public Trade(Trade copy)
{
Id = copy.Id;
FullSymbol = copy.FullSymbol;
Account = copy.Account;
TradeDate = copy.TradeDate;
TradeTime = copy.TradeTime;
TradePrice = copy.TradePrice;
TradeSize = copy.TradeSize;
}
public static Trade Deserialize(string tstr)
{
string[] ts = tstr.Split(',');
if (ts.Length < 14) throw new Exception("Invalid trade");
Trade t = new Trade();
t.Id = Convert.ToInt64(ts[0], System.Globalization.CultureInfo.InvariantCulture);
t.Account = ts[1];
t.TradeDate = Convert.ToInt32(ts[2], System.Globalization.CultureInfo.InvariantCulture);
t.TradeTime = Convert.ToInt32(ts[3], System.Globalization.CultureInfo.InvariantCulture);
t.FullSymbol = ts[4];
t.TradeSize = Convert.ToInt32(ts[5], System.Globalization.CultureInfo.InvariantCulture);
t.TradePrice = Convert.ToDecimal(ts[6], System.Globalization.CultureInfo.InvariantCulture);
return t;
}
public decimal Adjust(Trade t)
{
return Adjust(new Position(t));
}
/// <summary>
/// Gets the closed PL on a position basis, the PL that is registered to the account for the entire shares transacted.
/// </summary>
/// <param name="existing">The existing position.</param>
/// <param name="closing">The portion of the position being changed/closed.</param>
/// <returns></returns>
public static decimal ClosePL(Position existing, Trade adjust)
{
int closedsize = Math.Abs(adjust.TradeSize) > existing.UnsignedSize ? existing.UnsignedSize : Math.Abs(adjust.TradeSize);
return ClosePT(existing, adjust) * closedsize * Security.GetMultiplierFromFullSymbol(adjust.FullSymbol);
}
public override void GotFill(Trade f)
{
Adjust(new Position(f));
}
public void GotFill(Trade f) { Adjust(f); }
void _backtestengine_GotFillEvent(Trade t)
{
_tradelist.Add(t);
Position mypos = new Position(t);
decimal closepnl = 0;
decimal closepoint = 0;
if (!_positionlist.TryGetValue(t.FullSymbol, out mypos))
{
mypos = new Position(t);
_positionlist.Add(t.FullSymbol, mypos);
}
else
{
closepoint = Calc.ClosePT(mypos, t);
closepnl = mypos.Adjust(t);
_positionlist[t.FullSymbol] = mypos;
}
System.Windows.Application.Current.Dispatcher.Invoke(() =>
{
_positiontable.Rows.Add(t.TradeTime.ToString(), mypos.FullSymbol, mypos.Size, mypos.AvgPrice.ToString(_dps), closepnl.ToString("C2"), closepoint.ToString(_dps));
_filltable.Rows.Add(t.TradeTime.ToString(), t.FullSymbol, t.TradeSize, t.TradePrice.ToString(_dps), t.Id);
});
}
public static string Serialize(Trade t)
{
string[] trade = new string[] {
t.Id.ToString(System.Globalization.CultureInfo.InvariantCulture),
t.Account,
t.TradeDate.ToString(System.Globalization.CultureInfo.InvariantCulture),
t.TradeTime.ToString(System.Globalization.CultureInfo.InvariantCulture),
t.FullSymbol,
t.TradeSize.ToString(System.Globalization.CultureInfo.InvariantCulture),
t.TradePrice.ToString("F2", System.Globalization.CultureInfo.InvariantCulture),
};
return string.Join(",", trade);
}
private decimal CalculateIBCommissions(Trade t)
{
if (t.FullSymbol.Contains("STK"))
{
return (decimal)Math.Max(0.005 * Math.Abs(t.TradeSize), 1);
}
else if (t.FullSymbol.Contains("FUT"))
{
return 2.01m * Math.Abs(t.TradeSize);
}
else if (t.FullSymbol.Contains("OPT"))
{
return Math.Max(0.70m * Math.Abs(t.TradeSize), 1);
}
else if (t.FullSymbol.Contains("CASH"))
{
return Math.Max(0.000002m * (t.TradePrice * t.TradeSize), 2);
}
else
{
return 0;
}
}
private void OnGotFill(Trade t)
{
var handler = GotFillHandler;
if (handler != null) handler(t);
}
/// <summary>
/// Executes any open orders allowed by the specified tick.
