public BrokerErrorCode Epilog()
{
// While exiting the thread, cancel all the outstanding orders
// Before cancel, store the state of any imbalanced outstanding order, i.e. 1-side executed(fully or partly) trade
BrokerErrorCode errorCode = BrokerErrorCode.Success;
string traceString = "Algo1_SimplePairedBuySellDelivery.Epilog :: ENTER";
FileTracing.TraceOut(traceString);
if (algoParams.bCancelOutstandingOrdersAtEnd)
{
errorCode = BrokerUtils.CancelStockOutstandingOrdersAndTrace(mBroker, stockCode);
}
traceString = "Algo1_SimplePairedBuySellDelivery.Epilog :: EXIT";
FileTracing.TraceOut(traceString);
return(errorCode);
}
public BrokerErrorCode Prolog()
{
BrokerErrorCode errorCode = BrokerErrorCode.Success;
string traceString = "Algo1_SimplePairedBuySellDelivery.Prolog :: ENTER";
FileTracing.TraceOut(traceString);
if (algoParams.bCancelOutstandingOrdersAtStart)
{
errorCode = BrokerUtils.CancelStockOutstandingOrdersAndTrace(mBroker, stockCode);
}
if (!algoParams.bStartAFresh)
{
// Start from last run state and try to be in pair-execute state
// There may be less than or equal to 1 lot of stock as long or short
// Pick up the last trade from xml
// TODO:
}
// Get latest quote
EquitySymbolQuote[] stockPrice;
errorCode = mBroker.GetEquityQuote(stockCode, out stockPrice);
if (!errorCode.Equals(BrokerErrorCode.Success))
{
return(errorCode);
}
int stockExchange = stockInfo.MainExchange == Exchange.NSE ? 0 : 1;
double buyOrderValue = (stockPrice[stockExchange].LastTradePriceDouble * algoParams.StockTradingLot);
buyOrderValue += stockInfo.EstimatedBrokerage(buyOrderValue);
// Erroneous conditions get out, do later
// TODO: right now assume stock abvailable is at least = stock trading lot
// and assume limit is available
//if(stockInfo.StockAvailableAtStart <
// TODO: find better alternative to fit this variable
if ((stockInfo.StockAvailableAtStart < algoParams.StockTradingLot) && (stockInfo.FundLimitAtStart >= 2 * buyOrderValue))
{
// This means first buy the stock, then start trading it
bGenerateASingleBuyOrderAtStart = true;
}
else if (stockInfo.StockAvailableAtStart < algoParams.StockTradingLot)
{
errorCode = BrokerErrorCode.InValidArg;
}
if (!bGenerateASingleBuyOrderAtStart && errorCode.Equals(BrokerErrorCode.Success))
{
// There should be suficient stock to place a sell order to generate limit first
// and then for the pair-orders
// stockavailable should be at least twice the trading lot
if ((stockInfo.FundLimitAtStart < buyOrderValue) && (stockInfo.StockAvailableAtStart >= 2 * algoParams.StockTradingLot))
{
// Generate a sell order
bGenerateASingleSellOrderAtStart = true;
}
else if (stockInfo.FundLimitAtStart < buyOrderValue)
{
errorCode = BrokerErrorCode.InValidArg;
}
}
string price = "1";
bool bGenerateOrder = false;
OrderDirection orderDirection = OrderDirection.BUY;
// BUY order
if (bGenerateASingleBuyOrderAtStart)
{
// price decision
if (algoParams.initBidPrice > 0)
{
price = algoParams.initBidPrice.ToString();
}
// First orders, only if market not open and it is first order pair
else if (!MarketUtils.IsMarketOpen())
{
double closePrice = stockPrice[stockExchange].PreviousClosePriceDouble;
decimal buy = (decimal)(closePrice - ((double)(3.0 / 100) * closePrice));//prevclose - 3%
buy = decimal.Subtract(buy, 0.05M);
buy = decimal.Round(buy, 1);
price = buy.ToString();
}
// Subsequent orders
// TODO: May put time conditions or market volatility conditions here in else if
