private static void position_xls_readin(_Excel.Worksheet wsheet, TradeBooks book)
{
int i = 0;
_Excel.Range myRange = wsheet.UsedRange;
//These two lines clear up the blank cells.
wsheet.Columns.ClearFormats();
wsheet.Rows.ClearFormats();
book.positionCNT = myRange.Rows.Count - 2;
for (i = 1; i < myRange.Rows.Count - 1; i++)
{
book.symbol[i - 1] = wsheet.Cells[i + 2, 6].value2;
book.expiration[i - 1] = wsheet.Cells[i + 2, 4].value2;
book.CallPut[i - 1] = wsheet.Cells[i + 2, 7].value2;
book.legS[i - 1] = Convert.ToDouble(wsheet.Cells[2 + i, 8].value2);
book.legB[i - 1] = Convert.ToDouble(wsheet.Cells[2 + i, 9].value2);
book.size[i - 1] = (int)wsheet.Cells[i + 2, 10].value2;
book.premium[i - 1] = wsheet.Cells[i + 2, 12].value2;
book.day_cnt[i - 1] = (int)wsheet.Cells[i + 2, 15].value2;
book.accountID[i - 1] = wsheet.Cells[i + 2, 14].value2;
book.model[i - 1] = wsheet.Cells[i + 2, 24].value2;
book.multipler[i - 1] = (int)wsheet.Cells[i + 2, 30].value2;
book.underlyingExp[i - 1] = wsheet.Cells[i + 2, 31].Text;
}
}
private static int getContractID(EClientSocket client, EWrapperImpl Allture, TradeBooks Book, int m, int leg, string sectype, string exchange)
{
Allture.checkContractEnd = false;
client.reqContractDetails(20010, ContractSamples.Contract_Options(Book.symbol[m], sectype, Book.expiration[m], Book.CallPut[m], leg, Book.multipler[m].ToString(), exchange));
//Thread.Sleep(sleep1);
while (!Allture.checkContractEnd)
{
Thread.Sleep(200);
}
Console.WriteLine("contract_ID: " + Allture.contract_ID + "\n");
return(Allture.contract_ID);
}
public static int Main(string[] args)
{
// specify account and strategy
string IBaccount = TradeBooks.accountInit();
string tradingModel = "es_growth";
string tradingInstrument = "ES";
int multipler = 50;
int tryCNT = 1;
int tryGap = (int)openBook.gap * 20;
int bestCNT = 0;
double[] Returns = new double[2];
double[] Premium = new double[tryCNT];
int[] LegB_ID = new int[tryCNT];
int[] LegB = new int[tryCNT];
int legS;
int legS_ID;
openBook.positionCNT = 1;
for (int n = 0; n < openBook.positionCNT; n++)
{
openBook.symbol[n] = tradingInstrument;
openBook.multipler[n] = multipler;
}
//! start the connection
int[] channel = new int[2];
channel = TradeBooks.channelSetup(IBaccount, tradingModel);
EClientSocket clientSocket = Allture.ClientSocket;
EReaderSignal readerSignal = Allture.Signal;
//! [connect]
clientSocket.eConnect("127.0.0.1", channel[0], channel[1]);
//! [connect]
//! [ereader]
//Create a reader to consume messages from the TWS. The EReader will consume the incoming messages and put them in a queue
var reader = new EReader(clientSocket, readerSignal);
reader.Start();
//Once the messages are in the queue, an additional thread can be created to fetch them
new Thread(() => { while (clientSocket.IsConnected())
{
readerSignal.waitForSignal(); reader.processMsgs();
}
})
{
IsBackground = true
}.Start();
//! [ereader]
//**** current time *****
string date_time, last_time;
date_time = DateTime.Now.ToString("hh:mm:ss tt");
//**************************
//*** Account Info ***
//**************************
clientSocket.reqAccountSummary(9001, "All", AccountSummaryTags.GetAllTags());
Thread.Sleep(1000);
Console.WriteLine("account ID: " + Allture.account_ID);
Console.WriteLine("account Value: " + Allture.account_value);
Console.WriteLine("account_BuyingPower: " + Allture.account_BuyingPower);
