.WriteLine();
IFSLogger.Log("NOTES FOR " + TodayDate.ToString("MM/dd/yyyy"));
IFSLogger.Log(new String('-', 20));
string DirectoryName = TA.DirectoryNames.GetDirectoryName(ext: "ifsOutput");
string DirectoryExtension = TA.DirectoryNames.GetDirectoryExtension(directoryDate: ReportDate);
DataSet PythonOutput = IOUtilities.ExcelDataReader.LoadFile(DirectoryName + "/" + DirectoryExtension + "/ifs.xlsx");
DataTable IfsSheet = PythonOutput.Tables["all"];
DataColumn ExistingPositionColumn = new DataColumn("ExistingPosition", typeof(int));
ExistingPositionColumn.DefaultValue = 0;
IfsSheet.Columns.Add(ExistingPositionColumn);
DataColumn ExistingPositionAbsColumn = new DataColumn("ExistingPositionAbs", typeof(int));
ExistingPositionAbsColumn.DefaultValue = 0;
IfsSheet.Columns.Add(ExistingPositionAbsColumn);
IfsSheet.Columns.Add("Alias", typeof(string));
AutoSpreaderList = new List<ttapiUtils.AutoSpreader>();
MarketPriceTable = new DataTable();
MarketPriceTable.Columns.Add("Ticker", typeof(string));
MarketPriceTable.Columns.Add("TickerHead", typeof(string));
MarketPriceTable.Columns.Add("Tag", typeof(string));
MarketPriceTable.Columns.Add("Alias", typeof(string));
MarketPriceTable.Columns.Add("DescriptionString", typeof(string));
MarketPriceTable.Columns.Add("Settle", typeof(decimal));
MarketPriceTable.Columns.Add("Bid", typeof(decimal));
MarketPriceTable.Columns.Add("Ask", typeof(decimal));
MarketPriceTable.Columns.Add("Mid", typeof(decimal));
MarketPriceTable.Columns.Add("MidConverted", typeof(decimal));
MarketPriceTable.Columns.Add("SuggestedPosition", typeof(int));
MarketPriceTable.Columns.Add("WorkingPosition", typeof(int));
DataColumn ExistingPositionColumn2 = new DataColumn("ExistingPosition", typeof(int));
ExistingPositionColumn2.DefaultValue = 0;
MarketPriceTable.Columns.Add(ExistingPositionColumn2);
DataColumn ExistingPositionTickerHeadColumn = new DataColumn("ExistingPositionTickerHead", typeof(int));
ExistingPositionTickerHeadColumn.DefaultValue = 0;
MarketPriceTable.Columns.Add(ExistingPositionTickerHeadColumn);
MarketPriceTable.Columns.Add("Mean", typeof(double));
MarketPriceTable.Columns.Add("Std", typeof(double));
List<string> OpenStrategyList = TA.Strategy.GetFilteredOpenStrategyList(asOfDate: TodayDate, conn: conn, strategyClass: "ifs");
for (int i = 0; i < OpenStrategyList.Count; i++)
{
StrategyUtilities.PositionManagerOutput PositionManagerOut = PositionManager.GetIfsPosition(alias: OpenStrategyList[i], asOfDate: TodayDate, conn: conn);
if (PositionManagerOut.CorrectPositionQ)
{
string SelectString = "contract1='" + PositionManagerOut.SortedPosition.Rows[0].Field<string>("Ticker") + "' and contract2='" +
PositionManagerOut.SortedPosition.Rows[1].Field<string>("Ticker") + "'";
if (PositionManagerOut.SortedPosition.Rows.Count==3)
{
SelectString = SelectString + " and contract3='" + PositionManagerOut.SortedPosition.Rows[2].Field<string>("Ticker") + "'";
}
DataRow Row = IfsSheet.Select(SelectString)[0];
Row["ExistingPosition"] = Math.Round(PositionManagerOut.Scale);
Row["ExistingPositionAbs"] = Math.Abs(PositionManagerOut.Scale);
Row["Alias"] = OpenStrategyList[i];
}
else
{
IFSLogger.Log("Check " + OpenStrategyList[i] + " ! Position may be incorrect.");
}
}
DataTable newDataTable = IfsSheet.AsEnumerable()
