/// <summary>
/// Default market fill model for the base security class. Fills at the last traded price.
/// </summary>
/// <param name="asset">Security asset we're filling</param>
/// <param name="order">Order packet to model</param>
/// <returns>Order fill information detailing the average price and quantity filled.</returns>
/// <seealso cref="SecurityTransactionModel.StopMarketFill"/>
/// <seealso cref="SecurityTransactionModel.LimitFill"/>
public virtual OrderEvent MarketFill(Security asset, MarketOrder order)
{
//Default order event to return.
var utcTime = asset.LocalTime.ConvertToUtc(asset.Exchange.TimeZone);
var fill = new OrderEvent(order, utcTime, 0);
if (order.Status == OrderStatus.Canceled) return fill;
// make sure the exchange is open before filling
if (!IsExchangeOpen(asset)) return fill;
//Order [fill]price for a market order model is the current security price
fill.FillPrice = asset.Price;
fill.Status = OrderStatus.Filled;
//Calculate the model slippage: e.g. 0.01c
var slip = asset.SlippageModel.GetSlippageApproximation(asset, order);
//Apply slippage
switch (order.Direction)
{
case OrderDirection.Buy:
fill.FillPrice += slip;
break;
case OrderDirection.Sell:
fill.FillPrice -= slip;
break;
}
// assume the order completely filled
if (fill.Status == OrderStatus.Filled)
{
fill.FillQuantity = order.Quantity;
fill.OrderFee = asset.FeeModel.GetOrderFee(asset, order);
}
return fill;
}
private void ClosedOrdersWorkerCompleted(object sender, RunWorkerCompletedEventArgs e)
{
efficiency.closedDeals = (List <MarketOrder>)e.Result;
if (efficiency.closedDeals == null)
{
return;
}
var closedDeals = efficiency.closedDeals.ToList();
// суммарная закрытая сделка
MarketOrder sumClosed = null;
if (closedDeals.Count > 0)
{
var sumVolume = closedDeals.Sum(d => d.Volume * d.Side);
sumClosed = new MarketOrder
{
Symbol = "Сумм",
Volume = Math.Abs(sumVolume),
Side = Math.Sign(sumVolume),
ResultDepo = closedDeals.Sum(d => d.ResultDepo),
TimeEnter = closedDeals.Min(d => d.TimeEnter)
};
closedDeals.Add(sumClosed);
}
closedOrdersFastGrid.DataBind(closedDeals);
if (sumClosed != null)
{
var lastRow = closedOrdersFastGrid.rows.First(r => r.ValueObject == sumClosed);
lastRow.anchor = FastRow.AnchorPosition.AnchorBottom;
}
closedOrdersLoaded = true;
closedOrdersStandByControl.IsShown = false;
closedOrdersStandByControl.Hide();
closedOrdersFastGrid.Show();
// обновляем статистику
RebindStatisticsGrid();
// статистика по валютам
try
{
// ReSharper disable AssignNullToNotNullAttribute
var blank = new DealCountBySymbol();
countByTickerChart.Series[0].Points.DataBind(PerformerStatistic.GetDealCountBySymbol(efficiency),
blank.Property(p => p.Title),
blank.Property(p => p.DealCount), null);
// ReSharper restore AssignNullToNotNullAttribute
}
catch
{
}
countByTickerStandByControl.IsShown = false;
countByTickerStandByControl.Hide();
countByTickerChart.Show();
// строим диаграмму
CreateDiagram();
profitByMonthStandByControl.IsShown = false;
profitByMonthStandByControl.Hide();
profitByMonthChart.Show();
if (ClosedDealsLoaded != null)
{
ClosedDealsLoaded(this, new EventArgs());
}
}
/// <summary>
/// Gets all orders not yet closed
/// </summary>
/// <returns></returns>
public override List <Orders.Order> GetOpenOrders()
{
var list = new List <Order>();
try
{
var req = new RestRequest("/orders?status=open&status=pending", Method.GET);
GetAuthenticationToken(req);
var response = RestClient.Execute(req);
if (response != null)
{
var orders = JsonConvert.DeserializeObject <Messages.Order[]>(response.Content);
foreach (var item in orders)
{
Order order = null;
if (item.Type == "market")
{
order = new MarketOrder {
Price = item.Price
};
}
else if (item.Type == "limit")
{
order = new LimitOrder {
LimitPrice = item.Price
};
}
else if (item.Type == "stop")
{
order = new StopMarketOrder {
StopPrice = item.Price
};
}
else
{
Log.Error("GDAXBrokerage.GetOpenOrders: Unsupported order type returned from brokerage" + item.Type);
continue;
}
order.Quantity = item.Side == "sell" ? -item.Size : item.Size;
order.BrokerId = new List <string> {
item.Id.ToString()
};
order.Symbol = ConvertProductId(item.ProductId);
order.Time = DateTime.UtcNow;
order.Status = ConvertOrderStatus(item);
order.Price = item.Price;
list.Add(order);
}
}
}
catch (Exception)
{
throw;
}
foreach (Order item in list)
{
if (item.Status.IsOpen())
{
var cached = this.CachedOrderIDs.Where(c => c.Value.BrokerId.Contains(item.BrokerId.First()));
if (cached.Any())
{
this.CachedOrderIDs[cached.First().Key] = item;
}
}
}
return(list);
}
/// <summary>
/// Gets all orders not yet closed
/// </summary>
/// <returns></returns>
public override List <Order> GetOpenOrders()
{
var endpoint = GetEndpoint("auth/r/orders");
var request = new RestRequest(endpoint, Method.POST);
var parameters = new JsonObject();
request.AddJsonBody(parameters.ToString());
SignRequest(request, endpoint, parameters);
var response = ExecuteRestRequest(request);
if (response.StatusCode != HttpStatusCode.OK)
{
throw new Exception($"BitfinexBrokerage.GetOpenOrders: request failed: [{(int)response.StatusCode}] {response.StatusDescription}, Content: {response.Content}, ErrorMessage: {response.ErrorMessage}");
}
var orders = JsonConvert.DeserializeObject <Messages.Order[]>(response.Content)
.Where(OrderFilter(_algorithm.BrokerageModel.AccountType));
var list = new List <Order>();
foreach (var item in orders)
{
Order order;
if (item.Type.Replace("EXCHANGE", "").Trim() == "MARKET")
{
order = new MarketOrder {
Price = item.Price
};
}
else if (item.Type.Replace("EXCHANGE", "").Trim() == "LIMIT")
{
order = new LimitOrder {
LimitPrice = item.Price
};
}
else if (item.Type.Replace("EXCHANGE", "").Trim() == "STOP")
{
order = new StopMarketOrder {
StopPrice = item.Price
};
}
else
{
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Error, (int)response.StatusCode,
"BitfinexBrokerage.GetOpenOrders: Unsupported order type returned from brokerage: " + item.Type));
continue;
}
order.Quantity = item.Amount;
order.BrokerId = new List <string> {
item.Id.ToStringInvariant()
};
order.Symbol = _symbolMapper.GetLeanSymbol(item.Symbol, SecurityType.Crypto, Market.Bitfinex);
order.Time = Time.UnixMillisecondTimeStampToDateTime(item.MtsCreate);
order.Status = ConvertOrderStatus(item);
order.Price = item.Price;
list.Add(order);
}
foreach (var item in list)
{
if (item.Status.IsOpen())
{
var cached = CachedOrderIDs
.FirstOrDefault(c => c.Value.BrokerId.Contains(item.BrokerId.First()));
if (cached.Value != null)
{
CachedOrderIDs[cached.Key] = item;
}
}
}
return(list);
}
public PyDataType CancelCharOrder(PyInteger orderID, PyInteger regionID, CallInformation call)
{
int callerCharacterID = call.Client.EnsureCharacterIsSelected();
Character character = this.ItemFactory.GetItem <Character>(callerCharacterID);
using MySqlConnection connection = this.DB.AcquireMarketLock();
try
{
MarketOrder order = this.DB.GetOrderById(connection, orderID);
if (order.CharacterID != callerCharacterID)
{
throw new MktOrderDidNotMatch();
}
long currentTime = DateTime.UtcNow.ToFileTimeUtc();
// check for timers, no changes in less than 5 minutes
if (currentTime < order.Issued + TimeSpan.TicksPerSecond * this.NodeContainer.Constants[Constants.mktModificationDelay])
{
throw new MktOrderDelay((order.Issued + TimeSpan.TicksPerSecond * this.NodeContainer.Constants[Constants.mktModificationDelay]) - currentTime);
}
// check for escrow
if (order.Escrow > 0.0 && order.Bid == TransactionType.Buy)
{
using Wallet wallet = this.WalletManager.AcquireWallet(character.ID, 1000);
{
wallet.CreateJournalRecord(MarketReference.MarketEscrow, null, null, order.Escrow);
}
}
if (order.Bid == TransactionType.Sell)
{
// create the new item that will be used by the player
ItemEntity item = this.ItemFactory.CreateSimpleItem(
this.TypeManager[order.TypeID], character.ID, order.LocationID, Flags.Hangar, order.UnitsLeft
);
// immediately unload it, if it has to be loaded the OnItemUpdate notification will take care of that
this.ItemFactory.UnloadItem(item);
// check what node this item should be loaded at
long stationNode = this.SystemManager.GetNodeStationBelongsTo(order.LocationID);
if (stationNode == 0 || this.SystemManager.StationBelongsToUs(order.LocationID) == true)
{
this.NotificationManager.NotifyCharacter(character.ID, Notifications.Client.Inventory.OnItemChange.BuildLocationChange(item, this.ItemFactory.LocationMarket.ID));
}
else
{
this.NotificationManager.NotifyNode(stationNode, OnItemChange.BuildLocationChange(item.ID, this.ItemFactory.LocationMarket.ID, order.LocationID));
}
}
// finally remove the order
this.DB.RemoveOrder(connection, order.OrderID);
// send a OnOwnOrderChange notification
call.Client.NotifyMultiEvent(new OnOwnOrderChanged(order.TypeID, "Removed"));
}
finally
{
this.DB.ReleaseMarketLock(connection);
}
return(null);
}
public OrderEvent MarketFill(Security asset, MarketOrder order)
{
MarketFillWasCalled = true;
return(orderEvent);
}
/// <summary>
/// Automatically place an order which will set the holdings to between 100% or -100% of *Buying Power*.
/// E.g. SetHoldings("AAPL", 0.1); SetHoldings("IBM", -0.2); -> Sets portfolio as long 10% APPL and short 20% IBM
/// </summary>
/// <param name="symbol"> string Symbol indexer</param>
/// <param name="percentage">decimal fraction of portfolio to set stock</param>
/// <param name="liquidateExistingHoldings">bool flag to clean all existing holdings before setting new faction.</param>
/// <param name="tag">Tag the order with a short string.</param>
/// <seealso cref="MarketOrder"/>
public void SetHoldings(string symbol, decimal percentage, bool liquidateExistingHoldings = false, string tag = "")
{
//Error checks:
if (!Portfolio.ContainsKey(symbol))
{
Error(symbol.ToUpper() + " not found in portfolio. Request this data when initializing the algorithm.");
return;
}
//Range check values:
if (percentage > 1)
{
percentage = 1;
}
if (percentage < -1)
{
percentage = -1;
}
//If they triggered a liquidate
if (liquidateExistingHoldings)
{
foreach (var holdingSymbol in Portfolio.Keys)
{
if (holdingSymbol != symbol && Portfolio[holdingSymbol].AbsoluteQuantity > 0)
{
//Go through all existing holdings [synchronously], market order the inverse quantity:
Order(holdingSymbol, -Portfolio[holdingSymbol].Quantity);
}
}
}
var security = Securities[symbol];
// compute the remaining margin for this security
var direction = percentage > 0 ? OrderDirection.Buy : OrderDirection.Sell;
// compute an estimate of the buying power for this security incorporating the implied leverage
var marginRemaining = Math.Abs(percentage) * security.MarginModel.GetMarginRemaining(Portfolio, security, direction);
//
// Since we can't assume anything about the fee structure and the relative size of fees in
// relation to the order size we need to perform some root finding. In general we'll only need
// a two loops to compute a correct value. Some exotic fee structures may require more searching.
