public void StartCapturingMarketTrend()
{
try
{
EquitySymbolQuote quote;
errCode = myUpstoxWrapper.GetSnapQuote(exchStr, stockCode, out quote);
myUpstoxWrapper.Upstox.QuotesReceivedEvent += new Upstox.QuotesReceivedEventEventHandler(QuoteReceived);
var substatus = myUpstoxWrapper.Upstox.SubscribeQuotes(exchStr, stockCode);
Trace(string.Format("SubscribeQuotes status={0}", substatus));
}
catch (Exception ex)
{
Trace(string.Format("{0} Error: {1} \nStacktrace:{2}", stockCode, ex.Message, ex.StackTrace));
throw;
}
while (MarketUtils.IsMarketOpen())
{
try
{
if (quote != null)
{
var changePct = (quote.LTP - quote.Close) / quote.Close;
var prevmktTrendFactorForBuyMarkdown = mktTrendFactorForBuyMarkdown;
if (changePct < -0.005)
{
mktTrendFactorForBuyMarkdown = 1.2;
}
else if (changePct < -0.01)
{
mktTrendFactorForBuyMarkdown = 1.5;
}
else if (changePct < -0.015)
{
mktTrendFactorForBuyMarkdown = 2;
}
else
{
mktTrendFactorForBuyMarkdown = 1;
}
if (prevmktTrendFactorForBuyMarkdown != mktTrendFactorForBuyMarkdown)
{
Trace(string.Format("MarketTrendForBuyMarkdown changed from {0} to {1}. Nifty changePct={2}", prevmktTrendFactorForBuyMarkdown, mktTrendFactorForBuyMarkdown, Math.Round(changePct, 5)));
}
}
}
catch (Exception ex)
{
Trace("Error:" + ex.Message + "\nStacktrace:" + ex.StackTrace);
}
Thread.Sleep(1000 * 15);
}
}
public override void StockBuySell()
{
try
{
myUpstoxWrapper.Upstox.TradeUpdateEvent += new Upstox.TradeUpdateEventEventHandler(TradeUpdated);
myUpstoxWrapper.Upstox.OrderUpdateEvent += new Upstox.OrderUpdateEventEventHandler(OrderUpdated);
myUpstoxWrapper.Upstox.PositionUpdateEvent += new Upstox.PositionUpdateEventEventHandler(PositionUpdated);
Init(AlgoType.AverageTheBuyThenSell);
}
catch (Exception ex)
{
Trace(string.Format("{0} Error: {1} \nStacktrace:{2}", stockCode, ex.Message, ex.StackTrace));
throw;
}
while (MarketUtils.IsMarketOpen())
{
try
{
PlaceBuyOrderIfEligible();
HandleConversionAnytimeNew();
if (MarketUtils.IsTimeAfter3XMin(0))
{
NearEODSquareOffAndCancelBuyOrder();
}
if (MarketUtils.IsTimeAfter3XMin(29))
{
CancelOpenOrders();
}
}
catch (Exception ex)
{
Trace("Error:" + ex.Message + "\nStacktrace:" + ex.StackTrace);
}
MainLoopPause();
}
EODProcess(true); // EOD final update
}
public override void StockBuySell()
{
Init();
// place buy order if eligible: if there is no pending buy order and if totaloutstanding qt is less than maxoutstanding
if (string.IsNullOrEmpty(buyOrderRef) && todayOutstandingQty == 0 && (todayOutstandingQty + holdingOutstandingQty) < maxOutstandingQty)
{
// place buy order, update buy order ref
var buyPrice = GetBuyPrice();
errCode = PlaceMarginOrder(stockCode, ordQty, buyPrice.ToString(), OrderPriceType.LIMIT, OrderDirection.BUY, EquityOrderType.MARGIN, exchange, out buyOrderRef);
}
while (MarketUtils.IsMarketOpen())
{
try
{
var newTrades = new Dictionary <string, EquityTradeBookRecord>();
// refresh trade book
errCode = broker.GetEquityTradeBookToday(true, stockCode, out newTrades);
if (newTrades.Count > 0)
{
var trade = newTrades.First().Value;
Trace(string.Format(tradeTraceFormat, stockCode, trade.Direction == OrderDirection.BUY ? "bought" : "sold", trade.Quantity, trade.Price,
newTrades.ContainsKey(holdingSellOrderRef) ? "CASH" : "MARGIN"));
// if buy executed, then place a corresponding margin sell order