.OrderBy(r => r.Field<string>("spread_description"))
.ThenByDescending(r => r.Field<double>("min_volume"))
.ThenByDescending(r => r.Field<int>("ExistingPositionAbs"))
.CopyToDataTable();
DataRow[] ExistingPositions = IfsSheet.Select("ExistingPositionAbs>0");
LiquidSpreads = newDataTable.AsEnumerable().GroupBy(r => r["spread_description"]).Select(w => w.First()).CopyToDataTable();
LiquidSpreads = LiquidSpreads.Select("upside<" + MaxBetSize).CopyToDataTable();
foreach (DataRow item in ExistingPositions)
{
LiquidSpreads.ImportRow(item);
}
LiquidSpreads = LiquidSpreads.AsEnumerable().GroupBy(r => r["ticker"]).Select(w => w.First()).CopyToDataTable();
for (int i = 0; i < LiquidSpreads.Rows.Count; i++)
{
List<string> TickerList = new List<string> { LiquidSpreads.Rows[i].Field<string>("Contract1"), LiquidSpreads.Rows[i].Field<string>("Contract2"), LiquidSpreads.Rows[i].Field<string>("Contract3") };
TickerList.RemoveAll(item => item == null);
AutoSpreaderList.Add(new ttapiUtils.AutoSpreader(dbTickerList:TickerList,payUpTicks:2));
DataRow Row = MarketPriceTable.NewRow();
Row["Ticker"] = AutoSpreaderList[i].AutoSpreaderName;
Row["TickerHead"] = LiquidSpreads.Rows[i].Field<string>("spread_description");
Row["Tag"] = "ifs_" + i.ToString();
if (LiquidSpreads.Rows[i].Field<int>("ExistingPositionAbs")!=0)
{
Row["Alias"] = LiquidSpreads.Rows[i].Field<string>("alias");
Row["ExistingPosition"] = LiquidSpreads.Rows[i].Field<int>("ExistingPosition");
}
else
{
Row["Alias"] = LiquidSpreads.Rows[i].Field<string>("spread_description") + "_ifs_" + DateTime.Now.ToString("MMM-yyyy");
}
Row["DescriptionString"] = "strategy_class=ifs&betsize=" + MaxBetSize.ToString();
Row["WorkingPosition"] = 0;
Row["Settle"] = LiquidSpreads.Rows[i].Field<double>("settle");
Row["Mean"] = LiquidSpreads.Rows[i].Field<double>("mean1");
Row["Std"] = LiquidSpreads.Rows[i].Field<double>("std1");
MarketPriceTable.Rows.Add(Row);
}
List<string> TickerHeadList = DataAnalysis.DataTableFunctions.GetColumnAsList<string>(dataTableInput: MarketPriceTable, columnName: "TickerHead", uniqueQ: true);
foreach (string item in TickerHeadList)
{
DataRow[] RowList = MarketPriceTable.Select("TickerHead='" + item + "'");
int TotalPosition = 0;
foreach (DataRow Row in RowList)
{
TotalPosition += Row.Field<int>("ExistingPosition");
}
foreach (DataRow Row in RowList)
{
Row["ExistingPositionTickerHead"] = TotalPosition;
}
}
ASENameList = MarketPriceTable.AsEnumerable().Select(x => x.Field<string>("Ticker")).ToList();
TagList = MarketPriceTable.AsEnumerable().Select(x => x.Field<string>("Tag")).ToList();
TTAPISubs = new ttapiUtils.Subscription(m_username, m_password);
TTAPISubs.AutoSpreaderList = AutoSpreaderList;
TTAPISubs.AsuUpdateList = new List<EventHandler<AuthenticationStatusUpdateEventArgs>> { TTAPISubs.StartASESubscriptions };
TTAPISubs.priceUpdatedEventHandler = m_ps_FieldsUpdated;
TTAPISubs.orderFilledEventHandler = m_ts_OrderFilled;
}
/// <summary>
/// Primary constructor
/// </summary>
public BreakoutTrader(string u, string p)
{
m_username = u;
m_password = p;
todayDate = DateTime.Now.Date;
OutputFolder = TA.DirectoryNames.GetDirectoryName("overnightCandlestick") + TA.DirectoryNames.GetDirectoryExtension(todayDate);
LogFile = new StreamWriter(OutputFolder + "/Log" + DateTime.Now.ToString("HHmmss") + ".txt", true);