//
// compute the margin required for a single share
int quantity = 1;
var marketOrder = new MarketOrder(symbol, quantity, Time, type: security.Type)
{
Price = security.Price
};
var marginRequiredForSingleShare = security.MarginModel.GetInitialMarginRequiredForOrder(security, marketOrder);
// we want marginRequired to end up between this and marginRemaining
var marginRequiredLowerThreshold = marginRemaining - marginRequiredForSingleShare;
// iterate until we get a decent estimate, max out at 10 loops.
int loops = 0;
var marginRequired = marginRequiredForSingleShare;
while (marginRequired > marginRemaining || marginRequired < marginRequiredLowerThreshold)
{
var marginPerShare = marginRequired / quantity;
quantity = (int)Math.Truncate(marginRemaining / marginPerShare);
marketOrder.Quantity = quantity;
marginRequired = security.MarginModel.GetInitialMarginRequiredForOrder(security, marketOrder);
// no need to iterate longer than 10
if (++loops > 10)
{
break;
}
}
// nothing to change
if (quantity == 0)
{
return;
}
// adjust for going short
if (direction == OrderDirection.Sell)
{
quantity *= -1;
}
MarketOrder(symbol, quantity, false, tag);
}
public Order SellOrder(Instrument instrument, double qty, string text)
{
SingleOrder singleOrder = new MarketOrder(instrument.instrument, Side.Sell, qty, text);
singleOrder.Strategy = this.strategyName;
Order order = new Order(singleOrder);
order.Portfolio = this.portfolio;
Map.OQ_SQ_Order[order] = singleOrder;
Map.SQ_OQ_Order[singleOrder] = order;
return order;
}
public void GetAllByPortfolioEntry_Returns_Correct_Orders()
{
// fixture unique to this test
var marketOrderRepositoryFixture = new SqlKataMarketOrderRepositoryFixture();
// arrange
var marketOrder1 = new MarketOrder(new Decimal(10000.39), 10, new Decimal(1.1), DateTime.Now, true,
PortfolioEntryId: marketOrderRepositoryFixture.DefaultPortfolioEntryId);
var marketOrder2 = new MarketOrder(new Decimal(11000.39), 11, new Decimal(1.2),
DateTime.Now.Subtract(TimeSpan.FromSeconds(3600)), true,
PortfolioEntryId: marketOrderRepositoryFixture.DefaultPortfolioEntryId);
var marketOrder3 = new MarketOrder(new Decimal(12000.39), 12, new Decimal(1.3),
DateTime.Now.Subtract(TimeSpan.FromDays(30)), false,
PortfolioEntryId: marketOrderRepositoryFixture.DefaultPortfolioEntryId);
var marketOrder4 = new MarketOrder(new Decimal(12005.39), 15, new Decimal(12),
DateTime.Now.Subtract(TimeSpan.FromDays(11)), false,
PortfolioEntryId: marketOrderRepositoryFixture.SecondaryPortfolioEntryId);
var marketOrder5 = new MarketOrder(new Decimal(12006.39), 16, new Decimal(1.5),
DateTime.Now.Subtract(TimeSpan.FromDays(39)), false,
PortfolioEntryId: marketOrderRepositoryFixture.SecondaryPortfolioEntryId);
// act
var presumablyEmptyList =
marketOrderRepositoryFixture.MarketOrderRepository.GetAllByPortfolioEntryId(marketOrderRepositoryFixture
.DefaultPortfolioEntryId);
var presumablyEmptyList2 =
marketOrderRepositoryFixture.MarketOrderRepository.GetAllByPortfolioEntryId(
marketOrderRepositoryFixture.SecondaryPortfolioEntryId);
marketOrder1 = marketOrder1 with
{
Id = marketOrderRepositoryFixture.MarketOrderRepository.Add(marketOrder1)
};
marketOrder2 = marketOrder2 with
{
Id = marketOrderRepositoryFixture.MarketOrderRepository.Add(marketOrder2)
};
marketOrder3 = marketOrder3 with
{
Id = marketOrderRepositoryFixture.MarketOrderRepository.Add(marketOrder3)
};
marketOrder4 = marketOrder4 with
{
Id = marketOrderRepositoryFixture.MarketOrderRepository.Add(marketOrder4)
};
marketOrder5 = marketOrder5 with
{
Id = marketOrderRepositoryFixture.MarketOrderRepository.Add(marketOrder5)
};
// assert
var loadedPortfolios =
marketOrderRepositoryFixture.MarketOrderRepository.GetAllByPortfolioEntryId(marketOrderRepositoryFixture
.DefaultPortfolioEntryId);
Assert.Empty(presumablyEmptyList);
Assert.Empty(presumablyEmptyList2);
Assert.Equal(3, loadedPortfolios.Count);
Assert.Equal(new List <MarketOrder> {
marketOrder1, marketOrder2, marketOrder3
}, loadedPortfolios);
var loadedPortfoliosSecondary =
marketOrderRepositoryFixture.MarketOrderRepository.GetAllByPortfolioEntryId(marketOrderRepositoryFixture
.SecondaryPortfolioEntryId);
Assert.Equal(2, loadedPortfoliosSecondary.Count);
Assert.Equal(new List <MarketOrder> {
marketOrder4, marketOrder5
}, loadedPortfoliosSecondary);
}
public void DeserializesDecimalizedQuantity()
{
var expected = new MarketOrder(Symbols.BTCUSD, 0.123m, DateTime.Today);
TestOrderType(expected);
}
public void Run(Position initialPosition, Position finalPosition, FeeType feeType, PriceMovement priceMovement, int leverage)
{
//Console.WriteLine("----------");
//Console.WriteLine("PARAMETERS");
//Console.WriteLine("Initial position: " + initialPosition);
//Console.WriteLine("Final position: " + finalPosition);
//Console.WriteLine("Fee type: " + feeType);
//Console.WriteLine("Price movement: " + priceMovement);
//Console.WriteLine("Leverage: " + leverage);
//Console.WriteLine("----------");
//Console.WriteLine();
var algorithm = new QCAlgorithm();
algorithm.SubscriptionManager.SetDataManager(new DataManager());
var security = algorithm.AddSecurity(_symbol.ID.SecurityType, _symbol.ID.Symbol);
security.FeeModel = _feeModels[feeType];
security.SetLeverage(leverage);
var buyingPowerModel = new TestSecurityMarginModel(leverage);
security.BuyingPowerModel = buyingPowerModel;
algorithm.SetCash(Cash);
Update(security, BasePrice);
decimal targetPercentage;
OrderDirection orderDirection;
MarketOrder order;
decimal orderFee;
OrderEvent fill;
decimal orderQuantity;
decimal freeMargin;
decimal requiredMargin;
if (initialPosition != Position.Zero)
{
targetPercentage = (decimal)initialPosition;
orderDirection = initialPosition == Position.Long ? OrderDirection.Buy : OrderDirection.Sell;
orderQuantity = algorithm.CalculateOrderQuantity(_symbol, targetPercentage);
order = new MarketOrder(_symbol, orderQuantity, DateTime.UtcNow);
freeMargin = buyingPowerModel.GetMarginRemaining(algorithm.Portfolio, security, orderDirection);
requiredMargin = buyingPowerModel.GetInitialMarginRequiredForOrder(security, order);
//Console.WriteLine("Current price: " + security.Price);
//Console.WriteLine("Target percentage: " + targetPercentage);
//Console.WriteLine("Order direction: " + orderDirection);
//Console.WriteLine("Order quantity: " + orderQuantity);
//Console.WriteLine("Free margin: " + freeMargin);
//Console.WriteLine("Required margin: " + requiredMargin);
//Console.WriteLine();
Assert.That(Math.Abs(requiredMargin) <= freeMargin);
orderFee = security.FeeModel.GetOrderFee(security, order);
fill = new OrderEvent(order, DateTime.UtcNow, orderFee)
{
FillPrice = security.Price, FillQuantity = orderQuantity
};
algorithm.Portfolio.ProcessFill(fill);
//Console.WriteLine("Portfolio.Cash: " + algorithm.Portfolio.Cash);
//Console.WriteLine("Portfolio.TotalPortfolioValue: " + algorithm.Portfolio.TotalPortfolioValue);
//Console.WriteLine();
if (priceMovement == PriceMovement.RisingSmall)
{
Update(security, HighPrice);
}
else if (priceMovement == PriceMovement.FallingSmall)
{
Update(security, LowPrice);
}
else if (priceMovement == PriceMovement.RisingLarge)
{
Update(security, VeryHighPrice);
}
else if (priceMovement == PriceMovement.FallingLarge)
{
Update(security, VeryLowPrice);
}
}
targetPercentage = (decimal)finalPosition;
orderDirection = finalPosition == Position.Long || (finalPosition == Position.Zero && initialPosition == Position.Short) ? OrderDirection.Buy : OrderDirection.Sell;
orderQuantity = algorithm.CalculateOrderQuantity(_symbol, targetPercentage);
order = new MarketOrder(_symbol, orderQuantity, DateTime.UtcNow);
freeMargin = buyingPowerModel.GetMarginRemaining(algorithm.Portfolio, security, orderDirection);
requiredMargin = buyingPowerModel.GetInitialMarginRequiredForOrder(security, order);
//Console.WriteLine("Current price: " + security.Price);
//Console.WriteLine("Target percentage: " + targetPercentage);
//Console.WriteLine("Order direction: " + orderDirection);
//Console.WriteLine("Order quantity: " + orderQuantity);
//Console.WriteLine("Free margin: " + freeMargin);
//Console.WriteLine("Required margin: " + requiredMargin);
//Console.WriteLine();
Assert.That(Math.Abs(requiredMargin) <= freeMargin);
orderFee = security.FeeModel.GetOrderFee(security, order);
fill = new OrderEvent(order, DateTime.UtcNow, orderFee)
{
FillPrice = security.Price, FillQuantity = orderQuantity
};
algorithm.Portfolio.ProcessFill(fill);
//Console.WriteLine("Portfolio.Cash: " + algorithm.Portfolio.Cash);
//Console.WriteLine("Portfolio.TotalPortfolioValue: " + algorithm.Portfolio.TotalPortfolioValue);
//Console.WriteLine();
}
public static async Task ExampleMain(string[] args)
{
// Initialize REST API client.
var api = new BinanceApi();
// Check connectivity.
if (await api.PingAsync())
{
Console.WriteLine("Successful!");
}
// Create user with API-Key and API-Secret.
using (var user = new BinanceApiUser("<API-Key>", "<API-Secret>"))
{
// Create a client (MARKET) order.
var order = new MarketOrder(user)
{
Symbol = Symbol.BTC_USDT,
Side = OrderSide.Buy,
Quantity = 0.01m
};
try
{
// Send the TEST order.
await api.TestPlaceAsync(order);
Console.WriteLine("Test Order Successful!");
}
catch (Exception e)
{
Console.WriteLine($"Test Order Failed: \"{e.Message}\"");
}
}
// Initialize web socket client (with automatic streaming enabled).
var webSocketClient = new AggregateTradeWebSocketClient();
// Handle error events.
webSocketClient.Error += (s, e) => { Console.WriteLine(e.Exception.Message); };
// Subscribe callback to BTC/USDT (automatically begin streaming).
webSocketClient.Subscribe(Symbol.BTC_USDT, evt =>
{
var side = evt.Trade.IsBuyerMaker ? "SELL" : "BUY ";
// Handle aggregate trade events.
