public Controller(EClientSocket clientSocket, SimpleLogger log, Parameters @params, Strategy strategy, Broker broker, Positions positions, FuturesContract futures, Prices prices, Transactions transactions, Slack slack)
{
this.@params = @params;
this.log = log;
this.clientSocket = clientSocket;
this.strategy = strategy;
this.broker = broker;
this.futures = futures;
this.prices = prices;
this.transactions = transactions;
this.slack = slack;
}
public static void Main(string[] args)
{
EWrapperImpl ibClient = new EWrapperImpl();
EClientSocket clientSocket = ibClient.ClientSocket;
Console.ForegroundColor = ConsoleColor.DarkGreen;
string logo = @"
/$$$$$$$ /$$ /$$ /$$$$$$ /$$ /$$ /$$ /$$$$$$
| $$__ $$| $$ | $$ /$$__ $$ |__/ | $$ | $$ |_ $$_/
| $$ \ $$| $$ /$$$$$$ /$$$$$$$| $$ /$$| $$ \__/ /$$$$$$ /$$$$$$ /$$ /$$$$$$ /$$$$$$ | $$ | $$ /$$$$$$$ /$$$$$$$
| $$$$$$$ | $$ /$$__ $$ /$$_____/| $$ /$$/| $$ |____ $$ /$$__ $$| $$|_ $$_/ |____ $$| $$ | $$ | $$__ $$ /$$_____/
| $$__ $$| $$| $$ \ $$| $$ | $$$$$$/ | $$ /$$$$$$$| $$ \ $$| $$ | $$ /$$$$$$$| $$ | $$ | $$ \ $$| $$
| $$ \ $$| $$| $$ | $$| $$ | $$_ $$ | $$ $$ /$$__ $$| $$ | $$| $$ | $$ /$$ /$$__ $$| $$ | $$ | $$ | $$| $$
| $$$$$$$/| $$| $$$$$$/| $$$$$$$| $$ \ $$| $$$$$$/| $$$$$$$| $$$$$$$/| $$ | $$$$/| $$$$$$$| $$ /$$$$$$| $$ | $$| $$$$$$$ /$$
|_______/ |__/ \______/ \_______/|__/ \__/ \______/ \_______/| $$____/ |__/ \___/ \_______/|__/ |______/|__/ |__/ \_______/|__/
| $$
| $$
|__/
";
Console.WriteLine(logo);
Console.ResetColor();
Console.Write("BlockShift Trading App");
Console.Write("\n");
Console.Write("DISCLAIMER: USING THIS SOFTWARE AT MY OWN RISK\n");
Console.Write("\n");
try
{
ConsoleWindow.QuickEditMode(false);
Parameters @params = new Parameters(Path.Combine(Environment.CurrentDirectory, "config.conf"));
SimpleLogger log = new SimpleLogger();
Slack slack = new Slack(@params);
Prices prices = new Prices(log, @params);
FuturesContract futures = new FuturesContract(@params);
Strategy strategy = new Strategy(log);
Broker broker = new Broker(clientSocket, log, @params, slack);
Positions positions = new Positions(log, @params, slack);
Transactions transactions = new Transactions(log);
Controller ctl = new Controller(clientSocket, log, @params, strategy, broker, positions, futures, prices, transactions, slack);
broker.ConnectionToBroker(strategy, positions);
ctl.Run();
}
catch (Exception ex)
{
Console.Write(ex.Message.ToString());
Console.Write(ex.StackTrace.ToString());
}
Console.ReadLine();
}
private double GetBrokerLimitPrice(FuturesContract futuresContract, OrderDetails orderDetails, Prices prices, Strategy strategy, Tuple <bool, bool, int> db, SignalFile signalFile)
{
double tick = FuturesContract.GetTickSize(futuresContract);
double limitPrice = 0;
switch (strategy.Symbol)
{
case "QM":
//tick *= (db.Item3 == 0 || db.Item3 != 0) ? @params.crudeSpread : 1;
//if (signalFile.Macd == 1)
//{
// tick *= (signalFile.Trend < 40 && orderDetails.BuyOrSell == "SELL") ? @params.crudeSpread : 4;
//}
//else if (signalFile.Macd == 2)
//{
// tick *= (signalFile.Trend < 40 && orderDetails.BuyOrSell == "SELL") ? @params.crudeSpread : 3;
//}
//if (signalFile.Macd == -1)
//{
// tick *= (signalFile.Trend < 40 && orderDetails.BuyOrSell == "BUY") ? @params.crudeSpread : 4;
//}
//else if (signalFile.Macd == -2)
//{
// tick *= (signalFile.Trend < 40 && orderDetails.BuyOrSell == "BUY") ? @params.crudeSpread : 3;
//}
if (orderDetails.BuyOrSell == "BUY")
{
//If Up trend than our bid is spread = 2 and offer is @params.crudeSpread = 5
//tick *= (signalFile.EMAAngle < 40 && signalFile.EMAAngle > -40) ? @params.crudeSpread : 8;
tick *= (signalFile.Trend < 40) ? @params.crudeSpread : 4;