if (newTrades.ContainsKey(buyOrderRef))
{
// update outstanding qty and outstanding price to place updated sell order
todayOutstandingQty = trade.Quantity;
todayOutstandingPrice = trade.Price;
settlementNumber = trade.SettlementNumber;
// place new sell order, update sell order ref
var sellPrice = GetSellPrice(todayOutstandingPrice, false);
errCode = PlaceMarginOrder(stockCode, ordQty, sellPrice.ToString(), OrderPriceType.LIMIT, OrderDirection.SELL, EquityOrderType.MARGIN, exchange, out sellOrderRef);
}
// if sell executed, then place a fresh buy order
if (newTrades.ContainsKey(sellOrderRef))
{
todayOutstandingQty = 0;
todayOutstandingPrice = 0;
if (string.IsNullOrEmpty(buyOrderRef))
{
if (buyOrderCount >= maxBuyOrders)
{
break;
}
// place buy order, update buy order ref
var buyPrice = GetBuyPrice();
errCode = PlaceMarginOrder(stockCode, ordQty, buyPrice.ToString(), OrderPriceType.LIMIT, OrderDirection.BUY, EquityOrderType.MARGIN, exchange, out buyOrderRef);
}
}
// if holding sell executed
if (newTrades.ContainsKey(holdingSellOrderRef))
{
holdingOutstandingQty = 0;
holdingOutstandingPrice = 0;
holdingSellOrderRef = "";
var positionStr = string.Format("{0} {1} {2}", todayOutstandingQty, todayOutstandingPrice, holdingSellOrderRef);
File.WriteAllText(positionFile, positionStr);
if (string.IsNullOrEmpty(buyOrderRef) && todayOutstandingQty == 0)
{
if (buyOrderCount >= maxBuyOrders)
{
break;
}
// place buy order if eligible: if there is no pending buy order and if totaloutstanding qt is less than maxoutstanding
if ((todayOutstandingQty + holdingOutstandingQty) < maxOutstandingQty)
{
// place buy order, update buy order ref
var buyPrice = GetBuyPrice();
errCode = PlaceMarginOrder(stockCode, ordQty, buyPrice.ToString(), OrderPriceType.LIMIT, OrderDirection.BUY, EquityOrderType.MARGIN, exchange, out buyOrderRef);
}
}
}
}
TrySquareOffNearEOD();
}
catch (Exception ex)
{
Trace("Error:" + ex.Message + "\nStacktrace:" + ex.StackTrace);
}
Thread.Sleep(1000 * 90);
}
// convert to delivery any open buy position
ConvertToDeliveryAndUpdatePositionFile();
}
public override void StockBuySell()
{
Init(AlgoType.SimultaneousBuySell);
while (MarketUtils.IsMarketOpen())
{
try
{
var newTrades = new Dictionary <string, EquityTradeBookRecord>();
// refresh trade book
errCode = broker.GetEquityTradeBookToday(true, stockCode, out newTrades);
if (newTrades.Count > 0)
{
var trade = newTrades.First().Value;
Trace(string.Format(tradeTraceFormat, stockCode, trade.Direction == OrderDirection.BUY ? "bought" : "sold", trade.Quantity, trade.Price, newTrades.ContainsKey(holdingSellOrderRef) ? "CASH" : "MARGIN"));
if (newTrades.ContainsKey(todayOutstandingBuyOrderRef))
{
todayOutstandingQty += trade.Quantity;
todayOutstandingPrice = trade.Price;
todayOutstandingBuyOrderRef = "";
}
else if (newTrades.ContainsKey(todayOutstandingSellOrderRef))
{
todayOutstandingQty -= trade.Quantity;
todayOutstandingPrice = trade.Price;
todayOutstandingSellOrderRef = "";
}
else if (newTrades.ContainsKey(holdingSellOrderRef))
{
holdingOutstandingQty = 0;
holdingOutstandingPrice = 0;
holdingSellOrderRef = "";
UpdatePositionFile(holdingOutstandingQty, holdingOutstandingPrice, holdingSellOrderRef);
}
else
{
// upstox squared off the sell. verify it and cancel the buy order
if (trade.Direction == OrderDirection.BUY)