Console.WriteLine($"{evt.Trade.Symbol} {side} {evt.Trade.Quantity} @ {evt.Trade.Price}");
});
Console.ReadKey(true); // wait for user input.
// Unsubscribe from symbol (automatically end streaming).
webSocketClient.Unsubscribe();
// Initiatlize web socket cache (with automatic streaming enabled).
var webSocketCache = new DepthWebSocketCache();
// Handle error events.
webSocketCache.Error += (s, e) => { Console.WriteLine(e.Exception.Message); };
// Subscribe callback to symbol (automatically begin streaming).
webSocketCache.Subscribe(Symbol.BTC_USDT, evt =>
{
// Get symbol from cache (update cache if a symbol is missing).
var symbol = Symbol.Cache.Get(evt.OrderBook.Symbol);
var minBidPrice = evt.OrderBook.Bids.Last().Price;
var maxAskPrice = evt.OrderBook.Asks.Last().Price;
// Handle order book update events.
Console.WriteLine($"Bid Quantity: {evt.OrderBook.Depth(minBidPrice)} {symbol.BaseAsset} - " +
$"Ask Quantity: {evt.OrderBook.Depth(maxAskPrice)} {symbol.BaseAsset}");
});
Console.ReadKey(true); // wait for user input.
// Unsubscribe from symbol (automatically end streaming).
webSocketCache.Unsubscribe();
}
/// <summary>
/// Change parameters for market
/// </summary>
/// <param name="pos"></param>
/// <returns></returns>
protected RequestStatus ModifyMarketOrder(MarketOrder pos)
{
return(robotContext.SendEditMarketRequest(protectedContext.MakeProtectedContext(), pos));
}
/// <summary>
/// Вызывается на торговых событиях открытие закрытие позиции, срабатывание тейков и стопов
/// </summary>
/// <param name="order"></param>
public virtual void OnTradeEvent(MarketOrder order)
{
TerminalLog.Instance.SaveRobotLog(string.Format("робот {0}: срабатывание рыночного ордера {1}, {2}, состояние {3}, side = {4}",
TypeName, order.ID, order.Symbol, order.State, order.Side));
}
/// <summary>
/// Strategy enter/exit/filtering rules
/// </summary>
public override void OnNewBar()
{
decimal stopMargin = (decimal)this.GetInputParameter("Trailing Stop Loss ticks distance") * this.GetMainChart().Symbol.TickSize;
int buySignal = (int)this.GetInputParameter("ROCR 100 Buy signal trigger level");
if (rocr100Indicator.GetROCR100()[1] <= buySignal && rocr100Indicator.GetROCR100()[0] > buySignal && this.GetOpenPosition() == 0)
{
// BUY SIGNAL: Entering long and placing a trailing stop loss
MarketOrder buyOrder = new MarketOrder(OrderSide.Buy, 1, "Enter long position");
trailingStopOrder = new StopOrder(OrderSide.Sell, 1, this.Bars.Close[0] - stopMargin, "Trailing stop long exit");
this.InsertOrder(buyOrder);
this.InsertOrder(trailingStopOrder);
// Resetting acceleration and highest close
acceleration = 0.02m;
highestClose = Bars.Close[0];
}
else if (this.GetOpenPosition() == 1)
{
// Checking if the price has moved in our favour
if (this.Bars.Close[0] > highestClose)
{
highestClose = this.Bars.Close[0];
// Increasing acceleration
acceleration = acceleration * (highestClose - trailingStopOrder.Price);
// Checking if trailing the stop order would exceed the current market price
if (trailingStopOrder.Price + acceleration < this.Bars.Close[0])
{
// Setting the new price for the trailing stop
trailingStopOrder.Price = trailingStopOrder.Price + acceleration;
this.ModifyOrder(trailingStopOrder);
}
else
{
// Cancelling the order and closing the position
MarketOrder exitLongOrder = new MarketOrder(OrderSide.Sell, 1, "Exit long position");
this.InsertOrder(exitLongOrder);
this.CancelOrder(trailingStopOrder);
}
}
}
}
/// <summary>
/// Strategy enter/exit/filtering rules
/// </summary>
public override void OnNewBar()
{
decimal buySignal = (decimal)this.GetInputParameter("Trend-following buy signal");
decimal sellSignal = (decimal)this.GetInputParameter("Trend-following sell signal");
decimal stopMargin = (int)this.GetInputParameter("Trailing Stop Loss ticks distance") * this.GetMainChart().Symbol.TickSize;
decimal profitMargin = (int)this.GetInputParameter("Profit Target ticks distance") * this.GetMainChart().Symbol.TickSize;
bool longTradingEnabled = false;
bool shortTradingEnabled = false;
// Day-of-week filter
if (IsDayEnabledForTrading(this.Bars.Time[0].DayOfWeek))
{
// Time-of-day filter
if (IsTimeEnabledForTrading(this.Bars.Time[0]))
{
// Volatility filter
if (CalculateVolatilityRange() > (decimal)this.GetInputParameter("Minimum Range Filter"))
{
// ADX minimum level and current trending filters
if (this.GetOpenPosition() == 0 && IsADXEnabledForLongEntry() && IsBullishUnderlyingTrend())
{
longTradingEnabled = true;
}
else if (this.GetOpenPosition() == 0 && IsADXEnabledForShortEntry() && IsBearishUnderlyingTrend())
{
shortTradingEnabled = true;
}
}
}
}
if (longTradingEnabled && stochasticIndicator.GetD()[1] <= buySignal && stochasticIndicator.GetD()[0] > buySignal)
{
// BUY SIGNAL: Stochastic %D crosses above "buy signal" level
MarketOrder buyOrder = new MarketOrder(OrderSide.Buy, 1, "Enter long position");
this.InsertOrder(buyOrder);
trailingStopOrder = new StopOrder(OrderSide.Sell, 1, this.Bars.Close[0] - stopMargin, "Catastrophic stop long exit");
this.InsertOrder(trailingStopOrder);
profitOrder = new LimitOrder(OrderSide.Sell, 1, this.Bars.Close[0] + profitMargin, "Profit stop long exit");
this.InsertOrder(profitOrder);
// Linking Stop and Limit orders: when one is executed, the other is cancelled
trailingStopOrder.IsChildOf = profitOrder;
profitOrder.IsChildOf = trailingStopOrder;
// Setting the initial acceleration for the trailing stop and the furthest (the most extreme) close price
acceleration = (decimal)this.GetInputParameter("Trailing Stop acceleration");
furthestClose = this.Bars.Close[0];
}
else if (shortTradingEnabled && stochasticIndicator.GetD()[1] >= sellSignal && stochasticIndicator.GetD()[0] < sellSignal)
{
// SELL SIGNAL: Stochastic %D crosses below "sell signal" level
MarketOrder sellOrder = new MarketOrder(OrderSide.Sell, 1, "Enter short position");
this.InsertOrder(sellOrder);
trailingStopOrder = new StopOrder(OrderSide.Buy, 1, this.Bars.Close[0] + stopMargin, "Catastrophic stop short exit");
this.InsertOrder(trailingStopOrder);
profitOrder = new LimitOrder(OrderSide.Buy, 1, this.Bars.Close[0] - profitMargin, "Profit stop short exit");
this.InsertOrder(profitOrder);
// Linking Stop and Limit orders: when one is executed, the other is cancelled
trailingStopOrder.IsChildOf = profitOrder;
profitOrder.IsChildOf = trailingStopOrder;
// Setting the initial acceleration for the trailing stop and the furthest (the most extreme) close price
acceleration = (decimal)this.GetInputParameter("Trailing Stop acceleration");
furthestClose = this.Bars.Close[0];
}
else if (this.GetOpenPosition() == 1 && this.Bars.Close[0] > furthestClose)
{
// We're long and the price has moved in our favour
furthestClose = this.Bars.Close[0];
// Increasing acceleration
acceleration = acceleration * (furthestClose - trailingStopOrder.Price);
// Checking if trailing the stop order would exceed the current market price
if (trailingStopOrder.Price + acceleration < this.Bars.Close[0])
{
// Setting the new price for the trailing stop
trailingStopOrder.Price = trailingStopOrder.Price + acceleration;
trailingStopOrder.Label = "Trailing stop long exit";
this.ModifyOrder(trailingStopOrder);
}
else
{
// Cancelling the order and closing the position
this.CancelOrder(trailingStopOrder);
this.CancelOrder(profitOrder);
MarketOrder exitLongOrder = new MarketOrder(OrderSide.Sell, 1, "Exit long position");
this.InsertOrder(exitLongOrder);
}
}
else if (this.GetOpenPosition() == -1 && this.Bars.Close[0] < furthestClose)
{
// We're short and the price has moved in our favour
furthestClose = this.Bars.Close[0];
// Increasing acceleration
acceleration = acceleration * Math.Abs(trailingStopOrder.Price - furthestClose);
// Checking if trailing the stop order would exceed the current market price
if (trailingStopOrder.Price - acceleration > this.Bars.Close[0])
{
// Setting the new price for the trailing stop
trailingStopOrder.Price = trailingStopOrder.Price - acceleration;
trailingStopOrder.Label = "Trailing stop short exit";
this.ModifyOrder(trailingStopOrder);
}
else
{
// Cancelling the order and closing the position
this.CancelOrder(trailingStopOrder);
this.CancelOrder(profitOrder);
MarketOrder exitShortOrder = new MarketOrder(OrderSide.Buy, 1, "Exit short position");
this.InsertOrder(exitShortOrder);
}
}
}
public void ComputeMarginProperlyAsSecurityPriceFluctuates()
{
const decimal leverage = 1m;
const int quantity = (int)(1000 * leverage);
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var orderProcessor = new OrderProcessor();
transactions.SetOrderProcessor(orderProcessor);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.CashBook["USD"].SetAmount(quantity);
var config = CreateTradeBarDataConfig(SecurityType.Equity, Symbols.AAPL);
securities.Add(new Security(SecurityExchangeHours, config));
var security = securities[Symbols.AAPL];
security.SetLeverage(leverage);
var time = DateTime.Now;
const decimal buyPrice = 1m;
security.SetMarketPrice(new TradeBar(time, Symbols.AAPL, buyPrice, buyPrice, buyPrice, buyPrice, 1));
var order = new MarketOrder(Symbols.AAPL, quantity, time)
{
Price = buyPrice
};
var fill = new OrderEvent(order, DateTime.UtcNow, 0)
{
FillPrice = buyPrice, FillQuantity = quantity
};
orderProcessor.AddOrder(order);
var request = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, order.Quantity, 0, 0, order.Time, null);
request.SetOrderId(0);
orderProcessor.AddTicket(new OrderTicket(null, request));
Assert.AreEqual(portfolio.CashBook["USD"].Amount, fill.FillPrice * fill.FillQuantity);
portfolio.ProcessFill(fill);
Assert.AreEqual(0, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity, portfolio.TotalPortfolioValue);
// we shouldn't be able to place a trader
var newOrder = new MarketOrder(Symbols.AAPL, 1, time.AddSeconds(1))
{
Price = buyPrice
};
bool sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, newOrder);
Assert.IsFalse(sufficientCapital);
// now the stock doubles, so we should have margin remaining
time = time.AddDays(1);
const decimal highPrice = buyPrice * 2;
security.SetMarketPrice(new TradeBar(time, Symbols.AAPL, highPrice, highPrice, highPrice, highPrice, 1));
Assert.AreEqual(quantity, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity * 2, portfolio.TotalPortfolioValue);
// we shouldn't be able to place a trader
var anotherOrder = new MarketOrder(Symbols.AAPL, 1, time.AddSeconds(1))
{
Price = highPrice
};
sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, anotherOrder);
Assert.IsTrue(sufficientCapital);
// now the stock plummets, so we should have negative margin remaining
time = time.AddDays(1);
const decimal lowPrice = buyPrice / 2;
security.SetMarketPrice(new TradeBar(time, Symbols.AAPL, lowPrice, lowPrice, lowPrice, lowPrice, 1));
Assert.AreEqual(-quantity / 2m, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity / 2m, portfolio.TotalPortfolioValue);
// this would not cause a margin call due to leverage = 1
bool issueMarginCallWarning;
var marginCallOrders = portfolio.ScanForMarginCall(out issueMarginCallWarning);
Assert.AreEqual(0, marginCallOrders.Count);
// now change the leverage and buy more and we'll get a margin call
security.SetLeverage(leverage * 2);
order = new MarketOrder(Symbols.AAPL, quantity, time)
{
Price = buyPrice
};
fill = new OrderEvent(order, DateTime.UtcNow, 0)
{
FillPrice = buyPrice, FillQuantity = quantity
};
portfolio.ProcessFill(fill);
Assert.AreEqual(0, portfolio.TotalPortfolioValue);
marginCallOrders = portfolio.ScanForMarginCall(out issueMarginCallWarning);
Assert.AreNotEqual(0, marginCallOrders.Count);
Assert.AreEqual(-security.Holdings.Quantity, marginCallOrders[0].Quantity); // we bought twice
Assert.GreaterOrEqual(-portfolio.MarginRemaining, security.Price * marginCallOrders[0].Quantity);
}
/// <summary>
/// Default market fill model for the base security class. Fills at the last traded price.
