/// <summary>
/// Check if it's must be opened (or already closed) positions based on
/// deals. ASTS does not send user deals of previous session.
/// So we get deals from database and calculate positions.
///
/// </summary>
private void BuildNonSavedPositionsFromDealsLog()
{
foreach (var kvp1 in DictUserDealsLog)
{
int botId = kvp1.Key;
foreach (var kvp2 in kvp1.Value)
{
string instrument = kvp2.Key;
foreach (var userDeal in kvp2.Value)
{
CRawUserDeal rd = new CRawUserDeal
{
Instrument = instrument,
Amount = userDeal.Amount,
Dir = (sbyte)(userDeal.BuySell == EnmDealDir.Buy ? OrderDirection.Buy : OrderDirection.Sell),
Ext_id_buy = userDeal.BuySell == EnmDealDir.Buy ? botId : 0,
Ext_id_sell = userDeal.BuySell == EnmDealDir.Sell ? botId : 0,
Price = userDeal.Price,
ReplId = userDeal.ReplId,
Moment = userDeal.Moment,
Fee_buy = userDeal.BuySell == EnmDealDir.Buy ? userDeal.Fee : 0,
Fee_sell = userDeal.BuySell == EnmDealDir.Sell ? userDeal.Fee : 0,
Id_Deal = userDeal.DealId, //2018-06-13
Fee_Dealing = userDeal.FeeDealing,
FeeStock = userDeal.Fee_Stock //2018-08-05
};
CalculateBotsPos(rd);
}
}
}
}
/// <summary>
/// Call when new position was created
/// </summary>
/// <param name="rd"></param>
public void OnOpenNewPos(CRawUserDeal rd)
{
DtOpen = rd.Moment;
PriceOpen = rd.Price;
//upd 2016/04/29
Fee_Stock += rd.Fee_buy + rd.Fee_sell;
Fee = m_userDealsPosBox.BrokerFeeCoef * Fee_Stock;
//upd 2015/12/09
mx.WaitOne();
if (rd.Ext_id_buy != 0)
{
BuySell = "Buy";
}
else if (rd.Ext_id_sell != 0)
{
BuySell = "Sell";
}
else
{
// m_userDealsPosBox.Plaza2Connector.Error("Catch error bid or ask iz erio");
}
mx.ReleaseMutex();
}
public void Update(string instrument, decimal price, char buySell,
int amount, long extId, long tradeNo, string tradeDate,
string tradeTime, long micosecs, decimal fee)
{
//CBotPos botPos = new CBotPos { Instrument = instrument,
_onlineDetector.Update();
DateTime moment = CASTSConv.ASTSDateAndTimeToDateAndTime(tradeDate, tradeTime);
int milisec = Convert.ToInt16((double)micosecs / 1000);
moment = moment.AddMilliseconds(milisec);
CRawUserDeal rd = new CRawUserDeal
{
Instrument = instrument,
Amount = amount,
Dir = (sbyte)(buySell == 'B' ? OrderDirection.Buy : OrderDirection.Sell),
Ext_id_buy = buySell == 'B' ? extId : 0,
Ext_id_sell = buySell == 'S' ? extId : 0,
Price = price,
ReplId = tradeNo,
Moment = moment,
Fee_buy = buySell == 'B' ? fee : 0,
Fee_sell = buySell == 'S' ? fee : 0
};
//TODO chek if we already processed deal
CalculateBotsPos(rd, isOnlineASTSCalc: true);
UserDealsPosBoxClient.UpdateGUIDealCollection(rd);
}
public CGUIUserDealViewModel(CRawUserDeal rd, decimal height, string botName, EnmTF tf = EnmTF.M1)
{
Id = rd.Id_Deal;
Price = rd.Price;
Height = height;
Date = rd.Moment;
Pos = Price + Height / 2;
BotName = botName;
string trngFile = "";
if (rd.Ext_id_buy > 0)
{
trngFile = "triangle_green.png";
OrdDir = OrderDirection.Buy;
}
else if (rd.Ext_id_sell > 0)
{
