public static void GetStrategyId(FuturesContract futuresContract, Strategy strategy, SignalFile signalFile, SimpleLogger log)
{
var strategyInfo = from s in StrategyList
where s.Name == signalFile.StrategyName
select new { s.Id, s.Name, s.Ticker, s.OType, s.Contracts, s.MaxPosition, s.Enabled };
var symbolMaxPosition = from s in StrategyList
where s.Ticker == futuresContract.Symbol
group s by s.Ticker into sg
orderby sg.Key
select new { sg.Key, Total = sg.Sum(x => x.MaxPosition) };
foreach (var g in strategyInfo)
{
strategy.StrategyId = g.Id;
strategy.Symbol = g.Ticker;
strategy.StrategyName = g.Name;
strategy.OrderType = g.OType;
strategy.LotSize = g.Contracts;
strategy.StrategyMaxPosition = g.MaxPosition;
strategy.Status = g.Enabled;
foreach (var c in symbolMaxPosition)
{
strategy.MaxPositionForSymbol = c.Total;
}
}
log.Info($"[STRATEGY INFO] StrategyId:{strategy.StrategyId} StrategyName:{strategy.StrategyName}");
}
private void ValidateParsedDataForTrade(SignalFile signalFile)
{
const int _max = 1000000;
Stopwatch s1 = Stopwatch.StartNew();
DateTime tradeDateTime = Convert.ToDateTime(string.Format("{0:MM-dd-yyyy}", signalFile.TradeDateTime.Trim()), CultureInfo.CurrentCulture);
string entryDateTime = tradeDateTime.ToString("MM-dd-yyyy");
if (signalFile.TradeDate == DateToday.Today && entryDateTime == DateToday.Today)
{
//Map TS symbol to IB symbol and set contract details
FuturesContract futuresContract = new FuturesContract();
futuresContract = futures.GetContractDetails(contract, futuresContract, signalFile);
//Map TS strategies to strategies defined in application data list
Strategy strategy = new Strategy(log);
Strategy.GetStrategyId(futuresContract, strategy, signalFile, log);
if (InitializeValues(strategy, signalFile))
{
//Check if app is connected to IB Api and get current IB positions
Positions positions = new Positions();
broker.UpdateIBpositions(strategy, positions, log);
//Check last position for strategy in Position_Data table
Transactions transactions = new Transactions();
Transactions.CheckLastPositionDataFromDB(transactions, strategy, signalFile, log);
//Check if strategy has exceeded maximum position
//Tuple MaxTradeFlag, dbPosConflict, strategyCurrentPosition
Tuple <bool, bool, int> db = positions.GetMaxPosition(strategy, signalFile, transactions, positions, log, @params);
//Display transaction conflict message
Transactions.CheckLastTrade(signalFile, transactions, log, positions, db);
//Set lot size based on current IB position
OrderDetails orderDetails = new OrderDetails();
orderDetails = OrderDetails.GetLotSize(db, orderDetails, strategy, signalFile, positions);
//Check if a limit order was never filled at the Broker and cancel any open order(s)
//Tuple MaxTradeFlag, dbPosConflict, strategyCurrentPosition
if (db.Item2) //db.Item1 ||
{
bool allOpenOrder = false;
CancelOpenOrders(strategy, db.Item2, orderDetails, allOpenOrder);
}
//If trade is for today and less than max position excute order
ProcessSignalForTrade(futuresContract, signalFile, orderDetails, strategy, db, log);
}
}
s1.Stop();
