private void publish_rates_indicators()
{
if (CFATManager.m_nRunMode == ERUN_MODE.OPTIMIZE)
{
return;
}
if (!ex_bPublishRates)
{
return;
}
if (CFATManager.m_nRunMode == ERUN_MODE.BACKTEST)
{
m_product_diff.publish_min();
m_indCC.publish_min();
m_indBand.publish_min();
return;
}
if (CFATManager.isOnlineMode())
{
m_product_diff.publish_tick();
m_indCC.publish_tick();
return;
}
}
private void publishToMQ()
{
if (!CFATManager.isOnlineMode())
{
return;
}
if ((DateTime.Now - m_dtLastPublish).TotalSeconds < 2) //every 2 seconds publish message
{
return;
}
try
{
//parameters :
publishParams();
//variables : logic_id@name1,val1@name2,val2@name3,val3.....
// string sTxt = string.Format("{0}@isNeedCheckPosition,{1}@sh_ask,{2}@sh_bid,{3}@ld_ask,{4}@ld_bid,{5}@g_dOpen_London,{6}@m_dExpectTp,{7}@posCnt,{8}@real lots,{9}@ex_nIsNewOrder,{10}@lastPosType,{11}@lastPosTime,{12}@m_nOpen_Ticks,{13}",
// m_sLogicID,
// m_bIsNeedCheckPosition,
// m_dAsk_Shanghai, m_dBid_Shanghai,
// m_dAsk_London, m_dBid_London,
// g_dOpen_London, m_dExpectTp,
// m_products[ID_SHANGHAI].getPosCount(), m_products[ID_SHANGHAI].getPosLots_real(),
// ex_nIsNewOrder, lastPosType, lastPosTime, m_nOpen_Ticks);
//
// CMQClient.publish_msg(sTxt, CFATCommon.MQ_TOPIC_VARS);
m_dtLastPublish = DateTime.Now;
}
catch
{
CFATLogger.output_proc("CLogic_gold_latencyV2 : publishToMQ error!");
}
}
private void loadData()
{
if (m_sName == "NO_NAME")
{
return;
}
if (!CFATManager.isOnlineMode())
{
return;
}
string sFile = getStoreFileName();
if (!File.Exists(sFile))
{
CFATLogger.output_proc("File don't exist: " + sFile);
return;
}
var xs = new XmlSerializer(typeof(CCacheData));
using (var sr = new StreamReader(sFile))
{
var tempObject = (CCacheData)xs.Deserialize(sr);
m_tickData = tempObject.m_tickData;
m_minData = tempObject.m_minData;
m_renkoData = tempObject.m_renkoData;
m_nCurPos_tick = tempObject.m_nCurPos_tick;
m_nCurPos_min = tempObject.m_nCurPos_min;
m_nCurPos_renko = tempObject.m_nCurPos_renko;
}
CFATLogger.output_proc("File loaded : " + sFile);
}
/// <summary>
/// Called with every tick
/// </summary>
public override int OnTick()
{
if (CFATManager.isOnlineMode())
{
m_benchMarking.push_Ontick_start(DateTime.Now); //For bench marking
}
m_nTradeRet = ETRADE_RET.NONE;
updateState();
getRates();
if (m_stState.m_nState == ELOGIC_STATE.NORMAL)
{
checkForClose();
checkForOpen();
}
if (m_bIsOrderHappened && !m_bIsFirstThreadLive && !m_bIsSecondThreadLive)
{
setState(ELOGIC_STATE.NEED_CHECK_POSITION_MATCH);
m_bIsOrderHappened = false;
}
publishToMQ();//For Manager
if (CFATManager.isOnlineMode())
{
m_benchMarking.push_Ontick_end(DateTime.Now); //For bench marking
}
base.OnTick();
return((int)m_nTradeRet);
}
private void saveData()
{
if (m_sName == "NO_NAME")
{
return;
}
if (!CFATManager.isOnlineMode())
{
return;
}
string sFile = getStoreFileName();
if (File.Exists(sFile))
{
File.Delete(sFile);
}
var xs = new XmlSerializer(typeof(CCacheData));
using (TextWriter sw = new StreamWriter(sFile))
{
xs.Serialize(sw, this);
}
CFATLogger.output_proc("File saved : " + sFile);
m_dtLastSavedTime = DateTime.Now;
}
private void check3Times_loss()
{
if (!CFATManager.isOnlineMode())
{
return;
}
m_dLastProfit = m_tradeHistory.getProfit(0);
if (ex_nIsNewOrder <= 0)
{
return;
}
if (m_tradeHistory.getTradeCount() < 3)
{
return;
}
double dProfit = 0;
for (int i = 0; i < 3; i++)
{
dProfit = m_tradeHistory.getProfit(i);
if (dProfit > 0)
{
return;
}
}
CFATLogger.output_proc(m_sLogicID + " : 3 times loss, ex_nIsNewOrder will be 0.");
setParam_newOrder(0);// continuously 3 times loss, stop trading.