/// </summary>
/// <param name="tick">The tick.</param>
/// <returns>the number of orders executed using the tick.</returns>
public int Execute(Tick tick)
{
if (_pendingorders == 0) return 0;
if (!tick.IsTrade && !_usebidaskfill) return 0;
int filledorders = 0;
Account[] accts = new Account[_masterorders.Count];
_masterorders.Keys.CopyTo(accts, 0);
// go through each account
for (int idx = 0; idx < accts.Length; idx++)
{
Account a = accts[idx];
// if account has requested no executions, skip it
if (!a.Execute) continue;
// make sure we have a record for this account
if (!_mastertrades.ContainsKey(a.ID))
_mastertrades.Add(a.ID, new List<Trade>());
// track orders being removed and trades that need notification
List<int> notifytrade = new List<int>();
List<int> remove = new List<int>();
// go through each order in the account
for (int i = 0; i < _masterorders[a].Count; i++)
{
Order o = _masterorders[a][i];
//make sure tick is for the right stock
if (tick.FullSymbol != o.FullSymbol)
continue;
bool filled = false;
if (UseHighLiquidityFillsEOD)
{
Order oi = (Order)o;
filled = oi.FillHighLiquidityEOD(tick, _usebidaskfill, false);
}
else if (o.TIF <= TimeInForce.GTC)
{
filled = o.Fill(tick, _usebidaskfill, false); // fill our trade
}
else if (o.TIF == TimeInForce.OPG)
{
// if it's already opened, we missed our shot
if (_hasopened.Contains(o.FullSymbol))
continue;
// otherwise make sure it's really the opening
//if (tick.Exchange == OPGEX)
{
// it's the opening tick, so fill it as an opg
filled = o.Fill(tick, _usebidaskfill, true);
// mark this symbol as already being open
_hasopened.Add(tick.FullSymbol);
}
}
// other orders fill normally, except MOC orders which are at 4:00PM
else if (o.TIF == TimeInForce.MOC)
{
if (tick.Time >= 160000)
filled = o.Fill(tick, _usebidaskfill, false); // fill our trade
}
else
filled = o.Fill(tick, _usebidaskfill, false); // fill our trade
if (filled)
{
// get copy of trade for recording
Trade trade = new Trade((Trade)o);
// remove filled size from size available in trade
if (_adjustincomingticksize)
{
if (_usebidaskfill)
{
if (o.Side)
tick.AskSize -= trade.UnsignedSize;
else
tick.BidSize -= trade.UnsignedSize;
}
else
tick.TradeSize -= trade.UnsignedSize;
}
// if trade represents entire requested order, mark order for removal
if (trade.UnsignedSize == o.UnsignedSize)
remove.Add(i);
else // otherwise reflect order's remaining size
o.OrderSize = (o.UnsignedSize - trade.UnsignedSize) * (o.OrderSide ? 1 : -1);
// record trade
_mastertrades[a.ID].Add(trade);
// mark it for notification
notifytrade.Add(_mastertrades[a.ID].Count - 1);
// count the trade
filledorders++;
}
}
int rmcount = remove.Count;
// remove the filled orders
for (int i = remove.Count - 1; i >= 0; i--)
_masterorders[a].RemoveAt(remove[i]);
// unmark filled orders as pending
_pendingorders -= rmcount;
if (_pendingorders < 0) _pendingorders = 0;
// notify subscribers of trade
if (a.Notify)
for (int tradeidx = 0; tradeidx < notifytrade.Count; tradeidx++)
OnGotFill(_mastertrades[a.ID][notifytrade[tradeidx]]);
}
return filledorders;
}
public Position(Trade t)
{
if (!t.IsValid) throw new Exception("Can't construct a position object from invalid trade.");
_fullsymbol = t.FullSymbol; _avgprice = t.TradePrice; _size = t.TradeSize; _date = t.TradeDate; _time = t.TradeTime; _acct = t.Account;
if (_size>0) _size *= t.Side ? 1 : -1;
}
/// <summary>
/// Called when orders are filled as trades.