Console.WriteLine("account_InitMarginReq: " + Allture.account_InitMarginReq);
Console.WriteLine("account_MaintMarginReq: " + Allture.account_MaintMarginReq);
Console.WriteLine("account_ExcessLiquidity: " + Allture.account_ExcessLiquidity);
Console.WriteLine("account_AvailableFunds: " + Allture.account_AvailableFunds);
Console.WriteLine("\n");
Allture.remainingOrderSize = 100000; // set to maxium order size
clientSocket.reqMarketDataType(1);
// clientSocket.reqGlobalCancel();
Thread.Sleep(sleep1);
while ((DateTime.Now > Convert.ToDateTime("09:30:00 AM")) && (DateTime.Now < Convert.ToDateTime("16:00:00 PM")))
{
last_time = date_time;
for (int n = 0; n < openBook.positionCNT; n++)
{
if (openBook.status[n] == "complete")
{
continue;
}
if (openBook.status[n] == "submit")
{
Allture.currOrderId = openBook.currOrderID[n];
Allture.remainingOrderSize = 0;
Allture.checkOrderEnd = false;
clientSocket.reqOpenOrders();
while (!Allture.checkOrderEnd)
{
Thread.Sleep(200);
}
if (Allture.remainingOrderSize == 0)
{
openBook.status[n] = "complete";
openBook.capital[n] = 0;
openBook.size[n] = 0;
continue; // if remaining size = 0, means this order has completely filled. then go to the next position
}
}
legS = 2700;
legS_ID = getContractID(clientSocket, Allture, openBook, n, legS, "FOP", "GLOBEX");
LegB[0] = legS - 100;
LegB_ID[0] = getContractID(clientSocket, Allture, openBook, n, LegB[0], "FOP", "GLOBEX");
//******* check the order status again. if still exiting, cancel the order order, update the order size and capital
if (openBook.status[n] == "submit")
{
Allture.currOrderId = openBook.currOrderID[n];
Allture.remainingOrderSize = 0;
Allture.checkOrderEnd = false;
clientSocket.reqOpenOrders();
while (!Allture.checkOrderEnd)
{
Thread.Sleep(200);
}
if (Allture.remainingOrderSize == 0)
{
openBook.status[n] = "complete";
openBook.capital[n] = 0;
openBook.size[n] = 0;
continue;
}
else
{
clientSocket.cancelOrder(openBook.currOrderID[n]); //cancel existing order
Thread.Sleep(sleep1);
openBook.status[n] = "cancel";
if (Allture.remainingOrderSize > openBook.size[n])
{
Allture.remainingOrderSize = openBook.size[n];
}
openBook.capital[n] = openBook.capital[n] - (openBook.size[n] - Allture.remainingOrderSize) * openBook.margin[n];
openBook.size[n] = (int)(openBook.usingCapital * openBook.capital[n] / 10000);
}
}
else
{
openBook.size[n] = (int)(100);
}
//********* Place order ************************
clientSocket.reqIds(-1);
Thread.Sleep(sleep1);
clientSocket.placeOrder(Allture.NextOrderId, ContractSamples.Contract_Combo(openBook.symbol[n], "BAG", openBook.expiration[n], openBook.CallPut[n], LegB_ID[0], legS_ID, openBook.multipler[n].ToString(), "GLOBEX"), OrderSamples.ComboLimitOrder("BUY", openBook.size[n], -1.0, false));
Thread.Sleep(sleep1);
//********* update remaining of the trading book **************
openBook.status[n] = "submit";
openBook.currOrderID[n] = Allture.NextOrderId;
openBook.legS[n] = legS;
openBook.legB[n] = LegB[0];
openBook.premium[n] = 1.0;
}
}
clientSocket.reqGlobalCancel();
Thread.Sleep(sleep1);
Console.WriteLine("today's trading is done...time: " + DateTime.Now);
clientSocket.eDisconnect();
return(0);
}
private static double getSpreadPremium(EClientSocket client, EWrapperImpl Allture, TradeBooks Book, int m, double LegS, double LegB, string sectype, string exchange)
{
double LegB_price, LegS_price;