else
{
double ltp = stockPrice[stockExchange].LastTradePriceDouble;
decimal buy = (decimal)(ltp - ((double)(0.65 / 100) * ltp));//prevclose - 0.65%
buy = decimal.Subtract(buy, 0.05M);
buy = decimal.Round(buy, 1);
price = buy.ToString();
}
orderDirection = OrderDirection.BUY;
bGenerateASingleBuyOrderAtStart = false;
bGenerateOrder = true;
}
// SELL order
if (bGenerateASingleSellOrderAtStart)
{
// price decision
if (algoParams.initOfferPrice > 0)
{
price = algoParams.initOfferPrice.ToString();
}
// First orders, only if market not open and it is first order pair
if (!MarketUtils.IsMarketOpen())
{
double closePrice = stockPrice[stockExchange].PreviousClosePriceDouble;
decimal sell = (decimal)(closePrice + (3.0 / 100 * closePrice));//prevclose + 3%
sell = decimal.Add(sell, 0.05M);
sell = decimal.Round(sell, 1, MidpointRounding.AwayFromZero);
price = sell.ToString();
}
// Subsequent orders
// TODO: May put time conditions or market volatility conditions here in else if
else
{
double ltp = stockPrice[stockExchange].LastTradePriceDouble;
decimal sell = (decimal)(ltp + (0.65 / 100 * ltp));//prevclose + 0.65%
sell = decimal.Add(sell, 0.05M);
sell = decimal.Round(sell, 1, MidpointRounding.AwayFromZero);
price = sell.ToString();
}
orderDirection = OrderDirection.SELL;
bGenerateASingleSellOrderAtStart = false;
bGenerateOrder = true;
}
if (bGenerateOrder)
{
// Generate orders
List <EquityOrderRecord> generatedOrders = new List <EquityOrderRecord>
{
new EquityOrderRecord(stockCode,
algoParams.StockTradingLot,
price, OrderPriceType.LIMIT,
orderDirection,
stockInfo.MainExchange,
EquityOrderType.DELIVERY, "0",
"0")
};
List <BrokerErrorCode> errorCodes = null;
// Validate orders
List <EquityOrderRecord> ordersToPlace = stockInfo.ReturnFilteredValidOrders(generatedOrders);
// Place validated orders
errorCodes = mBroker.PlaceMultipleEquityOrders(ordersToPlace, 5);
traceString = "Algo1_SimplePairedBuySellDelivery.Prolog\n" + "Stock: " + stockInfo.StockCode + " :PlaceMultipleEquityOrders: 1\n";
int o = 0;
foreach (BrokerErrorCode errCodeEach in errorCodes)
{
EquityOrderRecord order = ordersToPlace[o++];
traceString = traceString + order.OrderDirection.ToString() + "-" + order.Quantity.ToString() +
" at " + order.Price + ": " + errCodeEach.ToString() + "\n";
errorCode = errCodeEach;
}
FileTracing.TraceOut(traceString);
}
traceString = "Algo1_SimplePairedBuySellDelivery.Prolog :: EXIT";
FileTracing.TraceOut(traceString);
return(errorCode);
}
// Stock trading lot(qty) for orders
//private int mStockTradingLot;
//protected int StockTradingLot
//{
// get { lock (lockObjectProperties) { return mStockTradingLot; } }
// set { lock (lockObjectProperties) { mStockTradingLot = value; } }
//}
public BrokerErrorCode RunCoreAlgo()
{
#region SimpleBuySellPairSquareAlgo
bool bCancelPairOrder = false;
string stockCode = stockInfo.StockCode;
int stockExchange = stockInfo.MainExchange == Exchange.NSE ? 0 : 1;
BrokerErrorCode errorCode = BrokerErrorCode.Unknown;
int tryCnt = 0;
while (errorCode != BrokerErrorCode.Success && tryCnt <= 5)
{
// refresh stock state (doesnt have price info)
errorCode = EquityStockState.EquityRefreshStockStateToday(mBroker, stockInfo);
if (errorCode == BrokerErrorCode.NotLoggedIn)
{
mBroker.LogOut();
errorCode = mBroker.CheckAndLogInIfNeeded(true);
tryCnt++;
}
}
string traceString = "RefreshEquityStockStateToday: " + errorCode.ToString();