/// track or respond to trades here, eg:
/// positionTracker.Adjust(fill);
/// </summary>
/// <param name="fill"></param>
public virtual void GotFill(Trade f)
{
}
public void GotFill(Trade f)
{
if (f.Id == 0)
{
Debug(" fill id is empty: " + f.ToString());
return;
}
if (!IsTracked(f.Id))
{
Debug(" fill id not tracked: " + f.Id);
return;
}
// add to fills
_fills[f.Id] += f.TradeSize;
Debug(f.FullSymbol + " filled size: " + _fills[f.Id] + " ; on trade detail: " + f.ToString());
}
private void ClientGotOrderFilled(Trade k)
{
_tradelist.Add(k);
System.Windows.Application.Current.Dispatcher.Invoke(() =>
{
// order table
int pos = OrderTable.Select(row => row.OrderId).ToList().IndexOf(k.Id);
if (pos == -1)
{
OnDebug("Order id " + k.Id.ToString() + " is not found in order table; possibly new order.");
}
else
{
_ordertracker.GotFill(k);
if (_ordertracker[k.Id] == 0)
{
OrderStatus status = OrderStatus.Filled;
OrderTable[pos].Status = EnumDescConverter.GetEnumDescription(status);
}
else
{
OrderStatus status = OrderStatus.PartiallyFilled;
_ordertable[pos].Status = EnumDescConverter.GetEnumDescription(status);
}
}
// position table only handles one account
// but it is guarantteed by order id
_positiontracker.Adjust(k);
pos = PositionTable.Select(row => row.Symbol).ToList().IndexOf(k.FullSymbol);
if (pos == -1)
{
// add new position
int count = PositionTable.Count;
PositionTable.Add(new PositionEntry(count, k.FullSymbol, _positiontracker[k.FullSymbol].AvgPrice, _positiontracker[k.FullSymbol].Size,
_positiontracker[k.FullSymbol].ClosedPL, _positiontracker[k.FullSymbol].OpenPL));
}
else
{
// adjust position
PositionTable[pos].AvgPrice = _positiontracker[k.FullSymbol].AvgPrice;
PositionTable[pos].Size = _positiontracker[k.FullSymbol].Size;
PositionTable[pos].ClosePL = _positiontracker[k.FullSymbol].ClosedPL;
PositionTable[pos].OpenPL = _positiontracker[k.FullSymbol].OpenPL;
}
FillTable.Add(new FillEntry(k.Id, k.TradeTime, k.FullSymbol, k.TradeSize, k.TradePrice));
});
}
public static string ToChartLabel(Trade fill)
{
return (fill.TradeSize + fill.FullSymbol);
}
/// <summary>
/// this must be called once per position tracker, for each position update.
/// if you are using your own position tracker with this trailing stop(eg from offset tracker, or somewhere else)
/// you MUST call TrailTrackers Adjust and NOT call your position tracker's adjust
/// </summary>
/// <param name="fill"></param>
public void Adjust(Trade fill)
{
// get index for symbol
int idx = symidx(fill.FullSymbol);
// only do following if we're tracking trail for this symbol
if (idx != NOSYM)
{
// get current position size
int psize = _pt[fill.FullSymbol].UnsignedSize;
// get trailing information
OffsetInfo trail = _trail[idx];
// get actual position size after change
int asize = psize - fill.UnsignedSize;
// if expected and actual match, mark pending as false
if (esize[fill.FullSymbol] == asize)
{
D(fill.FullSymbol + " trailing stop completely filled with: " + fill.ToString());
_pendingfill[idx] = false;
}
else
v(fill.FullSymbol + " trail partial fill: " + fill.ToString() + " e: " + esize[fill.FullSymbol] + " != a: " + asize);
}
else
v(fill.FullSymbol + " fill: " + fill.ToString() + " ignored while trail disabled.");
_pt.Adjust(fill);
// if we're flat now, make sure ref price is reset
if (_pt[fill.FullSymbol].isFlat)
{
_ref[idx] = 0;
v(fill.FullSymbol + " flat, reset trail reference price.");
}
}
// Provides the executions which happened in the last 24 hours.
// This event is fired when the reqExecutions() functions is invoked, or when an order is filled.