{
CancelEquityOrder("Broker squared off the sell", todayOutstandingBuyOrderRef, trade.Direction);
todayOutstandingQty += trade.Quantity;
todayOutstandingPrice = trade.Price;
todayOutstandingBuyOrderRef = "";
}
}
}
// if order time is within range and today's buy order count is below max then only place pair
if (IsOrderTimeWithinRange() && string.IsNullOrEmpty(todayOutstandingBuyOrderRef) && string.IsNullOrEmpty(todayOutstandingSellOrderRef) && buyOrderCount < maxBuyOrders && (todayOutstandingQty + holdingOutstandingQty) < maxAllowedOutstandingQty)
{
// no pair existing, place a pair order
// place buy order, update buy order ref
var buyPrice = GetBuyPrice();
errCode = PlaceEquityOrder(stockCode, ordQty, buyPrice.ToString(), OrderPriceType.LIMIT, OrderDirection.BUY, EquityOrderType.MARGIN, Exchange.NSE, out todayOutstandingBuyOrderRef);
// place new sell order, update sell order ref
var sellPrice = GetSellPrice(buyPrice, false);
errCode = PlaceEquityOrder(stockCode, ordQty, sellPrice.ToString(), OrderPriceType.LIMIT, OrderDirection.SELL, EquityOrderType.MARGIN, Exchange.NSE, out todayOutstandingSellOrderRef);
}
else if (MarketUtils.IsTimeAfter3() && (!string.IsNullOrEmpty(todayOutstandingBuyOrderRef) && !string.IsNullOrEmpty(todayOutstandingSellOrderRef)))
{
// if existing pair is unexecuted, then cancel the pair
Trace("Cancelling the pair orders as no side is executed and its past 3 pm");
errCode = CancelEquityOrder("Unexecuted Pair cancellation", todayOutstandingBuyOrderRef, OrderDirection.BUY);
if (errCode == BrokerErrorCode.Success)
{
todayOutstandingBuyOrderRef = "";
}
errCode = CancelEquityOrder("Unexecuted Pair cancellation", todayOutstandingSellOrderRef, OrderDirection.SELL);
if (errCode == BrokerErrorCode.Success)
{
todayOutstandingSellOrderRef = "";
}
}
TrySquareOffNearEOD(AlgoType.SimultaneousBuySell);
}
catch (Exception ex)
{
Trace("Error:" + ex.Message + "\nStacktrace:" + ex.StackTrace);
}
if (MarketUtils.IsTimeAfter325())
{
ConvertToDeliveryAndUpdatePositionFile();
}
PauseBetweenTradeBookCheck();
}
ConvertToDeliveryAndUpdatePositionFile();
}
public BrokerErrorCode Prolog()
{
BrokerErrorCode errorCode = BrokerErrorCode.Success;
string traceString = "Algo1_SimplePairedBuySellDelivery.Prolog :: ENTER";
FileTracing.TraceOut(traceString);
if (algoParams.bCancelOutstandingOrdersAtStart)
{
errorCode = BrokerUtils.CancelStockOutstandingOrdersAndTrace(mBroker, stockCode);
}
if (!algoParams.bStartAFresh)
{
// Start from last run state and try to be in pair-execute state
// There may be less than or equal to 1 lot of stock as long or short
// Pick up the last trade from xml
// TODO:
}
// Get latest quote
EquitySymbolQuote[] stockPrice;
errorCode = mBroker.GetEquityQuote(stockCode, out stockPrice);
if (!errorCode.Equals(BrokerErrorCode.Success))
{
return(errorCode);
}
int stockExchange = stockInfo.MainExchange == Exchange.NSE ? 0 : 1;
double buyOrderValue = (stockPrice[stockExchange].LastTradePriceDouble * algoParams.StockTradingLot);
buyOrderValue += stockInfo.EstimatedBrokerage(buyOrderValue);
// Erroneous conditions get out, do later
// TODO: right now assume stock abvailable is at least = stock trading lot
// and assume limit is available
//if(stockInfo.StockAvailableAtStart <
// TODO: find better alternative to fit this variable
