public override Dictionary <string, string> BuildQueryParams()
{
var qp = new Dictionary <string, string>()
{
{ "symbol", Symbol },
{ "side", Side.GetValue() },
{ "recvWindow", "6500" },
{ "type", Type.GetValue() },
{ "timeInForce", TimeInForce.GetValue() },
{ "quantity", Quantity.ToString() },
{ "price", Price.ToString() }
};
if (NewClientOrderId != null)
{
qp.Add("newClientOrderId", NewClientOrderId);
}
if (StopPrice.HasValue)
{
qp.Add("stopPrice", StopPrice.ToString());
}
if (IcebergQty.HasValue)
{
qp.Add("icebergQty", IcebergQty.ToString());
}
if (RecvWindow.HasValue)
{
qp.Add("recvWindow", RecvWindow.ToString());
}
return(qp);
}
/// <summary>
/// Returns a string that represents the current object.
/// </summary>
/// <returns>
/// A string that represents the current object.
/// </returns>
/// <filterpriority>2</filterpriority>
public override string ToString()
{
return(string.Format("{0} at stop {1} limit {2}", base.ToString(), StopPrice.SmartRounding(), LimitPrice.SmartRounding()));
}
/// <summary>
/// Gets the hash code
/// </summary>
/// <returns>Hash code</returns>
public override int GetHashCode()
{
unchecked // Overflow is fine, just wrap
{
var hashCode = 41;
// Suitable nullity checks etc, of course :)
hashCode = hashCode * 59 + Direction.GetHashCode();
if (ReduceOnly != null)
{
hashCode = hashCode * 59 + ReduceOnly.GetHashCode();
}
if (Triggered != null)
{
hashCode = hashCode * 59 + Triggered.GetHashCode();
}
if (OrderId != null)
{
hashCode = hashCode * 59 + OrderId.GetHashCode();
}
if (Price != null)
{
hashCode = hashCode * 59 + Price.GetHashCode();
}
hashCode = hashCode * 59 + TimeInForce.GetHashCode();
if (Api != null)
{
hashCode = hashCode * 59 + Api.GetHashCode();
}
hashCode = hashCode * 59 + OrderState.GetHashCode();
if (Implv != null)
{
hashCode = hashCode * 59 + Implv.GetHashCode();
}
hashCode = hashCode * 59 + Advanced.GetHashCode();
if (PostOnly != null)
{
hashCode = hashCode * 59 + PostOnly.GetHashCode();
}
if (Usd != null)
{
hashCode = hashCode * 59 + Usd.GetHashCode();
}
if (StopPrice != null)
{
hashCode = hashCode * 59 + StopPrice.GetHashCode();
}
hashCode = hashCode * 59 + OrderType.GetHashCode();
if (LastUpdateTimestamp != null)
{
hashCode = hashCode * 59 + LastUpdateTimestamp.GetHashCode();
}
hashCode = hashCode * 59 + OriginalOrderType.GetHashCode();
if (MaxShow != null)
{
hashCode = hashCode * 59 + MaxShow.GetHashCode();
}
if (ProfitLoss != null)
{
hashCode = hashCode * 59 + ProfitLoss.GetHashCode();
}
if (IsLiquidation != null)
{
hashCode = hashCode * 59 + IsLiquidation.GetHashCode();
}
if (FilledAmount != null)
{
hashCode = hashCode * 59 + FilledAmount.GetHashCode();
}
if (Label != null)
{
hashCode = hashCode * 59 + Label.GetHashCode();
}
if (Commission != null)
{
hashCode = hashCode * 59 + Commission.GetHashCode();
}
if (Amount != null)
{
hashCode = hashCode * 59 + Amount.GetHashCode();
}
hashCode = hashCode * 59 + Trigger.GetHashCode();
if (InstrumentName != null)
{
hashCode = hashCode * 59 + InstrumentName.GetHashCode();
}
if (CreationTimestamp != null)
{
hashCode = hashCode * 59 + CreationTimestamp.GetHashCode();
}
if (AveragePrice != null)
{
hashCode = hashCode * 59 + AveragePrice.GetHashCode();
}
return(hashCode);
}
}
/// <summary>
/// Returns true if Order instances are equal
/// </summary>
/// <param name="other">Instance of Order to be compared</param>
