/// <summary>
/// Primary constructor
/// </summary>
public MarketRecorder(string u, string p)
{
m_username = u;
m_password = p;
OutputFolder = TA.DirectoryNames.GetDirectoryName(ext: "ttapiBidAsk") + TA.DirectoryNames.GetDirectoryExtension(DateTime.Now.Date);
System.IO.Directory.CreateDirectory(OutputFolder);
PriceFileDictionary = new Dictionary<string, StreamWriter>();
FilteredList = new List<ttapiTicker>();
DateTime referanceDate = DateTime.Today;
EndTime = new DateTime(referanceDate.Year, referanceDate.Month, referanceDate.Day, 15, 45, 0);
ContractVolumeList = TA.LoadContractVolumeFile.GetContractVolumes(folderDate: BusinessDays.GetBusinessDayShifted(-1));
FilteredList = ContractVolumeList.Where(x => x.Volume > 100).ToList().OfType<ttapiTicker>().ToList();
for (int i = 0; i < FilteredList.Count; i++)
{
//Console.WriteLine(FilteredList[i].instrumentName);
PriceFileDictionary.Add(FilteredList[i].instrumentName, new StreamWriter(OutputFolder + "/" + FilteredList[i].instrumentName.Replace("/", "-").Replace(":", "-") + ".csv"));
}
TTAPISubs = new ttapiUtils.Subscription(m_username, m_password);
TTAPISubs.TTAPITickerList = FilteredList;
TTAPISubs.ilsUpdateList = new List<EventHandler<InstrumentLookupSubscriptionEventArgs>> { TTAPISubs.startPriceSubscriptions };
TTAPISubs.asu_update = TTAPISubs.startInstrumentLookupSubscriptionsFromTTAPITickers;
TTAPISubs.priceUpdatedEventHandler = m_ps_FieldsUpdated;
}
/// <summary>
/// Primary constructor
/// </summary>
public MarketRecorder(string u, string p)
{
m_username = u;
m_password = p;
OutputFolder = TA.DirectoryNames.GetDirectoryName(ext: "ttapiBidAsk") + TA.DirectoryNames.GetDirectoryExtension(DateTime.Now.Date);
System.IO.Directory.CreateDirectory(OutputFolder);
PriceFileDictionary = new Dictionary <string, StreamWriter>();
FilteredList = new List <ttapiTicker>();
DateTime referanceDate = DateTime.Today;
EndTime = new DateTime(referanceDate.Year, referanceDate.Month, referanceDate.Day, 15, 45, 0);
ContractVolumeList = TA.LoadContractVolumeFile.GetContractVolumes(folderDate: BusinessDays.GetBusinessDayShifted(-1));
FilteredList = ContractVolumeList.Where(x => x.Volume > 100).ToList().OfType <ttapiTicker>().ToList();
string [] TickerHeadList = ContractUtilities.ContractMetaInfo.cmeFuturesTickerheadList.Union(ContractUtilities.ContractMetaInfo.iceFuturesTickerheadList).ToArray();
LiquidContractList = new ContractUtilities.ContractList(TickerHeadList);
//LiquidDbTickerList = LiquidContractList.dbTickerList;
LiquidDbTickerList = new List <string>();
for (int i = 0; i < FilteredList.Count; i++)
{
//Console.WriteLine(FilteredList[i].instrumentName);
PriceFileDictionary.Add(FilteredList[i].instrumentName, new StreamWriter(OutputFolder + "/" + FilteredList[i].instrumentName.Replace("/", "-").Replace(":", "-") + ".csv"));
}
TTAPISubs = new ttapiUtils.Subscription(m_username, m_password);
TTAPISubs.TTAPITickerList = FilteredList;
TTAPISubs.LiquidDbTickerList = LiquidDbTickerList;
TTAPISubs.ilsUpdateList = new List <EventHandler <InstrumentLookupSubscriptionEventArgs> > {
TTAPISubs.startPriceSubscriptions
};
TTAPISubs.AsuUpdateList = new List <EventHandler <AuthenticationStatusUpdateEventArgs> > {
TTAPISubs.startInstrumentLookupSubscriptionsFromTTAPITickers
};
TTAPISubs.priceUpdatedEventHandler = m_ps_FieldsUpdated;
}
public HedgeTTAPI(string u, string p)
{
m_username = u;
m_password = p;
PricesReceivedQ = false;
connection = new mysql();
conn = connection.conn;
UnderlyingTickerTable = Underlying.GetUnderlying2QueryTable(conn: conn);
List <string> TickerHeadList = DataAnalysis.DataTableFunctions.GetColumnAsList <string>(dataTableInput: UnderlyingTickerTable, columnName: "TickerHead", uniqueQ: true);
DateTo = CalendarUtilities.BusinessDays.GetBusinessDayShifted(shiftInDays: -1);
DateTime TodayDate = DateTime.Now.Date;
DateTime DateFrom = CalendarUtilities.BusinessDays.GetBusinessDayShifted(shiftInDays: -10);
DataTable HistoricPriceTable = GetPrice.GetFuturesPrice.getFuturesPrice4Ticker(tickerHeadList: TickerHeadList, dateTimeFrom: DateFrom, dateTimeTo: DateTo, conn: conn);
SortedHistoricPriceTable = HistoricPriceTable.AsEnumerable()
