protected void Setup()
{
lp = new PositionImpl(stock, entry, lsize);
sp = new PositionImpl(stock, entry, ssize);
//closing trades
lc = new TradeImpl(stock, last, lsize / -2);
sc = new TradeImpl(stock, last, -ssize);
}
public static Position Deserialize(string msg)
{
string[] r = msg.Split(',');
string sym = r[(int)PositionField.symbol];
decimal price = Convert.ToDecimal(r[(int)PositionField.price]);
decimal cpl = Convert.ToDecimal(r[(int)PositionField.closedpl]);
int size = Convert.ToInt32(r[(int)PositionField.size]);
Position p = new PositionImpl(sym, price, size, cpl);
return(p);
}
public static Position Deserialize(string msg)
{
string[] r = msg.Split(',');
string sym = r[(int)PositionField.symbol];
decimal price = Convert.ToDecimal(r[(int)PositionField.price], System.Globalization.CultureInfo.InvariantCulture);
decimal cpl = Convert.ToDecimal(r[(int)PositionField.closedpl], System.Globalization.CultureInfo.InvariantCulture);
int size = Convert.ToInt32(r[(int)PositionField.size]);
string act = r[(int)PositionField.account];
Position p = new PositionImpl(sym, price, size, cpl, act);
return(p);
}
/// <summary>
/// Create a new position, or overwrite existing position
/// </summary>
/// <param name="newpos"></param>
public void NewPosition(Position newpos)
{
_totalclosedpl += newpos.ClosedPL;
Position p;
int idx = 0;
if (_symidx.TryGetValue(newpos.Symbol,out idx))
_poslist[idx] = new PositionImpl(newpos);
else
{
_poslist.Add(new PositionImpl(newpos));
_symidx.Add(newpos.Symbol,_poslist.Count-1);
}
}
public void NewPosition()
{
const string s = "IBM";
Position p = new PositionImpl(s,80,500);
PositionTracker pt = new PositionTracker();
Assert.IsTrue(pt[s].isFlat);
pt.NewPosition(p);
Assert.AreEqual(500, pt[s].Size);
}
public void Basics()
{
PositionImpl p = new PositionImpl(s);
Assert.AreEqual(0,p.Size);
Assert.That(p.Symbol!="","hassymbol");
Assert.AreEqual(0,p.AvgPrice);
Assert.That(p.isFlat,"isflat");
Assert.That(p.isValid,"isvalid");
PositionImpl p2 = new PositionImpl(s, 10, 100,0);
PositionImpl p2copy = new PositionImpl(p2);
Assert.AreEqual(p2.AvgPrice, p2copy.AvgPrice);
Assert.AreEqual(p2.Size, p2copy.Size);
Assert.AreEqual(p2.ClosedPL, p2copy.ClosedPL);
Assert.AreEqual(p2.Symbol, p2copy.Symbol);
p.Adjust(p2);
Assert.That(p.Size == 100);
Assert.IsTrue(p.Symbol!="", "hassymbol");
Assert.That(p.AvgPrice == 10);
Assert.IsFalse(p.isFlat);
Assert.IsTrue(p.isLong);
Assert.IsTrue(p.isValid);
bool invalidexcept = false;
PositionImpl p3 = null;
try
{
p3 = new PositionImpl(s, 0, 100, 0);
}
catch
{
invalidexcept = true;
}
Assert.That(invalidexcept);
p3 = new PositionImpl(s, 12, 100,0);
p.Adjust(p3);
Assert.AreEqual(11,p.AvgPrice);
Assert.That(p.isLong);
Assert.That(p.isValid);
Assert.That(!p.isFlat);
Assert.That(p.Size == 200);
p.Adjust(new TradeImpl(s, 13, -100,dt));
Assert.That(p.AvgPrice == 11);
Assert.That(p.isLong);
Assert.That(p.isValid);
Assert.That(!p.isFlat);
Assert.That(p.Size == 100);
TradeImpl lasttrade = new TradeImpl(s, 12, -100,dt);
decimal profitFromP2toLASTTRADE = Calc.ClosePL(p2, lasttrade);
Assert.That(profitFromP2toLASTTRADE == (lasttrade.xprice-p2.AvgPrice)*Math.Abs(lasttrade.xsize));
}
/// <summary>
/// Create a new position, or overwrite existing position
/// </summary>
/// <param name="newpos"></param>
public void NewPosition(Position newpos)
{
_totalclosedpl += newpos.ClosedPL;
Position p;
int idx = 0;
if (_symidx.TryGetValue(newpos.Symbol, out idx))
{
_poslist[idx] = new PositionImpl(newpos);
}
else
{
_poslist.Add(new PositionImpl(newpos));
_symidx.Add(newpos.Symbol, _poslist.Count - 1);
}
}
/// <summary>
/// Gets the closed points (points = PL on per-share basis) for given symbol/account.
/// </summary>
/// <param name="symbol">The symbol.</param>
/// <param name="account">The account.</param>
/// <returns>points</returns>
public decimal GetClosedPT(string symbol, Account account)
{
PositionImpl pos = new PositionImpl(symbol);
decimal points = 0;
if (!MasterTrades.ContainsKey(account.ID))
{
return(points);
}
foreach (TradeImpl t in MasterTrades[account.ID])
{
points += Calc.ClosePT(pos, t);
pos.Adjust(t);
}
return(points);
}
/// <summary>
/// Gets the open position for the specified account.
/// </summary>
/// <param name="symbol">The symbol to get a position for.</param>
/// <param name="a">the account.</param>
/// <returns>current position</returns>
public Position GetOpenPosition(string symbol, Account a)
{
Position pos = new PositionImpl(symbol);
if (!MasterTrades.ContainsKey(a.ID))
{
return(pos);
}
foreach (TradeImpl trade in MasterTrades[a.ID])
{
if (trade.symbol == symbol)
{
pos.Adjust(trade);
}
}
return(pos);
}
/// <summary>
/// Gets the closed PL for a particular symbol and brokerage account.