if ((stockInfo.StockAvailableAtStart < algoParams.StockTradingLot) && (stockInfo.FundLimitAtStart >= 2 * buyOrderValue))
{
// This means first buy the stock, then start trading it
bGenerateASingleBuyOrderAtStart = true;
}
else if (stockInfo.StockAvailableAtStart < algoParams.StockTradingLot)
{
errorCode = BrokerErrorCode.InValidArg;
}
if (!bGenerateASingleBuyOrderAtStart && errorCode.Equals(BrokerErrorCode.Success))
{
// There should be suficient stock to place a sell order to generate limit first
// and then for the pair-orders
// stockavailable should be at least twice the trading lot
if ((stockInfo.FundLimitAtStart < buyOrderValue) && (stockInfo.StockAvailableAtStart >= 2 * algoParams.StockTradingLot))
{
// Generate a sell order
bGenerateASingleSellOrderAtStart = true;
}
else if (stockInfo.FundLimitAtStart < buyOrderValue)
{
errorCode = BrokerErrorCode.InValidArg;
}
}
string price = "1";
bool bGenerateOrder = false;
OrderDirection orderDirection = OrderDirection.BUY;
// BUY order
if (bGenerateASingleBuyOrderAtStart)
{
// price decision
if (algoParams.initBidPrice > 0)
{
price = algoParams.initBidPrice.ToString();
}
// First orders, only if market not open and it is first order pair
else if (!MarketUtils.IsMarketOpen())
{
double closePrice = stockPrice[stockExchange].PreviousClosePriceDouble;
decimal buy = (decimal)(closePrice - ((double)(3.0 / 100) * closePrice));//prevclose - 3%
buy = decimal.Subtract(buy, 0.05M);
buy = decimal.Round(buy, 1);
price = buy.ToString();
}
// Subsequent orders
// TODO: May put time conditions or market volatility conditions here in else if
else
{
double ltp = stockPrice[stockExchange].LastTradePriceDouble;
decimal buy = (decimal)(ltp - ((double)(0.65 / 100) * ltp));//prevclose - 0.65%
buy = decimal.Subtract(buy, 0.05M);
buy = decimal.Round(buy, 1);
price = buy.ToString();
}
orderDirection = OrderDirection.BUY;
bGenerateASingleBuyOrderAtStart = false;
bGenerateOrder = true;
}
// SELL order
if (bGenerateASingleSellOrderAtStart)
{
// price decision
if (algoParams.initOfferPrice > 0)
{
price = algoParams.initOfferPrice.ToString();
}
// First orders, only if market not open and it is first order pair
if (!MarketUtils.IsMarketOpen())
{
double closePrice = stockPrice[stockExchange].PreviousClosePriceDouble;
decimal sell = (decimal)(closePrice + (3.0 / 100 * closePrice));//prevclose + 3%
sell = decimal.Add(sell, 0.05M);
sell = decimal.Round(sell, 1, MidpointRounding.AwayFromZero);
price = sell.ToString();
}
// Subsequent orders
// TODO: May put time conditions or market volatility conditions here in else if
else
{
double ltp = stockPrice[stockExchange].LastTradePriceDouble;
decimal sell = (decimal)(ltp + (0.65 / 100 * ltp));//prevclose + 0.65%
sell = decimal.Add(sell, 0.05M);
sell = decimal.Round(sell, 1, MidpointRounding.AwayFromZero);
price = sell.ToString();
}
orderDirection = OrderDirection.SELL;
bGenerateASingleSellOrderAtStart = false;
bGenerateOrder = true;
}
if (bGenerateOrder)
{
// Generate orders
List <EquityOrderRecord> generatedOrders = new List <EquityOrderRecord>
{
new EquityOrderRecord(stockCode,
algoParams.StockTradingLot,
price, OrderPriceType.LIMIT,
orderDirection,
stockInfo.MainExchange,
EquityOrderType.DELIVERY, "0",
"0")
};
List <BrokerErrorCode> errorCodes = null;
// Validate orders
