public override TradingOperationResult ModifyOrder(ModifyOrderRequestParameters parameters)
{
var result = new TradingOperationResult();
string orderId = parameters.OrderId;
decimal quantity = (decimal)parameters.Quantity;
decimal price = -1;
if (parameters.OrderTypeId == OrderType.Limit || parameters.OrderTypeId == OrderType.StopLimit)
{
price = (decimal)parameters.Price;
}
else
{
price = (decimal)parameters.TriggerPrice;
}
var response = this.CheckHitResponse(this.socketApi.ReplaceOrderAsync(orderId, quantity, price, cancellationToken: parameters.CancellationToken).Result, out var error, true);
if (response != null)
{
result.Status = TradingOperationResultStatus.Success;
result.OrderId = response.ClientOrderId;
}
else
{
result.Status = TradingOperationResultStatus.Failure;
result.Message = error?.ToString() ?? "Unknown error";
}
return(result);
}
private void QuoteHandler(Symbol instrument, Quote quote)
{
if (Core.Instance.Positions.Length != 0)
{
//Закрытие позиций
if (this.indicatorFastMA.GetValue(1) < this.indicatorSlowMA.GetValue(1) || this.indicatorFastMA.GetValue(1) > this.indicatorSlowMA.GetValue(1))
{
TradingOperationResult result = Core.Instance.ClosePosition(new ClosePositionRequestParameters()
{
Position = Core.Instance.Positions[0],
CloseQuantity = Core.Instance.Positions[0].Quantity
});
if (result.Status == TradingOperationResultStatus.Success)
{
Log($"{result.Status}. Position was closed.", StrategyLoggingLevel.Trading);
}
}
}
if (Core.Instance.Positions.Length == 0)
{
//Открытие новых позиций
if (this.indicatorFastMA.GetValue(1) > this.indicatorSlowMA.GetValue(1))
{
TradingOperationResult result = Core.Instance.PlaceOrder(new PlaceOrderRequestParameters()
{
OrderTypeId = OrderType.Market,
Quantity = quantity,
Side = Side.Buy,
Account = this.account,
Symbol = this.symbol
});
if (result.Status == TradingOperationResultStatus.Success)
{
Log($"{result.Status}. Long position was placed.", StrategyLoggingLevel.Trading);
}
longPositionsCount++;
}
else if (this.indicatorFastMA.GetValue(1) < this.indicatorSlowMA.GetValue(1))
{
TradingOperationResult result = Core.Instance.PlaceOrder(new PlaceOrderRequestParameters()
{
OrderTypeId = OrderType.Market,
Quantity = quantity,
Side = Side.Sell,
Account = this.account,
Symbol = this.symbol
});
if (result.Status == TradingOperationResultStatus.Success)
{
Log($"{result.Status}. Short position was placed.", StrategyLoggingLevel.Trading);
}
shortPositionsCount++;
}
}
}
public override TradingOperationResult PlaceOrder(PlaceOrderRequestParameters parameters)
{
var result = new TradingOperationResult();
string symbol = parameters.Symbol.Id;
HitSide side = parameters.Side == Side.Buy ? HitSide.Buy : HitSide.Sell;
decimal quantity = (decimal)parameters.Quantity;
decimal price = -1;
decimal stopPrice = -1;
if (parameters.OrderTypeId == OrderType.Limit || parameters.OrderTypeId == OrderType.StopLimit)
{
price = (decimal)parameters.Price;
}
if (parameters.OrderTypeId == OrderType.Stop || parameters.OrderTypeId == OrderType.StopLimit)
{
stopPrice = (decimal)parameters.TriggerPrice;
}
HitTimeInForce timeInForce = this.ConvertTimeInForce(parameters.TimeInForce);
DateTime expireTime = default;
if (timeInForce == HitTimeInForce.GTD)
{
expireTime = parameters.ExpirationTime;
}
var response = this.CheckHitResponse(this.socketApi.PlaceNewOrderAsync(symbol, side, quantity, price, stopPrice, timeInForce, expireTime, cancellationToken: parameters.CancellationToken).Result, out var error, true);
if (response != null)
{
result.Status = TradingOperationResultStatus.Success;
result.OrderId = response.ClientOrderId;
}
else
{
result.Status = TradingOperationResultStatus.Failure;
result.Message = error?.ToString() ?? "Unknown error";
}
return(result);
}
public override TradingOperationResult CancelOrder(CancelOrderRequestParameters parameters)
{
var result = new TradingOperationResult();
var response = this.CheckHitResponse(this.socketApi.CancelOrderAsync(parameters.Order.Id, parameters.CancellationToken).Result, out var error, true);
if (response != null)
{
result.Status = TradingOperationResultStatus.Success;
result.OrderId = response.ClientOrderId;
}
else
{
result.Status = TradingOperationResultStatus.Failure;
result.Message = error?.ToString() ?? "Unknown error";
}
return(result);
}
private void StrategyProcess(MessageQuote message)
{
if (historicalData.Count <= maxPeriod)
{
return;
}
// Calculation of trend
Trend trend = (Trend)threeMaIndicator.GetValue();
switch (trend)
{
case Trend.Up:
// Up trend detected. If we were in short position, first closing it