.OrderBy(r => r.Field <string>("ticker"))
.ThenBy(r => r.Field <DateTime>("price_date"))
.CopyToDataTable();
TTAPISubs = new ttapiUtils.Subscription(m_username, m_password);
IlsDictionary = TTAPISubs.IlsDictionary;
TTAPISubs.TickerTable = UnderlyingTickerTable;
ilsUpdateList = new List <EventHandler <InstrumentLookupSubscriptionEventArgs> > {
TTAPISubs.startPriceSubscriptions, TTAPISubs.startTradeSubscriptions
};
TTAPISubs.ilsUpdateList = ilsUpdateList;
TTAPISubs.AsuUpdateList = new List <EventHandler <AuthenticationStatusUpdateEventArgs> > {
TTAPISubs.startInstrumentLookupSubscriptionsFromDataTable, TTAPISubs.Subscribe2OrderFills
};
TTAPISubs.priceUpdatedEventHandler = GetBidAsk;
TTAPISubs.FillAddedEventHandler = OrderFilledEventHandler;
PriceData = new DataTable();
PriceData.Columns.Add("Ticker", typeof(string));
PriceData.Columns.Add("TickerHead", typeof(string));
PriceData.Columns.Add("TickerClass", typeof(string));
PriceData.Columns.Add("ContINDX", typeof(int));
PriceData.Columns.Add("IsSpreadQ", typeof(bool));
PriceData.Columns.Add("BidPrice", typeof(decimal));
PriceData.Columns.Add("AskPrice", typeof(decimal));
PriceData.Columns.Add("MidPrice", typeof(decimal));
PriceData.Columns.Add("SpreadCost", typeof(decimal));
foreach (DataRow item in UnderlyingTickerTable.Rows)
{
DataRow Row = PriceData.NewRow();
Row["Ticker"] = item.Field <string>("Ticker");
Row["TickerHead"] = item.Field <string>("TickerHead");
Row["TickerClass"] = item.Field <string>("TickerClass");
Row["ContINDX"] = item.Field <int>("ContINDX");
Row["IsSpreadQ"] = item.Field <bool>("IsSpreadQ");
PriceData.Rows.Add(Row);
}
PriceData = DataAnalysis.DataTableFunctions.Sort(dataTableInput: PriceData, columnList: new string[] { "TickerHead", "ContINDX" });
UnderlyingTickerList = DataAnalysis.DataTableFunctions.GetColumnAsList <string>(dataTableInput: PriceData, columnName: "Ticker", uniqueQ: true);
string OutputFolder = TA.DirectoryNames.GetDirectoryName("daily");
StreamWriter LogFile = new StreamWriter(OutputFolder + "/Delta.txt", true);
DeltaLogger = new Logger(LogFile);
DeltaLogger.SW.WriteLine();
DeltaLogger.Log("NOTES FOR " + TodayDate.ToString("MM/dd/yyyy"));
DeltaLogger.Log(new String('-', 20));
DeltaStrategyAlias = HedgeStrategies.GetActiveDeltaStrategy(conn: conn);
}
public FuturesButterflyTTAPI(string u, string p)
{
m_username = u;
m_password = p;
mysql connection = new mysql();
conn = connection.conn;
string OutputFolder = TA.DirectoryNames.GetDirectoryName("daily");
StreamWriter LogFile = new StreamWriter(OutputFolder + "/FuturesButterfly.txt", true);
ButterflyLogger = new Logger(LogFile);
AutoSpreaderList = new List <ttapiUtils.AutoSpreader>();
AutoSpreaderDictionary = new Dictionary <string, ttapiUtils.AutoSpreader>();
Alias2AutoSpreaderDictionary = new Dictionary <string, string>();
TagDictionary = new Dictionary <string, string>();
LogTime1 = DateTime.MinValue;
PriceTableSymbolsReceived = new List <string>();
StrategyPositionDictionary = new Dictionary <string, DataTable>();
TTAPISubs = new ttapiUtils.Subscription(m_username, m_password);
SpreadList = new List <string>();
DateTime ReportDate = CalendarUtilities.BusinessDays.GetBusinessDayShifted(shiftInDays: -1);
DateTime TodayDate = DateTime.Now.Date;
ButterflyLogger.SW.WriteLine();
ButterflyLogger.Log("NOTES FOR " + TodayDate.ToString("MM/dd/yyyy"));
ButterflyLogger.Log(new String('-', 20));
string DirectoryName = TA.DirectoryNames.GetDirectoryName(ext: "ta");
string ButterflyOutputDirectoryName = TA.DirectoryNames.GetDirectoryName(ext: "futuresButterflyOutput");
string DirectoryExtension = TA.DirectoryNames.GetDirectoryExtension(directoryDate: ReportDate);
DataSet FollowupOutput = IOUtilities.ExcelDataReader.LoadFile(DirectoryName + "/" + DirectoryExtension + "/followup.xlsx");
DataTable ButterfliesFollowupSheet = FollowupOutput.Tables["butterflies"];
DataSet ButterfliesOutput = IOUtilities.ExcelDataReader.LoadFile(ButterflyOutputDirectoryName + "/" + DirectoryExtension + "/butterflies.xlsx");
DataTable ButterfliesSheet = ButterfliesOutput.Tables["good"];
PeriodicTimer = new System.Timers.Timer();
PeriodicTimer.Elapsed += new ElapsedEventHandler(PeriodicCall);