/// </summary>
/// <param name="symbol">The symbol.</param>
/// <param name="a">The Account.</param>
/// <returns>Closed PL</returns>
public decimal GetClosedPL(string symbol, Account a)
{
Position pos = new PositionImpl(symbol);
decimal pl = 0;
if (!MasterTrades.ContainsKey(a.ID))
{
return(pl);
}
foreach (Trade trade in MasterTrades[a.ID])
{
if (trade.symbol == pos.Symbol)
{
pl += pos.Adjust(trade);
}
}
return(pl);
}
public void InitAndAdjust()
{
const string sym = "IBM";
// startup position tracker
PositionTracker pt = new PositionTracker();
PositionTracker pt2 = new PositionTracker();
// give pt our initial position
Position init = new PositionImpl(sym, 0, 0);
pt.Adjust(init);
pt2.Adjust(init);
// fill a trade in both places
Trade fill = new TradeImpl(sym,100, 100);
pt.Adjust(fill);
pt2.Adjust(fill);
// make sure it's only 100 in both places
Assert.AreEqual(100, pt[sym].Size);
Assert.AreEqual(100, pt2[sym].Size);
}
public void FlipSideInOneTrade()
{
// this is illegal on the exchanges, but supported by certain
// retail brokers so we're going to allow tradelink to support it
// BE CAREFUL WITH THIS FEATURE. make sure you won't be fined for doing this, before you do it.
string s = "IBM";
// long position
PositionImpl p = new PositionImpl(s, 100m,200);
// sell more than we've got to change sides
TradeImpl flip = new TradeImpl(s, 99, -400);
decimal cpl = p.Adjust(flip);
// make sure we captured close of trade
Assert.AreEqual(-200, cpl);
// make sure we captured new side and price
Assert.AreEqual(-200, p.Size);
Assert.AreEqual(99, p.AvgPrice);
}
public void PositionAccountTest()
{
TradeImpl t = new TradeImpl("TST", 100, 100);
t.Account = "ME";
TradeImpl t2 = new TradeImpl("TST", 200, 200);
Assert.That(t.isValid);
Assert.That(t2.isValid);
t2.Account = "HIM";
PositionImpl p = new PositionImpl(t);
p.Adjust(t);
bool failed = false; try
{
p.Adjust(t2);
}
catch (Exception) { failed = true; }
Assert.IsTrue(failed);
}
/// <summary>
/// Gets the closed points (points = PL on per-share basis) for given symbol/account.
/// </summary>
/// <param name="symbol">The symbol.</param>
/// <param name="account">The account.</param>
/// <returns>points</returns>
public decimal GetClosedPT(string symbol, Account account)
{
PositionImpl pos = new PositionImpl(symbol);
decimal points = 0;
if (!MasterTrades.ContainsKey(account.ID))
{
return(points);
}
List <Trade> trades = MasterTrades[account.ID];
for (int i = 0; i < trades.Count; i++)
{
points += Calc.ClosePT(pos, trades[i]);
pos.Adjust(trades[i]);
}
return(points);
}
/// <summary>
/// Gets the open position for the specified account.
/// </summary>
/// <param name="symbol">The symbol to get a position for.</param>
/// <param name="a">the account.</param>
/// <returns>current position</returns>
public Position GetOpenPosition(string symbol, Account a)
{
Position pos = new PositionImpl(symbol);
if (!MasterTrades.ContainsKey(a.ID))
{
return(pos);
}
List <Trade> trades = MasterTrades[a.ID];
for (int i = 0; i < trades.Count; i++)
{
if (trades[i].symbol == symbol)
{
pos.Adjust(trades[i]);
}
}
return(pos);
}
/// <summary>
/// overwrite existing position, or start new position
/// </summary>
/// <param name="p"></param>
/// <returns></returns>
public decimal Adjust(Position newpos)
{
if (_defaultacct == string.Empty)
{
_defaultacct = newpos.Account;
}
int idx = getindex(newpos.symbol + newpos.Account);
if (idx < 0)
{
addindex(newpos.symbol + newpos.Account, new PositionImpl(newpos));
}
else
{
base[idx] = new PositionImpl(newpos);
_totalclosedpl += newpos.ClosedPL;
}
return(0);
}
/// <summary>
/// Gets the closed PL for a particular symbol and brokerage account.
/// </summary>
/// <param name="symbol">The symbol.</param>
/// <param name="a">The Account.</param>
/// <returns>Closed PL</returns>
public decimal GetClosedPL(string symbol, Account a)
{
Position pos = new PositionImpl(symbol);
decimal pl = 0;
if (!MasterTrades.ContainsKey(a.ID))
{
return(pl);
}
List <Trade> trades = MasterTrades[a.ID];
for (int i = 0; i < trades.Count; i++)
{
if (trades[i].symbol == pos.symbol)
{
pl += pos.Adjust(trades[i]);
}
}
return(pl);
}
public void Basics()
{
// setup trail tracker
TrailTracker tt = new TrailTracker();
tt.SendOrder += new OrderDelegate(tt_SendOrder);
// set 15c trailing stop
tt.DefaultTrail = new OffsetInfo(0,.15m);
// verify it's set
Assert.AreEqual(.15m,tt.DefaultTrail.StopDist);
// get feed
Tick [] tape = SampleData();
// test position
Position tp = new PositionImpl(SYM, 10, 100);
// no orders to start
oc = 0;
// iterate through feed
for (int i = 0; i < tape.Length; i++ )
{
Tick k = tape[i];
// nothing to do on first two ticks
if (i==2)
{
// position established on third tick
tt.Adjust(tp);
}
// no orders sent until retrace happens
Assert.AreEqual(0, oc);
// pass every tick to tracker
tt.GotTick(k);
}
// one retrace sent at the end
Assert.AreEqual(1, oc);
// verify it offsets position
Assert.AreEqual(trail.UnsignedSize,tp.UnsignedSize);
Assert.AreEqual(trail.side, !tp.isLong);
}
Position[] tl_newPosList(string account)
{
AmeritradeBrokerAPI.ATradeArgument brokerAcctPosArgs = new AmeritradeBrokerAPI.ATradeArgument();
brokerAcctPosArgs.oPositions = new List<AmeritradeBrokerAPI.Positions>();
api.TD_getAcctBalancesAndPositions(_user.Text, _pass.Text, AmeritradeBrokerAPI.SOURCEID, APIVER, ref brokerAcctPosArgs.oCashBalances, ref brokerAcctPosArgs.oPositions);
List<Position> plist = new List<Position>();
foreach (AmeritradeBrokerAPI.Positions oPosition in brokerAcctPosArgs.oPositions)
{
try
{
decimal price = 0;
string acct = brokerAcctPosArgs.BrokerAcctID;
decimal.TryParse(oPosition.AveragePric, out price);
int size = 0;
int.TryParse(oPosition.Quantity, out size);
Position p = new PositionImpl(oPosition.StockSymbol, price, size, 0, acct);
if (p.isValid)
plist.Add(p);
else
debug("can't send invalid position: " + p.ToString());
}
catch (Exception ex)
{
debug("can't send invalid position: " + oPosition.StockSymbol + " " + oPosition.AveragePric + " " + oPosition.Quantity + " " + brokerAcctPosArgs.BrokerAcctID);
}
}
return plist.ToArray();
}
Position[] ServerBlackwood_newPosList(string account)
{
foreach (BWStock s in m_Session.GetOpenPositions())
{
Position p = new PositionImpl(s.Symbol, (decimal)s.Price, s.Size, (decimal)s.ClosedPNL);
pt.Adjust(p);
v(p.Symbol + " found position: " + p.ToString());
}
return pt.ToArray();
}
void m_Session_OnPositionMessage(object sender, BWPosition positionMsg)
{
string sym = positionMsg.Symbol;
int size = positionMsg.Size;
decimal price = (decimal)positionMsg.Price;
decimal cpl = (decimal)positionMsg.CloseProfit;
//string ac = positionMsg.UserID.ToString();
Position p = new PositionImpl(sym, price, size, cpl, _acct);
pt.NewPosition(p);
v(p.Symbol + " new position information: " + p.ToString());
}
void doupdate(string sym)
{
// is update ignored?
