public decimal CommissionCharged(LiveOrder order)
{
try
{
var perShare = .005m;
if (ApiTrading)
{
perShare = .0075m;
}
var ret = perShare * Math.Abs(order.OrderSize);
// Minimum of $1.00 per trade
ret = Math.Max(ret, 1.00m);
// Maximum of .5% of trade value
ret = Math.Min(ret, Math.Abs(.005m * order.TotalMoney));
return(-ret);
}
catch (Exception ex)
{
Console.WriteLine($"EXCEPTION:{GetCurrentMethod()} {ex.Message}");
return(0);
}
}
public (LiveTrade trade, LiveTrade stopTrade)? ApproveOrder(LiveOrder order, LiveOrder stopOrder)
{
var account = LiveTradingManager.Instance.ActiveAccount;
if (LiveRiskManager.Instance.ApproveOrder(order, stopOrder, account))
{
var approvedTrade = OrderToTrade(order);
approvedTrade.ApprovalCode = ApprovalCode(this.Offset++);
PendingApprovalCodes.Add(approvedTrade.ApprovalCode);
if (stopOrder != null)
{
var approvedStop = OrderToTrade(stopOrder);
approvedStop.ApprovalCode = ApprovalCode(this.Offset++);
PendingApprovalCodes.Add(approvedStop.ApprovalCode);
return(approvedTrade, approvedStop);
}
return(approvedTrade, null);
}
else
{
return(null);
}
}
private LiveTrade OrderToTrade(LiveOrder order)
{
var ret = new LiveTrade(
order.Security,
order.OrderDirection,
order.OrderType,
order.OrderSize,
order.LimitPrice);
return(ret);
}
public bool ApproveOrder(LiveOrder order, LiveOrder stopOrder, LiveAccount account)
{
List <TradeApprovalMessage> ruleResults = new List <TradeApprovalMessage>();
foreach (var rule in TradeApprovalRulePipeline)
{
ruleResults.Add(rule.Run(order, account));
}
if (!ruleResults.TrueForAll(x =>
x.Result == LiveTradeApprovalMessageType.Passed ||
x.Result == LiveTradeApprovalMessageType.Warning))
{
// Write fails to log
ruleResults.Where(x => x.Result == LiveTradeApprovalMessageType.Failed)
.ToList()
.ForEach(x => Log(new LogMessage("Risk Mgr", $"{order} {x}", LogMessageType.TradingError)));
return(false);
}
foreach (var result in ruleResults.Where(x => x.Result == LiveTradeApprovalMessageType.Warning))
{
Log(new LogMessage("Risk Mgr", $"{order} {result}", LogMessageType.TradeWarning));
}
Log(new LogMessage("Risk Mgr", $"{order} APPROVED", LogMessageType.TradingNotification));
// Check stop order params
// ...
if (stopOrder != null)
{
// return false if invalid
}
return(true);
}
protected override TradeApprovalMessage Rule(LiveOrder order, LiveAccount account)
{
if (order.OrderSize <= 0)
{
return(new TradeApprovalMessage(0, Name, LiveTradeApprovalMessageType.Failed, "Order Size Invalid"));
}
if (order.LimitPrice <= 0)
{
return(new TradeApprovalMessage(0, Name, LiveTradeApprovalMessageType.Failed, "Order Price Invalid"));
}
if (order.OrderDirection == TradeActionBuySell.None)
{
return(new TradeApprovalMessage(0, Name, LiveTradeApprovalMessageType.Failed, "Order Direction Not Set"));
}
if (order.Security == null)
{
return(new TradeApprovalMessage(0, Name, LiveTradeApprovalMessageType.Failed, "Security Not Specified"));
}
return(new TradeApprovalMessage(0, Name, LiveTradeApprovalMessageType.Passed));
}
protected abstract TradeApprovalMessage Rule(LiveOrder order, LiveAccount account);
/// <summary>
/// Executes rule on trade and returns a true/false pass
/// </summary>
/// <param name="trade"></param>
/// <param name="portfolio"></param>
/// <param name="AsOf"></param>
/// <returns></returns>
public TradeApprovalMessage Run(LiveOrder order, LiveAccount account)
{
return(Rule(order, account));
}
public LiveOrderEventArgs(LiveOrder order)
{
Order = order ?? throw new ArgumentNullException(nameof(order));
}
