public override void Update(TimeSlice slice)
{
decimal StillInvestedGetter(Operation o)
{
if (o.Symbol.Asset == Amount.Asset)
{
return(o.AmountRemaining);
}
else if (o.Symbol.QuoteAsset == Amount.Asset)
{
return(o.QuoteAmountRemaining);
}
else
{
throw new NotSupportedException("Only supported operations where asset or quoteAsset coincide with budget asset");
}
}
//check the free budget - the used budget is the sum of all money still invested in operations
var totalInvested = Algo.ActiveOperations.Sum(StillInvestedGetter);
var freeBudged = MaxInvested - totalInvested;
if (freeBudged <= 0)
{
Algo.StopEntries();
PendingSignals.AddRange(slice.NewSignals);
}
else
{
Algo.ResumeEntries();
//for each signal allocate a fixed amount
foreach (Signal signal in slice.NewSignals)
{
var newAmount = Amount.Amount;
if (ProportionalToProfit)
{
var profit = Math.Abs(signal.PriceTarget - signal.PriceEntry) / signal.PriceEntry;
newAmount = newAmount * TargetProfit / profit;
}
var symData = Algo.SymbolsData[signal.Symbol.Key];
if (symData.AllocatorData == null)
{
symData.AllocatorData = new MySymbolData();
}
DateTime lastInvestment = (symData.AllocatorData as MySymbolData).LastInvestmentTime;
if (Algo.Time >= lastInvestment + CoolDown && symData.ActiveOperations.Count < this.MaxActiveOperationsPerSymbol)
{
//if cooldown has elapsed we can open a new operation
var freeSymbolBudget = MaxInvestedPerSymbol - Algo.Executor.GetInvestedOrLockedAmount(signal.Symbol, Amount.Asset);
var budget = new[] { freeSymbolBudget, freeBudged, newAmount }.Min();
if (budget >= 0.2m * newAmount)
{
//create operations
var operType = signal.Kind == SignalKind.Buy ? OperationType.BuyThenSell : OperationType.SellThenBuy;
var newOper = new Operation(Algo.GetNewOperationId(), signal, new AssetAmount(Amount.Asset, budget), operType);
newOper.OnNewTrade += (o, t) => { (symData.AllocatorData as MySymbolData).LastInvestmentTime = t.Time; };
slice.Add(newOper);
}
else
{
PendingSignals.Add(signal);
}
}
}
//todo it is possible that for a given symbol some budget get freed , in this case we should allocate this margin to existent operations
}
}
private void Feed_OnData(ISymbolFeed symFeed, IBaseData dataRecord)
{
//todo bisogna accertartci che i dati che riceviamo sono del giusto timeframe!
lock (WorkingSliceLock)
WorkingSlice.Add(symFeed.Symbol, dataRecord);
}