if (IgnoreUpdate(sym))
{
return;
}
// wait till next tick if we send cancels
bool sentcancel = false;
// get our offset values
OffsetInfo off = GetOffset(sym);
// get position
Position p = new PositionImpl(_pt[sym]);
// if we're flat, nothign to do
if (p.isFlat)
{
return;
}
// see whats current
bool cprofit = off.isProfitCurrent(p);
bool cstop = off.isStopCurrent(p);
// if not current, mark for update
bool updateprofit = !cprofit;
bool updatestop = !cstop;
// if we're up to date then quit
if (!updatestop && !updateprofit)
{
return;
}
// see if we have stop update
if ((updatestop && off.hasStop && !CancelOnce) ||
(updatestop && off.hasStop && CancelOnce && !off.StopcancelPending))
{
// notify
if (!off.StopcancelPending)
{
debug(string.Format("attempting stop cancel: {0} {1}", sym, off.StopId));
}
// cancel existing stops
cancel(off.StopId);
// mark cancel pending
off.StopcancelPending = true;
// mark as sent
sentcancel |= true;
}
// see if we have profit update
if ((updateprofit && off.hasProfit && AllowSimulatenousCancels) ||
(updateprofit && off.hasProfit && AllowSimulatenousCancels && !sentcancel))
{
if (!CancelOnce || (CancelOnce && !off.ProfitcancelPending))
{
// notify
if (!off.ProfitcancelPending)
{
debug(string.Format("attempting profit cancel: {0} {1}", sym, off.ProfitId));
}
// cancel existing profits
cancel(off.ProfitId);
// mark cancel pending
off.ProfitcancelPending = true;
// mark as sent
sentcancel |= true;
}
}
// wait till next tick if we sent cancel
if (sentcancel && WaitAfterCancel)
{
return;
}
bool sentorder = false;
// send stop first
if (!off.hasStop)
{
// since we have no stop, it's cancel can't be pending
off.StopcancelPending = false;
// get new stop
Order stop = Calc.PositionStop(p, off.StopDist, off.StopPercent, off.NormalizeSize, off.MinimumLotSize);
// mark size
off.SentStopSize = stop.size;
// if it's valid, send and track
if (stop.isValid)
{
stop.id = Ids.AssignId;
off.StopId = stop.id;
SendOrderEvent(stop);
// notify
debug(string.Format("sent new stop: {0} {1}", stop.id, stop.ToString(DebugDecimals)));
sentorder = true;
}
else if (_verbdebug)
{
debug(sym + " invalid stop: " + stop.ToString(DebugDecimals));
}
}
if ((!off.hasProfit && AllowSimulatenousOrders) || (!off.hasProfit && !AllowSimulatenousOrders && !sentorder))
{
// since we have no stop, it's cancel can't be pending
off.ProfitcancelPending = false;
// get new profit
Order profit = Calc.PositionProfit(p, off.ProfitDist, off.ProfitPercent, off.NormalizeSize, off.MinimumLotSize);
// mark size
off.SentProfitSize = profit.size;
// if it's valid, send and track it
if (profit.isValid)
{
profit.id = Ids.AssignId;
off.ProfitId = profit.id;
SendOrderEvent(profit);
// notify
debug(string.Format("sent new profit: {0} {1}", profit.id, profit.ToString(DebugDecimals)));
sentorder = true;
}
else if (_verbdebug)
{
debug(sym + " invalid profit: " + profit.ToString(DebugDecimals));
}
}
// make sure new offset info is reflected
SetOffset(sym, off);
}
public static Position Deserialize(string msg)
{
string[] r = msg.Split(',');
string sym = r[(int)PositionField.symbol];
decimal price = Convert.ToDecimal(r[(int)PositionField.price], System.Globalization.CultureInfo.InvariantCulture);
decimal cpl = Convert.ToDecimal(r[(int)PositionField.closedpl], System.Globalization.CultureInfo.InvariantCulture);
int size = Convert.ToInt32(r[(int)PositionField.size]);
string act = r[(int)PositionField.account];
Position p = new PositionImpl(sym,price,size,cpl,act);
return p;
}
void dopositionupdate(ref structSTIPositionUpdate structPositionUpdate)
{
// symbol
string ssym = structPositionUpdate.bstrSym;
string sym = ssym;
if (UseSubscribedSymbolForNotify)
{
sym = getfullsymbolname(ssym);
}
if (!UseSubscribedSymbolForNotify || (sym == ssym))
{
// only do for non-equities
if (structPositionUpdate.bstrInstrument == "O")
sym = ssym + " "+SecurityType.OPT;
else if (structPositionUpdate.bstrInstrument == "X")
sym = ssym + " " + SecurityType.CASH;
else if (structPositionUpdate.bstrInstrument == "F")
sym = ssym + " " + SecurityType.FUT;
}
// size
int size = (structPositionUpdate.nSharesBot - structPositionUpdate.nSharesSld) + structPositionUpdate.nOpeningPosition;
// price
decimal price = size == 0 ? 0 :Math.Abs((decimal)structPositionUpdate.fPositionCost / size);
// closed pl
decimal cpl = (decimal)structPositionUpdate.fReal;
// account
string ac = structPositionUpdate.bstrAcct;
// build position
Position p = new PositionImpl(sym, price, size, cpl, ac);
// track it
bool adjust = false;
if (_posupdatelimit && _receivedorder)
;
else
{
pt.NewPosition(p);
adjust = true;
}
if (RegSHOShorts)
sho.GotPosition(p);
// track account
if (!accts.Contains(ac))
accts.Add(ac);
if (VerboseDebugging)
debug("new position recv: " + p.ToString()+" info: "+pt[p.Symbol,ac]+" acct: "+ac);
}
void dopositionupdate(ref structSTIPositionUpdate structPositionUpdate)
{
// symbol
string sym = structPositionUpdate.bstrSym;
// size
int size = (structPositionUpdate.nSharesBot - structPositionUpdate.nSharesSld) + structPositionUpdate.nOpeningPosition;