trngFile = "triangle_red.png";
OrdDir = OrderDirection.Sell;
}
if (trngFile != "")
{
PathFile = CUtil.GetImagesPath() + trngFile;
}
}
//deprecated brunch remove if not need
public void Update(string instrument, decimal price, EnmOrderDir dir,
int amount, long extId,
DateTime moment,
long mtsCreate,
decimal fee)
{
CRawUserDeal rd = new CRawUserDeal
{
Instrument = instrument,
Amount = amount,
Dir = (sbyte)dir,
Ext_id_buy = dir == EnmOrderDir.Buy ? extId : 0,
Ext_id_sell = dir == EnmOrderDir.Sell ? extId : 0,
Price = price,
ReplId = GetBotDealId(extId, mtsCreate),
Moment = moment,
Fee_buy = 0,
Fee_sell = 0
};
//TODO chek if we already processed deal
CalculateBotsPos(rd, isOnlineASTSCalc: true);
UserDealsPosBoxClient.UpdateGUIDealCollection(rd);
}
/// <summary>
/// Updates historical log of user positions
///
/// Trigger update for GUI, Database and
/// client classB (which transmit to traderdipatcher, and
/// then to clients)
/// Call from UserDealsPosBox
///
/// this.CalculateBotsPos
///
/// </summary>
/// <param name="botId"></param>
/// <param name="instrument"></param>
/// <param name="bp"></param>
/// <param name="rd"></param>
public void UpdateUserPosLog(int botId, string instrument, CBotPos bp, CRawUserDeal rd)
{
try
{
CBotPos botPos = (CBotPos)bp.Copy();
DicBotPosLog.Update(botId, instrument, botPos);
UserDealsPosBoxClient.GUIBotUpdatePosLog(botPos, botId);
UserDealsPosBoxClient.UpdateTradersPosLog(botId);
// UpdateLatestBotPos(botId, instrument, bp);
UserDealsPosBoxClient.UpdateDBPosLog(botId,
UserDealsPosBoxClient.StockExchId,
instrument,
(CBotPos)bp.Copy());
}
catch (Exception e)
{
Error("UpdateUserPosLog(", e);
}
}
/// <summary>
/// On update deal.
///
/// Call from:
/// 1) CCryptoDealingServer.UpdateUserDeals - when "te" recieved
/// 2) CCryptoDealingServer.UpdateUserDeals - when "tu" recieved
///
/// </summary>
public void Update(long dealId, long orderId, string instrument, EnmOrderDir dir,
decimal amount, int botId, decimal price, DateTime moment,
long mtsCreate, decimal fee)
{
Log(string.Format("[Update] botId={0} dealId={1} orderId={2} instrument={3} dir={4} amount={5} price={6} moment={7} mtsCreate={8} fee={9})",
botId, //0
dealId, //1
orderId, //2
instrument, //3
dir, //4
amount, //5
price, //6
moment, //7
mtsCreate, //8
fee //9
));
CRawUserDeal rd = new CRawUserDeal
{
Id_Deal = dealId,
Instrument = instrument,
Amount = Math.Abs(amount),
Dir = (sbyte)dir,
Ext_id_buy = dir == EnmOrderDir.Buy ? botId : 0,
Ext_id_sell = dir == EnmOrderDir.Sell ? botId : 0,
Price = price,
ReplId = GetBotDealId(botId, mtsCreate),
Moment = moment,
Fee_buy = dir == EnmOrderDir.Buy ? Math.Abs(fee) : 0,
Fee_sell = dir == EnmOrderDir.Sell ? Math.Abs(fee) : 0
};
CalculateBotsPos(rd, isOnlineASTSCalc: true);
//2018-05-24
//In case we recieve fee data in deal
//do trigger fee calculation. This is
//seldom case, when we where not able to process
//"Update" deal from "te" (because orderId-botId recieved later).