limitPrice = Math.Min(prices.BidPrice, signalFile.LimitPrice); //prices.BidPrice;
limitPrice -= tick;
}
else if (orderDetails.BuyOrSell == "SELL")
{
//If Down trend than our offer is spread = 2 and out bid is @params.crudeSpread = 5
//tick *= (signalFile.EMAAngle < 40 && signalFile.EMAAngle > -40) ? @params.crudeSpread : 8;
tick *= (signalFile.Trend < 40) ? @params.crudeSpread : 4;
limitPrice = Math.Max(prices.AskPrice, signalFile.LimitPrice); //prices.AskPrice;
limitPrice += tick;
}
return(limitPrice);
case "MES":
//tick *= (db.Item3 == 0 || db.Item3 != 0) ? @params.sp500Spread : 1;
//tick *= (signalFile.EMAAngle < 40 && signalFile.EMAAngle > -40) ? @params.sp500Spread : @params.sp500Spread ;
tick *= (signalFile.Trend < 40) ? @params.sp500Spread : 5;
if (orderDetails.BuyOrSell == "BUY")
{
limitPrice = Math.Min(prices.BidPrice, signalFile.LimitPrice);
limitPrice -= tick;
}
else if (orderDetails.BuyOrSell == "SELL")
{
limitPrice = Math.Max(prices.AskPrice, signalFile.LimitPrice);
limitPrice += tick;
}
return(limitPrice);
}
return(limitPrice);
}
private double GetPrices(FuturesContract futuresContract, SignalFile signalFile, Strategy strategy, OrderDetails orderDetails, Prices prices, Tuple <bool, bool, int> db)
{
double limitPrice = 0;
if (prices.BidPrice > 0 && prices.AskPrice > 0)
{
limitPrice = GetBrokerLimitPrice(futuresContract, orderDetails, prices, strategy, db, signalFile);
}
else if (limitPrice <= 0)
{
limitPrice = GetSignalFileLimitPrice(futuresContract, orderDetails, signalFile, strategy, db);
}
return(limitPrice);
}
private double ExecuteOrder(FuturesContract futuresContract, SignalFile signalFile, OrderDetails orderDetails, Strategy strategy, SimpleLogger log, Tuple <bool, bool, int> db)
{
Prices prices = new Prices();
prices = prices.StartListener(clientSocket, contract, strategy, prices, log);
double limitPrice = GetPrices(futuresContract, signalFile, strategy, orderDetails, prices, db);
if (limitPrice <= 0)
{
limitPrice = signalFile.LimitPrice;
log.Warning($"LimitPrice for {strategy.StrategyName} is null using signalFile price {signalFile.LimitPrice}");
}
//Use market orders overnight so we don't miss getting filled
//string orderType = OverNight(signalFile, db);
//if (string.IsNullOrEmpty(orderType))
//{
// orderType = strategy.OrderType;
//}
Order parent = new Order();
Order openOrder = new Order();
List <Order> orders = new List <Order>();
if (db.Item3 != 0) //If there is a position
{
//Use market orders overnight so we don't miss getting filled
string orderType = OverNight(signalFile, db);
//if (string.IsNullOrEmpty(orderType))
//{
// orderType = strategy.OrderType;
//}
//Close position with market order
parent = new Order()
{
OrderId = OrderDetails.NextOrderId++,
Action = orderDetails.BuyOrSell,
OrderType = (string.IsNullOrEmpty(orderType) ? strategy.OrderType : orderType), //strategy.OrderType, //"MKT",
TotalQuantity = strategy.LotSize,
LmtPrice = (orderDetails.BuyOrSell == "SELL") ? prices.BidPrice : prices.AskPrice, //limitPrice,
AuxPrice = (orderDetails.BuyOrSell == "SELL") ? prices.BidPrice : prices.AskPrice, //limitPrice,
Tif = "GTC",
Transmit = true
};
openOrder = new Order()
{
OrderId = OrderDetails.NextOrderId++,
Action = orderDetails.BuyOrSell,
OrderType = strategy.OrderType, //(strategy.OrderType == "MKT" ? strategy.OrderType : orderType),
TotalQuantity = strategy.LotSize,
LmtPrice = limitPrice,
AuxPrice = limitPrice,
Tif = "GTC",
Transmit = true
};
orders = new List <Order>()
{
parent,
openOrder
};
}
else
{
openOrder = new Order()
{
OrderId = OrderDetails.NextOrderId++,
Action = orderDetails.BuyOrSell,
OrderType = strategy.OrderType, //(strategy.OrderType == "MKT" ? strategy.OrderType : orderType),