// price
decimal price = size == 0 ? 0 :Math.Abs((decimal)structPositionUpdate.fPositionCost / size);
// closed pl
decimal cpl = (decimal)structPositionUpdate.fReal;
// account
string ac = structPositionUpdate.bstrAcct;
// build position
Position p = new PositionImpl(sym, price, size, cpl, ac);
// track it
pt.NewPosition(p);
// track account
if (!accts.Contains(ac))
accts.Add(ac);
if (VerboseDebugging)
debug("new position recv: " + p.ToString());
}
Position[] tl_newPosList(string account)
{
/*
AmeritradeBrokerAPI.ATradeArgument brokerAcctPosArgs = new AmeritradeBrokerAPI.ATradeArgument();
brokerAcctPosArgs.oPositions = new List<AmeritradeBrokerAPI.Positions>();
//api.TD_getAcctBalancesAndPositions(_user.Text, _pass.Text, AmeritradeBrokerAPI.SOURCEID, APIVER, ref brokerAcctPosArgs.oCashBalances, ref brokerAcctPosArgs.oPositions);
Position[] plist = new Position[brokerAcctPosArgs.oPositions.Count];
int count = 0;
foreach (AmeritradeBrokerAPI.Positions oPosition in brokerAcctPosArgs.oPositions)
{
decimal price = 0;
decimal.TryParse(oPosition.AveragePric, out price);
int size = 0;
int.TryParse(oPosition.Quantity, out size);
Position p = new PositionImpl(oPosition.StockSymbol, price, size);
plist[count++] = p;
}
return plist;
*/
int count = 0;
List<itemPosition> litem = new List<itemPosition>();
try
{
litem = socketOrderServer.sitemPosition.Finditems(accid);
}
catch (Exception ex)
{
debug("DAS connector error on requesting positions: " + ex.Message + ex.StackTrace);
}
if (litem.Count == 0) return null;
Position[] plist = new Position[litem.Count];
foreach (itemPosition itemp in litem)
{
Position p = new PositionImpl(itemp.msecsym, Convert.ToDecimal(itemp.mavgcost),Convert.ToInt32(itemp.mqty) );
plist[count++] = p;
}
return plist;
}
/// <summary>
/// Gets the closed PL for a particular symbol and brokerage account.
/// </summary>
/// <param name="symbol">The symbol.</param>
/// <param name="a">The Account.</param>
/// <returns>Closed PL</returns>
public decimal GetClosedPL(string symbol, Account a)
{
Position pos = new PositionImpl(symbol);
decimal pl = 0;
if (!MasterTrades.ContainsKey(a.ID)) return pl;
List<Trade> trades = MasterTrades[a.ID];
for (int i = 0; i < trades.Count; i++)
{
if (trades[i].symbol == pos.Symbol)
pl += pos.Adjust(trades[i]);
}
return pl;
}
protected override void WndProc(ref System.Windows.Forms.Message m)
{
TradeLinkMessage tlm = WMUtil.ToTradeLinkMessage(ref m);
if (tlm == null)
{
base.WndProc(ref m);
return;
}
string msg = tlm.body;
long result = (long)MessageTypes.OK;
switch (tlm.type)
{
case MessageTypes.ACCOUNTREQUEST:
if (newAcctRequest == null)
{
break;
}
string accts = newAcctRequest();
TLSend(accts, MessageTypes.ACCOUNTRESPONSE, msg);
break;
case MessageTypes.POSITIONREQUEST:
if (newPosList == null)
{
break;
}
string [] pm = msg.Split('+');
if (pm.Length < 2)
{
break;
}
string client = pm[0];
string acct = pm[1];
Position[] list = newPosList(acct);
foreach (Position pos in list)
{
TLSend(PositionImpl.Serialize(pos), MessageTypes.POSITIONRESPONSE, client);
}
break;
case MessageTypes.ORDERCANCELREQUEST:
{
long id = 0;
if (long.TryParse(msg, out id) && (newOrderCancelRequest != null))
{
newOrderCancelRequest(id);
}
}
break;
case MessageTypes.SENDORDER:
SrvDoExecute(msg);
break;
case MessageTypes.REGISTERCLIENT:
SrvRegClient(msg);
break;
case MessageTypes.REGISTERSTOCK:
string[] m2 = msg.Split('+');
SrvRegStocks(m2[0], m2[1]);
break;
case MessageTypes.CLEARCLIENT:
SrvClearClient(msg);
break;
case MessageTypes.CLEARSTOCKS:
SrvClearStocks(msg);
break;
case MessageTypes.HEARTBEATREQUEST:
SrvBeatHeart(msg);
break;
case MessageTypes.BROKERNAME:
result = (long)newProviderName;
break;
case MessageTypes.IMBALANCEREQUEST:
if (newImbalanceRequest != null)
{
newImbalanceRequest();
}
break;
case MessageTypes.FEATUREREQUEST:
string msf = "";
List <MessageTypes> f = new List <MessageTypes>();
f.Add(MessageTypes.HEARTBEATREQUEST);
f.Add(MessageTypes.CLEARCLIENT);
f.Add(MessageTypes.CLEARSTOCKS);
f.Add(MessageTypes.REGISTERCLIENT);
f.Add(MessageTypes.REGISTERSTOCK);
f.Add(MessageTypes.FEATUREREQUEST);
f.Add(MessageTypes.FEATURERESPONSE);
f.Add(MessageTypes.VERSION);
f.Add(MessageTypes.BROKERNAME);
List <string> mf = new List <string>();
foreach (MessageTypes t in f)
{
int ti = (int)t;
mf.Add(ti.ToString());
}
if (newFeatureRequest != null)
{
MessageTypes[] f2 = newFeatureRequest();
foreach (MessageTypes t in f2)
{
int ti = (int)t;
mf.Add(ti.ToString());
}
}
msf = string.Join(",", mf.ToArray());
TLSend(msf, MessageTypes.FEATURERESPONSE, msg);
break;
case MessageTypes.VERSION:
result = (long)MinorVer;
break;
default:
if (newUnknownRequest != null)
{
result = newUnknownRequest(tlm.type, msg);
}
else
{
result = (long)MessageTypes.FEATURE_NOT_IMPLEMENTED;
}
break;
}
m.Result = (IntPtr)result;
}
public void ClosedPL()
{
const string sym = "RYN";
PositionTracker pt = new PositionTracker();
Position p = new PositionImpl(sym, 44.39m, 800, 0);
pt.Adjust(p);