/// <returns>Boolean</returns>
public bool Equals(Order other)
{
if (other is null)
{
return(false);
}
if (ReferenceEquals(this, other))
{
return(true);
}
return
((
Direction == other.Direction ||
Direction.Equals(other.Direction)
) &&
(
ReduceOnly == other.ReduceOnly ||
ReduceOnly != null &&
ReduceOnly.Equals(other.ReduceOnly)
) &&
(
Triggered == other.Triggered ||
Triggered != null &&
Triggered.Equals(other.Triggered)
) &&
(
OrderId == other.OrderId ||
OrderId != null &&
OrderId.Equals(other.OrderId)
) &&
(
Price == other.Price ||
Price != null &&
Price.Equals(other.Price)
) &&
(
TimeInForce == other.TimeInForce ||
TimeInForce.Equals(other.TimeInForce)
) &&
(
Api == other.Api ||
Api != null &&
Api.Equals(other.Api)
) &&
(
OrderState == other.OrderState ||
OrderState.Equals(other.OrderState)
) &&
(
Implv == other.Implv ||
Implv != null &&
Implv.Equals(other.Implv)
) &&
(
Advanced == other.Advanced ||
Advanced.Equals(other.Advanced)
) &&
(
PostOnly == other.PostOnly ||
PostOnly != null &&
PostOnly.Equals(other.PostOnly)
) &&
(
Usd == other.Usd ||
Usd != null &&
Usd.Equals(other.Usd)
) &&
(
StopPrice == other.StopPrice ||
StopPrice != null &&
StopPrice.Equals(other.StopPrice)
) &&
(
OrderType == other.OrderType ||
OrderType.Equals(other.OrderType)
) &&
(
LastUpdateTimestamp == other.LastUpdateTimestamp ||
LastUpdateTimestamp != null &&
LastUpdateTimestamp.Equals(other.LastUpdateTimestamp)
) &&
(
OriginalOrderType == other.OriginalOrderType ||
OriginalOrderType.Equals(other.OriginalOrderType)
) &&
(
MaxShow == other.MaxShow ||
MaxShow != null &&
MaxShow.Equals(other.MaxShow)
) &&
(
ProfitLoss == other.ProfitLoss ||
ProfitLoss != null &&
ProfitLoss.Equals(other.ProfitLoss)
) &&
(
IsLiquidation == other.IsLiquidation ||
IsLiquidation != null &&
IsLiquidation.Equals(other.IsLiquidation)
) &&
(
FilledAmount == other.FilledAmount ||
FilledAmount != null &&
FilledAmount.Equals(other.FilledAmount)
) &&
(
Label == other.Label ||
Label != null &&
Label.Equals(other.Label)
) &&
(
Commission == other.Commission ||
Commission != null &&
Commission.Equals(other.Commission)
) &&
(
Amount == other.Amount ||
Amount != null &&
Amount.Equals(other.Amount)
) &&
(
Trigger == other.Trigger ||
Trigger.Equals(other.Trigger)
) &&
(
InstrumentName == other.InstrumentName ||
InstrumentName != null &&
InstrumentName.Equals(other.InstrumentName)
) &&
(
CreationTimestamp == other.CreationTimestamp ||
CreationTimestamp != null &&
CreationTimestamp.Equals(other.CreationTimestamp)
) &&
(
AveragePrice == other.AveragePrice ||
AveragePrice != null &&
AveragePrice.Equals(other.AveragePrice)
));
}
/// <summary>
/// Gets the hash code
/// </summary>
/// <returns>Hash code</returns>
public override int GetHashCode()
{
unchecked // Overflow is fine, just wrap
{
var hashCode = 41;
// Suitable nullity checks etc, of course :)
if (Id != null)
{
hashCode = hashCode * 59 + Id.GetHashCode();
}
if (Instrument != null)
{
hashCode = hashCode * 59 + Instrument.GetHashCode();
}
if (Qty != null)
{
hashCode = hashCode * 59 + Qty.GetHashCode();
}
if (Side != null)
{
hashCode = hashCode * 59 + Side.GetHashCode();
}
if (Type != null)
{
hashCode = hashCode * 59 + Type.GetHashCode();
}
if (FilledQty != null)
{
hashCode = hashCode * 59 + FilledQty.GetHashCode();
}
if (AvgPrice != null)
{
hashCode = hashCode * 59 + AvgPrice.GetHashCode();
