public override void Log(LogWriter logWriter, DBInputOutput.DBWriter dbWriter = null, int assetid = -1)
{
DateTime dTime = ServerTime.GetRealTime();
if (dbWriter != null)
{
dbWriter.InsertOrderLog(dTime, OrderId, "Failed", Cookie, Reason, assetid);
}
logWriter.WriteLine(dTime.ToString(DateTimeFormat) + " | Order failed. Cookie: {0}; OrderId: {1}; Reason: {2}", Cookie, OrderId, Reason);
}
public override void Log(LogWriter logWriter, DBInputOutput.DBWriter dbWriter = null, int assetid = -1)
{
DateTime dTime = ServerTime.GetRealTime();
if (dbWriter != null)
{
dbWriter.InsertOrderLog(dTime, OrderId, "CancelFailed", 0, "", assetid);
}
logWriter.WriteLine(dTime.ToString(DateTimeFormat) + " | Order cancel failed. OrderId: " + OrderId);
}
public override void Log(LogWriter logWriter, DBInputOutput.DBWriter dbWriter = null, int assetid = -1)
{
DateTime dTime = ServerTime.GetRealTime();
if (dbWriter != null)
{
dbWriter.InsertPosition(dTime, Symbol, assetid, Amount, Planned, AvgPrice);
}
logWriter.WriteLine(dTime.ToString(DateTimeFormat) +
" | Update position. Symbol: {0}; Amount: {1}; Planned: {2}", Symbol, Amount, Planned);
}
public override void Log(LogWriter logWriter, DBInputOutput.DBWriter dbWriter = null, int assetid = -1)
{
DateTime dTime = ServerTime.GetRealTime();
if (dbWriter != null)
{
dbWriter.InsertOrderLog(dTime, OrderId, "UpdateOrder", Cookie, "", assetid, (int)State, (int)Action, (int)Type, Price, Amount, Stop, Filled);
}
logWriter.WriteLine(dTime.ToString(DateTimeFormat) +
" | Update order. Symbol: {0}; State: {1}; Action: {2}; Type: {3}; Price: {4}; Amount: {5}; Stop: {6}; Filled: {7}; " +
"Datetime: {8}; OrderId: {9}; Cookie: {10}", Symbol, State, Action, Type, Price, Amount, Stop, Filled, Datetime, OrderId, Cookie);
}
private void HandleInformTimer(object sender, ElapsedEventArgs e)
{
//dbWriter.InsertGeneral("Listening", "Listener");
dbWriter.InsertSts(ServerTime.GetRealTime(), "Listener", "Listening");
if (IsEndOfWork())
{
//dbWriter.InsertGeneral("Work Ended", "Listener");
dbWriter.InsertSts(Stocks.ServerTime.GetRealTime(), "Listener", "Work Ended");
DisconnectStockServer();
Environment.Exit(0);
}
}
protected override List <Order> PreparePlaceOrders()
{
WriteToLogDB("PreparePlaceOrders", "Started");
Bar bar = DatabaseReader.SelectLastPrice(Symbol);
double lastPrice = bar.Close;
double buyPrice = RoundToStep(lastPrice - 0.02);
double sellPrice = RoundToStep(lastPrice + 0.02);
int buyVol = 0;
int sellVol = 0;
if (CurrentState.Position == 0)
{
buyVol = ContractsToTrade;
sellVol = ContractsToTrade;
}
else if (CurrentState.Position < 0)
{
buyVol = ContractsToTrade;
sellVol = ContractsToTrade - Math.Abs(CurrentState.Position);
}
else
{
buyVol = ContractsToTrade - Math.Abs(CurrentState.Position);
sellVol = ContractsToTrade;
}
if (buyPrice >= sellPrice || (buyPrice <= 0 && buyVol != 0) || (sellPrice <= 0 && sellVol != 0))
{
throw new SmartException(ExceptionImportanceLevel.HIGH, "PreparePlaceOrders", "ContrTrendStrat", "buyPrice = " + buyPrice + ", sellPrice = " + sellPrice);
}
WriteToLogDB("PreparePlaceOrders", "Buy: Price = " + buyPrice + ", Volume = " + buyVol + "; Sell: Price = " + sellPrice + ", Volume = " + sellVol);
List <Order> placeOrders = new List <Order>();
DateTime dTime = ServerTime.GetRealTime();
DatabaseWriter.InsertDecision(dTime, Symbol, ActionEnum.BUY, buyPrice, buyVol, 0);
DatabaseWriter.InsertDecision(dTime, Symbol, ActionEnum.SELL, sellPrice, sellVol, 0);
if (buyVol > 0)
{
placeOrders.Add(new Order(Symbol, GenerateCookie(), "", buyVol, 0, buyPrice, 0, ActionEnum.BUY, OrderTypeEnum.LIMIT));
}
if (sellVol > 0)
{
placeOrders.Add(new Order(Symbol, GenerateCookie(), "", sellVol, 0, sellPrice, 0, ActionEnum.SELL, OrderTypeEnum.LIMIT));
}
WriteToLogDB("PreparePlaceOrders", "Finished");
return(placeOrders);
}
public Listener()
{
Collector = new DataCollector();
dbWriter = new DBInputOutput.DBWriter();
dbReader = new DBInputOutput.DBReader();
dbWriter.InsertSts(ServerTime.GetRealTime(), "Listener", "Work Started");
Collector.BarsCollected += BarsCollectedHandler;