public virtual void execDetails(int reqId, Contract contract, Execution execution)
{
Trade trade = new Trade();
//trade.Currency = contract.Currency;
trade.Account = Account;
trade.Id = 0;
trade.TradePrice = (decimal)execution.Price;
trade.TradeSize = (execution.Side == "BOT"?1:-1)*execution.Shares;
// FullSymbol includes SecurityType, Exchange and Multiplier
// trade.Security = (SecurityType)EnumDescConverter.GetEnumValue(typeof(SecurityType), contract.SecType);
trade.FullSymbol = ContractToSecurityFullName(contract);
// convert date and time
DateTime dt = DateTime.ParseExact(execution.Time, "yyyyMMdd HH:mm:ss", CultureInfo.InvariantCulture); // Two blanks
trade.TradeDate = dt.Year * 10000 + dt.Month * 100 + dt.Day;
trade.TradeTime = dt.Hour * 10000 + dt.Minute * 100 + dt.Second;
if (contract.SecType != "BAG")
{
if (_iborderIdToOrderInfo.ContainsKey(execution.OrderId))
{
trade.Id = _iborderIdToOrderInfo[execution.OrderId].StrategyOrderId;
if (_iborderIdToOrderInfo[execution.OrderId].IsAcknowledged)
{
OnGotFill(trade);
return;
}
}
// order not found or not acknowledged yet - defer fill notification
_duplicateIBIdToDeferredTrade.Add(new KeyValuePair<int, Trade>(execution.OrderId, trade));
}
}
private void ClientGotOrderFilled(Trade k)
{
foreach (StrategyItem si in _strategyitemlist)
{
si.S.GotFill(k);
}
}
void OnGotFill(Trade t)
{
if (GotFillDelegate != null)
GotFillDelegate(t);
}
public override void GotFill(Trade f)
{
if (_symbols.Contains(f.FullSymbol))
{
_positiontracker.Adjust(f);
//int idx = Array.IndexOf(_symbols, f.FullSymbol);
int idx = _symbols.IndexOf(f.FullSymbol);
_waittobefilled[idx] = false;
_transactions++;
if (_transactions >= _totaltransactions)
{
Shutdown();
}
}
}
void _broker_GotFill(Trade f)
{
if (_strategy != null)
_strategy.GotFill(f);
// tell others, e.g. FillTable
GotFill(f);
}
/// <summary>
/// must send new fills here (eg call from Response.GotFill)
/// </summary>
/// <param name="t"></param>
public void Adjust(Trade t)
{
// get original size
int osize = _pt[t.symbol].Size;
// update position
_pt.Adjust(t);
// see if it's our order
OffsetInfo oi = GetOffset(t.symbol);
// see what was hit
bool hp = (t.id != 0) && (oi.ProfitId == t.id);
bool hs = (t.id != 0) && (oi.StopId == t.id);
// if we hit something
if (hp || hs)
{
// notify
debug(t.symbol + " hit " + (hp ? "profit" : "stop") + ": " + t.id);
// see if we should clear offset
if (hp && (oi.SentProfitSize == t.xsize))
{
debug(t.symbol + " profit closed: " + t.id);
oi.ProfitId = 0;
}
else if (hp)
oi.SentProfitSize -= t.xsize;
if (hs && (oi.SentStopSize == t.xsize))
{
debug(t.symbol + " stop closed: " + t.id);
oi.StopId = 0;
}
else if (hs)
oi.SentStopSize -= t.xsize;
if (HitOffset != null)
HitOffset(t.symbol, t.id, t.xprice);
}
// if we're flat, nothing to do (or if we switched sides)
Position p = _pt[t.symbol];
if (p.isFlat || (osize * p.Size < -1))
{
if (p.isFlat)
debug(t.symbol + " now flat.");
else
debug(t.symbol + " reversed: " + osize + " -> " + p.Size);
CancelAll(t.symbol);
// reset offset state but not configuration
SetOffset(t.symbol, new OffsetInfo(this[t.symbol]));
}
else // save offset
SetOffset(t.symbol, oi);
// do we have events?
if (!HasEvents()) return;
// do update
doupdate(t.symbol);
}
void GotFill(Trade f)
{
if (GotFillEvent != null)
GotFillEvent(f);
}
void _client_GotFillDelegate(Trade obj)
{
_eventAggregator.GetEvent<OrderFillEvent>().Publish(obj);
}
// these are for calculating closed pl
// they do not adjust positions themselves
/// <summary>
/// Gets the closed PL on a per-share basis, ignoring how many shares are held.
/// </summary>
/// <param name="existing">The existing position.</param>
/// <param name="closing">The portion of the position that's being closed/changed.</param>
/// <returns></returns>
public static decimal ClosePT(Position existing, Trade adjust)
{
if (!existing.isValid || !adjust.IsValid)
throw new Exception("Invalid position provided. (existing:" + existing.ToString() + " adjustment:" + adjust.ToString());
if (existing.isFlat) return 0; // nothing to close
if (existing.isLong == adjust.Side) return 0; // if we're adding, nothing to close
return existing.isLong ? adjust.TradePrice - existing.AvgPrice : existing.AvgPrice - adjust.TradePrice;
}