PeriodicTimer.Interval = 30000;
// And start it
PeriodicTimer.Enabled = true;
DataColumn SizeColumn = new DataColumn("Size", typeof(double));
SizeColumn.DefaultValue = 0;
ButterfliesSheet.Columns.Add(SizeColumn);
ButterfliesSheet.Columns.Add("Theme", typeof(string));
DataColumn ExistingThemePositionColumn = new DataColumn("ExistingThemePosition", typeof(double));
ExistingThemePositionColumn.DefaultValue = 0;
ButterfliesSheet.Columns.Add(ExistingThemePositionColumn);
ButterfliesSheet.Columns.Add("SlackFromTheme", typeof(double));
for (int i = 0; i < ButterfliesFollowupSheet.Rows.Count; i++)
{
StrategyUtilities.PositionManagerOutput PositionManagerOut = PositionManager.GetFuturesButterflyPosition(alias: ButterfliesFollowupSheet.Rows[i].Field <string>("Alias"),
asOfDate: TodayDate, conn: conn);
if (PositionManagerOut.CorrectPositionQ)
{
StrategyPositionDictionary.Add(ButterfliesFollowupSheet.Rows[i].Field <string>("Alias"), PositionManagerOut.SortedPosition);
}
}
DataTable ButterfliesFollowupSheetAdjusted = RiskManager.CalculateAdjustedDownside(dataTableInput: ButterfliesFollowupSheet, newTradesTable: ButterfliesSheet,
strategyPositionDictionary: StrategyPositionDictionary);
DataTable RiskAcrossTickerhead = RiskManager.AggregateRiskAcrossTickerHead(dataTableInput: ButterfliesFollowupSheetAdjusted);
Dictionary <string, double> RiskAcrossTheme = RiskManager.GetRiskAcrossTheme(dataTableInput: ButterfliesFollowupSheetAdjusted,
strategyPositionDictionary: StrategyPositionDictionary);
ButterfliesSheetFiltered = Filtering.GetFilteredNewTrades(butterfliesSheet: ButterfliesSheet, riskAcrossTickerhead: RiskAcrossTickerhead, riskAcrossTheme: RiskAcrossTheme);
DataColumn ButterflyQuantityColumn = new DataColumn("ButterflyQuantity", typeof(int));
ButterflyQuantityColumn.DefaultValue = 0;
ButterfliesSheetFiltered.Columns.Add(ButterflyQuantityColumn);
DataColumn Spread1QuantityColumn = new DataColumn("Spread1Quantity", typeof(int));
Spread1QuantityColumn.DefaultValue = 0;
ButterfliesSheetFiltered.Columns.Add(Spread1QuantityColumn);
DataColumn Spread2QuantityColumn = new DataColumn("Spread2Quantity", typeof(int));
Spread2QuantityColumn.DefaultValue = 0;
ButterfliesSheetFiltered.Columns.Add(Spread2QuantityColumn);
ButterfliesSheetFiltered.Columns.Add("Alias", typeof(string));
PriceTable = new DataTable();
PriceTable.Columns.Add("Ticker", typeof(string));
PriceTable.Columns.Add("TickerHead", typeof(string));
PriceTable.Columns.Add("IsAutoSpreaderQ", typeof(bool));
DataColumn BidPriceColumn = new DataColumn("BidPrice", typeof(double));
BidPriceColumn.DefaultValue = Double.NaN;
PriceTable.Columns.Add(BidPriceColumn);
DataColumn AskPriceColumn = new DataColumn("AskPrice", typeof(double));
AskPriceColumn.DefaultValue = Double.NaN;
PriceTable.Columns.Add(AskPriceColumn);
PriceTable.Columns.Add("BidQ", typeof(int));
PriceTable.Columns.Add("AskQ", typeof(int));
DataColumn ValidPriceColumn = new DataColumn("ValidPriceQ", typeof(bool));
ValidPriceColumn.DefaultValue = false;
PriceTable.Columns.Add(ValidPriceColumn);
for (int i = 0; i < ButterfliesSheetFiltered.Rows.Count; i++)
{
DataRow SelectedRow = ButterfliesSheetFiltered.Rows[i];
string Alias = "";
string Ticker1 = SelectedRow.Field <string>("ticker1");
string Ticker2 = SelectedRow.Field <string>("ticker2");
string Ticker3 = SelectedRow.Field <string>("ticker3");
if (SelectedRow.Field <double>("z1") < 0)
{
double FirstSpreadQuantity = Math.Round(SelectedRow.Field <double>("Size") / Math.Abs(SelectedRow.Field <double>("Downside")));
double SecondSpreadQuantity = Math.Round(FirstSpreadQuantity * SelectedRow.Field <double>("second_spread_weight_1"));
if (FirstSpreadQuantity < SecondSpreadQuantity)
{
SelectedRow["ButterflyQuantity"] = (int)FirstSpreadQuantity;
SelectedRow["Spread2Quantity"] = -(int)(SecondSpreadQuantity - FirstSpreadQuantity);
}
else if (FirstSpreadQuantity > SecondSpreadQuantity)
{
SelectedRow["ButterflyQuantity"] = (int)SecondSpreadQuantity;
SelectedRow["Spread1Quantity"] = (int)(FirstSpreadQuantity - SecondSpreadQuantity);
}
else
{
ButterfliesSheetFiltered.Rows[i]["ButterflyQuantity"] = (int)FirstSpreadQuantity;
}
