public void ExitPosition(GF.Api.Positions.IPosition position, GF.Api.Positions.PositionChangedEventArgs e)
{
var volume = GetPositionVolume(position);
var side = volume > 0 ? OrderSide.Sell : OrderSide.BuyToCover;
Console.WriteLine("Initiating order...");
PlaceOrder(gfClient, e.ContractPosition.Contract.ElectronicContract, OrderSide.Sell, Math.Abs(volume));
}
//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
}
//THIS SHOULD BE CALLED ON TICK MOST LIKELY... whereas the entries on BARS
public int check_ts_cs(GF.Api.Positions.PositionChangedEventArgs e)
{
//Called inside of loop of positions in Array : )
var opl = get_position_pnl(gfClient, e);
var sym = e.ContractPosition.Contract.Symbol;
//Default dict values ... (used in if/elifs)
var def = false;
var idef = 0.0;
//If no value in dict, save them in -- (Avoid errors)
if (hi_pnl.TryGetValue(sym, out idef)) //Make sure this doesnt write over any current value?
{
hi_pnl[sym] = 0;
trigger_pnl[sym] = 0;
}
//If new high, write over past hi_pnl
if (opl > hi_pnl[sym]) //MIGHT need to init this dictionary when position opens?
{
hi_pnl[sym] = opl;
}
//Update Trigger price...
trigger_pnl[sym] = hi_pnl[sym] * (1 - trail_dec);
//Begin Trailing with Trigger...
if (opl >= trail_tgt)
{
if (!trail_on.TryGetValue(sym, out def))
{
trail_on[sym] = true;
}
}
if (trail_on[sym])
{
if (opl <= trigger_pnl[sym])
{
Console.WriteLine($"Exitting {sym} at {opl}");
//PlaceOrder(gfClient, e.ContractPosition.Contract.ElectronicContract, OrderSide.BuyToCover); -- Replace w MKT order (or STOP ordeR?)
return(1); //signals time to exit... and logs -- Cleaner.
}
}
if (opl <= fixed_stop)
{
return(-1);
}
return(0);
}
//Hidden Entry into the program -- This initializes the RUN.
private void GFClient_OnAvgPositionChanged(GF.Api.IGFClient client, GF.Api.Positions.PositionChangedEventArgs e)
{
//Connect c; For static call to shit
// IFF -- This is called ONCE, replace run_cat_trail with RUN() here --
//Run(e);
run_cat_trail(e);
//Can throw RUN in here!! Since I can;t get it to run otherwise... Also does nice logging. -- OR just call check_ts_cs right from here.
Console.WriteLine(
"Average Position. {0}/{1}: Net Pos: {2} @ {3}, Bought: {4}, Sold {5}, Prev Pos: {6} P/L: {7:c}",
e.Account.Spec, e.ContractPosition.Contract.Symbol,
e.ContractPosition.Net.Volume, e.ContractPosition.Net.Price,
e.ContractPosition.Long.Volume, e.ContractPosition.Short.Volume,
e.ContractPosition.Prev.Volume,
e.ContractPosition.OTE + e.ContractPosition.Gain);
}
public int run_cat_trail(GF.Api.Positions.PositionChangedEventArgs e)
{
//var account = gfClient.Accounts.Get().FirstOrDefault();
//Should be inside loop ? Called inside loop?
//var positions = GetOpenPositions(account, e); //Just in case we need more detail / Safety...
int ret = 0;
foreach (var pos in e.AsArray())
{
ret = check_ts_cs(pos);
switch (ret)
{
case 0:
break;
case -1:
Console.WriteLine($"CatStop Triggered -- Exiting position in {e.ContractPosition.Contract.Symbol}");
break;
case 1:
Console.WriteLine($"TrailStop Triggered -- Exiting position in {e.ContractPosition.Contract.Symbol}");
break;
default:
Console.WriteLine($"Error -- Please check position in {e.ContractPosition.Contract.Symbol}");
break;
}
if (ret != 0)
{
var qty = Math.Abs(e.ContractPosition.Net.Volume);
if (e.ContractPosition.Net.Volume < 0)
{
PlaceOrder(gfClient, e.ContractPosition.Contract.ElectronicContract, OrderSide.BuyToCover, qty);
Console.WriteLine("SX order sent.");
}
if (e.ContractPosition.Net.Volume > 0)
{
PlaceOrder(gfClient, e.ContractPosition.Contract.ElectronicContract, OrderSide.Sell, qty);
Console.WriteLine("LX order sent.");
}
}
}
return(ret);
}
//Helper function to simplify run_cat_trail function... -- BETTER version in closeposition logic...