/// </summary>
/// <param name="asset">Security asset we're filling</param>
/// <param name="order">Order packet to model</param>
/// <returns>Order fill information detailing the average price and quantity filled.</returns>
/// <seealso cref="StopMarketFill(Security, StopMarketOrder)"/>
/// <seealso cref="LimitFill(Security, LimitOrder)"/>
public virtual OrderEvent MarketFill(Security asset, MarketOrder order)
{
return(_fillModel.MarketFill(asset, order));
}
public void MarginComputesProperlyWithMultipleSecurities()
{
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var orderProcessor = new OrderProcessor();
transactions.SetOrderProcessor(orderProcessor);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.CashBook["USD"].SetAmount(1000);
portfolio.CashBook.Add("EUR", 1000, 1.1m);
portfolio.CashBook.Add("GBP", -1000, 2.0m);
var eurCash = portfolio.CashBook["EUR"];
var gbpCash = portfolio.CashBook["GBP"];
var usdCash = portfolio.CashBook["USD"];
var time = DateTime.Now;
var config1 = CreateTradeBarDataConfig(SecurityType.Equity, Symbols.AAPL);
securities.Add(new Security(SecurityExchangeHours, config1));
securities[Symbols.AAPL].SetLeverage(2m);
securities[Symbols.AAPL].Holdings.SetHoldings(100, 100);
securities[Symbols.AAPL].SetMarketPrice(new TradeBar {
Time = time, Value = 100
});
//Console.WriteLine("AAPL TMU: " + securities[Symbols.AAPL].MarginModel.GetMaintenanceMargin(securities[Symbols.AAPL]));
//Console.WriteLine("AAPL Value: " + securities[Symbols.AAPL].Holdings.HoldingsValue);
//Console.WriteLine();
var config2 = CreateTradeBarDataConfig(SecurityType.Forex, Symbols.EURUSD);
securities.Add(new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours, usdCash, config2));
securities[Symbols.EURUSD].SetLeverage(100m);
securities[Symbols.EURUSD].Holdings.SetHoldings(1.1m, 1000);
securities[Symbols.EURUSD].SetMarketPrice(new TradeBar {
Time = time, Value = 1.1m
});
//Console.WriteLine("EURUSD TMU: " + securities[Symbols.EURUSD].MarginModel.GetMaintenanceMargin(securities[Symbols.EURUSD]));
//Console.WriteLine("EURUSD Value: " + securities[Symbols.EURUSD].Holdings.HoldingsValue);
//Console.WriteLine();
var config3 = CreateTradeBarDataConfig(SecurityType.Forex, Symbols.EURGBP);
securities.Add(new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours, gbpCash, config3));
securities[Symbols.EURGBP].SetLeverage(100m);
securities[Symbols.EURGBP].Holdings.SetHoldings(1m, 1000);
securities[Symbols.EURGBP].SetMarketPrice(new TradeBar {
Time = time, Value = 1m
});
//Console.WriteLine("EURGBP TMU: " + securities[Symbols.EURGBP].MarginModel.GetMaintenanceMargin(securities[Symbols.EURGBP]));
//Console.WriteLine("EURGBP Value: " + securities[Symbols.EURGBP].Holdings.HoldingsValue);
//Console.WriteLine();
//Console.WriteLine(portfolio.CashBook["USD"]);
//Console.WriteLine(portfolio.CashBook["EUR"]);
//Console.WriteLine(portfolio.CashBook["GBP"]);
//Console.WriteLine("CashBook: " + portfolio.CashBook.TotalValueInAccountCurrency);
//Console.WriteLine();
//Console.WriteLine("Total Margin Used: " + portfolio.TotalMarginUsed);
//Console.WriteLine("Total Free Margin: " + portfolio.MarginRemaining);
//Console.WriteLine("Total Portfolio Value: " + portfolio.TotalPortfolioValue);
var acceptedOrder = new MarketOrder(Symbols.AAPL, 101, DateTime.Now)
{
Price = 100
};
orderProcessor.AddOrder(acceptedOrder);
var request = new SubmitOrderRequest(OrderType.Market, acceptedOrder.SecurityType, acceptedOrder.Symbol, acceptedOrder.Quantity, 0, 0, acceptedOrder.Time, null);
request.SetOrderId(0);
orderProcessor.AddTicket(new OrderTicket(null, request));
var sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, acceptedOrder);
Assert.IsTrue(sufficientCapital);
var rejectedOrder = new MarketOrder(Symbols.AAPL, 102, DateTime.Now)
{
Price = 100
};
sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, rejectedOrder);
Assert.IsFalse(sufficientCapital);
}
/// <summary>
/// Calculate the order quantity to achieve target-percent holdings.
/// </summary>
/// <param name="symbol">Security object we're asking for</param>
/// <param name="target">Target percentag holdings, this is an unlevered value, so
/// if you have 2x leverage and request 100% holdings, it will utilize half of the
/// available margin</param>
/// <returns>Order quantity to achieve this percentage</returns>
public decimal CalculateOrderQuantity(Symbol symbol, decimal target)
{
var security = Securities[symbol];
var price = security.Price;
// can't order it if we don't have data
if (price == 0)
{
return(0);
}
// if targeting zero, simply return the negative of the quantity
if (target == 0)
{
return(-security.Holdings.Quantity);
}
// this is the value in dollars that we want our holdings to have
var targetPortfolioValue = target * Portfolio.TotalPortfolioValue;
var currentHoldingsValue = security.Holdings.HoldingsValue;
// remove directionality, we'll work in the land of absolutes
var targetOrderValue = Math.Abs(targetPortfolioValue - currentHoldingsValue);
var direction = targetPortfolioValue > currentHoldingsValue ? OrderDirection.Buy : OrderDirection.Sell;
// determine the unit price in terms of the account currency
var unitPrice = new MarketOrder(symbol, 1, UtcTime).GetValue(security);
if (unitPrice == 0)
{
return(0);
}
// calculate the total margin available
var marginRemaining = Portfolio.GetMarginRemaining(symbol, direction);
if (marginRemaining <= 0)
{
return(0);
}
// continue iterating while we do not have enough margin for the order
decimal marginRequired;
decimal orderValue;
decimal orderFees;
var feeToPriceRatio = 0;
// compute the initial order quantity
decimal orderQuantity = targetOrderValue / unitPrice;
if (orderQuantity % security.SymbolProperties.LotSize != 0)
{
orderQuantity = orderQuantity - (orderQuantity % security.SymbolProperties.LotSize);
}
var iterations = 0;
do
{
// decrease the order quantity
if (iterations > 0)
{
// if fees are high relative to price, we reduce the order quantity faster
if (feeToPriceRatio > 0)
{
orderQuantity -= feeToPriceRatio;
}
else
{
orderQuantity--;
}
}
// generate the order
var order = new MarketOrder(security.Symbol, orderQuantity, UtcTime);
orderValue = order.GetValue(security);
orderFees = security.FeeModel.GetOrderFee(security, order);
feeToPriceRatio = (int)(orderFees / unitPrice);
// calculate the margin required for the order
marginRequired = security.MarginModel.GetInitialMarginRequiredForOrder(security, order);
iterations++;
} while (orderQuantity > 0 && (marginRequired > marginRemaining || orderValue + orderFees > targetOrderValue));
//Rounding off Order Quantity to the nearest multiple of Lot Size
if (orderQuantity % security.SymbolProperties.LotSize != 0)
{
orderQuantity = orderQuantity - (orderQuantity % security.SymbolProperties.LotSize);
}
// add directionality back in
return((direction == OrderDirection.Sell ? -1 : 1) * orderQuantity);
}
private static DateTime InitializeTest(out BasicTemplateAlgorithm algorithm, out Security security, out PartialMarketFillModel model, out MarketOrder order, out OrderTicket ticket)
{
var referenceTimeNY = new DateTime(2015, 12, 21, 13, 0, 0);
var referenceTimeUtc = referenceTimeNY.ConvertToUtc(TimeZones.NewYork);
algorithm = new BasicTemplateAlgorithm();
algorithm.SetDateTime(referenceTimeUtc);
var transactionHandler = new BacktestingTransactionHandler();
transactionHandler.Initialize(algorithm, new BacktestingBrokerage(algorithm), new TestResultHandler(Console.WriteLine));
Task.Run(() => transactionHandler.Run());
algorithm.Transactions.SetOrderProcessor(transactionHandler);
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Second, TimeZones.NewYork, TimeZones.NewYork, false, false, false);
security = new Security(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), config, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));
model = new PartialMarketFillModel(algorithm.Transactions, 2);
algorithm.Securities.Add(security);
algorithm.Securities[Symbols.SPY].FillModel = model;
security.SetMarketPrice(new Tick {
Symbol = Symbols.SPY, Value = 100
});
algorithm.SetFinishedWarmingUp();
order = new MarketOrder(Symbols.SPY, 100, referenceTimeUtc)
{
Id = 1
};
var request = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, order.Quantity, 0, 0, algorithm.UtcTime, null);
ticket = algorithm.Transactions.ProcessRequest(request);
return(referenceTimeUtc);
}
public override OrderEvent MarketFill(Security asset, MarketOrder order)
{
MarketFillWasCalled = true;
return(base.MarketFill(asset, order));
}
public void ComputeMarginProperlyAsSecurityPriceFluctuates()
{
const int quantity = 1000;
var securities = new SecurityManager();
var transactions = new SecurityTransactionManager(securities);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.CashBook["USD"].Quantity = quantity;
var config = new SubscriptionDataConfig(typeof(TradeBar), SecurityType.Equity, "AAPL", Resolution.Minute, true, true, true, true, true, 0);
securities.Add(new Security(config, 1, false));
var time = DateTime.Now;
const decimal buyPrice = 1m;
securities["AAPL"].SetMarketPrice(time, new TradeBar(time, "AAPL", buyPrice, buyPrice, buyPrice, buyPrice, 1));
var order = new MarketOrder("AAPL", quantity, time)
{
Price = buyPrice
};
var fill = new OrderEvent(order)
{
FillPrice = buyPrice, FillQuantity = quantity
};
Assert.AreEqual(portfolio.CashBook["USD"].Quantity, fill.FillPrice * fill.FillQuantity);
portfolio.ProcessFill(fill);
Assert.AreEqual(0, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity, portfolio.TotalPortfolioValue);
// we shouldn't be able to place a trader
var newOrder = new MarketOrder("AAPL", 1, time.AddSeconds(1))
