public static void SetDailyLossLimit(Account account, double maxDailyLoss)
{
var risksApi = new RisksApi();
var autoLiqRules = risksApi.GetOwnedUserAccountAutoLiqs(account.Id);
var dailyLossRule = autoLiqRules.FirstOrDefault();
if (dailyLossRule == null)
{
Console.WriteLine("Daily Loss Auto-Liq rule is not found. Create a new one");
// id should be the same as account's id
dailyLossRule = new UserAccountAutoLiq(Id: account.Id, DailyLossAutoLiq: maxDailyLoss);
risksApi.CreateUserAccountAutoLiq(dailyLossRule);
}
else if (dailyLossRule.DailyLossAutoLiq != maxDailyLoss)
{
Console.WriteLine("Daily Loss Auto-Liq rule exists, but Daily Loss Auto-Liq doesn't match new requirements. Updating old one");
// id should be the same as account's id
dailyLossRule.DailyLossAutoLiq = maxDailyLoss;
risksApi.UpdateUserAccountAutoLiq(dailyLossRule);
}
else
{
Console.WriteLine("Daily Loss Auto-Liq rule exists and Daily Loss Auto-Liq matches the new value");
}
}
public static async void PrepopulateCache()
{
// Cache pre-populating can save some latency at trading time, but not recommended for short-term connections
Log.Write("PRE-POPULATING CONTRACT LIBRARY");
var contractLibraryApi = new ContractLibraryApi();
await contractLibraryApi.GetAllContractGroupsAsync();
await contractLibraryApi.GetAllExchangesAsync();
await contractLibraryApi.GetAllCurrenciesAsync();
await contractLibraryApi.GetAllCurrencyRatesAsync();
var riskApi = new RisksApi();
await riskApi.GetAllProductMarginsAsync();
var products = await contractLibraryApi.GetAllProductsAsync();
// Highly not recommended for short-term connections
foreach (var product in products)
{
await contractLibraryApi.GetOwnedContractMaturitiesAsync(product.Id)
.ContinueWith(contractMaturities => {
return(contractLibraryApi.GetOwnedContractsBatchAsync(contractMaturities.Result.Select(contractMaturity => contractMaturity.Id).ToList()));
});
}
}
public static void SetMaxOverallPositionLimit(Account account, int maxExposedPos)
{
var name = "Max Exposed Position";
var risksApi = new RisksApi();
// Find or create a position risk limit entity - an entity that describes a threshold level
var positionLimits = risksApi.GetOwnedUserAccountPositionLimits(account.Id);
var exposureRiskLimit =
positionLimits.FirstOrDefault(x => x.Description == name && x.TotalBy == UserAccountPositionLimit.TotalByEnum.Overall);
if (exposureRiskLimit == null)
{
Console.WriteLine($"'{name}' risk limit is not found. Creating a new one.");
var request = new UserAccountPositionLimit(
AccountId: account.Id,
Active: true,
TotalBy: UserAccountPositionLimit.TotalByEnum.Overall,
Description: name,
ExposedLimit: maxExposedPos);
exposureRiskLimit = risksApi.CreateUserAccountPositionLimit(request);
}
else if (exposureRiskLimit.ExposedLimit != maxExposedPos || exposureRiskLimit.Active != true)
{
Console.WriteLine($"'{name}' risk limit is found, but doesn't match new requirements. Updating old one.");
exposureRiskLimit.ExposedLimit = maxExposedPos;
exposureRiskLimit.Active = true;
exposureRiskLimit = risksApi.UpdateUserAccountPositionLimit(exposureRiskLimit);
}
else
{
Console.WriteLine($"'{name}' risk limit is found and it matches new requirements.");
}
// Now find or create "hard limit" risk limit parameter - an entity that specifies
// what to do when the thresold reached.
// "hard limit" tells to reject orders over the threshold.
var riskLimitParams = risksApi.GetOwnedUserAccountRiskParameters(exposureRiskLimit.Id);
var hardLimitParam = riskLimitParams.FirstOrDefault(x => x.HardLimit == true);
if (hardLimitParam == null)
{
Console.WriteLine($"Hard-Limit parameter is not found. Creating a new one");
hardLimitParam = new UserAccountRiskParameter(
UserAccountPositionLimitId: exposureRiskLimit.Id,
HardLimit: true);
risksApi.CreateUserAccountRiskParameter(hardLimitParam);
}
else
{
Console.WriteLine($"Hard-Limit parameter exists already");
}
}
public static void ContractSpec(string symbol)
{
var contractLibraryApi = new ContractLibraryApi();
Contract contract = contractLibraryApi.FindContract(symbol);
Log.Write(contract);
ContractMaturity contractMaturity = contractLibraryApi.GetContractMaturity(contract.ContractMaturityId);
Log.Write(contractMaturity);
Product product = contractLibraryApi.GetProduct(contractMaturity.ProductId);
Log.Write(product);
Exchange exchange = contractLibraryApi.GetExchange(product.ExchangeId);
Log.Write(exchange);
ContractGroup contractGroup = contractLibraryApi.GetContractGroup(product.ContractGroupId);
Log.Write(contractGroup);
Currency currency = contractLibraryApi.GetCurrency(product.CurrencyId);
Log.Write(currency);
CurrencyRate currencyRate = contractLibraryApi.GetCurrencyRate(product.CurrencyId);
Log.Write(currencyRate);
ProductSession productSession = contractLibraryApi.GetProductSession(product.Id);
Log.Write(productSession);
ProductFeeParamsResponse productFees = contractLibraryApi.GetProductFeeParams(new GetProductFeeParams(new List <int?> {
product.Id
}));
foreach (var fee in productFees._Params)
{
Log.Write(fee);
}
var riskApi = new RisksApi();
ProductMargin productMargin = riskApi.GetProductMargin(product.Id);
Log.Write(productMargin);
try
{
ContractMargin contractMargin = riskApi.GetContractMargin(contract.Id);
Log.Write(contractMargin);
}
catch
{
Log.Write("Per-contract margin is not specified");
}
}
public static void ShowRiskLimits(Account account)
{
var risksApi = new RisksApi();
var positionLimits = risksApi.GetOwnedUserAccountPositionLimits(account.Id);
foreach (var positionLimit in positionLimits)
{
Console.WriteLine(positionLimit);
var riskParameters = risksApi.GetOwnedUserAccountRiskParameters(positionLimit.Id);
foreach (var riskParameter in riskParameters)
{
Console.WriteLine(riskParameter);
}
}
if (positionLimits.Count == 0)
{
Console.WriteLine("This account doesn't have user-defined risk limits");
}
}
public void Init()
{
instance = new RisksApi();
}