}
if (LimitPrice != null)
{
hashCode = hashCode * 59 + LimitPrice.GetHashCode();
}
if (StopPrice != null)
{
hashCode = hashCode * 59 + StopPrice.GetHashCode();
}
if (ParentId != null)
{
hashCode = hashCode * 59 + ParentId.GetHashCode();
}
if (ParentType != null)
{
hashCode = hashCode * 59 + ParentType.GetHashCode();
}
if (Duration != null)
{
hashCode = hashCode * 59 + Duration.GetHashCode();
}
if (Status != null)
{
hashCode = hashCode * 59 + Status.GetHashCode();
}
return(hashCode);
}
}
/// <summary>
/// Returns true if Order instances are equal
/// </summary>
/// <param name="other">Instance of Order to be compared</param>
/// <returns>Boolean</returns>
public bool Equals(Order other)
{
if (ReferenceEquals(null, other))
{
return(false);
}
if (ReferenceEquals(this, other))
{
return(true);
}
return
((
Id == other.Id ||
Id != null &&
Id.Equals(other.Id)
) &&
(
Instrument == other.Instrument ||
Instrument != null &&
Instrument.Equals(other.Instrument)
) &&
(
Qty == other.Qty ||
Qty != null &&
Qty.Equals(other.Qty)
) &&
(
Side == other.Side ||
Side != null &&
Side.Equals(other.Side)
) &&
(
Type == other.Type ||
Type != null &&
Type.Equals(other.Type)
) &&
(
FilledQty == other.FilledQty ||
FilledQty != null &&
FilledQty.Equals(other.FilledQty)
) &&
(
AvgPrice == other.AvgPrice ||
AvgPrice != null &&
AvgPrice.Equals(other.AvgPrice)
) &&
(
LimitPrice == other.LimitPrice ||
LimitPrice != null &&
LimitPrice.Equals(other.LimitPrice)
) &&
(
StopPrice == other.StopPrice ||
StopPrice != null &&
StopPrice.Equals(other.StopPrice)
) &&
(
ParentId == other.ParentId ||
ParentId != null &&
ParentId.Equals(other.ParentId)
) &&
(
ParentType == other.ParentType ||
ParentType != null &&
ParentType.Equals(other.ParentType)
) &&
(
Duration == other.Duration ||
Duration != null &&
Duration.Equals(other.Duration)
) &&
(
Status == other.Status ||
Status != null &&
Status.Equals(other.Status)
));
}
/// <summary>
/// Returns a string that represents the current object.
/// </summary>
/// <returns>
/// A string that represents the current object.
/// </returns>
/// <filterpriority>2</filterpriority>
public override string ToString()
{
return(Invariant($"{base.ToString()} at stop {StopPrice.SmartRounding()} limit {LimitPrice.SmartRounding()}"));
}
public async void Calc(float curPrice, string symbol = null)
{
CurPrice = curPrice;
foreach (var stat in Strategy.AccountStat)
{
stat.Value.CurPrice = curPrice;
}
if (EntryPrice > 0)
{
if (Level > 0)
{
if (ActionType == ActionType.Long)
{
HighestProfit = Math.Max(HighestProfit, curPrice - EntryPrice);
}
else
{
HighestProfit = Math.Max(HighestProfit, EntryPrice - curPrice);
}
// ignore the duplicated signal processing
if (HighestProfit - _highestProfitSinceLastSent >= (double)(ModifyThreshold * Strategy.Symbol.MinTick))
{
int profit_class = HighestProfit / EntryPrice < ProfitTarget / 100 ? 0 :
1 + (int)((HighestProfit / EntryPrice - ProfitTarget / 100) / (ProfitTarget / 100 * TargetIncrement));
profit_class = profit_class > Level ? Level : profit_class;
ProfitClass = Math.Max(ProfitClass, profit_class);
if (ProfitClass > 0)
{
TypeAccessor accessor = BaseOrderTypeAccessor.GetAccessor(OT_stopProfit);
if (ActionType == ActionType.Long)
{
StopPrice = EntryPrice + HighestProfit * (BaseLine / 100 + DropIncrement / 100 * (ProfitClass - 1));