Alias = SelectedRow.Field <string>("tickerHead") + Ticker1.Substring(Ticker1.Count() - 5, 5) + Ticker2.Substring(Ticker2.Count() - 5, 5) +
Ticker2.Substring(Ticker2.Count() - 5, 5) + Ticker3.Substring(Ticker3.Count() - 5, 5);
}
else if (ButterfliesSheetFiltered.Rows[i].Field <double>("z1") > 0)
{
double FirstSpreadQuantity = Math.Round(ButterfliesSheetFiltered.Rows[i].Field <double>("Size") / Math.Abs(ButterfliesSheetFiltered.Rows[i].Field <double>("Upside")));
double SecondSpreadQuantity = Math.Round(FirstSpreadQuantity * ButterfliesSheetFiltered.Rows[i].Field <double>("second_spread_weight_1"));
if (FirstSpreadQuantity < SecondSpreadQuantity)
{
SelectedRow["ButterflyQuantity"] = -(int)FirstSpreadQuantity;
SelectedRow["Spread2Quantity"] = (int)(SecondSpreadQuantity - FirstSpreadQuantity);
}
else if (FirstSpreadQuantity > SecondSpreadQuantity)
{
SelectedRow["ButterflyQuantity"] = -(int)SecondSpreadQuantity;
SelectedRow["Spread1Quantity"] = -(int)(FirstSpreadQuantity - SecondSpreadQuantity);
}
else
{
SelectedRow["ButterflyQuantity"] = (int)FirstSpreadQuantity;
}
Alias = SelectedRow.Field <string>("tickerHead") + Ticker2.Substring(Ticker2.Count() - 5, 5) + Ticker3.Substring(Ticker3.Count() - 5, 5) +
Ticker1.Substring(Ticker1.Count() - 5, 5) + Ticker2.Substring(Ticker2.Count() - 5, 5);
}
SelectedRow["Alias"] = Alias;
List <string> TickerList = new List <string> {
Ticker1 + "-" + Ticker2,
Ticker2 + "-" + Ticker3
};
ttapiUtils.AutoSpreader As = new ttapiUtils.AutoSpreader(dbTickerList: TickerList, payUpTicks: 2);
SpreadList.AddRange(TickerList);
AutoSpreaderList.Add(As);
AutoSpreaderDictionary.Add(As.AutoSpreaderName, As);
Alias2AutoSpreaderDictionary.Add(Alias, As.AutoSpreaderName);
TagDictionary.Add(As.AutoSpreaderName, "fut_but_fol_" + i);
DataRow PriceRow = PriceTable.NewRow();
PriceRow["Ticker"] = As.AutoSpreaderName;
PriceRow["TickerHead"] = SelectedRow.Field <string>("tickerHead");
PriceRow["IsAutoSpreaderQ"] = true;
PriceTable.Rows.Add(PriceRow);
}
HistoricPriceTable = GetPrice.GetFuturesPrice.getFuturesPrice4Ticker(tickerHeadList: ContractUtilities.ContractMetaInfo.FuturesButterflyTickerheadList,
dateTimeFrom: ReportDate, dateTimeTo: ReportDate, conn: conn);
DataRow [] StopList = ButterfliesFollowupSheet.Select("Recommendation='STOP'");
if (StopList.Length > 0)
{
ButterfliesStopSheet = StopList.CopyToDataTable();
ButterfliesStopSheet.Columns.Add("PnlMid", typeof(double));
ButterfliesStopSheet.Columns.Add("PnlWorst", typeof(double));
ButterfliesStopSheet.Columns.Add("ButterflyMidPrice", typeof(double));
ButterfliesStopSheet.Columns.Add("ButterflyWorstPrice", typeof(double));
ButterfliesStopSheet.Columns.Add("ButterflyQuantity", typeof(int));
ButterfliesStopSheet.Columns.Add("SpreadMidPrice", typeof(double));
ButterfliesStopSheet.Columns.Add("SpreadWorstPrice", typeof(double));
ButterfliesStopSheet.Columns.Add("SpreadQuantity", typeof(int));
DataColumn WorkingButterflyOrdersColumn = new DataColumn("WorkingButterflyOrders", typeof(int));
WorkingButterflyOrdersColumn.DefaultValue = 0;
ButterfliesStopSheet.Columns.Add(WorkingButterflyOrdersColumn);
DataColumn WorkingSpreadOrdersColumn = new DataColumn("WorkingSpreadOrders", typeof(int));
WorkingSpreadOrdersColumn.DefaultValue = 0;
ButterfliesStopSheet.Columns.Add(WorkingSpreadOrdersColumn);
for (int i = 0; i < StopList.Length; i++)
{
string Alias = StopList[i].Field <string>("Alias");
StrategyUtilities.PositionManagerOutput PositionManagerOut = PositionManager.GetFuturesButterflyPosition(alias: Alias, asOfDate: TodayDate, conn: conn);
DataTable StrategyPosition = PositionManagerOut.SortedPosition;
StrategyPosition.Columns.Add("ClosePrice", typeof(double));
for (int j = 0; j < StrategyPosition.Rows.Count; j++)
{
DataRow SelectedHistRow = HistoricPriceTable.Select("ticker='" + StrategyPosition.Rows[j].Field <string>("Ticker") + "'")[0];
StrategyPosition.Rows[j]["ClosePrice"] = SelectedHistRow.Field <decimal>("close_price");
}
List <string> TickerList = new List <string> {
StrategyPosition.Rows[0].Field <string>("Ticker") + "-" + StrategyPosition.Rows[1].Field <string>("Ticker"),
StrategyPosition.Rows[1].Field <string>("Ticker") + "-" + StrategyPosition.Rows[2].Field <string>("Ticker")