string diag = string.Format("Processed Order in: " + (s1.Elapsed.TotalMilliseconds * 1000000 / _max).ToString("0.00 ns"));
log.Info(diag);
}
private void UpdateDBTables(FuturesContract futuresContract, SignalFile signalFile, OrderDetails orderDetails, Strategy strategy, double limitPrice)
{
int currentPositionForDB = GetCurrentPositionForDB(orderDetails, strategy);
DBFunctions.UpdatePositionDataToDb(log, futuresContract, signalFile, orderDetails, limitPrice);
DBFunctions.UpdateStrategyPosition(log, currentPositionForDB, strategy, orderDetails);
DBFunctions.CalculateProfitandLoss(log, strategy, signalFile);
}
public Controller(EClientSocket clientSocket, SimpleLogger log, Parameters @params, Strategy strategy, Broker broker, Positions positions, FuturesContract futures, Prices prices, Transactions transactions, Slack slack)
{
this.@params = @params;
this.log = log;
this.clientSocket = clientSocket;
this.strategy = strategy;
this.broker = broker;
this.futures = futures;
this.prices = prices;
this.transactions = transactions;
this.slack = slack;
}
private double GetPrices(FuturesContract futuresContract, SignalFile signalFile, Strategy strategy, OrderDetails orderDetails, Prices prices, Tuple <bool, bool, int> db)
{
double limitPrice = 0;
if (prices.BidPrice > 0 && prices.AskPrice > 0)
{
limitPrice = GetBrokerLimitPrice(futuresContract, orderDetails, prices, strategy, db, signalFile);
}
else if (limitPrice <= 0)
{
limitPrice = GetSignalFileLimitPrice(futuresContract, orderDetails, signalFile, strategy, db);
}
return(limitPrice);
}
private void ProcessSignalForTrade(FuturesContract futuresContract, SignalFile signalFile, OrderDetails orderDetails, Strategy strategy, Tuple <bool, bool, int> db, SimpleLogger log)
{
if (!db.Item1 && [email protected])
{
slack.SendMessageToSlack($"[*{strategy.Symbol} {orderDetails.BuyOrSell}]*\n*{signalFile.LastFileLine}*", @params);
//Cancel any open orders
bool dbconflict = false;
bool allOpenOrder = true;
CancelOpenOrders(strategy, dbconflict, orderDetails, allOpenOrder);
//Send order to Broker
double limitPrice = ExecuteOrder(futuresContract, signalFile, orderDetails, strategy, log, db);
//Used to check order status @ Broker
//CheckOrderStatus();
//Update db with executed strategy order
UpdateDBTables(futuresContract, signalFile, orderDetails, strategy, limitPrice);
}
}
public static double GetTickSize(FuturesContract futuresContract)
{
switch (futuresContract.Symbol)
{
case "ES": return(0.25);
case "MES": return(0.25);
case "CL": return(0.01);
case "GC": return(0.10);
case "MGC": return(0.10);
case "QM": return(0.025);
case "RTY": return(0.10);
case "YM": return(1.00);
default: return(0.00);
}
}
public static void UpdatePositionDataToDb(SimpleLogger log, FuturesContract futuresContract, SignalFile signalFile, OrderDetails orderDetails, double limitPrice)
{
try
{
var sqlite_conn = CreateConnection();
SQLiteCommand sqlite_cmd;
sqlite_cmd = sqlite_conn.CreateCommand();
sqlite_cmd.CommandText = "INSERT INTO Position_Data" +
" VALUES ( '" + signalFile.TradeDate +
"','" + signalFile.TradeDateTime +
"','" + orderDetails.OrderId +
"','" + signalFile.StrategyName +