List <EquityOrderRecord> ordersToPlace = stockInfo.ReturnFilteredValidOrders(generatedOrders);
// Place validated orders
errorCodes = mBroker.PlaceMultipleEquityOrders(ordersToPlace, 5);
traceString = "Algo1_SimplePairedBuySellDelivery.Prolog\n" + "Stock: " + stockInfo.StockCode + " :PlaceMultipleEquityOrders: 1\n";
int o = 0;
foreach (BrokerErrorCode errCodeEach in errorCodes)
{
EquityOrderRecord order = ordersToPlace[o++];
traceString = traceString + order.OrderDirection.ToString() + "-" + order.Quantity.ToString() +
" at " + order.Price + ": " + errCodeEach.ToString() + "\n";
errorCode = errCodeEach;
}
FileTracing.TraceOut(traceString);
}
traceString = "Algo1_SimplePairedBuySellDelivery.Prolog :: EXIT";
FileTracing.TraceOut(traceString);
return(errorCode);
}
// Stock trading lot(qty) for orders
//private int mStockTradingLot;
//protected int StockTradingLot
//{
// get { lock (lockObjectProperties) { return mStockTradingLot; } }
// set { lock (lockObjectProperties) { mStockTradingLot = value; } }
//}
public BrokerErrorCode RunCoreAlgo()
{
#region SimpleBuySellPairSquareAlgo
bool bCancelPairOrder = false;
string stockCode = stockInfo.StockCode;
int stockExchange = stockInfo.MainExchange == Exchange.NSE ? 0 : 1;
BrokerErrorCode errorCode = BrokerErrorCode.Unknown;
int tryCnt = 0;
while (errorCode != BrokerErrorCode.Success && tryCnt <= 5)
{
// refresh stock state (doesnt have price info)
errorCode = EquityStockState.EquityRefreshStockStateToday(mBroker, stockInfo);
if (errorCode == BrokerErrorCode.NotLoggedIn)
{
mBroker.LogOut();
errorCode = mBroker.CheckAndLogInIfNeeded(true);
tryCnt++;
}
}
string traceString = "RefreshEquityStockStateToday: " + errorCode.ToString();
FileTracing.TraceOut(traceString);
if (errorCode.Equals(BrokerErrorCode.Success))
{
// If no buy or sell order pending, i.e. the square-off pair orders have executed
// then place a pair of fresh buy-sell orders
if (!(stockInfo.IsAnyOutstandingBuyOrder() ||
stockInfo.IsAnyOutstandingSellOrder()
))
{
// Place buy-sell order pair
// Get latest quote
EquitySymbolQuote[] stockPrice;
errorCode = mBroker.GetEquityQuote(stockCode, out stockPrice);
if (!errorCode.Equals(BrokerErrorCode.Success))
{
return(errorCode);
}
// Generate orders
List <EquityOrderRecord> generatedOrders = new List <EquityOrderRecord>();
string BidPrice;
string OfferPrice;
// price decision
// First orders, only if market not open and it is first order pair
if ((stockInfo.NumTrades == 0) && !MarketUtils.IsMarketOpen())
{
double closePrice = stockPrice[stockExchange].PreviousClosePriceDouble;
if (algoParams.initBidPrice > 0)
{
BidPrice = algoParams.initBidPrice.ToString();
}
else
{
decimal buy = (decimal)(closePrice - (2.0 / 100 * closePrice));//prevclose - 3%
buy = decimal.Subtract(buy, 0.05M);
buy = decimal.Round(buy, 1);
BidPrice = buy.ToString();
}
if (algoParams.initOfferPrice > 0)
{
OfferPrice = algoParams.initOfferPrice.ToString();
}
else
{
decimal sell = (decimal)(closePrice + (2.0 / 100 * closePrice));//prevclose + 3%
sell = decimal.Add(sell, 0.05M);
sell = decimal.Round(sell, 1, MidpointRounding.AwayFromZero);
OfferPrice = sell.ToString();
}
}
// Subsequent orders
// TODO: May put time conditions or market volatility conditions here in else if
else
{
double ltp = stockPrice[stockExchange].LastTradePriceDouble;