};
StrategyPositionDictionary[Alias] = StrategyPosition;
SpreadList.AddRange(TickerList);
if (PositionManagerOut.CorrectPositionQ)
{
ttapiUtils.AutoSpreader As = new ttapiUtils.AutoSpreader(dbTickerList: TickerList, payUpTicks: 2);
AutoSpreaderList.Add(As);
AutoSpreaderDictionary.Add(As.AutoSpreaderName, As);
Alias2AutoSpreaderDictionary.Add(Alias, As.AutoSpreaderName);
TagDictionary.Add(As.AutoSpreaderName, "fut_but_fol_" + (i + ButterfliesSheetFiltered.Rows.Count));
DataRow PriceRow = PriceTable.NewRow();
PriceRow["Ticker"] = As.AutoSpreaderName;
PriceRow["TickerHead"] = StrategyPosition.Rows[0].Field <string>("TickerHead");
PriceRow["IsAutoSpreaderQ"] = true;
PriceTable.Rows.Add(PriceRow);
}
else
{
ButterflyLogger.Log("Check " + Alias + " ! Position may be incorrect.");
}
}
SpreadList = SpreadList.Distinct().ToList();
SpreadTable = new DataTable();
SpreadTable.Columns.Add("Ticker", typeof(string));
SpreadTable.Columns.Add("IsSpreadQ", typeof(bool));
for (int i = 0; i < SpreadList.Count; i++)
{
DataRow SpreadRow = SpreadTable.NewRow();
SpreadRow["Ticker"] = SpreadList[i];
SpreadRow["IsSpreadQ"] = true;
SpreadTable.Rows.Add(SpreadRow);
DataRow PriceRow = PriceTable.NewRow();
PriceRow["Ticker"] = SpreadList[i];
string[] SpreadAsArray = SpreadList[i].Split(new char[] { '-' });
PriceRow["TickerHead"] = ContractUtilities.ContractMetaInfo.GetContractSpecs(SpreadAsArray[0]).tickerHead;
PriceRow["IsAutoSpreaderQ"] = false;
PriceTable.Rows.Add(PriceRow);
}
}
PriceTableSymbols = DataAnalysis.DataTableFunctions.GetColumnAsList <string>(dataTableInput: PriceTable, columnName: "Ticker");
TTAPISubs.TickerTable = SpreadTable;
TTAPISubs.AutoSpreaderList = AutoSpreaderList;
TTAPISubs.AsuUpdateList = new List <EventHandler <AuthenticationStatusUpdateEventArgs> > {
TTAPISubs.StartASESubscriptions, TTAPISubs.startInstrumentLookupSubscriptionsFromDataTable
};
//TTAPISubs.AsuUpdateList = new List<EventHandler<AuthenticationStatusUpdateEventArgs>> {TTAPISubs.startInstrumentLookupSubscriptionsFromDataTable };
TTAPISubs.ilsUpdateList = new List <EventHandler <InstrumentLookupSubscriptionEventArgs> > {
TTAPISubs.startPriceSubscriptions, TTAPISubs.startTradeSubscriptions
};
//TTAPISubs.ilsUpdateList = new List<EventHandler<InstrumentLookupSubscriptionEventArgs>> { TTAPISubs.startPriceSubscriptions};
TTAPISubs.priceUpdatedEventHandler = m_ps_FieldsUpdated;
TTAPISubs.orderFilledEventHandler = m_ts_OrderFilled;
}
public Algo(string u, string p)
{
m_username = u;
m_password = p;
connection = new mysql();
conn = connection.conn;
InstrumentArray = ContractUtilities.ContractMetaInfo.cmeFuturesTickerheadList.Union(ContractUtilities.ContractMetaInfo.iceFuturesTickerheadList).ToArray();
List <string> InstrumentList = new List <string>(InstrumentArray);
InstrumentList.Remove("ED");
InstrumentList.Remove("TU");
InstrumentArray = InstrumentList.ToArray();
InstrumentArray = new string[] { "BP" };
LiquidContractList = new ContractUtilities.ContractList(InstrumentArray);
DbTickerList = LiquidContractList.dbTickerList;
ScalperPosition = new Portfolio.Position(fullTickerList: DbTickerList);
string OutputFolder = TA.DirectoryNames.GetDirectoryName("daily");
ITSLogger = new Logger(new StreamWriter(OutputFolder + "/TS.txt", true));
TradeTimer = new System.Timers.Timer();
TradeTimer.Elapsed += new ElapsedEventHandler(PeriodicCall);
TradeTimer.Interval = 10000;
// And start it
TradeTimer.Enabled = true;
DateTime ReferanceDate = DateTime.Today;
ITSLogger.Log("NOTES FOR " + ReferanceDate.ToString("MM/dd/yyyy"));
ITSLogger.Log(new String('-', 20));
MinInterval = 1; //30
MaxNumBets = 5;
NumBets = 0;
StartTime = new DateTime(ReferanceDate.Year, ReferanceDate.Month, ReferanceDate.Day, 8, 30, 0); //830
EndTime = new DateTime(ReferanceDate.Year, ReferanceDate.Month, ReferanceDate.Day, 16, 0, 0); //900
MorningRangeStartTime = StartTime;
MorningRangeEndTime = new DateTime(ReferanceDate.Year, ReferanceDate.Month, ReferanceDate.Day, 9, 0, 0);
MorningRangeCalculatedQ = false;
MorningMinDictionary = new Dictionary <string, double>();
MorningMaxDictionary = new Dictionary <string, double>();
WorkingLongEntryOrderKey = new Dictionary <string, string>();