client.reqMktData(3011, ContractSamples.Contract_Options(Book.symbol[m], sectype, Book.expiration[m], Book.CallPut[m], LegB, Book.multipler[m].ToString(), exchange), string.Empty, false, false, null);
Thread.Sleep(1000);
client.cancelMktData(3011);
LegB_price = Allture.ask_price;
Console.WriteLine("legB ask: " + LegB_price + "\n");
client.reqMktData(3012, ContractSamples.Contract_Options(Book.symbol[m], sectype, Book.expiration[m], Book.CallPut[m], LegS, Book.multipler[m].ToString(), exchange), string.Empty, false, false, null);
Thread.Sleep(1000);
client.cancelMktData(3012);
LegS_price = Allture.ask_price;
Console.WriteLine("legS ask: " + LegS_price + "\n");
return(LegS_price - LegB_price);
}
public static int Main(string[] args)
{
// specify account and strategy
string IBaccount = TradeBooks.accountInit();
string tradingModel = "monitor";
double indexPrice = 0, lastPrice = 0, vixPrice = 0, vix1Price = 0, vix2Price = 0;
int legB_ID, legS_ID;
double spread_premium;
//*** set the monitoring parameters **********
bool autoExit = false;
double SPXexitPoint = 30;
double ESexitPoint = 30;
double CLexitPoint = 3;
double GCexitPoint = 20;
double exitPoint = 100;
int Alert1 = 0;
int Alert2 = 0;
bool[] alert1 = new bool[Constants.max_position];
bool[] alert2 = new bool[Constants.max_position];
bool[] alert3 = new bool[Constants.max_position];
bool alert_vix = false; // vix/vix1 backwardation
bool alert_vix1 = false; // vix1/vix2 backwardation
List <double> putSPXlegS = new List <double>();
List <double> callSPXlegS = new List <double>();
List <double> putESlegS = new List <double>();
List <double> callESlegS = new List <double>();
List <double> putCLlegS = new List <double>();
List <double> callCLlegS = new List <double>();
List <double> putGClegS = new List <double>();
List <double> callGClegS = new List <double>();
//**** current date and time *****
string date_time, today;
date_time = DateTime.Now.ToString("h:mm:ss tt");
today = DateTime.Now.ToString("MMdd");
// today = "0928"; // if today is not the trading close day
//***** set up excel **************
_Excel.Application excel = new _Excel.Application();
excel.DisplayAlerts = false;
_Excel.Workbook monitor_wb = excel.Workbooks.Open("C:\\Users\\Jack\\Documents\\Companies\\allture\\Trading\\option_spread\\Accounts\\All_Account_Oct_2018.xlsm");
_Excel.Worksheet csheet = monitor_wb.Worksheets[today];
// string path = TradeBooks.xlsPathSetup(IBaccount);
// _Excel.Workbook monitor_wb = excel.Workbooks.Open(path + IBaccount + "\\account_" + IBaccount + ".xlsm");
// _Excel.Worksheet csheet = monitor_wb.Worksheets["Positions"];
Console.WriteLine("\n start calculating, time: " + DateTime.Now + " \n");
//******* read position data to openBook
position_xls_readin(csheet, openBook);
monitor_wb.Close(0);
excel.Quit();
for (int n = 0; n < openBook.positionCNT; n++)
{
if (openBook.symbol[n] == "SPX")
{
if (openBook.CallPut[n] == "Put")
{
putSPXlegS.Add(openBook.legS[n]);
}
else
{
callSPXlegS.Add(openBook.legS[n]);
}
}
if (openBook.symbol[n] == "ES")
{
if (openBook.CallPut[n] == "Put")
{
putESlegS.Add(openBook.legS[n]);
}
else
{
callESlegS.Add(openBook.legS[n]);
}
}
if (openBook.symbol[n] == "CL")
{
if (openBook.CallPut[n] == "Put")
{
putCLlegS.Add(openBook.legS[n]);
}
else
{
callCLlegS.Add(openBook.legS[n]);
}
}
if (openBook.symbol[n] == "GC")
{