}
public override int OnTick()
{
if (CFATManager.isOnlineMode())
{
m_benchMarking.push_Ontick_start(DateTime.Now); //For bench marking
}
updateState_v2(40, 20, 60); //wait check pos : 40s, wait force close : 20s , restart logic after stop by error : 60s
//Here is update price and indicators pattern
//First update price, after update indicators
m_product_diff.updateRates();
updateIndicators();
//----------------------------------------------
if (m_stState.m_nState == ELOGIC_STATE.NORMAL)
{
checkForClose();
checkForOpen();
}
publishToMQ();//For Manager
if (CFATManager.isOnlineMode())
{
m_benchMarking.push_Ontick_end(DateTime.Now); //For bench marking
}
return(base.OnTick());
}
public double getPosLots_Total_real()
{
if (!CFATManager.isOnlineMode())
{
return(m_site.getPosLots_Total_vt(m_sSymbol));
}
return(m_site.getPosLots_Total_real(m_sSymbol));
}
public double getPosLots_real(int nIndex)
{
if (!CFATManager.isOnlineMode())
{
return(getPosLots_vt(nIndex));
}
return(m_site.getPosLots_real(m_sSymbol, nIndex));
}
public void setState(ELOGIC_STATE nState)
{
m_stState.m_nState = nState;
m_stState.m_dtUpdatedTime = DateTime.Now;
//HSM???
if (CFATManager.isOnlineMode())
{
CFATLogger.output_proc(string.Format("{0},{1} : Change State -> {2}",
CFATCommon.m_dtCurTime, m_sLogicID, m_stState.m_nState));
}
}
private void checkForClose()
{
// added by cmh
if (m_bIsFirstThreadLive || m_bIsSecondThreadLive)
{
return;
}
if (m_products[_FIRST].m_site.getStatus() == Site.CSite.SITE_STATUS.PROCESSING || m_products[_SECOND].m_site.getStatus() == Site.CSite.SITE_STATUS.PROCESSING)
{
return;
}
// ---
if (m_products[_FIRST].getPosCount_vt() == 0)
{
return;
}
if ((DateTime.Now - m_dtLastFilledTime).TotalSeconds < ex_nPosHoldTimeSec)
{
return;
}
int nSignal = getSignal();
ETRADER_OP nCmd = m_products[_FIRST].getPosCmd_vt(0);
double dLots = ex_dLots;
if (nCmd == ETRADER_OP.BUY && TRADER.isContain(nSignal, (int)ETRADER_OP.BUY_CLOSE))
{
if (CFATManager.isOnlineMode())
{
CFATLogger.output_proc("close buy !");
}
requestOrder(ETRADER_OP.BUY_CLOSE);
check3Times_loss();
return;
}
if (nCmd == ETRADER_OP.SELL && TRADER.isContain(nSignal, (int)ETRADER_OP.SELL_CLOSE))
{
if (CFATManager.isOnlineMode())
{
CFATLogger.output_proc("close sell !");
}
requestOrder(ETRADER_OP.SELL_CLOSE);
check3Times_loss();
return;
}
}
public void publishParams()
{
string sMsg = m_sLogicID;
string sName = "";
for (int i = 0; i < m_params.getCount(); i++)
{
sName = m_params.getName(i);
sMsg += "@";
sMsg += sName;
sMsg += ",";
sMsg += m_params.getVal_string(sName);
}
//Add System name
sMsg += "@";
sMsg += "system_name,";
sMsg += CFATManager.getSystemName();
CMQClient.publish_msg(sMsg, CFATCommon.MQ_TOPIC_PARAM_C2V);
}
public virtual EERROR OnTick()
{
if (!isValidRates())
{