WorkingLongExitOrderKey = new Dictionary <string, string>();
WorkingShortEntryOrderKey = new Dictionary <string, string>();
WorkingShortExitOrderKey = new Dictionary <string, string>();
BidPriceDictionary = new Dictionary <string, double>();
AskPriceDictionary = new Dictionary <string, double>();
for (int i = 0; i < DbTickerList.Count; i++)
{
BidPriceDictionary.Add(DbTickerList[i], double.NaN);
AskPriceDictionary.Add(DbTickerList[i], double.NaN);
WorkingLongEntryOrderKey.Add(DbTickerList[i], "");
WorkingLongExitOrderKey.Add(DbTickerList[i], "");
WorkingShortEntryOrderKey.Add(DbTickerList[i], "");
WorkingShortExitOrderKey.Add(DbTickerList[i], "");
}
LastProcessedCandleDatetime = StartTime;
candleObj = new DataAnalysis.CandleStick(StartTime, EndTime, DbTickerList.ToArray(), MinInterval);
CandleData = candleObj.data;
StochasticObj = new TechnicalSignals.StochasticOscillator(startDate: StartTime.AddMinutes(MinInterval), endDate: EndTime, instrumentList: DbTickerList.ToArray(),
minInterval: MinInterval, lookBack1: 5, lookBack2: 3, lookBack3: 3);
StochasticOscillator = StochasticObj.Data;
TTAPISubs = new ttapiUtils.Subscription(m_username, m_password);
List <EventHandler <InstrumentLookupSubscriptionEventArgs> > IlsUpdateList = new List <EventHandler <InstrumentLookupSubscriptionEventArgs> >();
IlsUpdateList.Add(TTAPISubs.startPriceSubscriptions);
IlsUpdateList.Add(TTAPISubs.startTradeSubscriptions);
TTAPISubs.ilsUpdateList = IlsUpdateList;
TTAPISubs.dbTickerList = DbTickerList;
TTAPISubs.priceUpdatedEventHandler = m_ps_FieldsUpdated;
TTAPISubs.orderFilledEventHandler = OrderFilledLogic;
TTAPISubs.AsuUpdateList = new List <EventHandler <AuthenticationStatusUpdateEventArgs> > {
TTAPISubs.startInstrumentLookupSubscriptions
};
}
public FuturesButterflyTTAPI(string u, string p)
{
m_username = u;
m_password = p;
mysql connection = new mysql();
conn = connection.conn;
string OutputFolder = TA.DirectoryNames.GetDirectoryName("daily");
StreamWriter LogFile = new StreamWriter(OutputFolder + "/FuturesButterfly.txt", true);
ButterflyLogger = new Logger(LogFile);
AutoSpreaderList = new List<ttapiUtils.AutoSpreader>();
AutoSpreaderDictionary = new Dictionary<string, ttapiUtils.AutoSpreader>();
AliasDictionary = new Dictionary<string, string>();
TagDictionary = new Dictionary<string, string>();
PriceTableSymbolsReceived = new List<string>();
StrategyPositionDictionary = new Dictionary<string, DataTable>();
TTAPISubs = new ttapiUtils.Subscription(m_username, m_password);
SpreadList = new List<string>();
DateTime ReportDate = CalendarUtilities.BusinessDays.GetBusinessDayShifted(shiftInDays: -1);
DateTime TodayDate = DateTime.Now.Date;
ButterflyLogger.SW.WriteLine();
ButterflyLogger.Log("NOTES FOR " + TodayDate.ToString("MM/dd/yyyy"));
ButterflyLogger.Log(new String('-', 20));
string DirectoryName = TA.DirectoryNames.GetDirectoryName(ext: "ta");
string DirectoryExtension = TA.DirectoryNames.GetDirectoryExtension(directoryDate: ReportDate);
DataSet FollowupOutput = IOUtilities.ExcelDataReader.LoadFile(DirectoryName + "/" + DirectoryExtension + "/followup.xlsx");
DataTable ButterfliesFollowupSheet = FollowupOutput.Tables["butterflies"];
PriceTable = new DataTable();
PriceTable.Columns.Add("Ticker", typeof(string));
PriceTable.Columns.Add("TickerHead", typeof(string));
PriceTable.Columns.Add("IsAutoSpreaderQ", typeof(bool));
PriceTable.Columns.Add("BidPrice", typeof(double));
PriceTable.Columns.Add("AskPrice", typeof(double));
HistoricPriceTable = GetPrice.GetFuturesPrice.getFuturesPrice4Ticker(tickerHeadList: ContractUtilities.ContractMetaInfo.FuturesButterflyTickerheadList,
dateTimeFrom: ReportDate, dateTimeTo: ReportDate, conn: conn);
DataRow [] StopList = ButterfliesFollowupSheet.Select("Recommendation='STOP'");
if (StopList.Length>0)
{
ButterfliesStopSheet = StopList.CopyToDataTable();
ButterfliesStopSheet.Columns.Add("PnlMid",typeof(double));
ButterfliesStopSheet.Columns.Add("PnlWorst", typeof(double));
for (int i = 0; i < StopList.Length; i++)
{
string Alias = StopList[i].Field<string>("Alias");
StrategyUtilities.PositionManagerOutput PositionManagerOut = PositionManager.GetFuturesButterflyPosition(alias: Alias, asOfDate: TodayDate, conn: conn);