BreakoutLogger = new Logger(LogFile);
instrumentList = ContractUtilities.ContractMetaInfo.cmeFuturesTickerheadList.Union(ContractUtilities.ContractMetaInfo.iceFuturesTickerheadList).ToArray();
liquidContractList = new ContractUtilities.ContractList(instrumentList);
ttapiTickerList = liquidContractList.ttapiTickerList;
dbTickerList = liquidContractList.dbTickerList;
DateTimePastPnlDisplay = DateTime.MinValue;
BreakoutPosition = new Portfolio.Position(fullTickerList: dbTickerList);
CovMatrix = Risk.PorfolioRisk.LoadCovMatrix();
candleStickData = new DataTable();
rangeMinList = new List<double>();
rangeMaxList = new List<double>();
ilsUpdateList = new List<EventHandler<InstrumentLookupSubscriptionEventArgs>>();
candleStickData.ReadXml(OutputFolder + "/" + TA.FileNames.candlestick_signal_file);
StdDict = new Dictionary<string, double>();
QtyDict = new Dictionary<string, int>();
startTime = new DateTime(todayDate.Year, todayDate.Month, todayDate.Day, 8, 30, 0);
endTime = new DateTime(todayDate.Year, todayDate.Month, todayDate.Day, 9, 0, 0); //900
LastTradeEntryTime = new DateTime(todayDate.Year, todayDate.Month, todayDate.Day, 9, 20, 0); //920
selectedCandleStickData = candleStickData.Select("start>= #" + startTime.ToString() + "# AND end<= #" + endTime.ToString() + " # ");
for (int i = 0; i < dbTickerList.Count; i++)
{
double rangeMin = double.MaxValue;
double rangeMax = double.MinValue;
for (int j = 0; j < selectedCandleStickData.Length; j++)
{
rangeMax = Math.Max(selectedCandleStickData[j].Field<Double>(dbTickerList[i] + "_high"), rangeMax);
rangeMin = Math.Min(selectedCandleStickData[j].Field<Double>(dbTickerList[i] + "_low"), rangeMin);
}
rangeMinList.Add(rangeMin);
rangeMaxList.Add(rangeMax);
StdDict.Add(dbTickerList[i], Risk.PorfolioRisk.GetStd4Ticker(dbTickerList[i], CovMatrix));
QtyDict.Add(dbTickerList[i], (int)Math.Min(MaxQty4Ticker, Math.Floor(StdPerBet / StdDict[dbTickerList[i]])));
}
//
ttapiSubs = new ttapiUtils.Subscription(m_username, m_password);
ttapiSubs.dbTickerList = dbTickerList;
ilsUpdateList.Add(ttapiSubs.startPriceSubscriptions);
ilsUpdateList.Add(ttapiSubs.startTradeSubscriptions);
ttapiSubs.ilsUpdateList = ilsUpdateList;
ttapiSubs.asu_update = ttapiSubs.startInstrumentLookupSubscriptions;
ttapiSubs.priceUpdatedEventHandler = BreakoutAlgo;
ttapiSubs.orderFilledEventHandler = BreakoutStopLogic;
}
public Algo(string u, string p)
{
m_username = u;
m_password = p;
NumBets = 3;
MaxBetSize = 700;
connection = new mysql();
conn = connection.conn;
string OutputFolder = TA.DirectoryNames.GetDirectoryName("daily");
StreamWriter LogFile = new StreamWriter(OutputFolder + "/IFS.txt", true);
IFSLogger = new Logger(LogFile);
DateTime ReportDate = CalendarUtilities.BusinessDays.GetBusinessDayShifted(shiftInDays: -1);
DateTime TodayDate = DateTime.Now.Date;
IFSLogger.SW.WriteLine();
IFSLogger.Log("NOTES FOR " + TodayDate.ToString("MM/dd/yyyy"));
IFSLogger.Log(new String('-', 20));
string DirectoryName = TA.DirectoryNames.GetDirectoryName(ext: "ifsOutput");
string DirectoryExtension = TA.DirectoryNames.GetDirectoryExtension(directoryDate: ReportDate);
DataSet PythonOutput = IOUtilities.ExcelDataReader.LoadFile(DirectoryName + "/" + DirectoryExtension + "/ifs.xlsx");
DataTable IfsSheet = PythonOutput.Tables["all"];