{
Price = buyPrice
};
bool sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, newOrder);
Assert.IsFalse(sufficientCapital);
// now the stock doubles, so we should have margin remaining
time = time.AddDays(1);
const decimal highPrice = buyPrice * 2;
securities["AAPL"].SetMarketPrice(time, new TradeBar(time, "AAPL", highPrice, highPrice, highPrice, highPrice, 1));
Assert.AreEqual(quantity, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity * 2, portfolio.TotalPortfolioValue);
// we shouldn't be able to place a trader
var anotherOrder = new MarketOrder("AAPL", 1, time.AddSeconds(1))
{
Price = highPrice
};
sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, anotherOrder);
Assert.IsTrue(sufficientCapital);
// now the stock plummets, so we should have negative margin remaining
time = time.AddDays(1);
const decimal lowPrice = buyPrice / 2;
securities["AAPL"].SetMarketPrice(time, new TradeBar(time, "AAPL", lowPrice, lowPrice, lowPrice, lowPrice, 1));
Assert.AreEqual(-quantity / 2m, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity / 2m, portfolio.TotalPortfolioValue);
// this would cause a margin call
var marginCallOrders = portfolio.ScanForMarginCall();
Assert.AreNotEqual(0, marginCallOrders.Count);
Assert.AreEqual(-quantity, marginCallOrders[0].Quantity);
Assert.GreaterOrEqual(-portfolio.MarginRemaining, marginCallOrders[0].Price * marginCallOrders[0].Quantity);
}
public PyDataType ModifyCharOrder(PyInteger orderID, PyDecimal newPrice, PyInteger bid, PyInteger stationID, PyInteger solarSystemID, PyDecimal price, PyInteger volRemaining, PyInteger issued, CallInformation call)
{
int callerCharacterID = call.Client.EnsureCharacterIsSelected();
Character character = this.ItemFactory.GetItem <Character>(callerCharacterID);
using MySqlConnection connection = this.DB.AcquireMarketLock();
try
{
MarketOrder order = this.DB.GetOrderById(connection, orderID);
if (order.CharacterID != callerCharacterID)
{
throw new MktOrderDidNotMatch();
}
long currentTime = DateTime.UtcNow.ToFileTimeUtc();
// check for timers, no changes in less than 5 minutes
if (currentTime < order.Issued + TimeSpan.TicksPerSecond * this.NodeContainer.Constants[Constants.mktModificationDelay])
{
throw new MktOrderDelay((order.Issued + TimeSpan.TicksPerSecond * this.NodeContainer.Constants[Constants.mktModificationDelay]) - currentTime);
}
// ensure the order hasn't been modified since the user saw it on the screen
if ((int)order.Bid != bid || order.LocationID != stationID || order.Price != price ||
order.UnitsLeft != volRemaining || order.Issued != issued)
{
throw new MktOrderDidNotMatch();
}
// get the modification broker's fee
double brokerCost = 0.0;
double newEscrow = 0.0;
this.CalculateBrokerCost(character.GetSkillLevel(Types.BrokerRelations), volRemaining, (newPrice - price), out brokerCost);
using Wallet wallet = this.WalletManager.AcquireWallet(order.CharacterID, order.AccountID);
{
if (order.Bid == TransactionType.Buy)
{
// calculate the difference in escrow
newEscrow = volRemaining * newPrice;
double escrowDiff = order.Escrow - newEscrow;
// ensure enough balances
wallet.EnsureEnoughBalance(escrowDiff + brokerCost);
// take the difference in escrow
wallet.CreateJournalRecord(MarketReference.MarketEscrow, null, null, escrowDiff);
}
else
{
wallet.EnsureEnoughBalance(brokerCost);
}
// pay the broker fee once again
wallet.CreateJournalRecord(MarketReference.Brokerfee, null, null, -brokerCost);
}
// everything looks okay, update the price of the order
this.DB.UpdatePrice(connection, order.OrderID, newPrice, newEscrow);
// send a OnOwnOrderChange notification
call.Client.NotifyMultiEvent(new OnOwnOrderChanged(order.TypeID, "Modified"));
}
finally
{
this.DB.ReleaseMarketLock(connection);
}
return(null);
}
public void MarginComputesProperlyWithMultipleSecurities()
{
var securities = new SecurityManager();
var transactions = new SecurityTransactionManager(securities);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.CashBook["USD"].Quantity = 1000;
portfolio.CashBook.Add("EUR", 1000, 1.1m);
portfolio.CashBook.Add("GBP", -1000, 2.0m);
var eurCash = portfolio.CashBook["EUR"];
var gbpCash = portfolio.CashBook["GBP"];
var usdCash = portfolio.CashBook["USD"];
var time = DateTime.Now;
var config1 = new SubscriptionDataConfig(typeof(TradeBar), SecurityType.Equity, "AAPL", Resolution.Minute, true, true, true, true, true, 0);
securities.Add(new Security(config1, 2, false));
securities["AAPL"].Holdings.SetHoldings(100, 100);
securities["AAPL"].SetMarketPrice(time, new TradeBar {
Time = time, Value = 100
});
//Console.WriteLine("AAPL TMU: " + securities["AAPL"].MarginModel.GetMaintenanceMargin(securities["AAPL"]));
//Console.WriteLine("AAPL Value: " + securities["AAPL"].Holdings.HoldingsValue);
//Console.WriteLine();
var config2 = new SubscriptionDataConfig(typeof(TradeBar), SecurityType.Forex, "EURUSD", Resolution.Minute, true, true, true, true, true, 1);
securities.Add(new QuantConnect.Securities.Forex.Forex(usdCash, config2, 100, false));
securities["EURUSD"].Holdings.SetHoldings(1.1m, 1000);
securities["EURUSD"].SetMarketPrice(time, new TradeBar {
Time = time, Value = 1.1m
});
//Console.WriteLine("EURUSD TMU: " + securities["EURUSD"].MarginModel.GetMaintenanceMargin(securities["EURUSD"]));
//Console.WriteLine("EURUSD Value: " + securities["EURUSD"].Holdings.HoldingsValue);
//Console.WriteLine();
var config3 = new SubscriptionDataConfig(typeof(TradeBar), SecurityType.Forex, "EURGBP", Resolution.Minute, true, true, true, true, true, 2);
securities.Add(new QuantConnect.Securities.Forex.Forex(gbpCash, config3, 100, false));
securities["EURGBP"].Holdings.SetHoldings(1m, 1000);
securities["EURGBP"].SetMarketPrice(time, new TradeBar {
Time = time, Value = 1m
});
//Console.WriteLine("EURGBP TMU: " + securities["EURGBP"].MarginModel.GetMaintenanceMargin(securities["EURGBP"]));
//Console.WriteLine("EURGBP Value: " + securities["EURGBP"].Holdings.HoldingsValue);
//Console.WriteLine();
//Console.WriteLine(portfolio.CashBook["USD"]);
//Console.WriteLine(portfolio.CashBook["EUR"]);
//Console.WriteLine(portfolio.CashBook["GBP"]);
//Console.WriteLine("CashBook: " + portfolio.CashBook.TotalValueInAccountCurrency);
//Console.WriteLine();
//Console.WriteLine("Total Margin Used: " + portfolio.TotalMarginUsed);
//Console.WriteLine("Total Free Margin: " + portfolio.MarginRemaining);
//Console.WriteLine("Total Portfolio Value: " + portfolio.TotalPortfolioValue);
var acceptedOrder = new MarketOrder("AAPL", 101, DateTime.Now)
{
Price = 100
};
var sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, acceptedOrder);
Assert.IsTrue(sufficientCapital);
var rejectedOrder = new MarketOrder("AAPL", 102, DateTime.Now)
{
Price = 100
};
sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, rejectedOrder);
Assert.IsFalse(sufficientCapital);
}
/// <summary>
/// Get the maximum market order quantity to obtain a position with a given value in account currency.
/// Will not take into account buying power.
/// </summary>
/// <param name="parameters">An object containing the portfolio, the security and the target percentage holdings</param>
/// <returns>Returns the maximum allowed market order quantity and if zero, also the reason</returns>
public virtual GetMaximumOrderQuantityForTargetValueResult GetMaximumOrderQuantityForTargetValue(GetMaximumOrderQuantityForTargetValueParameters parameters)
{
// adjust target portfolio value to comply with required Free Buying Power Percent
var targetPortfolioValue =
parameters.Target * (parameters.Portfolio.TotalPortfolioValue - parameters.Portfolio.TotalPortfolioValue * RequiredFreeBuyingPowerPercent);
// if targeting zero, simply return the negative of the quantity
if (targetPortfolioValue == 0)
{
return(new GetMaximumOrderQuantityForTargetValueResult(-parameters.Security.Holdings.Quantity, string.Empty, false));
}
var currentHoldingsValue = parameters.Security.Holdings.HoldingsValue;
// remove directionality, we'll work in the land of absolutes
var targetOrderValue = Math.Abs(targetPortfolioValue - currentHoldingsValue);
var direction = targetPortfolioValue > currentHoldingsValue ? OrderDirection.Buy : OrderDirection.Sell;
// determine the unit price in terms of the account currency
var unitPrice = new MarketOrder(parameters.Security.Symbol, 1, DateTime.UtcNow).GetValue(parameters.Security);
if (unitPrice == 0)
{
var reason = $"The price of the {parameters.Security.Symbol.Value} security is zero because it does not have any market " +
"data yet. When the security price is set this security will be ready for trading.";
return(new GetMaximumOrderQuantityForTargetValueResult(0, reason));
}
// calculate the total margin available
var marginRemaining = GetMarginRemaining(parameters.Portfolio, parameters.Security, direction);
if (marginRemaining <= 0)
{
var reason = "The portfolio does not have enough margin available.";
return(new GetMaximumOrderQuantityForTargetValueResult(0, reason));
}
// continue iterating while we do not have enough margin for the order
decimal orderValue = 0;
decimal orderFees = 0;
// compute the initial order quantity
var orderQuantity = targetOrderValue / unitPrice;
// rounding off Order Quantity to the nearest multiple of Lot Size
orderQuantity -= orderQuantity % parameters.Security.SymbolProperties.LotSize;
if (orderQuantity == 0)
{
var reason = $"The order quantity is less than the lot size of {parameters.Security.SymbolProperties.LotSize} " +
"and has been rounded to zero.";
return(new GetMaximumOrderQuantityForTargetValueResult(0, reason, false));
}
var loopCount = 0;
// Just in case...