System.IO.StreamReader sr = new System.IO.StreamReader("TestPositionClosedPL.txt");
string[] file = sr.ReadToEnd().Split(Environment.NewLine.ToCharArray(), StringSplitOptions.RemoveEmptyEntries);
foreach (string line in file)
{
Trade t = TradeImpl.FromString(line);
pt.Adjust(t);
}
Assert.AreEqual(-66, pt[sym].ClosedPL);
}
public void UsingTrades()
{
// long
PositionImpl p = new PositionImpl(new TradeImpl(s, 80, 100,dt));
Assert.That(p.isLong);
Assert.That(p.Size == 100);
decimal pl = p.Adjust(new TradeImpl(s, 84, -100,dt));
Assert.That(p.isFlat);
Assert.AreEqual((84 - 80) * 100,pl);
// short
pl = 0;
p = new PositionImpl(new TradeImpl(s, 84, -100,dt));
Assert.That(!p.isLong);
Assert.That(p.Size == -100);
pl = p.Adjust(new TradeImpl(s, 80, 100,dt));
Assert.That(pl == (84 - 80) * 100);
Assert.That(p.isFlat);
}
void PositionCache_CacheEvent(int action, int row)
{
int err = 0;
object cv = new object();
decimal dv = 0;
String symbol = string.Empty;
decimal pl = 0.00M;
decimal value = 0.00M;
int size = 0;
string acct = string.Empty;
if (action == 1)
{
try
{
v("for position submit row: " + row.ToString());
int i = row != 0 ? row - 1 : row;
_positionCache.VBGetCell(i, "SYMBOL", ref cv, ref err);
v("getcellerr: " + err.ToString());
if (!(cv == null))
{
symbol = cv.ToString();
}
_positionCache.VBGetCell(i, "PANDL", ref cv, ref err);
if (!(cv == null))
{
if (decimal.TryParse(cv.ToString(), out dv))
pl = dv;
}
_positionCache.VBGetCell(i, "ACCOUNT", ref cv, ref err);
v("getcellerr: " + err.ToString());
if (!(cv == null))
{
acct = cv.ToString();
}
_positionCache.VBGetCell(i, "SYMBOLPOSITION", ref cv, ref err);
v("getcellerr: " + err.ToString());
if (!(cv == null))
{
int val;
if (int.TryParse(cv.ToString(), out val))
size = val;
}
_positionCache.VBGetCell(i, "ACCOUNTSYMBOLVALUE", ref cv, ref err);
v("getcellerr: " + err.ToString());
if (!(cv == null))
{
if (decimal.TryParse(cv.ToString(), out dv))
value = dv;
}
Position p = new PositionImpl(symbol, value, size, pl, acct);
pt.NewPosition(p);
v("new position: " + p.ToString());
// track account
if (!accts.Contains(acct))
accts.Add(acct);
}
catch (Exception exc)
{
debug(exc.Message);
}
}
else
{
try
{
v("for position submit row: " + row.ToString());
int i = row;
_positionCache.VBGetCell(i, "SYMBOL", ref cv, ref err);
v("getcellerr: " + err.ToString());
if (!(cv == null))
{
symbol = cv.ToString();
}
_positionCache.VBGetCell(i, "PANDL", ref cv, ref err);
if (!(cv == null))
{
if (decimal.TryParse(cv.ToString(), out dv))
pl = dv;
}
_positionCache.VBGetCell(i, "ACCOUNT", ref cv, ref err);
v("getcellerr: " + err.ToString());
if (!(cv == null))
{
acct = cv.ToString();
}
_positionCache.VBGetCell(i, "SYMBOLPOSITION", ref cv, ref err);
v("getcellerr: " + err.ToString());
if (!(cv == null))
{
int val;
if (int.TryParse(cv.ToString(), out val))
size = val;
}
_positionCache.VBGetCell(i, "ACCOUNTSYMBOLVALUE", ref cv, ref err);
v("getcellerr: " + err.ToString());
if (!(cv == null))
{
if (decimal.TryParse(cv.ToString(), out dv))
value = dv;
}
Position p = new PositionImpl(symbol, value, size, pl, acct);
pt.NewPosition(p);
v(p.ToString());
// track account
if (!accts.Contains(acct))
accts.Add(acct);
}
catch (Exception exc)
{
debug(exc.Message);
}
}
}
Position[] tl_newPosList(string account)
{
test();
int num = m_OrderClient.Positions.Count;
Position[] posl = new Position[num];
for (int i = 0; i < num; i++)
{
string acct = m_OrderClient.Positions[i].Account.Account;
decimal cpl = (decimal)m_OrderClient.Positions[i].RealizedPNL;
int size= m_OrderClient.Positions[i].IntradayPosition;
decimal price = (decimal)m_OrderClient.Positions[i].IntradayPrice;
string sym = m_OrderClient.Positions[i].Symbol;
Position p = new PositionImpl(sym, price, size, cpl, acct);
posl[i] = p;
}
return posl;
}
long handle(MessageTypes type, string msg, Socket sock)
{
long result = NORETURNRESULT;
v((sock != null ? sock.RemoteEndPoint.ToString() : string.Empty) + " " + type.ToString() + " " + msg);
switch (type)
{
case MessageTypes.ACCOUNTREQUEST:
if (newAcctRequest == null)
{
break;
}
string accts = newAcctRequest();
TLSend(accts, MessageTypes.ACCOUNTRESPONSE, sock);
break;
case MessageTypes.POSITIONREQUEST:
if (newPosList == null)
{
break;
}
string[] pm = msg.Split('+');
if (pm.Length < 2)
{
break;
}
string client = pm[0];
string acct = pm[1];
Position[] list = newPosList(acct);
foreach (Position pos in list)
{
TLSend(PositionImpl.Serialize(pos), MessageTypes.POSITIONRESPONSE, client);
}
break;
case MessageTypes.ORDERCANCELREQUEST:
{
long id = 0;
if (long.TryParse(msg, out id) && (newOrderCancelRequest != null))
{
newOrderCancelRequest(id);
}
}
break;
case MessageTypes.SENDORDER:
SrvDoExecute(msg);
break;
case MessageTypes.REGISTERCLIENT:
SrvRegClient(msg, sock);
break;
case MessageTypes.REGISTERSTOCK:
string[] m2 = msg.Split('+');
SrvRegStocks(m2[0], m2[1]);
break;
case MessageTypes.CLEARCLIENT:
SrvClearClient(msg);
break;
case MessageTypes.CLEARSTOCKS:
SrvClearStocks(msg);
break;
case MessageTypes.HEARTBEATREQUEST:
SrvBeatHeart(msg);
break;