TradeTimer = new System.Timers.Timer();
TradeTimer.Elapsed += new ElapsedEventHandler(PeriodicCall);
TradeTimer.Interval = 30000;
// And start it
TradeTimer.Enabled = true;
DataColumn ExistingPositionColumn = new DataColumn("ExistingPosition", typeof(int));
ExistingPositionColumn.DefaultValue = 0;
IfsSheet.Columns.Add(ExistingPositionColumn);
DataColumn ExistingPositionAbsColumn = new DataColumn("ExistingPositionAbs", typeof(int));
ExistingPositionAbsColumn.DefaultValue = 0;
IfsSheet.Columns.Add(ExistingPositionAbsColumn);
IfsSheet.Columns.Add("Alias", typeof(string));
AutoSpreaderList = new List <ttapiUtils.AutoSpreader>();
AutoSpreaderDictionary = new Dictionary <string, ttapiUtils.AutoSpreader>();
SummaryTable = new DataTable();
SummaryTable.Columns.Add("Ticker", typeof(string));
SummaryTable.Columns.Add("TickerHead", typeof(string));
SummaryTable.Columns.Add("Tag", typeof(string));
SummaryTable.Columns.Add("Alias", typeof(string));
SummaryTable.Columns.Add("DescriptionString", typeof(string));
SummaryTable.Columns.Add("Settle", typeof(decimal));
SummaryTable.Columns.Add("Bid", typeof(double));
SummaryTable.Columns.Add("Ask", typeof(double));
SummaryTable.Columns.Add("Mid", typeof(double));
SummaryTable.Columns.Add("MidConverted", typeof(double));
SummaryTable.Columns.Add("SuggestedSize", typeof(int));
SummaryTable.Columns.Add("WorkingPosition", typeof(int));
DataColumn ExistingPositionColumn2 = new DataColumn("ExistingPosition", typeof(int));
ExistingPositionColumn2.DefaultValue = 0;
SummaryTable.Columns.Add(ExistingPositionColumn2);
DataColumn ExistingPositionTickerHeadColumn = new DataColumn("ExistingPositionTickerHead", typeof(int));
ExistingPositionTickerHeadColumn.DefaultValue = 0;
SummaryTable.Columns.Add(ExistingPositionTickerHeadColumn);
DataColumn ValidPriceColumn = new DataColumn("ValidPrice", typeof(bool));
ValidPriceColumn.DefaultValue = false;
SummaryTable.Columns.Add(ValidPriceColumn);
SummaryTable.Columns.Add("Mean", typeof(double));
SummaryTable.Columns.Add("Std", typeof(double));
List <string> OpenStrategyList = TA.Strategy.GetFilteredOpenStrategyList(asOfDate: TodayDate, conn: conn, strategyClass: "ifs");
for (int i = 0; i < OpenStrategyList.Count; i++)
{
StrategyUtilities.PositionManagerOutput PositionManagerOut = PositionManager.GetIfsPosition(alias: OpenStrategyList[i], asOfDate: TodayDate, conn: conn);
if (PositionManagerOut.CorrectPositionQ)
{
string SelectString = "contract1='" + PositionManagerOut.SortedPosition.Rows[0].Field <string>("Ticker") + "' and contract2='" +
PositionManagerOut.SortedPosition.Rows[1].Field <string>("Ticker") + "'";
if (PositionManagerOut.SortedPosition.Rows.Count == 3)
{
SelectString = SelectString + " and contract3='" + PositionManagerOut.SortedPosition.Rows[2].Field <string>("Ticker") + "'";
}
DataRow Row = IfsSheet.Select(SelectString)[0];
Row["ExistingPosition"] = Math.Round(PositionManagerOut.Scale);
Row["ExistingPositionAbs"] = Math.Abs(PositionManagerOut.Scale);
Row["Alias"] = OpenStrategyList[i];
}
else
{
IFSLogger.Log("Check " + OpenStrategyList[i] + " ! Position may be incorrect.");
}
}
DataTable newDataTable = IfsSheet.AsEnumerable()
.OrderBy(r => r.Field <string>("spread_description"))
.ThenByDescending(r => r.Field <double>("min_volume"))