"','" + futuresContract.Exchange +
"','" + orderDetails.BuyOrSell +
"','" + orderDetails.OrderStatus +
"'," + limitPrice.ToString("0." + new string('#', 20)) +
");";
int result = sqlite_cmd.ExecuteNonQuery();
if (result > 0)
{
log.Db("Successfully updated Position_Data table.");
}
else
{
log.Db("Failed to update Position_Data table.");
}
sqlite_conn.Close();
}
catch (SQLiteException ex)
{
log.Trace("Error " + ex.Message.ToString());
log.Trace(ex.StackTrace.ToString());
}
}
public static void Main(string[] args)
{
EWrapperImpl ibClient = new EWrapperImpl();
EClientSocket clientSocket = ibClient.ClientSocket;
Console.ForegroundColor = ConsoleColor.DarkGreen;
string logo = @"
/$$$$$$$ /$$ /$$ /$$$$$$ /$$ /$$ /$$ /$$$$$$
| $$__ $$| $$ | $$ /$$__ $$ |__/ | $$ | $$ |_ $$_/
| $$ \ $$| $$ /$$$$$$ /$$$$$$$| $$ /$$| $$ \__/ /$$$$$$ /$$$$$$ /$$ /$$$$$$ /$$$$$$ | $$ | $$ /$$$$$$$ /$$$$$$$
| $$$$$$$ | $$ /$$__ $$ /$$_____/| $$ /$$/| $$ |____ $$ /$$__ $$| $$|_ $$_/ |____ $$| $$ | $$ | $$__ $$ /$$_____/
| $$__ $$| $$| $$ \ $$| $$ | $$$$$$/ | $$ /$$$$$$$| $$ \ $$| $$ | $$ /$$$$$$$| $$ | $$ | $$ \ $$| $$
| $$ \ $$| $$| $$ | $$| $$ | $$_ $$ | $$ $$ /$$__ $$| $$ | $$| $$ | $$ /$$ /$$__ $$| $$ | $$ | $$ | $$| $$
| $$$$$$$/| $$| $$$$$$/| $$$$$$$| $$ \ $$| $$$$$$/| $$$$$$$| $$$$$$$/| $$ | $$$$/| $$$$$$$| $$ /$$$$$$| $$ | $$| $$$$$$$ /$$
|_______/ |__/ \______/ \_______/|__/ \__/ \______/ \_______/| $$____/ |__/ \___/ \_______/|__/ |______/|__/ |__/ \_______/|__/
| $$
| $$
|__/
";
Console.WriteLine(logo);
Console.ResetColor();
Console.Write("BlockShift Trading App");
Console.Write("\n");
Console.Write("DISCLAIMER: USING THIS SOFTWARE AT MY OWN RISK\n");
Console.Write("\n");
try
{
ConsoleWindow.QuickEditMode(false);
Parameters @params = new Parameters(Path.Combine(Environment.CurrentDirectory, "config.conf"));
SimpleLogger log = new SimpleLogger();
Slack slack = new Slack(@params);
Prices prices = new Prices(log, @params);
FuturesContract futures = new FuturesContract(@params);
Strategy strategy = new Strategy(log);
Broker broker = new Broker(clientSocket, log, @params, slack);
Positions positions = new Positions(log, @params, slack);
Transactions transactions = new Transactions(log);
Controller ctl = new Controller(clientSocket, log, @params, strategy, broker, positions, futures, prices, transactions, slack);
broker.ConnectionToBroker(strategy, positions);
ctl.Run();
}
catch (Exception ex)
{
Console.Write(ex.Message.ToString());
Console.Write(ex.StackTrace.ToString());
}
Console.ReadLine();
}
private double GetSignalFileLimitPrice(FuturesContract futuresContract, OrderDetails orderDetails, SignalFile signalFile, Strategy strategy, Tuple <bool, bool, int> db)
{
double tick;
double limitPrice = signalFile.LimitPrice;
switch (strategy.Symbol)
{
case "QM":
tick = FuturesContract.GetTickSize(futuresContract);
decimal nearOf = 0.025M;
//tick *= (signalFile.EMAAngle < 40 && signalFile.EMAAngle > -40) ? @params.crudeSpread : 4;
tick *= (signalFile.Trend < 40) ? @params.crudeSpread : 4;
if (orderDetails.BuyOrSell == "BUY")
{
limitPrice -= tick;
}
else if (orderDetails.BuyOrSell == "SELL")
{