var lastOrderQuantity = 0m;
do
{
// Each loop will reduce the order quantity based on the difference between orderValue and targetOrderValue
if (orderValue > targetOrderValue)
{
var currentOrderValuePerUnit = orderValue / orderQuantity;
var amountOfOrdersToRemove = (orderValue - targetOrderValue) / currentOrderValuePerUnit;
if (amountOfOrdersToRemove < parameters.Security.SymbolProperties.LotSize)
{
// we will always substract at leat 1 LotSize
amountOfOrdersToRemove = parameters.Security.SymbolProperties.LotSize;
}
orderQuantity -= amountOfOrdersToRemove;
orderQuantity -= orderQuantity % parameters.Security.SymbolProperties.LotSize;
}
if (orderQuantity <= 0)
{
var reason = $"The order quantity is less than the lot size of {parameters.Security.SymbolProperties.LotSize} " +
$"and has been rounded to zero.Target order value {targetOrderValue}. Order fees " +
$"{orderFees}. Order quantity {orderQuantity}.";
return(new GetMaximumOrderQuantityForTargetValueResult(0, reason));
}
// generate the order
var order = new MarketOrder(parameters.Security.Symbol, orderQuantity, DateTime.UtcNow);
var fees = parameters.Security.FeeModel.GetOrderFee(
new OrderFeeParameters(parameters.Security,
order,
parameters.Portfolio.CashBook.AccountCurrency)).Value;
orderFees = parameters.Portfolio.CashBook.ConvertToAccountCurrency(fees).Amount;
// The TPV, take out the fees(unscaled) => yields available value for trading(less fees)
// then scale that by the target -- finally remove currentHoldingsValue to get targetOrderValue
targetOrderValue = Math.Abs(
(parameters.Portfolio.TotalPortfolioValue - orderFees - parameters.Portfolio.TotalPortfolioValue * RequiredFreeBuyingPowerPercent)
* parameters.Target - currentHoldingsValue
);
// After the first loop we need to recalculate order quantity since now we have fees included
if (loopCount == 0)
{
// re compute the initial order quantity
orderQuantity = targetOrderValue / unitPrice;
orderQuantity -= orderQuantity % parameters.Security.SymbolProperties.LotSize;
}
else
{
// Start safe check after first loop
if (lastOrderQuantity == orderQuantity)
{
var message = "GetMaximumOrderQuantityForTargetValue failed to converge to target order value " +
$"{targetOrderValue}. Current order value is {orderValue}. Order quantity {orderQuantity}. " +
$"Lot size is {parameters.Security.SymbolProperties.LotSize}. Order fees {orderFees}. Security symbol " +
$"{parameters.Security.Symbol}";
throw new Exception(message);
}
lastOrderQuantity = orderQuantity;
}
orderValue = orderQuantity * unitPrice;
loopCount++;
// we always have to loop at least twice
}while (loopCount < 2 || orderValue > targetOrderValue);
// add directionality back in
return(new GetMaximumOrderQuantityForTargetValueResult((direction == OrderDirection.Sell ? -1 : 1) * orderQuantity));
}
/// <summary>
/// Strategy enter/exit/filtering rules
/// </summary>
public override void OnNewBar()
{
if (this.GetOpenPosition() == 0)
{
int buySignal = (int)this.GetInputParameter("Stochastic %D Buy signal trigger level");
if (stochasticIndicator.GetD()[1] <= buySignal && stochasticIndicator.GetD()[0] > buySignal)
{
Order buyOrder = new MarketOrder(OrderSide.Buy, 1, "Entry long");
limitTakeProfitOrder = new LimitOrder(OrderSide.Sell, 1, Bars.Close[0] + stdDevIndicator.GetStdDev()[0], "Exit long (take profit stop)");
this.InsertOrder(buyOrder);
this.InsertOrder(limitTakeProfitOrder);
}
}
}
/// <summary>
/// Gets all orders not yet closed
/// </summary>
/// <returns></returns>
public override List <Order> GetOpenOrders()
{
var list = new List <Order>();
var req = new RestRequest("/orders?status=open&status=pending&status=active", Method.GET);
GetAuthenticationToken(req);
var response = ExecuteRestRequest(req, GdaxEndpointType.Private);
if (response.StatusCode != HttpStatusCode.OK)
{
throw new Exception($"GDAXBrokerage.GetOpenOrders: request failed: [{(int) response.StatusCode}] {response.StatusDescription}, Content: {response.Content}, ErrorMessage: {response.ErrorMessage}");
}
var orders = JsonConvert.DeserializeObject <Messages.Order[]>(response.Content);
foreach (var item in orders)
{
Order order;
if (item.Type == "market")
{
order = new MarketOrder {
Price = item.Price
};
}
else if (!string.IsNullOrEmpty(item.Stop))
{
order = new StopLimitOrder {
StopPrice = item.StopPrice, LimitPrice = item.Price
};
}
else if (item.Type == "limit")
{
order = new LimitOrder {
LimitPrice = item.Price
};
}
else if (item.Type == "stop")
{
order = new StopMarketOrder {
StopPrice = item.Price
};
}
else
{
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Error, (int)response.StatusCode,
"GDAXBrokerage.GetOpenOrders: Unsupported order type returned from brokerage: " + item.Type));
continue;
}
order.Quantity = item.Side == "sell" ? -item.Size : item.Size;
order.BrokerId = new List <string> {
item.Id
};
order.Symbol = ConvertProductId(item.ProductId);
order.Time = DateTime.UtcNow;
order.Status = ConvertOrderStatus(item);
order.Price = item.Price;
list.Add(order);
}
foreach (var item in list)
{
if (item.Status.IsOpen())
{
var cached = CachedOrderIDs.Where(c => c.Value.BrokerId.Contains(item.BrokerId.First()));
if (cached.Any())
{
CachedOrderIDs[cached.First().Key] = item;
}
}
}
return(list);
}
/// <summary>
/// Get the maximum market order quantity to obtain a position with a given buying power percentage.
/// Will not take into account free buying power.
/// </summary>
/// <param name="parameters">An object containing the portfolio, the security and the target signed buying power percentage</param>
/// <returns>Returns the maximum allowed market order quantity and if zero, also the reason</returns>
public override GetMaximumOrderQuantityResult GetMaximumOrderQuantityForTargetBuyingPower(GetMaximumOrderQuantityForTargetBuyingPowerParameters parameters)
{
var targetPortfolioValue = parameters.TargetBuyingPower * parameters.Portfolio.TotalPortfolioValue;
// no shorting allowed
if (targetPortfolioValue < 0)
{
return(new GetMaximumOrderQuantityResult(0, "The cash model does not allow shorting."));
}
var baseCurrency = parameters.Security as IBaseCurrencySymbol;
if (baseCurrency == null)
{
return(new GetMaximumOrderQuantityResult(0, "The security type must be SecurityType.Crypto or SecurityType.Forex."));
}
// if target value is zero, return amount of base currency available to sell
if (targetPortfolioValue == 0)
{
return(new GetMaximumOrderQuantityResult(-parameters.Portfolio.CashBook[baseCurrency.BaseCurrencySymbol].Amount));
}
// convert base currency cash to account currency
var baseCurrencyPosition = parameters.Portfolio.CashBook.ConvertToAccountCurrency(
parameters.Portfolio.CashBook[baseCurrency.BaseCurrencySymbol].Amount,
baseCurrency.BaseCurrencySymbol);
// remove directionality, we'll work in the land of absolutes
var targetOrderValue = Math.Abs(targetPortfolioValue - baseCurrencyPosition);
var direction = targetPortfolioValue > baseCurrencyPosition ? OrderDirection.Buy : OrderDirection.Sell;
// determine the unit price in terms of the account currency
var unitPrice = direction == OrderDirection.Buy ? parameters.Security.AskPrice : parameters.Security.BidPrice;
unitPrice *= parameters.Security.QuoteCurrency.ConversionRate * parameters.Security.SymbolProperties.ContractMultiplier;
if (unitPrice == 0)
{
if (parameters.Security.QuoteCurrency.ConversionRate == 0)
{
return(new GetMaximumOrderQuantityResult(0, "The internal cash feed required for converting" +
Invariant($" {parameters.Security.QuoteCurrency.Symbol} to {parameters.Portfolio.CashBook.AccountCurrency} does not") +
" have any data yet (or market may be closed)."));
}
if (parameters.Security.SymbolProperties.ContractMultiplier == 0)
{
return(new GetMaximumOrderQuantityResult(0, $"The contract multiplier for the {parameters.Security.Symbol.Value} security is zero. The symbol properties database may be out of date."));
}
// security.Price == 0
return(new GetMaximumOrderQuantityResult(0, parameters.Security.Symbol.GetZeroPriceMessage()));
}
// continue iterating while we do not have enough cash for the order
decimal orderFees = 0;
decimal currentOrderValue = 0;
// compute the initial order quantity
var orderQuantity = targetOrderValue / unitPrice;
// rounding off Order Quantity to the nearest multiple of Lot Size
orderQuantity -= orderQuantity % parameters.Security.SymbolProperties.LotSize;
if (orderQuantity == 0)
{
string reason = null;
if (!parameters.SilenceNonErrorReasons)
{
reason = Invariant(
$"The order quantity is less than the lot size of {parameters.Security.SymbolProperties.LotSize} and has been rounded to zero."
);
}
return(new GetMaximumOrderQuantityResult(0, reason, false));
}
// Just in case...
var lastOrderQuantity = 0m;
var utcTime = parameters.Security.LocalTime.ConvertToUtc(parameters.Security.Exchange.TimeZone);
do
{
// Each loop will reduce the order quantity based on the difference between
// (cashRequired + orderFees) and targetOrderValue
if (currentOrderValue > targetOrderValue)
{
var currentOrderValuePerUnit = currentOrderValue / orderQuantity;
var amountOfOrdersToRemove = (currentOrderValue - targetOrderValue) / currentOrderValuePerUnit;
if (amountOfOrdersToRemove < parameters.Security.SymbolProperties.LotSize)
{
// we will always substract at leat 1 LotSize
amountOfOrdersToRemove = parameters.Security.SymbolProperties.LotSize;
}
orderQuantity -= amountOfOrdersToRemove;
}
// rounding off Order Quantity to the nearest multiple of Lot Size
orderQuantity -= orderQuantity % parameters.Security.SymbolProperties.LotSize;
if (orderQuantity <= 0)
{
return(new GetMaximumOrderQuantityResult(0,
Invariant($"The order quantity is less than the lot size of {parameters.Security.SymbolProperties.LotSize} and has been rounded to zero.") +
Invariant($"Target order value {targetOrderValue}. Order fees {orderFees}. Order quantity {orderQuantity}.")