if (tradingState == TradingState.EnteredSell)
{
// If request for closing has been sent, setting the current state -
// we have already exit the market
Position position = Core.Instance.GetPositionById(currentOrderResult.OrderId, symbol.ConnectionId);
if (position == null)
{
return;
}
var result = position.Close();
if (result.Status == TradingOperationResultStatus.Success)
{
tradingState = TradingState.ExitMarket;
Log($"{currentOrderResult.Status}. Position was closed.", StrategyLoggingLevel.Trading);
}
// exitting the program to give some time to
// the system for processing the order. Entrance will
// be performed on the next quote
return;
}
// If we haven't aleady entered the market, do it
if (tradingState != TradingState.EnteredBuy)
{
var orderPrice = symbol.Bid;
if (message is Last last)
{
orderPrice = last.Price;
}
if (message is Quote quote)
{
orderPrice = quote.Ask;
}
// Sending request for opening long position, and
// setting the state - "Entered long position"
currentOrderResult = Core.PlaceOrder(new PlaceOrderRequestParameters
{
Account = account,
Symbol = this.symbol,
Price = orderPrice,
OrderTypeId = OrderType.Market,
Quantity = quantity,
Side = Side.Buy,
});
longOrdersCount++;
tradingState = TradingState.EnteredBuy;
if (currentOrderResult.Status == TradingOperationResultStatus.Success)
{
Log($"{currentOrderResult.Status}. Long position was placed.", StrategyLoggingLevel.Trading);
}
else
{
Log($"{currentOrderResult.Status}. {currentOrderResult.Message}", StrategyLoggingLevel.Trading);
}
}
break;
case Trend.Down:
//Down trend detected. If we were in long position, firstly closing it
if (tradingState == TradingState.EnteredBuy)
{
// If request for closing has been sent, setting the current state -
// we have already exit the market
Position position = Core.Instance.GetPositionById(currentOrderResult.OrderId, symbol.ConnectionId);
if (position == null)
{
return;
}
var result = position.Close();
if (result.Status == TradingOperationResultStatus.Success)
{
tradingState = TradingState.ExitMarket;
Log($"{currentOrderResult.Status}. Position was closed.", StrategyLoggingLevel.Trading);
}
// exitting the program to give some time to
// the system for processing the order. Entrance will
// be performed on the next quote
return;
}
// If we haven't aleady entered the market, do it
if (tradingState != TradingState.EnteredSell)
{
var orderPrice = symbol.Bid;
if (message is Last last)
{
orderPrice = last.Price;
}
if (message is Quote quote)
{
orderPrice = quote.Bid;
}
// Sending request for opening long position, and
// if request is sent, then setting the state - "Entered short position"
currentOrderResult = Core.PlaceOrder(new PlaceOrderRequestParameters
{
Account = account,
Symbol = this.symbol,
Price = orderPrice,
OrderTypeId = OrderType.Market,
Quantity = quantity,
Side = Side.Sell,
});
shortOrdersCount++;
tradingState = TradingState.EnteredSell;
if (currentOrderResult.Status == TradingOperationResultStatus.Success)
{
Log($"{currentOrderResult.Status}. Short position was placed.", StrategyLoggingLevel.Trading);
}
else
{
Log($"{currentOrderResult.Status}. {currentOrderResult.Message}", StrategyLoggingLevel.Trading);
}
}
break;
}
}
private void CreateLimitOrder(Side side)
{
if (_operationResult != null)
{
if (Core.GetPositionById(_operationResult.OrderId, symbol.ConnectionId) != null)
{
return;
}
var order = Core.Orders.FirstOrDefault(o => o.ConnectionId == symbol.ConnectionId && o.Id == _operationResult.OrderId);
if (order != null)
{
if (order.Side == Side.Buy)
{
longOrdersCount--;
}
else
{
shortOrdersCount--;
}
order.Cancel();
Log("Order was canceled.", StrategyLoggingLevel.Trading);
}
}
var sign = (side == Side.Buy) ? -1 : 1;
var orderPrice = (side == Side.Buy)
? symbol.CalculatePrice(symbol.Ask, stopOffset * sign)
: symbol.CalculatePrice(symbol.Bid, stopOffset * sign);
var slPrice = orderPrice + sign * SL * symbol.TickSize;
var tpPrice = orderPrice - sign * TP * symbol.TickSize;
_operationResult = Core.PlaceOrder(new PlaceOrderRequestParameters()
{
Account = account,
Symbol = symbol,
Side = side,
OrderTypeId = OrderType.Limit,
Price = orderPrice,
StopLoss = SlTpHolder.CreateSL(slPrice),
TakeProfit = SlTpHolder.CreateTP(tpPrice),
Quantity = Amount
});
var formatedSide = string.Empty;
if (side == Side.Buy)
{
formatedSide = "Long";
longOrdersCount++;
}
else
{
formatedSide = "Short";
shortOrdersCount++;
}
if (_operationResult.Status == TradingOperationResultStatus.Success)
{
Log($"{_operationResult.Status}. {formatedSide} order was placed.", StrategyLoggingLevel.Trading);
}
}