case MessageTypes.BROKERNAME:
{
result = (long)newProviderName;
sock.Send(BitConverter.GetBytes(result));
}
break;
case MessageTypes.IMBALANCEREQUEST:
if (newImbalanceRequest != null)
{
newImbalanceRequest();
}
break;
case MessageTypes.FEATUREREQUEST:
string msf = "";
List <MessageTypes> f = new List <MessageTypes>();
f.Add(MessageTypes.HEARTBEATREQUEST);
f.Add(MessageTypes.HEARTBEATRESPONSE);
f.Add(MessageTypes.CLEARCLIENT);
f.Add(MessageTypes.CLEARSTOCKS);
f.Add(MessageTypes.REGISTERCLIENT);
f.Add(MessageTypes.REGISTERSTOCK);
f.Add(MessageTypes.FEATUREREQUEST);
f.Add(MessageTypes.FEATURERESPONSE);
f.Add(MessageTypes.VERSION);
f.Add(MessageTypes.BROKERNAME);
List <string> mf = new List <string>();
foreach (MessageTypes t in f)
{
int ti = (int)t;
mf.Add(ti.ToString());
}
if (newFeatureRequest != null)
{
MessageTypes[] f2 = newFeatureRequest();
foreach (MessageTypes t in f2)
{
int ti = (int)t;
mf.Add(ti.ToString());
}
}
msf = string.Join(",", mf.ToArray());
TLSend(msf, MessageTypes.FEATURERESPONSE, msg);
break;
case MessageTypes.VERSION:
result = (long)MinorVer;
break;
case MessageTypes.DOMREQUEST:
string[] dom = msg.Split('+');
SrvDOMReq(dom[0], int.Parse(dom[1]));
break;
default:
if (newUnknownRequestSource != null)
{
result = newUnknownRequestSource(type, msg, sock.RemoteEndPoint.ToString());
}
else if (newUnknownRequest != null)
{
result = newUnknownRequest(type, msg);
}
else
{
result = (long)MessageTypes.FEATURE_NOT_IMPLEMENTED;
}
break;
}
return(result);
}
public void SerializeDeserialize()
{
const string s = "TST";
const decimal x = 10m;
const int z = -100;
const decimal cpl = 5.05m;
PositionImpl p = new PositionImpl(s, x, z, cpl);
string msg = PositionImpl.Serialize(p);
Position c = PositionImpl.Deserialize(msg);
Assert.That(c.Symbol == s, c.Symbol);
Assert.That(c.AvgPrice == x, c.AvgPrice.ToString());
Assert.That(c.Size == z, c.Size.ToString());
Assert.That(c.ClosedPL == cpl, c.ClosedPL.ToString());
}
/// <summary>
/// Gets the open position for the specified account.
/// </summary>
/// <param name="symbol">The symbol to get a position for.</param>
/// <param name="a">the account.</param>
/// <returns>current position</returns>
public Position GetOpenPosition(string symbol,Account a)
{
Position pos = new PositionImpl(symbol);
if (!MasterTrades.ContainsKey(a.ID)) return pos;
List<Trade> trades = MasterTrades[a.ID];
for (int i = 0; i<trades.Count; i++)
if (trades[i].symbol==symbol)
pos.Adjust(trades[i]);
return pos;
}
void PST_OnPosition(object sender, TalTrade.Toolkit.Domain.DataEventArgs<PositionRecord> e)
{
if (e.Count == 0)
{
debug("GOT NO POSITIONS FOR TODAY");
}
else
{
debug("GOT TODAY'S POSITIONS");
foreach (PositionRecord pos in e)
{
var p = new PositionImpl(pos.DispName, decimal.Parse(pos.AverageLong.Value.ToString()), Convert.ToInt32(pos.Longpos.GetValueOrDefault()));
pt.NewPosition(p);
//debug(" --> {0}.{1}.{2}.{3}",
// pos.Bank,
// pos.Branch,
// pos.Customer,
// pos.Deposit);
//debug(" Symbol {0}, AcctType {1}",
// pos.DispName, pos.AcctType);
//debug(" Intraday Long = {0}@{1}",
// pos.Longpos, pos.AverageLong);
//debug(" Intraday Short = {0}@{1}",
// pos.Shortpos, pos.AverageShort);
}
}
}
/// <summary>
/// Gets the closed points (points = PL on per-share basis) for given symbol/account.
/// </summary>
/// <param name="symbol">The symbol.</param>
/// <param name="account">The account.</param>
/// <returns>points</returns>
public decimal GetClosedPT(string symbol, Account account)
{
PositionImpl pos = new PositionImpl(symbol);
decimal points = 0;
if (!MasterTrades.ContainsKey(account.ID)) return points;
List<Trade> trades = MasterTrades[account.ID];
for (int i = 0; i < trades.Count; i++)
{
points += Calc.ClosePT(pos, trades[i]);
pos.Adjust(trades[i]);
}
return points;
}
Position[] tl_newPosList(string pAcct)
{
test();
v("received position list request for account: " + pAcct);
int num = m_OrderClient.Positions.Count;
//TODO: enable some settings in app.config, i.e. VerboseDebugging as done in ServerSterling
//debug(String.Format("tl_newPosList called for {0} positions:{1}", account, num));
Position[] posl = new Position[num];
for (int i = 0; i < num; i++)
{
string sym = m_OrderClient.Positions[i].Symbol;
decimal price = (decimal)m_OrderClient.Positions[i].IntradayPrice;
int size = m_OrderClient.Positions[i].IntradayPosition;
decimal cpl = (decimal)m_OrderClient.Positions[i].RealizedPNL;
string acct = m_OrderClient.Positions[i].Account.Account;
Position p = new PositionImpl(sym, price, size, cpl, acct);
posl[i] = p;
//debug(String.Format("tl_newPosList {4} i:{0} {1} {2} {3}", i, sym, price, size, acct));
}
return posl;
}
void BlackBox_GrayBoxOrderExecuteEventMy(object ob, GrayBoxAPI.BBEventArgs e)
{
UpdateOrderStatus(e);
Order o = new OrderImpl();
OrderList.TryGetValue(e.BBXid, out o);
Position p = new PositionImpl( o.symbol, (decimal) e.Price, e.Quantity, (decimal) e.Price, o.Account);
string orderside = o.side ? "BUY" : "SELL";
debug("Order executed " + o.id + " " + o.symbol + " " + orderside + " " + o.size);
