/*Entry Logic... COULD ALSO BE USED TO CALL RUN_TS_CS if needed (Called on Tick... so that works)
* private static void GFClient_OnPriceTick(GF.Api.IGFClient client, GF.Api.Contracts.PriceChangedEventArgs e)
* {
* //TRADING LOGIC !! REPLACE WITH SHIT YOU WANT.
* if (Math.Abs(e.Price.LastPrice - e.Price.BidPrice) < e.Contract.TickSize)
* PlaceOrder(client, e.Contract, OrderSide.Buy, e.Price.BidPrice, "By Bid");
* else if (Math.Abs(e.Price.LastPrice - e.Price.AskPrice) < e.Contract.TickSize)
* PlaceOrder(client, e.Contract, OrderSide.Sell, e.Price.AskPrice, "By Ask");
* }
*/
private static void PlaceOrder(GF.Api.IGFClient client, GF.Api.Contracts.IContract contract, GF.Api.Values.Orders.OrderSide orderSide, int qty, double limitPrice = 0.0, string comments = "")
{
//var qty = position.Net.Volume;
//TWEAK THIS SO THAT IF LIMITPRICE = 0.0, MARKET ORDER!!!!
if (client.Orders.Get().Count == 0 || client.Orders.Get().Last().IsFinalState)
{
OrderDraft orderDraft = new OrderDraftBuilder()
.WithAccountID(client.Accounts.Get().First().ID)
.WithContractID(contract.ID)
.WithSide(orderSide)
.WithOrderType(GF.Api.Values.Orders.OrderType.Market)
//.WithPrice(limitPrice)
.WithQuantity(1)
.WithEnd(DateTime.UtcNow.AddMinutes(1))
.WithComments(comments)
.Build();
IReadOnlyList <OrderDraftValidationError> validationErrors = client.Orders.Drafts.Validate(orderDraft);
if (validationErrors.Any())
{
Console.WriteLine($"ERROR. Order {orderSide} {orderDraft.Quantity} {contract.Symbol} @ {contract.PriceToString(limitPrice)} Limit is invalid:");
foreach (var error in validationErrors)
{
Console.WriteLine($"\t{error.Message}");
}
}
else
{
GF.Api.Orders.IOrder order = client.Orders.SendOrder(orderDraft);
Console.WriteLine($"Order {order} was sent");
}
}
}
public void OnBar(GF.Api.IGFClient client, GF.Api.Subscriptions.Bars.BarsReceivedEventArgs e)
{
foreach (var bar in e.Bars)
{
Fill_OHLC(e.Subscription.Contract, bar);
}
}
private void GFClient_OnOrderStateChanged(GF.Api.IGFClient client, GF.Api.Orders.OrderStateChangedEventArgs e)
{
if (!e.Order.IsFinalState)
{
return;
}
var avgPosition = e.Order.Account.AvgPositions[e.Order.Contract];
if (avgPosition == null)
{
return;
}
if (_resultActions.TryGetValue(avgPosition, out var action))
{
var orders = GetPositionOrders(e.Order.Account, e.Order.Contract).ToList();
if (orders.Any())
{
CancelAll(orders);
}
else
{
if (avgPosition.Net.Volume == 0)
{
_resultActions.Remove(avgPosition);
action();
}
else
{
PlaceExitOrder(avgPosition);
}
}
}
}
private static void GFClient_OnBarsReceived(GF.Api.IGFClient client, GF.Api.Subscriptions.Bars.BarsReceivedEventArgs e)
{
Console.WriteLine($"{e.Bars.Count} bars received for {e.Subscription.Contract.Symbol} {e.Subscription.Description.Type} {e.Subscription.Description.Interval}");
foreach (var bar in e.Bars)
{
DisplayBar(e.Subscription.Contract, bar);
}
}
//Helper function for cat_Trail
private double get_position_pnl(GF.Api.IGFClient client, GF.Api.Positions.PositionChangedEventArgs e)
{
//SEEMS LIKE IT NEEDS A LOOP... NO?
//foreach(var pos in GF.Api.Positions....)
return(e.ContractPosition.OTE); //+ e.ContractPosition.Gain; //Think Gain is Realized PNL, we want UNREALIZED only.
//THINK from documentation that it's only OTE for OpenPNL
}
public void Fill_Hist_Bars(GF.Api.IGFClient client, GF.Api.Subscriptions.Bars.BarsReceivedEventArgs e)
{
//Data d = new Data();
Console.WriteLine("Getting past (lb) bars..."); //CHECK WHAT ORDER THEY ARE ADDED...
foreach (var bar in e.Bars)
{
d.hist.Add(bar);
}
Console.WriteLine("historical bars populated");
}
private static void GFClient_OnSymbolLookupReceived(GF.Api.IGFClient client, GF.Api.Contracts.Lookup.SymbolLookupEventArgs e)
{
Data d = new Data(); //to get property -- must be an easier way?
// Subscribe 10-min bars and loads previous 3 days of historical bars
client.Subscriptions.Bars.Subscribe(
e.Contracts.First().ID,
client.Subscriptions.Bars.Duration.Create(DateTime.UtcNow.AddDays(-d.lookback)),
client.Subscriptions.Bars.Description.CreateMinutes(10));
}
public Connect(int p = 9200)
{
gfClient = GF.Api.Impl.GFApi.CreateClient(); //Removed declaration stuff (type, object -- etc)
account = gfClient.Accounts.Get().FirstOrDefault();
runner = new GF.Api.Threading.GFClientRunner(gfClient); //declared in class def
runner.Start();
Console.WriteLine("Runner (HB) started.");
port = p;
Console.WriteLine("Connecting...");
}
//Hidden Entry into the program -- This initializes the RUN.
private void GFClient_OnAvgPositionChanged(GF.Api.IGFClient client, GF.Api.Positions.PositionChangedEventArgs e)
{
//Connect c; For static call to shit
// IFF -- This is called ONCE, replace run_cat_trail with RUN() here --
//Run(e);
run_cat_trail(e);
//Can throw RUN in here!! Since I can;t get it to run otherwise... Also does nice logging. -- OR just call check_ts_cs right from here.
Console.WriteLine(
"Average Position. {0}/{1}: Net Pos: {2} @ {3}, Bought: {4}, Sold {5}, Prev Pos: {6} P/L: {7:c}",
e.Account.Spec, e.ContractPosition.Contract.Symbol,
e.ContractPosition.Net.Volume, e.ContractPosition.Net.Price,
e.ContractPosition.Long.Volume, e.ContractPosition.Short.Volume,
e.ContractPosition.Prev.Volume,
e.ContractPosition.OTE + e.ContractPosition.Gain);
}
private static void RegisterOnBarsReceived(GF.Api.IGFClient client)
{
client.Subscriptions.Bars.BarsReceived += GFClient_OnBarsReceived;
}
//Trailstop // Catstop portion...
public void RegisterOnAvgPositionChanged(GF.Api.IGFClient client)
{
client.Accounts.AvgPositionChanged += GFClient_OnAvgPositionChanged;
//client.Accounts.AvgPositionChanged += run_cat_trail; // No idea how to start this?
//client.Accounts.AvgPositionChanged += Test;
}
private void GFClient_OnDisconnected(GF.Api.IGFClient client, GF.Api.Connection.DisconnectedEventArgs disconnectedEventArgs)
{
_resultActions.Clear();
}
public PositionCloser(GF.Api.IGFClient client)
{
_client = client;
_client.Connection.Aggregate.Disconnected += GFClient_OnDisconnected;
_client.Orders.OrderStateChanged += GFClient_OnOrderStateChanged;
}