.ThenByDescending(r => r.Field <int>("ExistingPositionAbs"))
.CopyToDataTable();
DataRow[] ExistingPositions = IfsSheet.Select("ExistingPositionAbs>0");
LiquidSpreads = newDataTable.AsEnumerable().GroupBy(r => r["spread_description"]).Select(w => w.First()).CopyToDataTable();
LiquidSpreads = LiquidSpreads.Select("upside<" + MaxBetSize).CopyToDataTable();
LiquidSpreads = LiquidSpreads.Select("spread_description='C_W' or spread_description='W_KW' or spread_description='S_BO_SM'").CopyToDataTable();
foreach (DataRow item in ExistingPositions)
{
LiquidSpreads.ImportRow(item);
}
LiquidSpreads = LiquidSpreads.AsEnumerable().GroupBy(r => r["ticker"]).Select(w => w.First()).CopyToDataTable();
for (int i = 0; i < LiquidSpreads.Rows.Count; i++)
{
List <string> TickerList = new List <string> {
LiquidSpreads.Rows[i].Field <string>("Contract1"), LiquidSpreads.Rows[i].Field <string>("Contract2"), LiquidSpreads.Rows[i].Field <string>("Contract3")
};
TickerList.RemoveAll(item => item == null);
AutoSpreaderList.Add(new ttapiUtils.AutoSpreader(dbTickerList: TickerList, payUpTicks: 2));
AutoSpreaderDictionary.Add(AutoSpreaderList[i].AutoSpreaderName, AutoSpreaderList[i]);
DataRow Row = SummaryTable.NewRow();
Row["Ticker"] = AutoSpreaderList[i].AutoSpreaderName;
Row["TickerHead"] = LiquidSpreads.Rows[i].Field <string>("spread_description");
Row["Tag"] = "ifs_" + i.ToString();
if (LiquidSpreads.Rows[i].Field <int>("ExistingPositionAbs") != 0)
{
Row["Alias"] = LiquidSpreads.Rows[i].Field <string>("alias");
Row["ExistingPosition"] = LiquidSpreads.Rows[i].Field <int>("ExistingPosition");
}
else
{
Row["Alias"] = LiquidSpreads.Rows[i].Field <string>("spread_description") + "_ifs_" + DateTime.Now.ToString("MMM-yyyy");
}
Row["DescriptionString"] = "strategy_class=ifs&betsize=" + MaxBetSize.ToString();
Row["WorkingPosition"] = 0;
Row["Settle"] = LiquidSpreads.Rows[i].Field <double>("settle");
Row["Mean"] = LiquidSpreads.Rows[i].Field <double>("mean10");
Row["Std"] = LiquidSpreads.Rows[i].Field <double>("std10");
Row["SuggestedSize"] = Math.Min(10, Math.Round(2 * MaxBetSize / (LiquidSpreads.Rows[i].Field <double>("upside") + Math.Abs(LiquidSpreads.Rows[i].Field <double>("downside")))));
SummaryTable.Rows.Add(Row);
}
List <string> TickerHeadList = DataAnalysis.DataTableFunctions.GetColumnAsList <string>(dataTableInput: SummaryTable, columnName: "TickerHead", uniqueQ: true);
foreach (string item in TickerHeadList)
{
DataRow[] RowList = SummaryTable.Select("TickerHead='" + item + "'");
int TotalPosition = 0;
foreach (DataRow Row in RowList)
{
TotalPosition += Row.Field <int>("ExistingPosition");
}
foreach (DataRow Row in RowList)
{
Row["ExistingPositionTickerHead"] = TotalPosition;
}
}
ASENameList = SummaryTable.AsEnumerable().Select(x => x.Field <string>("Ticker")).ToList();
TagList = SummaryTable.AsEnumerable().Select(x => x.Field <string>("Tag")).ToList();
TTAPISubs = new ttapiUtils.Subscription(m_username, m_password);
TTAPISubs.AutoSpreaderList = AutoSpreaderList;
TTAPISubs.AsuUpdateList = new List <EventHandler <AuthenticationStatusUpdateEventArgs> > {
TTAPISubs.StartASESubscriptions
};
TTAPISubs.priceUpdatedEventHandler = m_ps_FieldsUpdated;
TTAPISubs.orderFilledEventHandler = m_ts_OrderFilled;
TTAPISubs.OrderDeletedEventHandler = OrderDeleted;
}