if (curPrice <= StopPrice + (float)(SubmitThreshold * Strategy.Symbol.MinTick))
{
accessor[OT_stopProfit, "LmtPrice"] = StopPrice.ToString();
accessor[OT_stopProfit, "AuxPrice"] = StopPrice.ToString();
bool r = await Controllers.OrderManager.ProcessSignal(Strategy.Script, Strategy, OrderAction.APSLong, DateTime.Now, OT_stopProfit, curPrice);
if (r)
{
_highestProfitSinceLastSent = HighestProfit;
}
}
}
else if (ActionType == ActionType.Short)
{
StopPrice = EntryPrice - HighestProfit * (BaseLine / 100 + DropIncrement / 100 * (ProfitClass - 1));
if (curPrice >= StopPrice - (float)(SubmitThreshold * Strategy.Symbol.MinTick))
{
accessor[OT_stopProfit, "LmtPrice"] = StopPrice.ToString();
accessor[OT_stopProfit, "AuxPrice"] = StopPrice.ToString();
bool r = await Controllers.OrderManager.ProcessSignal(Strategy.Script, Strategy, OrderAction.APSShort, DateTime.Now, OT_stopProfit, curPrice);
if (r)
{
_highestProfitSinceLastSent = HighestProfit;
}
}
}
}
}
}
// stop loss
if (Stoploss > 0)
{
// ignore duplicated signal processing
if (Stoploss != _stoplossLastSent)
{
float sp = 0; // stop price
TypeAccessor accessor = BaseOrderTypeAccessor.GetAccessor(OT_stopLoss);
float stoploss = (float)Stoploss;
switch (StoplossSelector)
{
case 0: // in points/dollars(actual value)
// remain unchanged
break;
case 1: // in ticks
stoploss *= (float)Strategy.Symbol.MinTick;
break;
case 2: // in percentage
stoploss = (float)(EntryPrice * Stoploss * 0.01);
break;
case 3: // from AFL sript;
// remain unchanged
break;
}
if (ActionType == ActionType.Long)
{
StopLossPrice = sp = EntryPrice - stoploss;
if (curPrice <= sp + (float)(SubmitThreshold * Strategy.Symbol.MinTick))
{
accessor[OT_stopLoss, "LmtPrice"] = sp.ToString();
accessor[OT_stopLoss, "AuxPrice"] = sp.ToString();
bool r = await Controllers.OrderManager.ProcessSignal(Strategy.Script, Strategy, OrderAction.StoplossLong, DateTime.Now, OT_stopLoss, curPrice);
if (r)
{
_stoplossLastSent = Stoploss;
}
}
}
else if (ActionType == ActionType.Short)
{
StopLossPrice = sp = EntryPrice + stoploss;
if (curPrice >= sp - (float)(SubmitThreshold * Strategy.Symbol.MinTick))
{
accessor[OT_stopLoss, "LmtPrice"] = sp.ToString();
accessor[OT_stopLoss, "AuxPrice"] = sp.ToString();
bool r = await Controllers.OrderManager.ProcessSignal(Strategy.Script, Strategy, OrderAction.StoplossShort, DateTime.Now, OT_stopLoss, curPrice);
if (r)
{
_stoplossLastSent = Stoploss;
}
}
}
}
}
}
}
/// <summary>
/// Returns a string that represents the current object.
/// </summary>
/// <returns>
/// A string that represents the current object.
/// </returns>
/// <filterpriority>2</filterpriority>
public override string ToString()
{
return(string.Format("{0} order for {1} unit{2} of {3} at stop {4} limit {5}", Type, Quantity, Quantity == 1 ? "" : "s", Symbol, StopPrice.SmartRounding(), LimitPrice.SmartRounding()));
}
public string ToString(int decimals)
{
if (IsFilled)
{
return(base.ToString());
}
return((Direction == Direction.Long ? "Long" : "Short") + UnsignedSize + " " + Symbol + "@" + (Type == OrderType.Market ? "Mkt" : (Type == OrderType.Limit || Type == OrderType.StopLimit ? LimitPrice.ToString("N" + decimals) : StopPrice.ToString("N" + decimals) + "stp")) + " [" + AccountName + "] " + Id + (Type == OrderType.Stop || Type == OrderType.StopLimit ? " stop: " + StopPrice.ToString("N" + decimals) : string.Empty));
}