//and process deal from "tu"
//Usually we recieve "te" with no fee, and then "tu" with fee
if (fee != 0)
{
Log("Update fee from [Update]");
//2018-06-16 TODO remove all orderdir to dealDir
UpdateFee(botId, instrument, dealId, Math.Abs(fee), (EnmDealDir)dir);
}
UserDealsPosBoxClient.UpdateGUIDealCollection(rd);
}
protected virtual bool IsNeedUpdateUserDealsLog(CRawUserDeal rd, Dictionary <int, Dictionary <string, CLatestTradeData> > dataWithTime)
{
int iExt_id_buy = (int)rd.Ext_id_buy;
int iExt_id_sell = (int)rd.Ext_id_sell;
if (iExt_id_buy == 0 && iExt_id_sell == 0)
{
Error("Non user deal ! replId=" + rd.ReplId);
return(false);;
}
long rdTimeMili = CUtilTime.GetUnixTimestampMillis(rd.Moment);
int userId;
if (dataWithTime.ContainsKey(iExt_id_buy) && iExt_id_buy != 0)
{
userId = iExt_id_buy; //continue check
}
else if (dataWithTime.ContainsKey(iExt_id_sell) && iExt_id_sell != 0)
{
userId = iExt_id_sell; //continue check
}
else
{
return(true); //out
}
string instrument = rd.Instrument; //UserDealsPosBoxClient. GetTicker(rd.Isin_Id);
if (!dataWithTime[userId].ContainsKey(instrument))
{
return(true);
}
if ((rdTimeMili > dataWithTime[userId][instrument].Dt_timestamp_ms)
||
(rdTimeMili == dataWithTime[userId][instrument].Dt_timestamp_ms &&
rd.ReplId > dataWithTime[userId][instrument].ReplId)
)
{
return(true);
}
return(false);
}
/// <summary>
/// Extends base Method case on Bfx could be wrong deals sequence
/// </summary>
/// <param name="rd"></param>
/// <param name="dataWithTime"></param>
/// <returns></returns>
protected override bool IsNeedUpdateUserDealsLog(CRawUserDeal rd, Dictionary <int, Dictionary <string, CLatestTradeData> > dataWithTime)
{
//first check using "classical" StockExchAlgo - replId or time is older than last processed
if (base.IsNeedUpdateUserDealsLog(rd, dataWithTime))
{
return(true);
}
//else check if Deal with this Id was not processed
else
{
Log("IsNeedUpdateUserDealsLog. Invalid sequence check.");
int userId = 0;
int iExt_id_buy = (int)rd.Ext_id_buy;
int iExt_id_sell = (int)rd.Ext_id_sell;
if (dataWithTime.ContainsKey(iExt_id_buy) && iExt_id_buy != 0)
{
userId = iExt_id_buy; //continue check
}
else if (dataWithTime.ContainsKey(iExt_id_sell) && iExt_id_sell != 0)
{
userId = iExt_id_sell; //continue check
}
if (userId > 0)
{
Log("IsNeedUpdateUserDealsLog.Invalid sequence check. DealID=" + rd.Id_Deal);
if (!IsContainDealId(userId, rd.Id_Deal))
{
Log("IsNeedUpdateUserDealsLog. Invalid sequence check. DealId not exist need update");
return(true);
}
else
{
Log("IsNeedUpdateUserDealsLog. Invalid sequence check. DealId already exists");
return(false);
}
}
else
{
string msg = "IsNeedUpdateUserDealsLog. Invalid sequence check. No userDeald";
Log(msg);
Error(msg);
return(false);
}
}
}
public void Add(CRawUserDeal rd, string isin)
{
mx.WaitOne();
if (!this.ContainsKey(isin))
{
this[isin] = new CObservableIdThradeSafeCollection <IIDable <long>, long>();
}
decimal parHeight = 70;
string botName = GetBotName(m_botId);
this[isin].UpdateWithId(new CGUIUserDealViewModel(rd, parHeight, botName));
NotifyCollectionChanged(isin, m_botId);
mx.ReleaseMutex();
}
protected bool IsNeedProcessPos(CRawUserDeal rd,
Dictionary <int, Dictionary <string, CLatestTradeData> > dictLatestBotPos,
bool isASTSRecieveFromStock)
{
int iExt_id_buy = (int)rd.Ext_id_buy;
int iExt_id_sell = (int)rd.Ext_id_sell;
if (iExt_id_buy == 0 && iExt_id_sell == 0)
{
Error("Non user deal ! replId=" + rd.ReplId);
return(false);;
}
long rdTimeMili = CUtilTime.GetUnixTimestampMillis(rd.Moment);
int userId;
if (dictLatestBotPos.ContainsKey(iExt_id_buy) && iExt_id_buy != 0)
{
userId = iExt_id_buy; //continue check