TotalQuantity = orderDetails.LotSize,
LmtPrice = limitPrice,
AuxPrice = limitPrice,
Tif = "GTC",
Transmit = true
};
orders = new List <Order>()
{
openOrder
};
}
foreach (Order o in orders)
{
clientSocket.placeOrder(o.OrderId, contract, o);
}
orderDetails.OrderId = parent.OrderId.ToString();
orderDetails.OrderStatus = "Submitted";
if (db.Item3 != 0)
{
log.Signal($"Sent Closing {parent.Action} {parent.OrderType} Order for {strategy.Symbol} LimitPrice:{parent.LmtPrice} LotSize:{parent.TotalQuantity} OrderId:{parent.OrderId}");
log.Signal($"Sent Opening {openOrder.Action} {openOrder.OrderType} Order for {strategy.Symbol} LimitPrice:{openOrder.LmtPrice} LotSize:{openOrder.TotalQuantity} OrderId:{openOrder.OrderId}");
}
else
{
log.Signal($"Sent Opening {openOrder.Action} {openOrder.OrderType} Order for {strategy.Symbol} LimitPrice:{openOrder.LmtPrice} LotSize:{openOrder.TotalQuantity} OrderId:{openOrder.OrderId}");
}
OrderDetails.OrderIdList.DataList.Add(orderDetails.OrderId);
return(limitPrice);
}
public Prices StartListener(EClientSocket clientSocket, Contract contract, Strategy strategy, Prices prices, SimpleLogger log)
{
string ticker;
string strBid;
string strAsk;
double bid;
double ask;
int maxLoopCount = 30;
Prices.IBDepthBidPriceFlag = false;
Prices.IBDepthAskPriceFlag = false;
if (strategy.Symbol != "MGC")
{
int cnt = 0;
clientSocket.reqMarketDepth(strategy.StrategyId, contract, 1, null);
while (true)
{
ticker = SignalFile.GetWantedText(Prices.SideOne, "TickerId:");
strBid = SignalFile.GetWantedText(Prices.SideOne, "Price:");
strAsk = SignalFile.GetWantedText(Prices.SideTwo, "Price:");
if (Prices.IBDepthBidPriceFlag && Prices.IBDepthAskPriceFlag)
{
bid = Convert.ToDouble(strBid);
ask = Convert.ToDouble(strAsk);
if (bid > 0 && ask > 0)
{
prices.BidPrice = bid;
prices.AskPrice = ask;
clientSocket.cancelMktDepth(strategy.StrategyId);
log.Info($"Received Market Depth for TickerId:{ticker}, Symbol:{strategy.Symbol}, Bid:{strBid}, Ask:{strAsk}");
break;
}
else
{
log.Info($"Unable to get Market Depth for TickerId:{ticker}, Market Depth Bid:{strBid}, Ask:{strAsk}");
clientSocket.cancelMktDepth(strategy.StrategyId);
break;
}
}
if (cnt > maxLoopCount)
{
clientSocket.cancelMktDepth(strategy.StrategyId);
log.Warning($"Unable to get Market Depth for TickerId:{ticker}, Symbol:{strategy.Symbol}, Market Depth Bid:{strBid}, Ask:{strAsk}");
break;
}
log.Info($"Getting Market Depth... {cnt}");
cnt++;
}
}
if (prices.BidPrice <= 0 || prices.AskPrice <= 0)
{
int cnt = 0;
clientSocket.reqMktData(strategy.StrategyId, contract, "", false, null);
Prices.IBBidPriceFlag = false;
Prices.IBAskPriceFlag = false;
while (true)
{
ticker = SignalFile.GetWantedText(Prices.SideOne, "TickerId:");
strBid = SignalFile.GetWantedText(Prices.FieldOne, "Price:");
strAsk = SignalFile.GetWantedText(Prices.FieldTwo, "Price:");
bid = Convert.ToDouble(strBid);
ask = Convert.ToDouble(strAsk);
if (Prices.IBBidPriceFlag && Prices.IBAskPriceFlag)
{
if (bid > 0 && ask > 0)
{
prices.BidPrice = bid;
prices.AskPrice = ask;
clientSocket.cancelMktData(strategy.StrategyId);
log.Info($"Received Snapshot Data for TickerId:{ticker}, Symbol:{strategy.Symbol}, Bid:{strBid}, Ask:{strAsk}");
break;
}
else
{
log.Info($"Unable to get Snapshot Data for TickerId:{ticker}, Symbol:{strategy.Symbol}, Bid:{strBid}, Ask:{strAsk}");
clientSocket.cancelMktDepth(strategy.StrategyId);
break;
}
}
if (cnt >= maxLoopCount)
{
clientSocket.cancelMktData(strategy.StrategyId);
log.Warning($"Unable to get Snapshot Data for TickerId:{ticker}, Symbol:{strategy.Symbol}, Bid:{strBid}, Ask:{strAsk}");
break;
}
log.Info($"Getting Price Snapshot Data... {cnt}");
cnt++;
}
}
return(prices);
}