DataTable StrategyPosition = PositionManagerOut.SortedPosition;
StrategyPosition.Columns.Add("ClosePrice", typeof(double));
for (int j = 0; j < StrategyPosition.Rows.Count; j++)
{
DataRow SelectedHistRow = HistoricPriceTable.Select("ticker='" + StrategyPosition.Rows[j].Field<string>("Ticker") + "'")[0];
StrategyPosition.Rows[j]["ClosePrice"] = SelectedHistRow.Field<decimal>("close_price");
}
List<string> TickerList = new List<string> { StrategyPosition.Rows[0].Field<string>("Ticker") + "-" + StrategyPosition.Rows[1].Field<string>("Ticker"),
StrategyPosition.Rows[1].Field<string>("Ticker") + "-" + StrategyPosition.Rows[2].Field<string>("Ticker")};
StrategyPositionDictionary.Add(Alias, StrategyPosition);
SpreadList.AddRange(TickerList);
if (PositionManagerOut.CorrectPositionQ)
{
bool wuhu = TickerList[0].Contains("-");
string[] TickerListAux = TickerList[0].Split('-');
ttapiUtils.AutoSpreader As = new ttapiUtils.AutoSpreader(dbTickerList: TickerList, payUpTicks: 2);
AutoSpreaderList.Add(As);
AutoSpreaderDictionary.Add(As.AutoSpreaderName, As);
AliasDictionary.Add(As.AutoSpreaderName, Alias);
TagDictionary.Add(As.AutoSpreaderName, "fut_but_fol" + i);
DataRow PriceRow = PriceTable.NewRow();
PriceRow["Ticker"] = As.AutoSpreaderName;
PriceRow["TickerHead"] = StrategyPosition.Rows[0].Field<string>("TickerHead");
PriceRow["IsAutoSpreaderQ"] = true;
PriceTable.Rows.Add(PriceRow);
}
else
{
ButterflyLogger.Log("Check " + Alias + " ! Position may be incorrect.");
}
}
SpreadList = SpreadList.Distinct().ToList();
SpreadTable = new DataTable();
SpreadTable.Columns.Add("Ticker", typeof(string));
SpreadTable.Columns.Add("IsSpreadQ", typeof(bool));
for (int i = 0; i < SpreadList.Count; i++)
{
DataRow SpreadRow = SpreadTable.NewRow();
SpreadRow["Ticker"] = SpreadList[i];
SpreadRow["IsSpreadQ"] = true;
SpreadTable.Rows.Add(SpreadRow);
DataRow PriceRow = PriceTable.NewRow();
PriceRow["Ticker"] = SpreadList[i];
string[] SpreadAsArray = SpreadList[i].Split(new char[] { '-' });
PriceRow["TickerHead"] = ContractUtilities.ContractMetaInfo.GetContractSpecs(SpreadAsArray[0]).tickerHead;
PriceRow["IsAutoSpreaderQ"] = false;
PriceTable.Rows.Add(PriceRow);
}
}
PriceTableSymbols = DataAnalysis.DataTableFunctions.GetColumnAsList<string>(dataTableInput: PriceTable, columnName: "Ticker");
TTAPISubs.TickerTable = SpreadTable;
TTAPISubs.AutoSpreaderList = AutoSpreaderList;
TTAPISubs.AsuUpdateList = new List<EventHandler<AuthenticationStatusUpdateEventArgs>> { TTAPISubs.StartASESubscriptions,TTAPISubs.startInstrumentLookupSubscriptionsFromDataTable };
//TTAPISubs.AsuUpdateList = new List<EventHandler<AuthenticationStatusUpdateEventArgs>> {TTAPISubs.startInstrumentLookupSubscriptionsFromDataTable };
TTAPISubs.ilsUpdateList = new List<EventHandler<InstrumentLookupSubscriptionEventArgs>> { TTAPISubs.startPriceSubscriptions, TTAPISubs.startTradeSubscriptions };
//TTAPISubs.ilsUpdateList = new List<EventHandler<InstrumentLookupSubscriptionEventArgs>> { TTAPISubs.startPriceSubscriptions};
TTAPISubs.priceUpdatedEventHandler = m_ps_FieldsUpdated;
TTAPISubs.orderFilledEventHandler = m_ts_OrderFilled;
}
public Algo(string u, string p)
{
m_username = u;
m_password = p;
mysql connection = new mysql();
conn = connection.conn;
string OutputFolder = TA.DirectoryNames.GetDirectoryName("daily");
StreamWriter LogFile = new StreamWriter(OutputFolder + "/IFS2.txt", true);
IFSLogger = new Logger(LogFile);
DateTime ReportDate = CalendarUtilities.BusinessDays.GetBusinessDayShifted(shiftInDays: -1);
TodayDate = DateTime.Now.Date;
DateTime startDate = DateTime.Now;
DateTime StartTime = new DateTime(TodayDate.Year, TodayDate.Month, TodayDate.Day, 8, 30, 0);
DateTime EndTime = new DateTime(TodayDate.Year, TodayDate.Month, TodayDate.Day, 15, 0, 0);
int minInterval = 1;
IFSLogger.SW.WriteLine();
IFSLogger.Log("NOTES FOR " + TodayDate.ToString("MM/dd/yyyy"));
IFSLogger.Log(new String('-', 20));
string DirectoryName = TA.DirectoryNames.GetDirectoryName(ext: "ifsOutput");
string DirectoryExtension = TA.DirectoryNames.GetDirectoryExtension(directoryDate: ReportDate);
MyTimer = new System.Timers.Timer();