pt.NewPosition(p);
}
Position[] tl_newPosList(string account)
{
AmeritradeBrokerAPI.ATradeArgument brokerAcctPosArgs = new AmeritradeBrokerAPI.ATradeArgument();
brokerAcctPosArgs.oPositions = new List<AmeritradeBrokerAPI.Positions>();
api.TD_getAcctBalancesAndPositions(_user.Text, _pass.Text, AmeritradeBrokerAPI.SOURCEID, APIVER, ref brokerAcctPosArgs.oCashBalances, ref brokerAcctPosArgs.oPositions);
Position[] plist = new Position[brokerAcctPosArgs.oPositions.Count];
int count = 0;
foreach (AmeritradeBrokerAPI.Positions oPosition in brokerAcctPosArgs.oPositions)
{
decimal price = 0;
decimal.TryParse(oPosition.AveragePric,out price);
int size = 0;
int.TryParse(oPosition.Quantity,out size);
Position p = new PositionImpl(oPosition.StockSymbol,price,size);
plist[count++] = p;
}
return plist;
}
protected override void WndProc(ref System.Windows.Forms.Message m)
{
long result = 0;
TradeLinkMessage tlm = WMUtil.ToTradeLinkMessage(ref m);
if (tlm == null) // if it's not a WM_COPYDATA message
{
base.WndProc(ref m); // let form process it
return; // we're done
}
string msg = tlm.body;
string[] r = msg.Split(',');
switch (tlm.type)
{
case MessageTypes.ORDERCANCELRESPONSE:
if (gotOrderCancel != null)
{
gotOrderCancel(Convert.ToUInt32(msg));
}
break;
case MessageTypes.TICKNOTIFY:
Tick t = TickImpl.Deserialize(msg);
if (t.isTrade)
{
try
{
if (t.trade > chighs[t.symbol])
{
chighs[t.symbol] = t.trade;
}
if (t.trade < clows[t.symbol])
{
clows[t.symbol] = t.trade;
}
}
catch (KeyNotFoundException)
{
chighs.Add(t.symbol, 0);
clows.Add(t.symbol, decimal.MaxValue);
}
}
if (gotTick != null)
{
gotTick(t);
}
break;
case MessageTypes.EXECUTENOTIFY:
// date,time,symbol,side,size,price,comment
Trade tr = TradeImpl.Deserialize(msg);
if (gotFill != null)
{
gotFill(tr);
}
break;
case MessageTypes.ORDERNOTIFY:
Order o = OrderImpl.Deserialize(msg);
if (gotOrder != null)
{
gotOrder(o);
}
break;
case MessageTypes.POSITIONRESPONSE:
Position pos = PositionImpl.Deserialize(msg);
if (gotPosition != null)
{
gotPosition(pos);
}
break;
case MessageTypes.ACCOUNTRESPONSE:
if (gotAccounts != null)
{
gotAccounts(msg);
}
break;
case MessageTypes.FEATURERESPONSE:
string[] p = msg.Split(',');
List <MessageTypes> f = new List <MessageTypes>();
foreach (string s in p)
{
try
{
f.Add((MessageTypes)Convert.ToInt32(s));
}
catch (Exception) { }
}
if (gotSupportedFeatures != null)
{
gotSupportedFeatures(f.ToArray());
}
break;
case MessageTypes.IMBALANCERESPONSE:
Imbalance i = ImbalanceImpl.Deserialize(msg);
if (gotImbalance != null)
{
gotImbalance(i);
}
break;
}
result = 0;
m.Result = (IntPtr)result;
}
void broker_GotFill(Trade t)
{
if (myres != null)
myres.GotFill(t);
_tradelist.Add(t);
PositionImpl mypos = new PositionImpl(t);
decimal cpl = 0;
decimal cpt = 0;
if (!poslist.TryGetValue(t.symbol, out mypos))
{
mypos = new PositionImpl(t);
poslist.Add(t.symbol, mypos);
}
else
{
cpt = Calc.ClosePT(mypos, t);
cpl = mypos.Adjust(t);
poslist[t.symbol] = mypos;
}
ptab.Rows.Add(nowtime, mypos.symbol, (mypos.isFlat ? "FLAT" : (mypos.isLong ? "LONG" : "SHORT")), mypos.Size, mypos.AvgPrice.ToString(_dps), cpl.ToString("C2"), cpt.ToString(_dps));
ft.Rows.Add(t.xtime.ToString(), t.symbol, (t.side ? "BUY" : "SELL"), t.xsize, t.xprice.ToString(_dps), t.id);
}
public static Position Deserialize(string msg)
{
string[] r = msg.Split(',');
string sym = r[(int)PositionField.symbol];
decimal price = Convert.ToDecimal(r[(int)PositionField.price]);
decimal cpl = Convert.ToDecimal(r[(int)PositionField.closedpl]);
int size = Convert.ToInt32(r[(int)PositionField.size]);
Position p = new PositionImpl(sym,price,size,cpl);
return p;
}
protected override void WndProc(ref System.Windows.Forms.Message m)
{
long result = 0;
TradeLinkMessage tlm = WMUtil.ToTradeLinkMessage(ref m);
if (tlm == null) // if it's not a WM_COPYDATA message
{
base.WndProc(ref m); // let form process it
return; // we're done
}
string msg = tlm.body;
switch (tlm.type)
{
case MessageTypes.TICKNOTIFY:
Tick t;
try
{
t = TickImpl.Deserialize(msg);
}
catch (Exception ex)
{
_tickerrors++;
debug("Error processing tick: " + msg);
debug("TickErrors: " + _tickerrors);
debug("Error: " + ex.Message + ex.StackTrace);
break;
}
if (gotTick != null)
{
gotTick(t);
}
break;
case MessageTypes.IMBALANCERESPONSE:
Imbalance i = ImbalanceImpl.Deserialize(msg);
if (gotImbalance != null)
{
gotImbalance(i);
}
break;
case MessageTypes.ORDERCANCELRESPONSE:
{
long id = 0;
if (gotOrderCancel != null)
{
if (long.TryParse(msg, out id))
{
gotOrderCancel(id);
}
else if (SendDebugEvent != null)
{
SendDebugEvent("Count not parse order cancel: " + msg);
}
}
}
break;
case MessageTypes.EXECUTENOTIFY:
// date,time,symbol,side,size,price,comment
try
{
Trade tr = TradeImpl.Deserialize(msg);
if (gotFill != null)
{
gotFill(tr);
}
}
catch (Exception ex)
{
debug("error deserializing fill: " + msg);
debug("error: " + ex.Message + ex.StackTrace);
debug("broker: " + BrokerName);
}
break;
case MessageTypes.ORDERNOTIFY:
try
{
Order o = OrderImpl.Deserialize(msg);