}
else if (dictLatestBotPos.ContainsKey(iExt_id_sell) && iExt_id_sell != 0)
{
userId = iExt_id_sell; //continue check
}
else
{
return(true); //out
}
//string instrument = UserDealsPosBoxClient.GetTicker(rd.Isin_Id);
string instrument = rd.Instrument;
if (!dictLatestBotPos[userId].ContainsKey(instrument))
{
return(true);
}
bool isNewerLastTimestamp = rdTimeMili > dictLatestBotPos[userId][instrument].Dt_timestamp_ms;
bool equalTimeStampButGtaterId = rdTimeMili == dictLatestBotPos[userId][instrument].Dt_timestamp_ms &&
rd.ReplId > dictLatestBotPos[userId][instrument].ReplId &&
dictLatestBotPos[userId][instrument].ReplId != 0;
bool isLaterThanOpenedPos = IsRawDealLaterThenOpenedPos(userId, instrument, rdTimeMili);
//bool isSpecASTSConditionPast = (isASTSRecieveFromStock && !isLaterThanOpenedPos && !_client.IsOnlineUserDeals) ? false : true;
//Only if ASTS and if not online processing (not from DB) we NOT passed condition.
//because for ASTS we loading data from Database
bool isSpecASTSConditionPast = true;
if (isASTSRecieveFromStock)
{
if (!_client.IsOnlineUserDeals)
{
//if (isLaterThanOpenedPos)
isSpecASTSConditionPast = false;
}
}
if ((isNewerLastTimestamp || equalTimeStampButGtaterId) &&
isSpecASTSConditionPast)
{
return(true);
}
//Modification of 2017-10-19. Remove isLaterTanOpenedPos condition.
//Reason: when opening position and than adding position on exact have
//time algorithm doesn't work
return(false);
}
public void UpdateDeal(CRawUserDeal rd, string instrument)
{
UserDealsCollection.Add(rd, instrument);
}
public bool IsPossibleCalculateBotPos(CRawUserDeal rd)
{
return(true);
}
public bool IsOrderFromPrevSession(CRawUserDeal rd)
{
return(false);
}
public void UpdateGUIDealCollection(CRawUserDeal rd)
{
}
/// <summary>
/// Update deal's history log
/// </summary>
/// <param name="instrument"></param>
/// <param name="rd"></param>
private void UpdateDealsData(string instrument, CRawUserDeal rd)
{
CUserDeal userDeal = null;
long timeMili = 0;
CUserDeal dealWithSameId = null;
int botId = (int)(rd.Ext_id_buy > 0 ? rd.Ext_id_buy : rd.Ext_id_sell);
lock (DictUserDealsLog)
{
if (!DictUserDealsLog.ContainsKey(botId))
{
DictUserDealsLog[botId] = new Dictionary <string, List <CUserDeal> >();
}
if (!DictUserDealsLog[botId].ContainsKey(instrument))
{
DictUserDealsLog[botId][instrument] = new List <CUserDeal>();
}
dealWithSameId = DictUserDealsLog[botId][instrument].FirstOrDefault(a => a.ReplId == rd.ReplId);
//deal doesn't have the same id
if (dealWithSameId == null)
{
EnmDealDir dd = rd.Ext_id_buy > 0 ? EnmDealDir.Buy : EnmDealDir.Sell;
userDeal = new CUserDeal
{
ReplId = rd.ReplId,
Amount = rd.Amount,
Moment = rd.Moment,
Price = rd.Price,
BuySell = dd,
Fee = rd.Fee_buy + rd.Fee_sell,
DealId = rd.Id_Deal //2018-06-13
};
DictUserDealsLog[botId][instrument].Add((CUserDeal)userDeal);
// Plaza2Connector.TriggerRecalculateBot(botId, EnmBotEventCode.OnUserDeal,
timeMili = CUtilTime.GetUnixTimestampMillis(userDeal.Moment);
LatestDealsData.Update(botId, instrument,
new CLatestTradeData
{
Dt_timestamp_ms = timeMili,
ReplId = rd.ReplId,
Dt = rd.Moment
}
);
CDBUserDeal dbUSerDeal = new CDBUserDeal();
CUtil.CopyObjProperties(userDeal, dbUSerDeal);
dbUSerDeal.Instrument = instrument;
dbUSerDeal.account_trade_Id = (int)botId;
dbUSerDeal.stock_exch_id = UserDealsPosBoxClient.StockExchId; //StockExchangeId;
dbUSerDeal.ReplId = rd.ReplId;
dbUSerDeal.DealId = rd.Id_Deal; //2018-05-31
dbUSerDeal.Fee = rd.Fee_buy + rd.Fee_sell; //2018-05-31
UserDealsPosBoxClient.UpdateDBUserDealsLog(dbUSerDeal);
}
}
}
/// <summary>
/// Calculate bot position when new deal was recieved from server.