));
}
if (lastOrderQuantity == orderQuantity)
{
throw new ArgumentException(
Invariant($"GetMaximumOrderQuantityForTargetValue failed to converge to target order value {targetOrderValue}. ") +
Invariant($"Current order value is {currentOrderValue}. Order quantity {orderQuantity}. Lot size is ") +
Invariant($"{parameters.Security.SymbolProperties.LotSize}. Order fees {orderFees}. Security symbol {parameters.Security.Symbol}")
);
}
lastOrderQuantity = orderQuantity;
// generate the order
var order = new MarketOrder(parameters.Security.Symbol, orderQuantity, utcTime);
var orderValue = orderQuantity * unitPrice;
var fees = parameters.Security.FeeModel.GetOrderFee(
new OrderFeeParameters(parameters.Security,
order)).Value;
orderFees = parameters.Portfolio.CashBook.ConvertToAccountCurrency(fees).Amount;
currentOrderValue = orderValue + orderFees;
} while (currentOrderValue > targetOrderValue);
// add directionality back in
return(new GetMaximumOrderQuantityResult((direction == OrderDirection.Sell ? -1 : 1) * orderQuantity));
}
private void RenderAccountPositions(StringBuilder sb, int accountId)
{
List <MarketOrder> orders;
var accountInfo = GetAccountInfoFromServer(accountId, out orders);
if (accountInfo == null)
{
return;
}
var tradeSignalRequestScript = RenderAjaxSignalDetailQuery(sb);
// краткая сводка по счету
sb.AppendLine(" <h3>Счет " + accountId + "</h3>");
sb.AppendLine(" <p>");
var ptrVal = new Dictionary <string, string>
{
{ "Баланс",
accountInfo.Equity.ToStringUniformMoneyFormat() + " " + accountInfo.Currency },
{ "Текущая прибыль/убыток",
(accountInfo.Equity - accountInfo.Balance).ToStringUniformMoneyFormat() + " " + accountInfo.Currency },
{ "Группа", accountInfo.Group }
};
foreach (var pair in ptrVal)
{
sb.AppendLine(" " + pair.Key + ": " + pair.Value + "<br/>");
}
sb.AppendLine(" </p>");
// рендерить таблицу открытых позиций
RenderTableOpenTag(sb);
RenderTableRowTag(sb, true);
sb.AppendLine(" <td>№</td><td>Тип</td><td>Объем</td><td>Инстр.</td>" +
"<td>Цена</td><td>Время</td><td>Выход</td><td>Результат</td><td>SL</td><td>TP</td><td>Сиг.</td></tr>");
var evenRow = false;
var colorSchemeText = new Dictionary <Cortege2 <bool, bool>, string>
{
{ new Cortege2 <bool, bool>(true, true), "Black" }, // even - profit
{ new Cortege2 <bool, bool>(false, true), "Black" }, // odd - profit
{ new Cortege2 <bool, bool>(false, false), "Black" }, // odd - loss
{ new Cortege2 <bool, bool>(true, false), "#860000" } // even - loss
};
var colorSchemeBack = new Dictionary <Cortege2 <bool, bool>, string>
{
{ new Cortege2 <bool, bool>(true, true), "White" }, // even - profit
{ new Cortege2 <bool, bool>(false, true), "#E0E0E0" }, // odd - profit
{ new Cortege2 <bool, bool>(false, false), "FFD6D6" }, // odd - loss
{ new Cortege2 <bool, bool>(true, false), "#White" } // even - loss
};
foreach (var order in orders)
{
evenRow = !evenRow;
var colorText = colorSchemeText[new Cortege2 <bool, bool>(evenRow, order.ResultDepo >= 0)];
var colorBack = colorSchemeBack[new Cortege2 <bool, bool>(evenRow, order.ResultDepo >= 0)];
sb.AppendLine(string.Format(" <tr style=\"color:{0}; background-color:{1}\">",
colorText, colorBack));
int signalCat, parentDeal;
var signalString = "";
if (MarketOrder.GetTradeSignalFromDeal(order, out signalCat, out parentDeal))
{
signalString = string.Format("<a href=\"#\" onclick=\"{0}({1})\">[{1}]</a>",
tradeSignalRequestScript, signalCat);
}
sb.AppendLine(string.Format(" <td>{0}</td><td>{1}</td><td>{2}</td>" +
"<td>{3}</td><td>{4}</td><td>{5:dd.MM.yyyy HH:mm:ss}</td><td>{6}</td><td>{7}</td><td>{8}</td><td>{9}</td><td>{10}</td></tr>",
order.ID, order.Side > 0 ? "BUY" : "SELL", order.Volume.ToStringUniformMoneyFormat(),
order.Symbol, order.PriceEnter.ToStringUniformMoneyFormat(),
order.TimeEnter, (order.PriceExit ?? 0).ToStringUniformPriceFormat(),
order.ResultDepo.ToStringUniformMoneyFormat(),
order.StopLoss.HasValue ? order.StopLoss.Value.ToStringUniformPriceFormat() : " ",
order.TakeProfit.HasValue ? order.TakeProfit.Value.ToStringUniformPriceFormat() : " ",
signalString));
}
}
private void MarketDataRoutine(object obj)
{
int index = (int)obj;
while (true)
{
if (_isRunning == true && _source != null)
{
if (_source.MarketDataCache.Count > 0)
{
TDFMarketData[] tmd;
if (_source.MarketDataCache.TryDequeue(out tmd))
{
MarketData[] md = new MarketData[tmd.Length];
for (int i = 0; i < tmd.Length; i++)
{
md[i] = new MarketData();
md[i].WindCode = tmd[i].WindCode;
md[i].Code = tmd[i].Code;
md[i].ActionDay = tmd[i].ActionDay;
md[i].Time = tmd[i].Time;
md[i].Status = tmd[i].Status;
md[i].PreClose = tmd[i].PreClose;
md[i].Open = tmd[i].Open;
md[i].High = tmd[i].High;
md[i].Low = tmd[i].Low;
md[i].Match = tmd[i].Match;
for (int j = 0; j < 10; j++)
{
md[i].AskPrice[j] = tmd[i].AskPrice[j];
md[i].AskVol[j] = (int)tmd[i].AskVol[j];
md[i].BidPrice[j] = tmd[i].BidPrice[j];
md[i].BidVol[j] = (int)tmd[i].BidVol[j];
}
md[i].NumTrades = (int)(tmd[i].NumTrades);
md[i].Volume = (int)(tmd[i].Volume);
md[i].Turnover = tmd[i].Turnover;
md[i].TotalAskVol = (int)(tmd[i].TotalAskVol);
md[i].TotalBidVol = (int)(tmd[i].TotalBidVol);
md[i].WeightedAvgAskPrice = tmd[i].WeightedAvgAskPrice;
md[i].WeightedAvgBidPrice = tmd[i].WeightedAvgBidPrice;
md[i].IOPV = tmd[i].IOPV;
md[i].YieldToMaturity = tmd[i].YieldToMaturity;
md[i].HighLimited = tmd[i].HighLimited;
md[i].LowLimited = tmd[i].LowLimited;
tmd[i].Prefix.CopyTo(md[i].Prefix, 0);
md[i].Syl1 = tmd[i].Syl1;
md[i].Syl2 = tmd[i].Syl2;
md[i].SD2 = tmd[i].SD2;
}
lock (this)
{
_recvDataCount += tmd.Length;
}
if (NewMarketData != null)
{
NewMarketData(md);
}
}
}
else if (_source.OrderCache.Count > 0)
{
TDFOrder[] oc;
if (_source.OrderCache.TryDequeue(out oc))
{
MarketOrder[] mo = new MarketOrder[oc.Length];
for (int i = 0; i < mo.Length; i++)
{
mo[i] = new MarketOrder();
mo[i].WindCode = oc[i].WindCode;
mo[i].Code = oc[i].Code;
mo[i].ActionDay = oc[i].ActionDay;
mo[i].Time = oc[i].Time;
mo[i].Order = oc[i].Order;
mo[i].Price = oc[i].Price;
mo[i].Volume = oc[i].Volume;
mo[i].OrderKind = oc[i].OrderKind;
mo[i].FunctionCode = oc[i].FunctionCode;
}
lock (this)
{
_recvDataCount += oc.Length;
}
if (NewMarketOrder != null)
{
NewMarketOrder(mo);
}
}
}
else if (_source.TransactionCache.Count > 0)
{
TDFTransaction[] t;
if (_source.TransactionCache.TryDequeue(out t))
{
MarketTransaction[] mt = new MarketTransaction[t.Length];
for (int i = 0; i < t.Length; i++)
{
mt[i] = new MarketTransaction();
mt[i].WindCode = t[i].WindCode;
mt[i].Code = t[i].Code;
mt[i].ActionDay = t[i].ActionDay;
mt[i].Time = t[i].Time;
mt[i].Index = t[i].Index;
mt[i].Price = t[i].Price;
mt[i].Volume = t[i].Volume;
mt[i].Turnover = t[i].Turnover;
mt[i].Flag = t[i].BSFlag;
mt[i].OrderKind = t[i].OrderKind;
mt[i].FunctionCode = t[i].FunctionCode;
mt[i].AskOrder = t[i].AskOrder;
mt[i].BidOrder = t[i].BidOrder;
}
lock (this)
{
_recvDataCount += t.Length;
}
if (NewMarketTransction != null)
{
NewMarketTransction(mt);
}
}
}
else if (_source.OrderQueueCache.Count > 0)
{
TDFOrderQueue[] oq;
if (_source.OrderQueueCache.TryDequeue(out oq))
{
MarketOrderQueue[] moq = new MarketOrderQueue[oq.Length];
for (int i = 0; i < oq.Length; i++)
{
moq[i] = new MarketOrderQueue();
moq[i].WindCode = oq[i].WindCode;
moq[i].Code = oq[i].Code;
moq[i].ActionDay = oq[i].ActionDay;
moq[i].Time = oq[i].Time;
moq[i].Side = oq[i].Side;
moq[i].Price = oq[i].Price;
moq[i].Orders = oq[i].Orders;
moq[i].Items = oq[i].ABItems;
oq[i].ABVolume.CopyTo(moq[i].Volume, 0);
}
lock (this)
{
_recvDataCount += oq.Length;
}
if (NewMarketOrderQueue != null)
{
NewMarketOrderQueue(moq);
}
}
}
else
{
Thread.Sleep(10);
}
}
else
{
Thread.Sleep(1000);
}
}
}
/// <summary>
/// Strategy enter/exit/filtering rules
/// </summary>
public override void OnNewBar()
{
decimal stopMargin = (int)this.GetInputParameter("Catastrophic Stop Loss ticks distance") * this.GetMainChart().Symbol.TickSize;
int buySignal = (int)this.GetInputParameter("RSI Buy signal trigger level");
int sellSignal = (int)this.GetInputParameter("RSI Sell signal trigger level");
if (rsiIndicator.GetRSI()[1] <= buySignal && rsiIndicator.GetRSI()[0] > buySignal && this.GetOpenPosition() != 1)
{
if (this.GetOpenPosition() == 0)
{
//BUY SIGNAL: Entering long and placing a catastrophic stop loss
MarketOrder buyOrder = new MarketOrder(OrderSide.Buy, 1, "Enter long position");
catastrophicStop = new StopOrder(OrderSide.Sell, 1, this.Bars.Close[0] - stopMargin, "Catastrophic stop long exit");
this.InsertOrder(buyOrder);
this.InsertOrder(catastrophicStop);
}
else if (this.GetOpenPosition() == -1)
{
//BUY SIGNAL: Closing short position and cancelling the catastrophic stop loss order
MarketOrder exitShortOrder = new MarketOrder(OrderSide.Buy, 1, "Exit short position (reversal exit signal)");
this.InsertOrder(exitShortOrder);
this.CancelOrder(catastrophicStop);
}
}
else if (rsiIndicator.GetRSI()[1] >= sellSignal && rsiIndicator.GetRSI()[0] < sellSignal && this.GetOpenPosition() != -1)
{
if (this.GetOpenPosition() == 0)
{
//SELL SIGNAL: Entering short and placing a catastrophic stop loss
MarketOrder sellOrder = new MarketOrder(OrderSide.Sell, 1, "Enter short position");
catastrophicStop = new StopOrder(OrderSide.Buy, 1, this.Bars.Close[0] + stopMargin, "Catastrophic stop short exit");
this.InsertOrder(sellOrder);
this.InsertOrder(catastrophicStop);