if (openBook.CallPut[n] == "Put")
{
putGClegS.Add(openBook.legS[n]);
}
else
{
callGClegS.Add(openBook.legS[n]);
}
}
}
callSPXlegS.Sort((s1, s2) => s1.CompareTo(s2));
callESlegS.Sort((s1, s2) => s1.CompareTo(s2));
callCLlegS.Sort((s1, s2) => s1.CompareTo(s2));
callGClegS.Sort((s1, s2) => s1.CompareTo(s2));
putSPXlegS.Sort((s1, s2) => s2.CompareTo(s1));
putESlegS.Sort((s1, s2) => s2.CompareTo(s1));
putCLlegS.Sort((s1, s2) => s2.CompareTo(s1));
putGClegS.Sort((s1, s2) => s2.CompareTo(s1));
//! start the connection ********************************//
int[] channel = new int[2];
channel = TradeBooks.channelSetup(IBaccount, tradingModel);
EClientSocket clientSocket = Allture.ClientSocket;
EReaderSignal readerSignal = Allture.Signal;
//! [connect]
clientSocket.eConnect("127.0.0.1", channel[0], channel[1]);
//! [connect]
//! [ereader]
//Create a reader to consume messages from the TWS. The EReader will consume the incoming messages and put them in a queue
var reader = new EReader(clientSocket, readerSignal);
reader.Start();
//Once the messages are in the queue, an additional thread can be created to fetch them
new Thread(() => { while (clientSocket.IsConnected())
{
readerSignal.waitForSignal(); reader.processMsgs();
}
})
{
IsBackground = true
}.Start();
//! [ereader]
//**************************
//*** Account Info ***
//**************************
clientSocket.reqAccountSummary(9001, "All", AccountSummaryTags.GetAllTags());
Thread.Sleep(1000);
Console.WriteLine("account ID: " + Allture.account_ID);
Console.WriteLine("account Value: " + Allture.account_value);
Console.WriteLine("account_BuyingPower: " + Allture.account_BuyingPower);
Console.WriteLine("account_ExcessLiquidity: " + Allture.account_ExcessLiquidity);
Console.WriteLine("account_AvailableFunds: " + Allture.account_AvailableFunds);
Console.WriteLine("\n");
//******* calculate the adj std, return with spx, vix, vxx at order execuation in xls
// runSPXstrategyCurr(trading_new, csheet, clientSocket);
for (int n = 0; n < openBook.positionCNT; n++)
{
alert1[n] = false;
alert2[n] = false;
alert3[n] = false;
}
clientSocket.reqMarketDataType(1);
Thread.Sleep(sleep1);
while ((DateTime.Now > Convert.ToDateTime("09:30:00 AM")) && (DateTime.Now < Convert.ToDateTime("16:01:00 PM")))
{
do
{
indexPrice = getMktData(clientSocket, Allture, "SPX", "IND", "", "CBOE");
}while (indexPrice == lastPrice);
lastPrice = indexPrice; // to ensure vix, vix1, vix2 not consecutive, since their prices aren't chaning very much each time, can't be consecutive for lastPrice.
do
{
vixPrice = getMktData(clientSocket, Allture, "VIX", "IND", "", "CBOE");
}while (vixPrice == lastPrice);
lastPrice = vixPrice;
do
{
indexPrice = getMktData(clientSocket, Allture, "SPX", "IND", "", "CBOE");
}while (indexPrice == lastPrice);
lastPrice = indexPrice; // to ensure vix, vix1, vix2 not consecutive, since their prices aren't chaning very much each time, can't be consecutive for lastPrice.
do
{
vix1Price = getMktData(clientSocket, Allture, "VIX", "FUT", openBook.vx1Exp, "CFE");
}while (vix1Price == lastPrice);
lastPrice = vix1Price;
do
{
indexPrice = getMktData(clientSocket, Allture, "SPX", "IND", "", "CBOE");
}while (indexPrice == lastPrice);
lastPrice = indexPrice; // to ensure vix, vix1, vix2 not consecutive, since their prices aren't chaning very much each time, can't be consecutive for lastPrice.