decimal buy = (decimal)(ltp - ((double)(0.85 / 100) * ltp));//prevclose - 0.85%
buy = decimal.Subtract(buy, 0.05M);
buy = decimal.Round(buy, 1);
BidPrice = buy.ToString();
decimal sell = (decimal)(ltp + ((double)(0.85 / 100) * ltp));//prevclose + 0.85%
sell = decimal.Add(sell, 0.05M);
sell = decimal.Round(sell, 1, MidpointRounding.AwayFromZero);
OfferPrice = sell.ToString();
}
// Buy
generatedOrders.Add(new EquityOrderRecord(stockCode, algoParams.StockTradingLot, BidPrice, OrderPriceType.LIMIT, OrderDirection.BUY, stockInfo.MainExchange, EquityOrderType.DELIVERY, "0", "0"));
if (!bGenerateASingleBuyOrderAtStart)
{
// Sell
generatedOrders.Add(new EquityOrderRecord(stockCode, algoParams.StockTradingLot, OfferPrice, OrderPriceType.LIMIT, OrderDirection.SELL, stockInfo.MainExchange, EquityOrderType.DELIVERY, "0", "0"));
}
List <BrokerErrorCode> errorCodes = null;
// Validate orders
List <EquityOrderRecord> ordersToPlace = stockInfo.ReturnFilteredValidOrders(generatedOrders);
// Place validated orders
errorCodes = mBroker.PlaceMultipleEquityOrders(ordersToPlace, 5);
traceString = "Stock: " + stockInfo.StockCode + " :PlaceMultipleEquityOrders: 2\n";
int o = 0;
foreach (BrokerErrorCode errCodeEach in errorCodes)
{
EquityOrderRecord order = ordersToPlace[o++];
traceString = traceString + order.OrderDirection.ToString() + "-" + order.Quantity.ToString() +
" at " + order.Price + ": " + errCodeEach.ToString() + "\n";
// Place Order failed
if (!errCodeEach.Equals(BrokerErrorCode.Success))
{
// Cancel both the orders
bCancelPairOrder = true;
}
}
FileTracing.TraceOut(traceString);
// Even if any one of the orders failed to place, cancel the pair
if (bCancelPairOrder)
{
errorCode = BrokerUtils.CancelStockOutstandingOrdersAndTrace(mBroker, stockCode);
}
}
}
return(errorCode);
#endregion
}
public override void StockBuySell()
{
try
{
Init(AlgoType.AverageTheBuyThenSell);
}
catch (Exception ex)
{
Trace("Error:" + ex.Message + "\nStacktrace:" + ex.StackTrace);
throw;
}
while (MarketUtils.IsMarketOpen())
{
try
{
// Try to convert to delivery pending open positions (nearing expiry) from previous days
ConvertToDeliveryPreviousDaysExpiringOpenPositions();
var holdingTradesRef = holdingsOrders.Select(h => h.OrderRef);
{
var newTrades = new Dictionary <string, EquityTradeBookRecord>();
// refresh trade book
errCode = broker.GetEquityTradeBookToday(true, stockCode, out newTrades);
foreach (var tradeKv in newTrades.OrderBy(t => t.Value.Direction).Reverse())
{
var tradeRef = tradeKv.Key;
var trade = tradeKv.Value;
Trace(string.Format(tradeTraceFormat, stockCode, trade.Direction == OrderDirection.BUY ? "bought" : "sold", trade.NewQuantity, trade.Price,
holdingTradesRef.Contains(tradeRef) ? "CASH" : "MARGIN"));
// if any holding sell executed
ProcessHoldingSellOrderExecution(newTrades);
// if sell executed, then update today outstanding to 0 , because sell order always contains the total outstanding qty and now all of it got sold with this trade
// but handle part executions using NewQuantity
if (tradeRef == todayOutstandingSellOrderRef)
{
todayOutstandingQty -= trade.NewQuantity;
if (todayOutstandingQty == 0)
{
todayOutstandingPrice = 0;
todayOutstandingSellOrderRef = "";
}
}
// if buy executed, then place a corresponding updated sell order. assumption is that qty is completely executed.
