public override void ProcessOrders(List <Order> orders)
{
//cycle through orders that match our symbol list
foreach (var order in orders.Where(x => _symbols.Contains(x.Instrument.UnderlyingSymbol) && x.OrderReference.Contains("ETF-Swing")))
{
string orderInstrument = order.Instrument.UnderlyingSymbol;
//look for an open trade that fits the pattern, was opened before this orders, and uses the same instrument
Trade trade = OpenTrades
.Where(x => x.Name.StartsWith("ETF-Swing") &&
x.DateOpened < order.TradeDate &&
x.Orders.Any(o => o.Instrument.UnderlyingSymbol == orderInstrument))
.OrderByDescending(x => x.DateOpened)
.FirstOrDefault();
if (trade != null)
{
//if such a trade exists, add this order to it
SetTrade(order, trade);
}
else
{
//if the trade does not exist, create it
var side = order.BuySell == "BUY" ? "Long" : "Short";
trade = CreateTrade($"ETF-Swing {orderInstrument} {side} {order.TradeDate:yyyy--MM-dd}");
SetTrade(order, trade);
Log($"Created new trade for {orderInstrument}");
}
}
}
public void MoveTrades()
{
foreach (var t in OpenTrades.ToList())
{
if (t.Trade.CloseDateTime != null)
{
MoveOpenToClose(t);
}
}
foreach (var t in OrderTradesAsc.ToList())
{
if (t.Trade.EntryDateTime != null && t.Trade.CloseDateTime == null)
{
MoveOrderToOpen(t);
}
else if (t.Trade.EntryDateTime != null && t.Trade.CloseDateTime != null)
{
MoveOrderToClosed(t);
}
}
}
public override void ExecuteStrategy()
{
// Collect data
FetchExchangeData(Exchange.ExchangeConfiguration.CoinPairs);
// Farming logic:
//==========================================================
// For each open trade
foreach (var openTrade in OpenTrades)
{
if (openTrade.Type == TradeType.Buy)
{
//TODO: what should happen here?
}
else
{
//TODO: what should happen here?
}
}
// Get all coin pairs that do NOT have open orders
var nonOpenCoinPairs = Exchange.ExchangeConfiguration.CoinPairs.FindAll(coinPair => !OpenTrades.Contains(new Trade()
{
CoinPair = coinPair
}));
// For each coin pair not in open orders
foreach (var coinPair in nonOpenCoinPairs)
{
// If last trade was a Buy
var lastTrade = LastTrades.Find(trade => trade.CoinPair == coinPair);
if (lastTrade.Type == TradeType.Buy)
{
var positiveDistance = (lastTrade.Price / 100) * double.Parse(StrategyConfiguration.Configurations["PositivePercentage"]);
var negativeDistance = (lastTrade.Price / 100) * double.Parse(StrategyConfiguration.Configurations["NegativePercentage"]);
// If last trade price is higher than last buy price + positive distance
if (Tickers.Find(ticker => ticker.CoinPair == coinPair).LastTradePrice > (lastTrade.Price + positiveDistance))
{
// Create trailing stop at configured TrailingStopPercent of difference
var difference = (lastTrade.Price + positiveDistance) - Tickers.Find(ticker => ticker.CoinPair == coinPair).LastTradePrice;
var trailingStopDistance = (difference / 100) * double.Parse(StrategyConfiguration.Configurations["TrailingStopPercent"]);
Exchange.CreateTrailingStop(coinPair, trailingStopDistance, InvestedBalances.Find(balance => balance.CoinPair == coinPair).Available);
}
// If current price is lower than last buy price - negative distance
else if (Tickers.Find(ticker => ticker.CoinPair == coinPair).LastTradePrice < (lastTrade.Price - negativeDistance))
{
// Create market sell order to cut our losses
Exchange.CreateMarketSell(coinPair, InvestedBalances.Find(balance => balance.CoinPair == coinPair).Available);
}
}
else
{
// Create buy order at a percentage below last trade price (to prevent creating a taker order and paying more fee's)
//TODO: complete below
//Exchange.CreateBuyOrder(coinPair, );
}
}
}