do
{
vix2Price = getMktData(clientSocket, Allture, "VIX", "FUT", openBook.vx2Exp, "CFE");
}while (vix2Price == lastPrice);
lastPrice = vix2Price;
Console.WriteLine("\n UX2 price: " + vix2Price + "\n");
if (!alert_vix && (vix1Price < vixPrice))
{
SendMail("*****@*****.**", "Alert vix backwardation ! ", "VIX:" + vixPrice + " UX1:" + vix1Price);
// SendMail("*****@*****.**", "Alert vix backwardation ! ", "VIX:" + vixPrice + " UX1:" + vix1Price);
alert_vix = true;
}
if (!alert_vix1 && (vix2Price < vix1Price))
{
SendMail("*****@*****.**", "Alert UX1 backwardation ! ", "UX1:" + vix1Price + " UX2:" + vix2Price);
// SendMail("*****@*****.**", "Alert UX1 backwardation ! ", "UX1:" + vix1Price + " UX2:" + vix2Price);
alert_vix1 = true;
}
for (int n = 0; n < openBook.positionCNT; n++)
{
if (openBook.size[n] == 0)
{
continue;
}
//**********************************************************
//*** Real time market price - Real Time Index bid/ask/mid**
//**********************************************************
if (openBook.symbol[n] == "SPX")
{
if (openBook.CallPut[n] == "Put")
{
if (openBook.legS[n] < putSPXlegS[0])
{
continue;
}
}
do
{
indexPrice = getMktData(clientSocket, Allture, "SPX", "IND", "", "CBOE");
}while (indexPrice == lastPrice);
lastPrice = indexPrice;
Console.WriteLine("\n spx price: " + indexPrice + "\n");
exitPoint = SPXexitPoint;
}
else if (openBook.symbol[n] == "ES")
{
if (openBook.CallPut[n] == "Put")
{
if (openBook.legS[n] < putESlegS[0])
{
continue;
}
}
do
{
indexPrice = getMktData(clientSocket, Allture, "ES", "FUT", openBook.underlyingExp[n], "GLOBEX");
}while (indexPrice == lastPrice);
lastPrice = indexPrice;
Console.WriteLine("\n es price: " + indexPrice + "\n");
exitPoint = ESexitPoint;
}
else if (openBook.symbol[n] == "CL")
{
if (openBook.CallPut[n] == "Put")
{
if (openBook.legS[n] < putCLlegS[0])
{
continue;
}
}
do
{
indexPrice = getMktData(clientSocket, Allture, "CL", "FUT", openBook.underlyingExp[n], "NYMEX");
}while (indexPrice == lastPrice);
lastPrice = indexPrice;
Console.WriteLine("\n cl price: " + indexPrice + "\n");
exitPoint = CLexitPoint;
}
else if (openBook.symbol[n] == "GC")
{
if (openBook.CallPut[n] == "Put")
{
if (openBook.legS[n] < putGClegS[0])
{
continue;
}
}
do
{
indexPrice = getMktData(clientSocket, Allture, "GC", "FUT", openBook.underlyingExp[n], "NYMEX");
}while (indexPrice == lastPrice);
lastPrice = indexPrice;
Console.WriteLine("\n GC price: " + indexPrice + "\n");
exitPoint = GCexitPoint;
}
else
{
continue;
}
if (openBook.CallPut[n] == "Put")
{
if (!alert1[n] && (indexPrice <= (openBook.legS[n] + exitPoint + Alert1)))
{
// if alert1, sending email;
SendMail("*****@*****.**", "Alert1 !! " + openBook.model[n], openBook.symbol[n] + " " + indexPrice + ", " + openBook.legS[n] + ", " + openBook.expiration[n].Substring(4) + ", " + openBook.size[n] + ", " + openBook.accountID[n]);
// SendMail("*****@*****.**", "Alert1 ! " + openBook.model[n], openBook.symbol[n] + " " + indexPrice + ", " + openBook.legS[n] + ", " + openBook.expiration[n].Substring(4) + ", " + openBook.size[n] + ", " + openBook.accountID[n]);
alert1[n] = true;
}
/* if (!alert2[n] && (indexPrice <= (openBook.legS[n] + exitPoint + Alert2)))
* // {
* // if alert2, sending email;