limitPrice += tick;
}
decimal _limitPrice = Convert.ToDecimal(limitPrice);
_limitPrice = Precision.UltimateRoundingFunction(_limitPrice, nearOf, 0.49M);
limitPrice = Convert.ToDouble(_limitPrice);
return(limitPrice);
case "MES":
tick = FuturesContract.GetTickSize(futuresContract);
tick *= (signalFile.EMAAngle <40 && signalFile.EMAAngle> -40) ? @params.sp500Spread : @params.sp500Spread / 2;
if (signalFile.Adx < 15)
{
if (orderDetails.BuyOrSell == "BUY")
{
limitPrice -= tick;
}
else if (orderDetails.BuyOrSell == "SELL")
{
limitPrice += tick;
}
}
return(limitPrice);
case "MGC":
tick = FuturesContract.GetTickSize(futuresContract);
if (signalFile.Adx < 15)
{
tick *= 1;
if (orderDetails.BuyOrSell == "BUY")
{
limitPrice -= tick;
return(limitPrice);
}
else if (orderDetails.BuyOrSell == "SELL")
{
limitPrice += tick;
return(limitPrice);
}
}
else
{
tick *= 2;
if (orderDetails.BuyOrSell == "BUY")
{
limitPrice += tick;
return(limitPrice);
}
else if (orderDetails.BuyOrSell == "SELL")
{
limitPrice -= tick;
return(limitPrice);
}
}
break;
}
return(limitPrice);
}
private double GetBrokerLimitPrice(FuturesContract futuresContract, OrderDetails orderDetails, Prices prices, Strategy strategy, Tuple <bool, bool, int> db, SignalFile signalFile)
{
double tick = FuturesContract.GetTickSize(futuresContract);
double limitPrice = 0;
switch (strategy.Symbol)
{
case "QM":
//tick *= (db.Item3 == 0 || db.Item3 != 0) ? @params.crudeSpread : 1;
//if (signalFile.Macd == 1)
//{
// tick *= (signalFile.Trend < 40 && orderDetails.BuyOrSell == "SELL") ? @params.crudeSpread : 4;
//}
//else if (signalFile.Macd == 2)
//{
// tick *= (signalFile.Trend < 40 && orderDetails.BuyOrSell == "SELL") ? @params.crudeSpread : 3;
//}
//if (signalFile.Macd == -1)
//{
// tick *= (signalFile.Trend < 40 && orderDetails.BuyOrSell == "BUY") ? @params.crudeSpread : 4;
//}
//else if (signalFile.Macd == -2)
//{
// tick *= (signalFile.Trend < 40 && orderDetails.BuyOrSell == "BUY") ? @params.crudeSpread : 3;
//}
if (orderDetails.BuyOrSell == "BUY")
{
//If Up trend than our bid is spread = 2 and offer is @params.crudeSpread = 5
//tick *= (signalFile.EMAAngle < 40 && signalFile.EMAAngle > -40) ? @params.crudeSpread : 8;
tick *= (signalFile.Trend < 40) ? @params.crudeSpread : 4;
limitPrice = Math.Min(prices.BidPrice, signalFile.LimitPrice); //prices.BidPrice;
limitPrice -= tick;
}
else if (orderDetails.BuyOrSell == "SELL")
{
//If Down trend than our offer is spread = 2 and out bid is @params.crudeSpread = 5
//tick *= (signalFile.EMAAngle < 40 && signalFile.EMAAngle > -40) ? @params.crudeSpread : 8;
tick *= (signalFile.Trend < 40) ? @params.crudeSpread : 4;
limitPrice = Math.Max(prices.AskPrice, signalFile.LimitPrice); //prices.AskPrice;
limitPrice += tick;
}
return(limitPrice);
case "MES":
//tick *= (db.Item3 == 0 || db.Item3 != 0) ? @params.sp500Spread : 1;
//tick *= (signalFile.EMAAngle < 40 && signalFile.EMAAngle > -40) ? @params.sp500Spread : @params.sp500Spread ;
tick *= (signalFile.Trend < 40) ? @params.sp500Spread : 5;
if (orderDetails.BuyOrSell == "BUY")
{
limitPrice = Math.Min(prices.BidPrice, signalFile.LimitPrice);