public int Go_Flat(GF.Api.Positions.PositionChangedEventArgs e)
{
var symbol = e.ContractPosition.Contract.Symbol;
var net_basis = e.ContractPosition.Net.Volume;
int _basis = net_basis > 0 ? 1 : -1;
var close_qty = Math.Abs(net_basis);
Console.WriteLine($"Exitting Position in -- {symbol}");
switch (_basis)
{
case -1:
PlaceOrder(gfClient, e.ContractPosition.Contract.ElectronicContract, OrderSide.BuyToCover, close_qty);
return(0);
case 1:
PlaceOrder(gfClient, e.ContractPosition.Contract.ElectronicContract, OrderSide.Sell, close_qty);
return(0);
default:
return(-1);
}
}
public IEnumerable <GF.Api.Positions.IPosition> GetOpenPositions(GF.Api.Accounts.IAccount account, GF.Api.Positions.PositionChangedEventArgs e)
{
//Made active an ATTRIBUTE / PROPERTY -- now can be called whenever.
//GF.Api.Positions.IPosition[] active = { }; //Should I make this a fixed memory level ? Will Dynamic create overflow?
int idx = 0;
foreach (var pos in e.AsArray())
{
//If Matched Account, Has fills, and has Open Position PNL... Add to active.
if (e.ContractPosition.Account.ID == account.ID & e.ContractPosition.Fills != null & e.ContractPosition.OTE != 0)
{
//Console.WriteLine(pos);
active[idx] = pos.ContractPosition;
}
idx += 1;
}
//Real purpose -- return changed positions -- > To feed into TrailStop.
return(active);
}
/*Initially -- Try to use JUST the above code... IF you require more detail, then integrate the below stuff (tweaked examples) */
//Goal was to find and loop thrugh all open positions... return them as an iterable object -- upon PositionsChangedEvent
public IEnumerable <GF.Api.Positions.IPosition> GetPositions(GF.Api.Accounts.IAccount account, GF.Api.Positions.PositionChangedEventArgs e)
{
return(e.ContractPosition.AsArray());
}
//Need to get this PositionChangedEventArg shit somewhere ? No clue where...
public void Run(GF.Api.Positions.PositionChangedEventArgs e, int EOD = 1600, int sleep_seconds = 5)
{
//Gets Datetime and uses inf loop to check for new positions, and manage the trailstop -- Eventually could also use OnBar for entries.
//Maybe should be using onBar bc new position only on bars...
DateTime now = DateTime.Now;
DateTime saveUtcNow = DateTime.UtcNow; //If needed later...
TimeSpan FUT_gap = new TimeSpan(0, 2, 0, 0); //0 days, 10 hours, 5 minutes and 1 second
//tempDate.ToString("MMMM dd, yyyy")
var ns = now.ToString("HH:mm:ss");
Console.WriteLine("Checking for Market Open...");
if (now.Hour == EOD)
{
Console.WriteLine("Waiting for Market Reopen.");
}
while (now.Hour == EOD)
{
now = DateTime.Now;
Thread.Sleep(1000 * 60 * 5); //5min Sleep -- waiting for re-open
}
Console.WriteLine("Market now Open.");
RegisterOnAvgPositionChanged(gfClient); //Hopefully starts the event loop? -- THIS COULD BE WAY OFF
//Replaced delay with sleep -- simpler.
// TimeSpan object with 0 days, 0 hours, 0 minutes and (SLEEP arg) seconds.
//TimeSpan delay = new System.TimeSpan(0, 0, 0, sleep_seconds);
//DateTime next = now + delay;
while (true)
{
now = DateTime.Now;
//need to call heartbeat? (runner?)
//Check if Closed FIRST -- so don't accidentally exit in non-hours
if (now.Hour == EOD)
{
now = DateTime.Now;
Thread.Sleep(1000 * 60 * 60);
}
//Entry Stuff / OnBar could also be called right here... might want to check that flat tho (return from onBar?)
//if(now > next)
//next = DateTime.Now + delay;
ns = now.ToString("HH:mm:ss");
Debug.WriteLine($"Calling run_cat_trail -- {ns}");
var call = run_cat_trail(e);
Debug.WriteLine($"{call}");
Thread.Sleep(sleep_seconds * 1000);
Debug.WriteLine("Iteration Done ...");
}
}
public static void Test(GF.Api.Positions.PositionChangedEventArgs e)
{
Console.WriteLine("Testing event shit.");
}