* // SendMail("*****@*****.**", "Alert2 !! " + openBook.model[n], openBook.symbol[n] + " " + indexPrice + ", " + openBook.legS[n] + ", " + openBook.expiration[n].Substring(4) + ", " + openBook.legS[n] + ", " + openBook.size[n] + ", " + openBook.accountID[n]);
* // SendMail("*****@*****.**", "Alert2 ! " + openBook.model[n], openBook.symbol[n] + " " + indexPrice + ", " + openBook.legS[n] + ", " + openBook.expiration[n].Substring(4) + ", " + openBook.size[n] + ", " + openBook.accountID[n]);
* // alert2[n] = true;
* // }
* if (!alert3[n] && (indexPrice <= (openBook.legS[n] + exitPoint)))
* {
* // if alert3, sending email;
* SendMail("*****@*****.**", "Alert3 !! " + openBook.model[n], openBook.symbol[n] + " " + indexPrice + ", " + openBook.legS[n] + ", " + openBook.expiration[n].Substring(4) + ", " + openBook.size[n] + ", " + openBook.accountID[n]);
* // SendMail("*****@*****.**", "Alert3 ! " + openBook.model[n], openBook.symbol[n] + " " + indexPrice + ", " + ", " + openBook.legS[n] + openBook.expiration[n].Substring(4) + ", " + openBook.size[n] + ", " + openBook.accountID[n]);
* alert3[n] = true;
* }
*/
// very complicated for auto exit and high risk, need more time to think through !!!
// seems if we don't directly get position info from IB, then should not do any auto exits
if (autoExit)
{
if (alert3[n])
{
//*** estimate the current spread's price and contract ID for combo orders
if (openBook.symbol[n] == "SPX")
{
spread_premium = 0;
// spread_premium = 0.05 + getSpreadPremium(clientSocket, Allture, openBook, n, openBook.legS[n], openBook.legB[n], "OPT", "SMART");
legS_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legS[n], "OPT", "SMART");
legB_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legB[n], "OPT", "SMART");
//********* Place order ***************************
clientSocket.reqIds(-1);
Thread.Sleep(sleep1);
clientSocket.placeOrder(Allture.NextOrderId, ContractSamples.Contract_Combo(openBook.symbol[n], "BAG", openBook.expiration[n], openBook.CallPut[n], legB_ID, legS_ID, "100", "SMART"), OrderSamples.ComboLimitOrder("SELL", openBook.size[n], -spread_premium, false));
Thread.Sleep(sleep2);
openBook.size[n] = 0;
if (openBook.legS[n] == putSPXlegS[0])
{
putSPXlegS.RemoveAt(0);
}
// else if (openBook.legS[n] == putSPXlegS[1]) putSPXlegS.RemoveAt(1);
// else if (openBook.legS[n] == putSPXlegS[2]) putSPXlegS.RemoveAt(2);
}
else if (openBook.symbol[n] == "ES")
{
spread_premium = 0;
// spread_premium = 0.05 + getSpreadPremium(clientSocket, Allture, openBook, n, openBook.legS[n], openBook.legB[n], "FOP", "GLOBEX");
legS_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legS[n], "FOP", "GLOBEX");
legB_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legB[n], "FOP", "GLOBEX");
//********* Place order ************************
clientSocket.reqIds(-1);
Thread.Sleep(sleep1);
clientSocket.placeOrder(Allture.NextOrderId, ContractSamples.Contract_Combo(openBook.symbol[n], "BAG", openBook.expiration[n], openBook.CallPut[n], legB_ID, legS_ID, "50", "GLOBEX"), OrderSamples.ComboLimitOrder("SELL", openBook.size[n], -spread_premium, false));
Thread.Sleep(sleep2);
openBook.size[n] = 0;
if (openBook.legS[n] == putESlegS[0])
{
putESlegS.RemoveAt(0);
}