limitPrice -= tick;
}
else if (orderDetails.BuyOrSell == "SELL")
{
limitPrice = Math.Max(prices.AskPrice, signalFile.LimitPrice);
limitPrice += tick;
}
return(limitPrice);
}
return(limitPrice);
}
private double ExecuteOrder(FuturesContract futuresContract, SignalFile signalFile, OrderDetails orderDetails, Strategy strategy, SimpleLogger log, Tuple <bool, bool, int> db)
{
Prices prices = new Prices();
prices = prices.StartListener(clientSocket, contract, strategy, prices, log);
double limitPrice = GetPrices(futuresContract, signalFile, strategy, orderDetails, prices, db);
if (limitPrice <= 0)
{
limitPrice = signalFile.LimitPrice;
log.Warning($"LimitPrice for {strategy.StrategyName} is null using signalFile price {signalFile.LimitPrice}");
}
//Use market orders overnight so we don't miss getting filled
//string orderType = OverNight(signalFile, db);
//if (string.IsNullOrEmpty(orderType))
//{
// orderType = strategy.OrderType;
//}
Order parent = new Order();
Order openOrder = new Order();
List <Order> orders = new List <Order>();
if (db.Item3 != 0) //If there is a position
{
//Use market orders overnight so we don't miss getting filled
string orderType = OverNight(signalFile, db);
//if (string.IsNullOrEmpty(orderType))
//{
// orderType = strategy.OrderType;
//}
//Close position with market order
parent = new Order()
{
OrderId = OrderDetails.NextOrderId++,
Action = orderDetails.BuyOrSell,
OrderType = (string.IsNullOrEmpty(orderType) ? strategy.OrderType : orderType), //strategy.OrderType, //"MKT",
TotalQuantity = strategy.LotSize,
LmtPrice = (orderDetails.BuyOrSell == "SELL") ? prices.BidPrice : prices.AskPrice, //limitPrice,
AuxPrice = (orderDetails.BuyOrSell == "SELL") ? prices.BidPrice : prices.AskPrice, //limitPrice,
Tif = "GTC",
Transmit = true
};
openOrder = new Order()
{
OrderId = OrderDetails.NextOrderId++,
Action = orderDetails.BuyOrSell,
OrderType = strategy.OrderType, //(strategy.OrderType == "MKT" ? strategy.OrderType : orderType),
TotalQuantity = strategy.LotSize,
LmtPrice = limitPrice,
AuxPrice = limitPrice,
Tif = "GTC",
Transmit = true
};
orders = new List <Order>()
{
parent,
openOrder
};
}
else
{
openOrder = new Order()
{
OrderId = OrderDetails.NextOrderId++,
Action = orderDetails.BuyOrSell,
OrderType = strategy.OrderType, //(strategy.OrderType == "MKT" ? strategy.OrderType : orderType),
TotalQuantity = orderDetails.LotSize,
LmtPrice = limitPrice,
AuxPrice = limitPrice,
Tif = "GTC",
Transmit = true
};
orders = new List <Order>()
{
openOrder
};
}
foreach (Order o in orders)
{
clientSocket.placeOrder(o.OrderId, contract, o);
}
orderDetails.OrderId = parent.OrderId.ToString();
orderDetails.OrderStatus = "Submitted";
if (db.Item3 != 0)
{
log.Signal($"Sent Closing {parent.Action} {parent.OrderType} Order for {strategy.Symbol} LimitPrice:{parent.LmtPrice} LotSize:{parent.TotalQuantity} OrderId:{parent.OrderId}");
log.Signal($"Sent Opening {openOrder.Action} {openOrder.OrderType} Order for {strategy.Symbol} LimitPrice:{openOrder.LmtPrice} LotSize:{openOrder.TotalQuantity} OrderId:{openOrder.OrderId}");
}
else
{