FileTracing.TraceOut(traceString);
if (errorCode.Equals(BrokerErrorCode.Success))
{
// If no buy or sell order pending, i.e. the square-off pair orders have executed
// then place a pair of fresh buy-sell orders
if (!(stockInfo.IsAnyOutstandingBuyOrder() ||
stockInfo.IsAnyOutstandingSellOrder()
))
{
// Place buy-sell order pair
// Get latest quote
EquitySymbolQuote[] stockPrice;
errorCode = mBroker.GetEquityQuote(stockCode, out stockPrice);
if (!errorCode.Equals(BrokerErrorCode.Success))
{
return(errorCode);
}
// Generate orders
List <EquityOrderRecord> generatedOrders = new List <EquityOrderRecord>();
string BidPrice;
string OfferPrice;
// price decision
// First orders, only if market not open and it is first order pair
if ((stockInfo.NumTrades == 0) && !MarketUtils.IsMarketOpen())
{
double closePrice = stockPrice[stockExchange].PreviousClosePriceDouble;
if (algoParams.initBidPrice > 0)
{
BidPrice = algoParams.initBidPrice.ToString();
}
else
{
decimal buy = (decimal)(closePrice - (2.0 / 100 * closePrice));//prevclose - 3%
buy = decimal.Subtract(buy, 0.05M);
buy = decimal.Round(buy, 1);
BidPrice = buy.ToString();
}
if (algoParams.initOfferPrice > 0)
{
OfferPrice = algoParams.initOfferPrice.ToString();
}
else
{
decimal sell = (decimal)(closePrice + (2.0 / 100 * closePrice));//prevclose + 3%
sell = decimal.Add(sell, 0.05M);
sell = decimal.Round(sell, 1, MidpointRounding.AwayFromZero);
OfferPrice = sell.ToString();
}
}
// Subsequent orders
// TODO: May put time conditions or market volatility conditions here in else if
else
{
double ltp = stockPrice[stockExchange].LastTradePriceDouble;
decimal buy = (decimal)(ltp - ((double)(0.85 / 100) * ltp));//prevclose - 0.85%
buy = decimal.Subtract(buy, 0.05M);
buy = decimal.Round(buy, 1);
BidPrice = buy.ToString();
decimal sell = (decimal)(ltp + ((double)(0.85 / 100) * ltp));//prevclose + 0.85%
sell = decimal.Add(sell, 0.05M);
sell = decimal.Round(sell, 1, MidpointRounding.AwayFromZero);
OfferPrice = sell.ToString();
}
// Buy
generatedOrders.Add(new EquityOrderRecord(stockCode, algoParams.StockTradingLot, BidPrice, OrderPriceType.LIMIT, OrderDirection.BUY, stockInfo.MainExchange, EquityOrderType.DELIVERY, "0", "0"));
if (!bGenerateASingleBuyOrderAtStart)
{
// Sell
generatedOrders.Add(new EquityOrderRecord(stockCode, algoParams.StockTradingLot, OfferPrice, OrderPriceType.LIMIT, OrderDirection.SELL, stockInfo.MainExchange, EquityOrderType.DELIVERY, "0", "0"));
}
List <BrokerErrorCode> errorCodes = null;
// Validate orders
List <EquityOrderRecord> ordersToPlace = stockInfo.ReturnFilteredValidOrders(generatedOrders);
// Place validated orders
errorCodes = mBroker.PlaceMultipleEquityOrders(ordersToPlace, 5);
traceString = "Stock: " + stockInfo.StockCode + " :PlaceMultipleEquityOrders: 2\n";
int o = 0;
foreach (BrokerErrorCode errCodeEach in errorCodes)
{
EquityOrderRecord order = ordersToPlace[o++];
traceString = traceString + order.OrderDirection.ToString() + "-" + order.Quantity.ToString() +
" at " + order.Price + ": " + errCodeEach.ToString() + "\n";
// Place Order failed
if (!errCodeEach.Equals(BrokerErrorCode.Success))
{
// Cancel both the orders
bCancelPairOrder = true;
}
}
FileTracing.TraceOut(traceString);
// Even if any one of the orders failed to place, cancel the pair
if (bCancelPairOrder)
{
errorCode = BrokerUtils.CancelStockOutstandingOrdersAndTrace(mBroker, stockCode);
}
}
}
return(errorCode);
#endregion
}