InformTimer = new Timer(InformTimerInterval);
InformTimer.AutoReset = true;
InformTimer.Elapsed += HandleInformTimer;
InformTimer.Start();
dbWriter.InsertSts(ServerTime.GetRealTime(), "Listener", "Listening");
DayOffs = dbReader.SelectDayOffs(ServerTime.GetRealTime());
bool isDayOff = IsDayOff(ServerTime.GetRealTime());
if (isDayOff || IsEndOfWork())
{
Environment.Exit(0);
}
WasConnected = false;
}
protected override List <Order> PreparePlaceOrders()
{
WriteToLogDB("PreparePlaceOrders", "Started");
if (Bars.Count < 3)
{
throw new SmartException(ExceptionImportanceLevel.MEDIUM, "PreparePlaceOrders", "TrendStrat", Symbol + ": Bars are empty or has less than three elements!");
}
if (AmountOfVolatEstim() > AmountOfSkipBars())
{
throw new SmartException(ExceptionImportanceLevel.MEDIUM, "PreparePlaceOrders", "TrendStrat", Symbol + ": AmountOfVolatEstim > AmountOfSkipBars");
}
double[] closes = Bars.Select(bar => bar.Close).ToArray();
double[] ys = new double[Bars.Count - 1];
for (int i = 0; i < Bars.Count - 1; i++)
{
ys[i] = closes[i + 1] / closes[i] - 1;
}
ys = ys.Skip(Bars.Count - 1 - AmountOfVolatEstim()).ToArray();
double sdev = CalcVolat(ys);
double alpha = AlphaSpread() * Math.Sqrt(AmountOfSkipBars()) * sdev;
//double lastPrice = Bars.Last().Close;
double lastPrice = 0.0;
try
{
Bar bar = DatabaseReader.SelectLastPrice(Symbol);
lastPrice = bar.Close;
}
catch (Exception e)
{
lastPrice = Bars.Last().Close;
}
double buyStopPrice = RoundToStep(lastPrice * (1 + alpha));
double sellStopPrice = RoundToStep(lastPrice * (1 - alpha));
int buyVol = 0;
int sellVol = 0;
if (CurrentState.Position == 0)
{
buyVol = ContractsToTrade;
sellVol = ContractsToTrade;
}
else if (CurrentState.Position < 0)
{
buyVol = ContractsToTrade;
sellVol = ContractsToTrade - Math.Abs(CurrentState.Position);
}
else
{
buyVol = ContractsToTrade - Math.Abs(CurrentState.Position);
sellVol = ContractsToTrade;
}
double buyPrice = buyStopPrice + Slip();
double sellPrice = sellStopPrice - Slip();
if (buyStopPrice <= sellStopPrice || (buyStopPrice <= 0 && buyVol != 0) || (sellStopPrice <= 0 && sellVol != 0))
{
throw new SmartException(ExceptionImportanceLevel.HIGH, "PreparePlaceOrders", "TrendStrat", "buyPrice = " + buyStopPrice + ", sellPrice = " + sellStopPrice);
}
WriteToLogDB("PreparePlaceOrders", "Buy: Price = " + buyStopPrice + ", Volume = " + buyVol + "; Sell: Price = " + sellStopPrice + ", Volume = " + sellVol);
List <Order> placeOrders = new List <Order>();
DateTime dTime = ServerTime.GetRealTime();
DatabaseWriter.InsertDecision(dTime, Symbol, ActionEnum.BUY, buyPrice, buyVol, buyStopPrice);
DatabaseWriter.InsertDecision(dTime, Symbol, ActionEnum.SELL, sellPrice, sellVol, sellStopPrice);
if (buyVol > 0)
{
placeOrders.Add(new Order(Symbol, GenerateCookie(), "", buyVol, 0, buyPrice, buyStopPrice, ActionEnum.BUY, OrderTypeEnum.STOP));
}
if (sellVol > 0)
{
placeOrders.Add(new Order(Symbol, GenerateCookie(), "", sellVol, 0, sellPrice, sellStopPrice, ActionEnum.SELL, OrderTypeEnum.STOP));
}
WriteToLogDB("PreparePlaceOrders", "Finished");
return(placeOrders);
}
public bool IsNowEveningTradeTime()
{
DateTime dTime = ServerTime.GetRealTime();
return((dTime.Hour >= 19 && dTime.Hour < 23) || (dTime.Hour == 23 && dTime.Minute < 50));
}
public bool IsNowDayTradeTime()
{
DateTime dTime = ServerTime.GetRealTime();
return((dTime.Hour >= 10 && dTime.Hour < 18) || (dTime.Hour == 18 && dTime.Minute < 45));
}
public bool IsNowTradeTime()
{
DateTime dTime = ServerTime.GetRealTime();
return(IsNowDayTradeTime() || IsNowEveningTradeTime());
}
public bool IsEveningPause()
{
DateTime dTime = ServerTime.GetRealTime();
return(dTime.Hour == 18 && dTime.Minute >= 45 || (dTime.Hour == 19 && dTime.Minute == 0));
}
/// <summary>
/// Проверяет, является ли текущий момент времени концом торгового дня
/// </summary>
/// <returns>Возвращает true, если торговый день завершен</returns>
private bool IsEndOfWork()
{
DateTime dTime = ServerTime.GetRealTime();
return(dTime.Hour < 9 || (dTime.Hour == 23 && dTime.Minute >= 50));
}