log.Signal($"Sent Opening {openOrder.Action} {openOrder.OrderType} Order for {strategy.Symbol} LimitPrice:{openOrder.LmtPrice} LotSize:{openOrder.TotalQuantity} OrderId:{openOrder.OrderId}");
}
OrderDetails.OrderIdList.DataList.Add(orderDetails.OrderId);
return(limitPrice);
}
//public string OrderType { get; set; }
//public int MaxPosition { get; set; }
//public int LotSize { get; set; }
public FuturesContract GetContractDetails(Contract contract, FuturesContract futuresContract, SignalFile signalFile)
{
if (signalFile.Symbol.Contains("ES"))
{
signalFile.Symbol = "ES";
//switch (signalFile.StrategyName)
//{
// case "MES TMA_Slope Kase Bar 3.75":
contract.LocalSymbol = string.Empty;
contract.Symbol = "MES"; //MES ***USE MICRO CONTRACT FOR GO LIVE
contract.SecType = @params.sp500SecType;
contract.LastTradeDateOrContractMonth = @params.sp500Expiry;
contract.Exchange = @params.sp500Exchange;
contract.Currency = @params.sp500Currency;
futuresContract.Symbol = contract.Symbol;
futuresContract.Exchange = @params.sp500Exchange;
//break;
//default:
// contract.LocalSymbol = string.Empty;
// contract.Symbol = signalFile.Symbol; //MES ***USE MICRO CONTRACT FOR GO LIVE
// contract.SecType = @params.sp500SecType;
// contract.LastTradeDateOrContractMonth = @params.sp500Expiry;
// contract.Exchange = @params.sp500Exchange;
// contract.Currency = @params.sp500Currency;
// Symbol = contract.Symbol;
// Exchange = @params.sp500Exchange;
// break;
//}
}
else if (signalFile.Symbol.Contains("QM"))
{
signalFile.Symbol = "QM";
contract.LocalSymbol = string.Empty;
contract.Symbol = signalFile.Symbol;
contract.SecType = @params.crudeSecType;
contract.LastTradeDateOrContractMonth = @params.crudeExpiry;
contract.Exchange = @params.crudeExchange;
contract.Currency = @params.crudeCurrency;
futuresContract.Symbol = contract.Symbol;
futuresContract.Exchange = @params.crudeExchange;
}
else if (signalFile.Symbol.Contains("CL"))
{
signalFile.Symbol = "CL";
contract.LocalSymbol = string.Empty;
contract.Symbol = signalFile.Symbol;
contract.SecType = @params.crudeSecType;
contract.LastTradeDateOrContractMonth = @params.crudeExpiry;
contract.Exchange = @params.crudeExchange;
contract.Currency = @params.crudeCurrency;
futuresContract.Symbol = contract.Symbol;
futuresContract.Exchange = @params.crudeExchange;
}
else if (signalFile.Symbol.Contains("GC"))
{
signalFile.Symbol = "GC";
contract.LocalSymbol = string.Empty;
contract.Symbol = "MGC"; //signalFile.Symbol;
contract.SecType = @params.goldSecType;
contract.LastTradeDateOrContractMonth = @params.goldExpiry;
contract.Exchange = @params.goldExchange;
contract.Currency = @params.goldCurrency;
futuresContract.Symbol = contract.Symbol;
futuresContract.Exchange = @params.goldExchange;
}
else if (signalFile.Symbol.Contains("TY"))
{
signalFile.Symbol = "ZN";
contract.LocalSymbol = string.Empty;
contract.Symbol = signalFile.Symbol;
contract.SecType = "FUT";
contract.LastTradeDateOrContractMonth = @params.crudeExpiry;
contract.Exchange = "ECBOT";
contract.Currency = "USD";
futuresContract.Symbol = signalFile.Symbol;
futuresContract.Exchange = "ECBOT";
}
return(futuresContract);
}