// part executed qty will get considered only for first part, for later ones there is no update because we wont get it in newTrades again
if (tradeRef == todayOutstandingBuyOrderRef)
{
Dictionary <string, EquityOrderBookRecord> orders;
errCode = broker.GetEquityOrderBookToday(false, false, stockCode, out orders);
if (orders[todayOutstandingBuyOrderRef].Status == OrderStatus.EXECUTED)
{
Trace(string.Format("Fully executed newqty {0} todayoutstandingqty {1} todayoutstandingprice {2} sellorderref {3} buyorderef {4} buyorderstatus {5}", trade.NewQuantity, todayOutstandingQty, todayOutstandingPrice, todayOutstandingSellOrderRef, todayOutstandingBuyOrderRef, orders[todayOutstandingBuyOrderRef].Status));
todayOutstandingBuyOrderRef = "";
}
else
{
Trace(string.Format("Partially executed newqty {0} todayoutstandingqty {1} todayoutstandingprice {2} sellorderref {3} buyorderef {4} buyorderstatus {5}", trade.NewQuantity, todayOutstandingQty, todayOutstandingPrice, todayOutstandingSellOrderRef, todayOutstandingBuyOrderRef, orders[todayOutstandingBuyOrderRef].Status));
}
// update outstanding qty and outstanding price to place updated sell order
todayOutstandingPrice = (todayOutstandingPrice * todayOutstandingQty) + (trade.NewQuantity * trade.Price);
todayOutstandingQty += trade.NewQuantity;
if (todayOutstandingQty == 0)
{
todayOutstandingPrice = 0;
}
else
{
todayOutstandingPrice /= todayOutstandingQty;
}
todayOutstandingPrice = Math.Round(todayOutstandingPrice, 2);
if (todayOutstandingQty >= maxTodayOutstandingQtyAllowed)
{
Trace(string.Format("TodayOutstandingQty reached the max. todayOutstandingQty: {0} maxTodayOutstandingQtyAllowed: {1}", todayOutstandingQty, maxTodayOutstandingQtyAllowed));
}
if ((todayOutstandingQty + holdingOutstandingQty) >= maxTotalOutstandingQtyAllowed)
{
Trace(string.Format("TotalOutstandingQty reached the max. todayOutstandingQty: {0} holdingOutstandingQty: {1} maxTotalOutstandingQtyAllowed: {2}", todayOutstandingQty, holdingOutstandingQty, maxTotalOutstandingQtyAllowed));
}
settlementNumber = trade.SettlementNumber;
lastBuyPrice = useAvgBuyPriceInsteadOfLastBuyPriceToCalculateBuyPriceForNewOrder ? todayOutstandingPrice : trade.Price;
if (!string.IsNullOrEmpty(todayOutstandingSellOrderRef))
{
// cancel existing sell order if it exists
errCode = CancelEquityOrder("[Buy Executed]", ref todayOutstandingSellOrderRef, EquityOrderType.MARGIN, OrderDirection.SELL);
}
if (errCode == BrokerErrorCode.Success || string.IsNullOrEmpty(todayOutstandingSellOrderRef))
{
// place new sell order if previous cancelled or it was first one, update sell order ref
var sellPrice = GetSellPrice(todayOutstandingPrice, false, false);
errCode = PlaceEquityOrder(stockCode, OrderPositionTypeEnum.Margin, todayOutstandingQty, todayOutstandingQty, sellPrice.ToString(), OrderPriceType.LIMIT, OrderDirection.SELL, EquityOrderType.MARGIN, exchange, "", out todayOutstandingSellOrderRef);
}
}
}
PlaceBuyOrderIfEligible();
}
// Only relevant near EOD
TrySquareOffNearEOD(AlgoType.AverageTheBuyThenSell);
}
catch (Exception ex)
{
Trace("Error:" + ex.Message + "\nStacktrace:" + ex.StackTrace);
}
if (MarketUtils.IsTimeAfter3XMin(28))
{
CancelHoldingSellOrders();
ConvertToDeliveryAndUpdatePositionFile();
}
PauseBetweenTradeBookCheck();
}
// for safety call conversion once more if the conversion call in the above loop was missed due to Pause and loop's time check
//CancelHoldingSellOrders();
ConvertToDeliveryAndUpdatePositionFile(true); // EOD final update
}