// else if (openBook.legS[n] == putESlegS[1]) putESlegS.RemoveAt(1);
// else if (openBook.legS[n] == putESlegS[2]) putESlegS.RemoveAt(2);
}
else if (openBook.symbol[n] == "CL")
{
spread_premium = 0;
// spread_premium = getSpreadPremium(clientSocket, Allture, openBook, n, openBook.legS[n], openBook.legB[n], "FOP", "NYMEX");
legS_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legS[n], "FOP", "NYMEX");
legB_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legB[n], "FOP", "NYMEX");
//********* Place order ************************
clientSocket.reqIds(-1);
Thread.Sleep(sleep1);
clientSocket.placeOrder(Allture.NextOrderId, ContractSamples.Contract_Combo(openBook.symbol[n], "BAG", openBook.expiration[n], openBook.CallPut[n], legB_ID, legS_ID, "1000", "NYMEX"), OrderSamples.ComboLimitOrder("SELL", openBook.size[n], -spread_premium, false));
Thread.Sleep(sleep2);
openBook.size[n] = 0;
if (openBook.legS[n] == putESlegS[0])
{
putCLlegS.RemoveAt(0);
}
// else if (openBook.legS[n] == putESlegS[1]) putESlegS.RemoveAt(1);
// else if (openBook.legS[n] == putESlegS[2]) putESlegS.RemoveAt(2);
}
else if (openBook.symbol[n] == "GC")
{
spread_premium = 0;
// spread_premium = getSpreadPremium(clientSocket, Allture, openBook, n, openBook.legS[n], openBook.legB[n], "FOP", "NYMEX");
legS_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legS[n], "FOP", "NYMEX");
legB_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legB[n], "FOP", "NYMEX");
//********* Place order ************************
clientSocket.reqIds(-1);
Thread.Sleep(sleep1);
clientSocket.placeOrder(Allture.NextOrderId, ContractSamples.Contract_Combo(openBook.symbol[n], "BAG", openBook.expiration[n], openBook.CallPut[n], legB_ID, legS_ID, "100", "NYMEX"), OrderSamples.ComboLimitOrder("SELL", openBook.size[n], -spread_premium, false));
Thread.Sleep(sleep2);
openBook.size[n] = 0;
if (openBook.legS[n] == putESlegS[0])
{
putGClegS.RemoveAt(0);
}
// else if (openBook.legS[n] == putESlegS[1]) putESlegS.RemoveAt(1);
// else if (openBook.legS[n] == putESlegS[2]) putESlegS.RemoveAt(2);
}
else
{
continue;
}
// very complicated, need more time to think through !!! one thought - just simply place order, don't cancel it, until it filled
// seems if we don't directly get position info from IB, then should not do any auto exits
}
}
}
else if (openBook.CallPut[n] == "Call")
{
if (!alert3[n] && (indexPrice >= (openBook.legS[n] - exitPoint)))
{
// if alert3, sending email;
SendMail("*****@*****.**", "call Alert3 !! " + openBook.model[n], openBook.symbol[n] + " " + indexPrice + ", " + openBook.legS[n] + ", " + openBook.expiration[n].Substring(4) + ", " + openBook.size[n] + ", " + openBook.accountID[n]);
SendMail("*****@*****.**", "call Alert3 ! " + openBook.model[n], openBook.symbol[n] + " " + indexPrice + ", " + ", " + openBook.legS[n] + openBook.expiration[n].Substring(4) + ", " + openBook.size[n] + ", " + openBook.accountID[n]);
alert3[n] = true;
}
// very complicated for auto exit and high risk, need more time to think through !!!
// seems if we don't directly get position info from IB, then should not do any auto exits
// must have the auto exit. otherwise, you can't handle that many position mannually. and sychological/emotion is another issue.