if (CFATManager.isOnlineMode())
{
CFATLogger.output_proc(string.Format("{0}: Price is 0, Error!", m_sSiteName));
}
return(EERROR.RATE_INVALID);
}
// modified by cmh
if (getStatus() != SITE_STATUS.PROCESSING)
{
updatePosList();//Update close price and calc profit
}
// ---
pushTick_cache(); // push cache data
return(EERROR.NONE);
}
private void checkUpdateTick()
{
if (!CFATManager.isOnlineMode())
{
return;
}
bool bIsTickUpdated = isTickUpdated();
if (m_bIsTickUpdated != bIsTickUpdated)
{
if (!bIsTickUpdated)
{
CFATLogger.output_proc(string.Format("--------->don't update ticks :logic = {0}, site ={1}", m_sLogicID, m_sErrSite));
}
else
{
CFATLogger.output_proc(string.Format("<---------update ticks :logic= {0}, site = {1}", m_sLogicID, m_sErrSite));
}
}
m_bIsTickUpdated = bIsTickUpdated;
}
public void requestOrder(ETRADER_OP nCmd)
{
if (nCmd == ETRADER_OP.BUY || nCmd == ETRADER_OP.SELL)
{
setParam_newOrder(ex_nIsNewOrder - 1);
}
if (CFATManager.isOnlineMode())
{
CFATLogger.output_proc(string.Format("Order : {0}, diff = {1}", nCmd.ToString(), m_product_diff.m_dMid));
}
m_product_diff.requestOrder(nCmd, ex_dLots, true);
if (CFATManager.isOnlineMode())
{
setState(ELOGIC_STATE.WAITING_ORDER_RESPONSE);
}
else
{
setState(ELOGIC_STATE.NORMAL);
}
//setState(ELOGIC_STATE.NEED_CHECK_POSITION_MATCH);
}
private void publishToMQ()
{
return;//HSM???
publish_rates_indicators();
if (!CFATManager.isOnlineMode())
{
return;
}
if ((DateTime.Now - m_dtLastPublish).TotalSeconds < 2) //every 2 seconds publish message
{
return;
}
try
{
//parameters :
publishParams();
//history
publishTradeHistory();
//Variables
publishVariables();
if (m_stState.m_nState == ELOGIC_STATE.LOGIC_STOP_BY_ERROR)
{
CFATLogger.output_proc(string.Format(" **** {0} Logic Stoped!!!", m_sLogicID));
}
m_dtLastPublish = DateTime.Now;
}
catch
{
CFATLogger.output_proc("CLogic_Arb_org : publishToMQ error!");
}
}
public static void config_logicParam_down(EasyNetQ.FluentConfiguration.ISubscriptionConfiguration subConfig)
{
subConfig.WithTopic(CFATCommon.MQ_TOPIC_PARAM_V2C + ":" + CFATManager.getSystemName());
subConfig.WithExpires(1000 * 60 * 10);
subConfig.WithDurable(false);
}
private void requestOrder(ETRADER_OP nCmd, string sComment = "")
{
double dLots = ex_dLots;
double dPrice = 0;
double dCurPrice = 0;
if (nCmd == ETRADER_OP.BUY || nCmd == ETRADER_OP.SELL_CLOSE)
{//Buy or SellClose
dCurPrice = m_dAsk_Shanghai;
dPrice = m_dAsk_Shanghai + ex_dSlippage;
if (nCmd == ETRADER_OP.BUY)
{
m_dOpen_ld_midPrice = m_dMid_London;
m_dMaxProfit = -100;
m_dMinProfit = 100;
}
m_dOpen10TickSeconds = get10TickSecond();
}
else//Sell or BuyClose
{
dCurPrice = m_dBid_Shanghai;
dPrice = m_dBid_Shanghai - ex_dSlippage;
if (nCmd == ETRADER_OP.SELL)
{
m_dOpen_ld_midPrice = m_dMid_London;
m_dMaxProfit = -100;