MyTimer.Elapsed += new ElapsedEventHandler(PeriodicCall);
MyTimer.Interval = 30000;
// And start it
MyTimer.Enabled = true;
DataSet PythonOutput = IOUtilities.ExcelDataReader.LoadFile(DirectoryName + "/" + DirectoryExtension + "/ifs.xlsx");
DataTable IfsSheet = PythonOutput.Tables["all"];
AutoSpreaderList = new List <ttapiUtils.AutoSpreader>();
AutoSpreaderDictionary = new Dictionary <string, ttapiUtils.AutoSpreader>();
SummaryTable = new DataTable();
SummaryTable.Columns.Add("Ticker", typeof(string));
SummaryTable.Columns.Add("TickerHead", typeof(string));
SummaryTable.Columns.Add("Bid", typeof(double));
SummaryTable.Columns.Add("Ask", typeof(double));
SummaryTable.Columns.Add("Mid", typeof(double));
SummaryTable.Columns.Add("MidConverted", typeof(double));
SummaryTable.Columns.Add("Tag", typeof(string));
SummaryTable.Columns.Add("Alias", typeof(string));
SummaryTable.Columns.Add("DescriptionString", typeof(string));
DataColumn ValidPriceColumn = new DataColumn("ValidPrice", typeof(bool));
ValidPriceColumn.DefaultValue = false;
SummaryTable.Columns.Add(ValidPriceColumn);
DataColumn WorkingOrdersColumn = new DataColumn("WorkingOrders", typeof(int));
WorkingOrdersColumn.DefaultValue = 0;
SummaryTable.Columns.Add(WorkingOrdersColumn);
DataColumn WorkingOrderKeyColumn = new DataColumn("WorkingOrderKey", typeof(string));
WorkingOrderKeyColumn.DefaultValue = "";
SummaryTable.Columns.Add(WorkingOrderKeyColumn);
DataColumn PositionColumn = new DataColumn("Position", typeof(int));
PositionColumn.DefaultValue = 0;
SummaryTable.Columns.Add(PositionColumn);
DataColumn IndicatorLowerLimitColumn = new DataColumn("LowerLimit", typeof(double));
IndicatorLowerLimitColumn.DefaultValue = Double.MinValue;
SummaryTable.Columns.Add(IndicatorLowerLimitColumn);
DataColumn IndicatorUpperLimitColumn = new DataColumn("UpperLimit", typeof(double));
IndicatorUpperLimitColumn.DefaultValue = Double.MaxValue;
SummaryTable.Columns.Add(IndicatorUpperLimitColumn);
DataTable newDataTable = IfsSheet.AsEnumerable()
.OrderBy(r => r.Field <string>("spread_description"))
.ThenByDescending(r => r.Field <double>("min_volume"))
.CopyToDataTable();
LiquidSpreads = newDataTable.AsEnumerable().GroupBy(r => r["spread_description"]).Select(w => w.First()).CopyToDataTable();
LiquidSpreads = LiquidSpreads.Select("spread_description='W_KW'").CopyToDataTable();
for (int i = 0; i < LiquidSpreads.Rows.Count; i++)
{
List <string> TickerList = new List <string> {
LiquidSpreads.Rows[i].Field <string>("Contract1"), LiquidSpreads.Rows[i].Field <string>("Contract2"), LiquidSpreads.Rows[i].Field <string>("Contract3")
};
TickerList.RemoveAll(item => item == null);
AutoSpreaderList.Add(new ttapiUtils.AutoSpreader(dbTickerList: TickerList, payUpTicks: 2));
DataRow Row = SummaryTable.NewRow();
Row["Ticker"] = AutoSpreaderList[i].AutoSpreaderName;
Row["TickerHead"] = LiquidSpreads.Rows[i].Field <string>("spread_description");
Row["LowerLimit"] = LiquidSpreads.Rows[i].Field <double>("maSpreadLow");
Row["UpperLimit"] = LiquidSpreads.Rows[i].Field <double>("maSpreadHigh");
Row["Tag"] = "ifs_2_" + i.ToString();
Row["Alias"] = LiquidSpreads.Rows[i].Field <string>("spread_description") + "_ifs_2_" + DateTime.Now.ToString("MMM-yyyy");
Row["DescriptionString"] = "strategy_class=ifs2&betsize=1000";
AutoSpreaderDictionary.Add(AutoSpreaderList[i].AutoSpreaderName, AutoSpreaderList[i]);
SummaryTable.Rows.Add(Row);
}
ASENameList = DataAnalysis.DataTableFunctions.GetColumnAsList <string>(dataTableInput: SummaryTable, columnName: "Ticker");
TagList = DataAnalysis.DataTableFunctions.GetColumnAsList <string>(dataTableInput: SummaryTable, columnName: "Tag");
TTAPISubs = new ttapiUtils.Subscription(m_username, m_password);
TTAPISubs.AutoSpreaderList = AutoSpreaderList;
TTAPISubs.AsuUpdateList = new List <EventHandler <AuthenticationStatusUpdateEventArgs> > {
TTAPISubs.StartASESubscriptions
};
TTAPISubs.priceUpdatedEventHandler = m_ps_FieldsUpdated;
TTAPISubs.orderFilledEventHandler = m_ts_OrderFilled;
TTAPISubs.OrderDeletedEventHandler = OrderDeleted;
TimeSeriesObj = new DataAnalysis.TimeSeries(StartTime, EndTime, ASENameList.ToArray(), minInterval);
}
