public override async Task Perform(IAgg agg, IAccount account, IPosition position, ITrader trader)
{
if (_closed)
{
return;
}
if (agg.Time.AddMinutes(15) > _closingTime)
{
// market is closing, liquidate our positions and reset data
Console.WriteLine("Market closing soon, closing positions...");
if (_lastOrder != null)
{
await _lastOrder.DeleteAsync();
}
if (position.Quantity > 0)
{
await trader.SubmitOrderAsync(position.Quantity, null, OrderSide.Sell);
}
else
{
await trader.SubmitOrderAsync(-1 *position.Quantity, null, OrderSide.Buy);
}
_closingPrices.Clear();
_closed = true;
return;
}
_closingPrices.Add(agg.Close);
if (_closingPrices.Count <= 20)
{
Console.WriteLine($"Waiting for more data ({_closingPrices.Count} of 20)");
return;
}
_closingPrices.RemoveAt(0);
decimal avg = _closingPrices.Average();
decimal diff = avg - agg.Close;
// cancel the last order to ensure we don't have long and short orders
// open at the same time (if the order already fulfilled, delete does nothing)
if (_lastOrder != null)
{
await _lastOrder.DeleteAsync();
}
// Make sure we know how much we should spend on our position.
var buyingPower = account.BuyingPower;
var equity = account.Equity;
long multiplier = account.Multiplier;
// Check how much we currently have in this position.
int positionQuantity = position?.Quantity ?? 0;
decimal positionValue = position?.MarketValue ?? 0;
if (diff <= 0)
{
Console.WriteLine($"Price is above average; we want to short. (diff == {diff:C2})");
if (positionQuantity > 0)
{
// There is an existing long position we need to dispose of first
Console.WriteLine($"Removing {positionValue:C2} long position.");
_lastOrder = await trader.SubmitOrderAsync(positionQuantity, agg.Close, OrderSide.Sell);
}
else
{
// Allocate a percent of portfolio to short position
decimal portfolioShare = -1 * diff / agg.Close * Scale;
decimal targetPositionValue = -1 * equity * multiplier * portfolioShare;
decimal amountToShort = targetPositionValue - positionValue;
Console.WriteLine($"Target position: {targetPositionValue:C2}");
if (amountToShort < 0)
{
// We want to expand our existing short position.
amountToShort *= -1;
if (amountToShort > buyingPower)
{
amountToShort = buyingPower;
}
int qty = (int)(amountToShort / agg.Close);
Console.WriteLine($"Adding {qty * agg.Close:C2} to short position.");
_lastOrder = await trader.SubmitOrderAsync(qty, agg.Close, OrderSide.Sell);
}
else
{
// We want to shrink our existing short position.
int qty = (int)(amountToShort / agg.Close);
if (qty > -1 * positionQuantity)
{
qty = -1 * positionQuantity;
}
Console.WriteLine($"Removing {qty * agg.Close:C2} from short position");
_lastOrder = await trader.SubmitOrderAsync(qty, agg.Close, OrderSide.Buy);
}
}
}
else
{
Console.WriteLine($"Price is below average; we want to go long. (diff == {diff:C2})");
// Allocate a percent of our portfolio to long position.
decimal portfolioShare = diff / agg.Close * Scale;
decimal targetPositionValue = equity * multiplier * portfolioShare;
decimal amountToLong = targetPositionValue - positionValue;
Console.WriteLine($"Target position: {targetPositionValue:C2}");
if (positionQuantity < 0)
{
// There is an existing short position we need to dispose of first
Console.WriteLine($"Removing {positionValue:C2} short position.");
_lastOrder = await trader.SubmitOrderAsync(positionQuantity * -1, agg.Close, OrderSide.Buy);
}
else if (amountToLong > 0)
{
// We want to expand our existing long position.
if (amountToLong > buyingPower)
{
amountToLong = buyingPower;
}
int qty = (int)(amountToLong / agg.Close);
_lastOrder = await trader.SubmitOrderAsync(qty, agg.Close, OrderSide.Buy);
Console.WriteLine($"Adding {qty * agg.Close:C2} to long position.");
}
else
{
// We want to shrink our existing long position.
amountToLong *= -1;
int qty = (int)(amountToLong / agg.Close);
if (qty > positionQuantity)
{
qty = positionQuantity;
}
_lastOrder = await trader.SubmitOrderAsync(qty, agg.Close, OrderSide.Sell);
Console.WriteLine($"Removing {qty * agg.Close:C2} from long position");
}
}
}