m_dMinProfit = 100;
}
m_dOpen10TickSeconds = get10TickSecond();
}
//For BackTest
if (!CFATManager.isOnlineMode())
{
m_products[ID_SHANGHAI].reqOrder(nCmd, ref dLots, ref dPrice, EORDER_TYPE.MARKET, sComment);
double dLDPrice = m_dMid_London;
m_products[ID_LONDON].reqOrder(nCmd, ref dLots, ref dLDPrice, EORDER_TYPE.MARKET, sComment);
return;
}
//For RealTime
if (nCmd == ETRADER_OP.BUY_CLOSE || nCmd == ETRADER_OP.SELL_CLOSE)
{
if (ex_nIsNewOrder <= 0)
{
ex_nIsNewOrder = 1;
}
}
if (ex_nIsNewOrder > 0)
{
CFATLogger.output_proc(string.Format("Request order, cmd = {0}, current price ={1}, request price = {2}, request lost = {3}", TRADER.cmd2String(nCmd), dCurPrice, dPrice, dLots));
m_products[ID_SHANGHAI].reqOrder(nCmd, ref dLots, ref dPrice, EORDER_TYPE.MARKET, sComment);
CFATLogger.output_proc(string.Format("Response order, response price = {0}, response lost = {1}", dPrice, dLots));
ex_nIsNewOrder--;
m_bIsNeedCheckPosition = true;
}
else
{
CFATLogger.output_proc(string.Format("new Signal = {0}, ex_nIsNewOrder = {1}", TRADER.cmd2String(nCmd), ex_nIsNewOrder));
}
}
// ---
private void checkForOpen()
{
// added by cmh
if (m_bIsFirstThreadLive || m_bIsSecondThreadLive)
{
return;
}
if (m_products[_FIRST].m_site.getStatus() == Site.CSite.SITE_STATUS.PROCESSING || m_products[_SECOND].m_site.getStatus() == Site.CSite.SITE_STATUS.PROCESSING)
{
return;
}
// ---
if (m_products[_FIRST].getPosCount_vt() >= ex_nMaxPosCnt)
{
return;
}
if ((DateTime.Now - m_dtLastFilledTime).TotalSeconds < ex_nNewPosTimeSec)
{
return;
}
if (m_nTradeRet == ETRADE_RET.NEWORDER)// If position closed at checkForClose with same tick,
{
return;
}
int nSignal = getSignal();
if (TRADER.isContain(nSignal, (int)ETRADER_OP.BUY))
{
if (m_products[_FIRST].getPosCount_vt() > 0)
{
if (m_products[_FIRST].getPosCmd_vt(0) != ETRADER_OP.BUY)
{
return;
}
}
if (ex_nIsNewOrder > 0)
{
if (CFATManager.isOnlineMode())
{
CFATLogger.output_proc(string.Format("open buy ! bid = {0}, ask = {1}, bid = {2}, ask = {3}",
m_products[_FIRST].m_dBid, m_products[_FIRST].m_dAsk, m_products[_SECOND].m_dBid, m_products[_SECOND].m_dAsk));
}
requestOrder(ETRADER_OP.BUY);
}
// else
// CFATLogger.output_proc(string.Format("{0} : Signal Buy! diff = {1}, bid = {2}, ask = {3}, bid = {4}, ask = {5}",m_sLogicID, m_products[_SECOND].m_dBid - m_products[_FIRST].m_dAsk,
// m_products[_FIRST].m_dBid, m_products[_FIRST].m_dAsk, m_products[_SECOND].m_dBid, m_products[_SECOND].m_dAsk));
}
if (TRADER.isContain(nSignal, (int)ETRADER_OP.SELL))
{
if (m_products[_FIRST].getPosCount_vt() > 0)
{
if (m_products[_FIRST].getPosCmd_vt(0) != ETRADER_OP.SELL)
{
return;
}
}
if (ex_nIsNewOrder > 0)
{
if (CFATManager.isOnlineMode())
{
CFATLogger.output_proc(string.Format("open sell ! bid = {0}, ask = {1}, bid = {2}, ask = {3}",