if (autoExit)
{
if (alert3[n])
{
//*** estimate the current spread's price and contract ID for combo orders
if (openBook.symbol[n] == "SPX")
{
// spread_premium = 0;
spread_premium = 0.05 + getSpreadPremium(clientSocket, Allture, openBook, n, openBook.legS[n], openBook.legB[n], "OPT", "SMART");
legS_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legS[n], "OPT", "SMART");
legB_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legB[n], "OPT", "SMART");
//********* Place order ***************************
clientSocket.reqIds(-1);
Thread.Sleep(sleep1);
clientSocket.placeOrder(Allture.NextOrderId, ContractSamples.Contract_Combo(openBook.symbol[n], "BAG", openBook.expiration[n], openBook.CallPut[n], legB_ID, legS_ID, "100", "SMART"), OrderSamples.ComboLimitOrder("SELL", openBook.size[n], -spread_premium, false));
Thread.Sleep(sleep2);
openBook.size[n] = 0;
if (openBook.legS[n] == callSPXlegS[0])
{
callSPXlegS.RemoveAt(0);
}
// else if (openBook.legS[n] == callSPXlegS[1]) callSPXlegS.RemoveAt(1);
// else if (openBook.legS[n] == callSPXlegS[2]) callSPXlegS.RemoveAt(2);
}
else if (openBook.symbol[n] == "ES")
{
// spread_premium = 0;
spread_premium = 0.05 + getSpreadPremium(clientSocket, Allture, openBook, n, openBook.legS[n], openBook.legB[n], "FOP", "GLOBEX");
legS_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legS[n], "FOP", "GLOBEX");
legB_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legB[n], "FOP", "GLOBEX");
//********* Place order ************************
clientSocket.reqIds(-1);
Thread.Sleep(sleep1);
clientSocket.placeOrder(Allture.NextOrderId, ContractSamples.Contract_Combo(openBook.symbol[n], "BAG", openBook.expiration[n], openBook.CallPut[n], legB_ID, legS_ID, "50", "GLOBEX"), OrderSamples.ComboLimitOrder("SELL", openBook.size[n], -spread_premium, false));
Thread.Sleep(sleep2);
openBook.size[n] = 0;
if (openBook.legS[n] == callESlegS[0])
{
callESlegS.RemoveAt(0);
}
// else if (openBook.legS[n] == callESlegS[1]) callESlegS.RemoveAt(1);
// else if (openBook.legS[n] == callESlegS[2]) callESlegS.RemoveAt(2);
else if (openBook.symbol[n] == "CL")
{
spread_premium = 0;
// spread_premium = getSpreadPremium(clientSocket, Allture, openBook, n, openBook.legS[n], openBook.legB[n], "FOP", "NYMEX");
legS_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legS[n], "FOP", "NYMEX");
legB_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legB[n], "FOP", "NYMEX");
//********* Place order ************************
clientSocket.reqIds(-1);
Thread.Sleep(sleep1);
clientSocket.placeOrder(Allture.NextOrderId, ContractSamples.Contract_Combo(openBook.symbol[n], "BAG", openBook.expiration[n], openBook.CallPut[n], legB_ID, legS_ID, "1000", "NYMEX"), OrderSamples.ComboLimitOrder("SELL", openBook.size[n], -spread_premium, false));
Thread.Sleep(sleep2);
openBook.size[n] = 0;
if (openBook.legS[n] == callCLlegS[0])
{
callCLlegS.RemoveAt(0);
}
// else if (openBook.legS[n] == callCLlegS[1]) callCLlegS.RemoveAt(1);
// else if (openBook.legS[n] == callCLlegS[2]) callCLlegS.RemoveAt(2);
}
else if (openBook.symbol[n] == "GC")
{
spread_premium = 0;
// spread_premium = getSpreadPremium(clientSocket, Allture, openBook, n, openBook.legS[n], openBook.legB[n], "FOP", "NYMEX");
legS_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legS[n], "FOP", "NYMEX");
legB_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legB[n], "FOP", "NYMEX");
//********* Place order ************************
clientSocket.reqIds(-1);
Thread.Sleep(sleep1);
clientSocket.placeOrder(Allture.NextOrderId, ContractSamples.Contract_Combo(openBook.symbol[n], "BAG", openBook.expiration[n], openBook.CallPut[n], legB_ID, legS_ID, "100", "NYMEX"), OrderSamples.ComboLimitOrder("SELL", openBook.size[n], -spread_premium, false));
Thread.Sleep(sleep2);
openBook.size[n] = 0;
if (openBook.legS[n] == callCLlegS[0])
{
callGClegS.RemoveAt(0);
}
// else if (openBook.legS[n] == callCLlegS[1]) callCLlegS.RemoveAt(1);
// else if (openBook.legS[n] == callCLlegS[2]) callCLlegS.RemoveAt(2);
}
// very complicated, need more time to think through !!! one thought - just simply place order, don't cancel it, until it filled
// seems if we don't directly get position info from IB, then should not do any auto exits
}
}
}
}
}
}
Console.WriteLine("\n start finish, time: " + DateTime.Now + " \n");
return(0);
}