if (gotOrder != null)
{
gotOrder(o);
}
}
catch (Exception ex)
{
debug("error deserializing order: " + msg);
debug("error: " + ex.Message + ex.StackTrace);
debug("broker: " + BrokerName);
}
break;
case MessageTypes.POSITIONRESPONSE:
try
{
Position pos = PositionImpl.Deserialize(msg);
if (gotPosition != null)
{
gotPosition(pos);
}
}
catch (Exception ex)
{
if (SendDebugEvent != null)
{
SendDebugEvent(msg + " " + ex.Message + ex.StackTrace);
}
}
break;
case MessageTypes.ACCOUNTRESPONSE:
if (gotAccounts != null)
{
gotAccounts(msg);
}
break;
case MessageTypes.FEATURERESPONSE:
string[] p = msg.Split(',');
List <MessageTypes> f = new List <MessageTypes>();
foreach (string s in p)
{
try
{
f.Add((MessageTypes)Convert.ToInt32(s));
}
catch (Exception) { }
}
if (gotFeatures != null)
{
gotFeatures(f.ToArray());
}
if (gotUnknownMessage != null)
{
gotUnknownMessage(tlm.type, 0, 0, 0, string.Empty, ref tlm.body);
}
break;
case MessageTypes.SERVERDOWN:
if (gotServerDown != null)
{
gotServerDown(msg);
}
break;
case MessageTypes.SERVERUP:
if (gotServerUp != null)
{
gotServerUp(msg);
}
break;
default:
if (gotUnknownMessage != null)
{
gotUnknownMessage(tlm.type, 0, 0, 0, string.Empty, ref tlm.body);
}
break;
}
result = 0;
m.Result = (IntPtr)result;
}
void handle(MessageTypes type, string msg)
{
long result = 0;
switch (type)
{
case MessageTypes.TICKNOTIFY:
Tick t;
try
{
_lastheartbeat = DateTime.Now.Ticks;
t = TickImpl.Deserialize(msg);
}
catch (Exception ex)
{
_tickerrors++;
debug("Error processing tick: " + msg);
debug("TickErrors: " + _tickerrors);
debug("Error: " + ex.Message + ex.StackTrace);
break;
}
if (gotTick != null)
{
gotTick(t);
}
break;
case MessageTypes.IMBALANCERESPONSE:
Imbalance i = ImbalanceImpl.Deserialize(msg);
_lastheartbeat = DateTime.Now.Ticks;
if (gotImbalance != null)
{
gotImbalance(i);
}
break;
case MessageTypes.ORDERCANCELRESPONSE:
{
long id = 0;
_lastheartbeat = DateTime.Now.Ticks;
if (gotOrderCancel != null)
{
if (long.TryParse(msg, out id))
{
gotOrderCancel(id);
}
else if (SendDebugEvent != null)
{
SendDebugEvent("Count not parse order cancel: " + msg);
}
}
}
break;
case MessageTypes.EXECUTENOTIFY:
_lastheartbeat = DateTime.Now.Ticks;
// date,time,symbol,side,size,price,comment
Trade tr = TradeImpl.Deserialize(msg);
if (gotFill != null)
{
gotFill(tr);
}
break;
case MessageTypes.ORDERNOTIFY:
_lastheartbeat = DateTime.Now.Ticks;
Order o = OrderImpl.Deserialize(msg);
if (gotOrder != null)
{
gotOrder(o);
}
break;
case MessageTypes.HEARTBEATRESPONSE:
{
_lastheartbeat = DateTime.Now.Ticks;
v("got heartbeat response at: " + _lastheartbeat);
_recvheartbeat = !_recvheartbeat;
}
break;
case MessageTypes.POSITIONRESPONSE:
try
{
_lastheartbeat = DateTime.Now.Ticks;
Position pos = PositionImpl.Deserialize(msg);
if (gotPosition != null)
{
gotPosition(pos);
}
}
catch (Exception ex)
{
if (SendDebugEvent != null)
{
SendDebugEvent(msg + " " + ex.Message + ex.StackTrace);
}
}
break;
case MessageTypes.ACCOUNTRESPONSE:
_lastheartbeat = DateTime.Now.Ticks;
if (gotAccounts != null)
{
gotAccounts(msg);
}
break;
case MessageTypes.FEATURERESPONSE:
_lastheartbeat = DateTime.Now.Ticks;
string[] p = msg.Split(',');
List <MessageTypes> f = new List <MessageTypes>();
_rfl.Clear();
foreach (string s in p)
{
try
{
MessageTypes mt = (MessageTypes)Convert.ToInt32(s);
f.Add(mt);
_rfl.Add(mt);
}
catch (Exception) { }
}
if (gotFeatures != null)
{
gotFeatures(f.ToArray());
}
break;
case MessageTypes.SERVERDOWN:
if (gotServerDown != null)
{
gotServerDown(msg);
}
break;
case MessageTypes.SERVERUP:
if (gotServerUp != null)
{
gotServerUp(msg);
}
break;
default:
_lastheartbeat = DateTime.Now.Ticks;
if (gotUnknownMessage != null)
{
gotUnknownMessage(type, 0, 0, 0, string.Empty, ref msg);
}
break;
}
result = 0;
}
void PositionHasChanged(MbtPosition pPos) //pmh - Renamed from OnPositionChanged. This is not an event - don't name it so.
{
debug(String.Format("PositionHasChanged {0} {1}", pPos.Symbol, pPos.AggregatePosition));
string sym = pPos.Symbol;
//TODO: check accuracy of AveragePrice2. Currently known to not correctly include prices from further than 1 day back
//AveragePrice2 only available in release candidates so reverting to the calc below that
//decimal price = (decimal) pPos.AveragePrice2;
decimal price =
//pmh check each, not together (pPos.IntradayPosition + pPos.OvernightPosition != 0)
(pPos.IntradayPosition != 0 && pPos.OvernightPosition != 0) //pmh - do this instead!
?
//pmh bug! (decimal)(((pPos.IntradayPosition * pPos.IntradayPrice) + (pPos.OvernightPosition * pPos.OvernightPrice)) / (pPos.IntradayPrice + pPos.OvernightPosition))
(decimal)(((pPos.IntradayPosition * pPos.IntradayPrice) + (pPos.OvernightPosition * pPos.OvernightPrice)) / (pPos.IntradayPosition + pPos.OvernightPosition))
:
0;
int size = pPos.AggregatePosition; //TODO: make this pPos.RealizedPNL2 when it is available
decimal cpl = (decimal)pPos.RealizedPNL;
string account = pPos.Account.Account;
Position p = new PositionImpl(sym, price, size, cpl, account);
pt.NewPosition(p);
}