m_products[_FIRST].m_dBid, m_products[_FIRST].m_dAsk, m_products[_SECOND].m_dBid, m_products[_SECOND].m_dAsk));
}
requestOrder(ETRADER_OP.SELL);
}
// else
// CFATLogger.output_proc(string.Format("{0} : Signal Sell! diff = {1}, bid = {2}, ask = {3}, bid = {4}, ask = {5}",m_sLogicID, m_products[_FIRST].m_dBid - m_products[_SECOND].m_dAsk,
// m_products[_FIRST].m_dBid, m_products[_FIRST].m_dAsk, m_products[_SECOND].m_dBid, m_products[_SECOND].m_dAsk));
}
}
public static CSite newSite(string sSiteName, string sPipeSerName = "", string sPipeSerOrderName = "", string sPipe_rate = "", string sPipe_order = "")
{
CSite site = null;
if (!CFATManager.isOnlineMode())
{
return(CSiteMng.newSite_backtest(sSiteName));
}
// modified by cmh
//if (sSiteName == "TRADE_VIEW" || sSiteName == "FXCM" || sSiteName == "GP_MT4")
// {
// site = new CSiteMT4();
// site.setName(sSiteName);
// site.setPipeServerName(sPipeSerName);
// g_allSites.Add(sSiteName, site);
// }
if (sSiteName == "TRADE_VIEW_MT4" || sSiteName == "GP_MT4" || sSiteName == "AAFX_MT4" || sSiteName == "EAGLEFX_MT4" || sSiteName == "IC_MT4" || sSiteName == "XTREAM_MT4")
{
site = new CSiteMT5();
site.setName(sSiteName);
site.setPipeServerName_MT5(sPipeSerName, sPipeSerOrderName);
g_allSites.Add(sSiteName, site);
}
if (sSiteName == "TRADE_VIEW_MT5" || sSiteName == "GP_MT5" || sSiteName == "AAFX_MT5" || sSiteName == "EAGLEFX_MT5" || sSiteName == "IC_MT5" || sSiteName == "XTREAM_MT5")
{
site = new CSiteMT5();
site.setName(sSiteName);
site.setPipeServerName_MT5(sPipe_rate, sPipe_order);
g_allSites.Add(sSiteName, site);
}
// ---
if (sSiteName == "TRADE_VIEW")
{
site = new CSiteFixMt4V2();
site.setName(sSiteName);
site.setPipeServerName(sPipeSerName);
g_allSites.Add(sSiteName, site);
}
if (sSiteName == "GP")
{
site = new CSiteFixMt4();
//site = new CSiteMT4();
site.setName(sSiteName);
site.setPipeServerName(sPipeSerName);
g_allSites.Add(sSiteName, site);
}
if (sSiteName == "SHGOLD")
{
site = new CSiteSHGold();
site.setName(sSiteName);
site.setPipeServerName(sPipeSerName);
g_allSites.Add(sSiteName, site);
}
if (sSiteName == "IB")
{
site = new CSiteIB();
site.setName(sSiteName);
g_allSites.Add(sSiteName, site);
}
if (sSiteName == "BITMEX")
{
site = new CSiteBitMex();
site.setName(sSiteName);
g_allSites.Add(sSiteName, site);
}
if (sSiteName == "OKEX")
{
site = new CSiteOkex();
site.setName(sSiteName);
g_allSites.Add(sSiteName, site);
}
if (sSiteName == "DERIBIT")
{
site = new CSiteDeribit();
site.setName(sSiteName);
g_allSites.Add(sSiteName, site);
}
if (sSiteName == "BITFLY")
{
site = new CSiteBitFlyer();
site.setName(sSiteName);
g_allSites.Add(sSiteName, site);
}
if (sSiteName == "CNFUTURE")
{
site = new CSiteCNFT();
site.setName(sSiteName);
g_allSites.Add(sSiteName, site);
}
return(site);
}