}
else if (this.GetOpenPosition() == 1)
{
//SELL SIGNAL: Closing long position and cancelling the catastrophic stop loss order
MarketOrder exitLongOrder = new MarketOrder(OrderSide.Sell, 1, "Exit long position (reversal exit signal)");
this.InsertOrder(exitLongOrder);
this.CancelOrder(catastrophicStop);
}
}
}
public void GenerateMarginCallOrderTests()
{
const int quantity = 1000;
const decimal leverage = 1m;
var orderProcessor = new FakeOrderProcessor();
var portfolio = GetPortfolio(orderProcessor, quantity);
portfolio.MarginCallModel = new DefaultMarginCallModel(portfolio, null);
var security = GetSecurity(Symbols.AAPL);
portfolio.Securities.Add(security);
var time = DateTime.Now;
const decimal buyPrice = 1m;
security.SetMarketPrice(new Tick(time, Symbols.AAPL, buyPrice, buyPrice));
var order = new MarketOrder(Symbols.AAPL, quantity, time)
{
Price = buyPrice
};
var fill = new OrderEvent(order, DateTime.UtcNow, OrderFee.Zero)
{
FillPrice = buyPrice, FillQuantity = quantity
};
orderProcessor.AddOrder(order);
var request = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, order.Quantity, 0, 0, order.Time, null);
request.SetOrderId(0);
orderProcessor.AddTicket(new OrderTicket(null, request));
Assert.AreEqual(portfolio.Cash, fill.FillPrice * fill.FillQuantity);
portfolio.ProcessFill(fill);
Assert.AreEqual(0, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity, portfolio.TotalPortfolioValue);
// we shouldn't be able to place a trader
var newOrder = new MarketOrder(Symbols.AAPL, 1, time.AddSeconds(1))
{
Price = buyPrice
};
var hasSufficientBuyingPower = security.BuyingPowerModel.HasSufficientBuyingPowerForOrder(portfolio, security, newOrder).IsSufficient;
Assert.IsFalse(hasSufficientBuyingPower);
// now the stock doubles, so we should have margin remaining
time = time.AddDays(1);
const decimal highPrice = buyPrice * 2;
security.SetMarketPrice(new Tick(time, Symbols.AAPL, highPrice, highPrice));
portfolio.InvalidateTotalPortfolioValue();
Assert.AreEqual(quantity, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity * 2, portfolio.TotalPortfolioValue);
// we shouldn't be able to place a trader
var anotherOrder = new MarketOrder(Symbols.AAPL, 1, time.AddSeconds(1))
{
Price = highPrice
};
hasSufficientBuyingPower = security.BuyingPowerModel.HasSufficientBuyingPowerForOrder(portfolio, security, anotherOrder).IsSufficient;
Assert.IsTrue(hasSufficientBuyingPower);
// now the stock plummets, so we should have negative margin remaining
time = time.AddDays(1);
const decimal lowPrice = buyPrice / 2;
security.SetMarketPrice(new Tick(time, Symbols.AAPL, lowPrice, lowPrice));
portfolio.InvalidateTotalPortfolioValue();
Assert.AreEqual(-quantity / 2m, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity / 2m, portfolio.TotalPortfolioValue);
// this would not cause a margin call due to leverage = 1
bool issueMarginCallWarning;
var marginCallOrders = portfolio.MarginCallModel.GetMarginCallOrders(out issueMarginCallWarning);
Assert.IsFalse(issueMarginCallWarning);
Assert.AreEqual(0, marginCallOrders.Count);
// now change the leverage to test margin call warning and margin call logic
security.SetLeverage(leverage * 2);
// Stock price increase by minimum variation
const decimal newPrice = lowPrice + 0.01m;
security.SetMarketPrice(new Tick(time, Symbols.AAPL, newPrice, newPrice));
portfolio.InvalidateTotalPortfolioValue();
// this would not cause a margin call, only a margin call warning
marginCallOrders = portfolio.MarginCallModel.GetMarginCallOrders(out issueMarginCallWarning);
Assert.IsTrue(issueMarginCallWarning);
Assert.AreEqual(0, marginCallOrders.Count);
// Price drops again to previous low, margin call orders will be issued
security.SetMarketPrice(new Tick(time, Symbols.AAPL, lowPrice, lowPrice));
portfolio.InvalidateTotalPortfolioValue();
order = new MarketOrder(Symbols.AAPL, quantity, time)
{
Price = buyPrice
};
fill = new OrderEvent(order, DateTime.UtcNow, OrderFee.Zero)
{
FillPrice = buyPrice, FillQuantity = quantity
};
portfolio.ProcessFill(fill);
Assert.AreEqual(0, portfolio.TotalPortfolioValue);
marginCallOrders = portfolio.MarginCallModel.GetMarginCallOrders(out issueMarginCallWarning);
Assert.IsTrue(issueMarginCallWarning);
Assert.AreEqual(1, marginCallOrders.Count);
}
public Order MarketOrder(OrderSide side, double qty, string text)
{
SingleOrder singleOrder;
if (side == OrderSide.Buy)
{
singleOrder = new MarketOrder(this.sq_Instrument, Side.Buy, qty, text);
}
else
{
singleOrder = new MarketOrder(this.sq_Instrument, Side.Sell, qty, text);
}
singleOrder.Strategy = this.strategyName;
Order order = new Order(singleOrder);
order.Portfolio = this.portfolio;
Map.OQ_SQ_Order[order] = singleOrder;
Map.SQ_OQ_Order[singleOrder] = order;
return order;
}
/// <summary>
/// Converts the specified Oanda order into a qc order.
/// The 'task' will have a value if we needed to issue a rest call for the stop price, otherwise it will be null
/// </summary>
private Order ConvertOrder(DataType.Order order)
{
Order qcOrder;
switch (order.type)
{
case "limit":
qcOrder = new LimitOrder();
if (order.side == "buy")
{
((LimitOrder)qcOrder).LimitPrice = Convert.ToDecimal(order.lowerBound);
}
if (order.side == "sell")
{
((LimitOrder)qcOrder).LimitPrice = Convert.ToDecimal(order.upperBound);
}
break;
case "stop":
qcOrder = new StopLimitOrder();
if (order.side == "buy")
{
((StopLimitOrder)qcOrder).LimitPrice = Convert.ToDecimal(order.lowerBound);
}
if (order.side == "sell")
{
((StopLimitOrder)qcOrder).LimitPrice = Convert.ToDecimal(order.upperBound);
}
break;
case "marketIfTouched":
//when market reaches the price sell at market.
qcOrder = new StopMarketOrder {
Price = Convert.ToDecimal(order.price), StopPrice = Convert.ToDecimal(order.price)
};
break;
case "market":
qcOrder = new MarketOrder();
break;
default:
throw new NotSupportedException("The Oanda order type " + order.type + " is not supported.");
}
var securityType = _symbolMapper.GetBrokerageSecurityType(order.instrument);
qcOrder.Symbol = _symbolMapper.GetLeanSymbol(order.instrument, securityType, Market.Oanda);
qcOrder.Quantity = ConvertQuantity(order);
qcOrder.Status = OrderStatus.None;
qcOrder.BrokerId.Add(order.id.ToString());
var orderByBrokerageId = _orderProvider.GetOrderByBrokerageId(order.id);
if (orderByBrokerageId != null)
{
qcOrder.Id = orderByBrokerageId.Id;
}
qcOrder.Duration = OrderDuration.Custom;
qcOrder.DurationValue = XmlConvert.ToDateTime(order.expiry, XmlDateTimeSerializationMode.Utc);
qcOrder.Time = XmlConvert.ToDateTime(order.time, XmlDateTimeSerializationMode.Utc);
return(qcOrder);
}
public override List <string> OnQuotesReceived(string[] names, CandleDataBidAsk[] quotes, bool isHistoryStartOff)
{
var events = new List <string>();
if (tickers.Length == 0 || isHistoryStartOff)
{
return(events);
}
if (lastTrade == null)
{
lastTrade = new ThreadSafeTimeStamp();
lastTrade.Touch();
}
// секунд с последнего трейда...
var timeSince = (DateTime.Now - lastTrade.GetLastHit()).TotalSeconds;
if (timeSince < tradeIntervalSec)
{
return(events);
}
lastTrade.Touch();
// затребовать все сделки со своим magic
List <MarketOrder> orders;
GetMarketOrders(out orders, true);
var sides = tickers.ToDictionary(t => t, t => 1);
if (orders != null)
{
foreach (var order in orders)
{
if (sides.ContainsKey(order.Symbol))
{
sides[order.Symbol] = -order.Side;
}
// закрыть старую сделку
CloseMarketOrder(order.ID);
}
}
// открыть новые сделки
foreach (var tickerSide in sides)
{
var newOrd = new MarketOrder
{
Symbol = tickerSide.Key,
Side = tickerSide.Value,
AccountID = robotContext.AccountInfo.ID,
Magic = Magic,
Volume = FixedVolume,
ExpertComment = "SimpleTradeMachine"
};
var rst = robotContext.SendNewOrderRequest(protectedContext.MakeProtectedContext(),
RequestUniqueId.Next(), newOrd, OrderType.Market, 0, 0);
}
return(events);
}
public IncomingMessage Visit(Mantle.Fix44.MarketDataIncrementalRefresh msg)
{
var res = new IncomingMessage();
res.SendingTime = msg.StandardHeader.SendingTime.Value;
if (!msg.StandardHeader.SendingTime.HasValue)
{
_log.Warn("MarketDataResponse is missing SendingTime field: {0}", msg);
return(null);
}
res.MarketData.Value.ServerTime = msg.StandardHeader.SendingTime.Value;
if (!msg.Instrument.Symbol.HasValue)
{
_log.Warn("MarketDataResponse is missing Symbol field: {0}", msg);
return(null);
}
res.MarketData.Value.Symbol = msg.Instrument.Symbol.Value;
foreach (Mantle.Fix44.MDEntry entry in msg.MDEntries)
{
string error;
MarketOrder order = MakeOrder(entry, out error);
if (order != null)
{
var diff = new MarketOrderDiff();
diff.Order = order;
if (!entry.MDUpdateAction.HasValue)
{
_log.Warn("Missing MDUpdateAction field: {0}", msg);
break;
}
else if (entry.MDUpdateAction.Value == '0')
{
diff.Type = DiffType.New;
}
else if (entry.MDUpdateAction.Value == '1')
{
diff.Type = DiffType.Change;
}
else if (entry.MDUpdateAction.Value == '2')
{
diff.Type = DiffType.Delete;
}
else
{
_log.Warn("Invalid value of MDUpdateAction {0}: {1}", entry.MDUpdateAction.Value, msg);
break;
}
if (res.MarketData.Value.Diff == null)
{
res.MarketData.Value.Diff = new List <MarketOrderDiff>();
}
res.MarketData.Value.Diff.Add(diff);
continue;
}
if (error != null)
{
_log.Warn("{0}: {1}", error, msg);
continue;
}
_log.Warn("Ignoring MDEntry of unkonwn format: {0}", msg);
}
return(res);
}