///
/// Call from:
/// UserDealsPosBox.Update
///
/// </summary>
/// <param name="rd"></param>
/// <param name="isOnlineASTSCalc">Special case - only for ASTS and for online</param>
public virtual void CalculateBotsPos(CRawUserDeal rd, bool isOnlineASTSCalc = false)
{
lock (LckDictPositionsOfBots)
{
//TODO: check and remove mutex
// mxDictPositionRecord.WaitOne();
try
{
string instrument = rd.Instrument; //UserDealsPosBoxClient.GetTicker(rd.Isin_Id);
//if deals was already processed (not seen yet) - move to Deals Log
if (IsNeedUpdateUserDealsLog(rd, LatestDealsData))
{
UpdateDealsData(instrument, rd);
}
//if data was already processed return
if (!IsNeedProcessPos(rd, LatestBotPosData, isOnlineASTSCalc))
{
return;
}
int extID = (int)((rd.Ext_id_buy != 0) ? rd.Ext_id_buy : rd.Ext_id_sell);
CBotPos BotPos = GetBotPos(extID, instrument);
BotPos.OldAmount = BotPos.Amount;
//increase or decrease position
//amount depend on direction
//position amount has a sign
if (rd.Ext_id_buy != 0)
{
BotPos.Amount += rd.Amount;
}
else if (rd.Ext_id_sell != 0)
{
BotPos.Amount -= rd.Amount;
}
// 1)New position opened
// 2)Deal has the same dir as already opened pos - increase pos
if ((BotPos.OldAmount >= 0 && rd.Ext_id_buy != 0) || (BotPos.OldAmount <= 0 && rd.Ext_id_sell != 0))
{
//new position was opened
if (BotPos.OldAmount == 0)
{
BotPos.OnOpenNewPos(rd);
}
//2018-06-07 was before OnOpenNewPos
BotPos.AddOpenedCostHist(rd.Id_Deal, rd.Price, rd.Amount,
rd.Fee_buy + rd.Fee_sell, rd.Fee_Dealing, rd.FeeStock,
(EnmDealDir)rd.Dir, rd.Moment, rd.ReplId);
BotPos.CalcCurrentPos();
//UpdateLatestBotPos(extID, instrument, BotPos);
}
//deal has another dir than opened pos
else if ((BotPos.OldAmount >= 0 && rd.Ext_id_sell != 0) || (BotPos.OldAmount <= 0 && rd.Ext_id_buy != 0))
{
//new deal has another direction and amount less (or equal) than current position
//if we fully close or partial close no matter -
//using Close method calculation of profit
if (Math.Abs(rd.Amount) <= Math.Abs(BotPos.OldAmount))
{
BotPos.AddClosedCostHist(rd.Id_Deal, rd.Price, Math.Abs(rd.Amount),
rd.Fee_buy + rd.Fee_sell, rd.Fee_Dealing, rd.FeeStock,
(EnmDealDir)rd.Dir, rd.Moment, rd.ReplId);
BotPos.Close(rd.Moment, rd.ReplId);
//Amount after a new deal is empty. Position was fully closed.
//The simpliest case
if (BotPos.Amount == 0)
{
//BotPos.CloseReduse();
UpdateLatestBotPos(extID, instrument, BotPos);
UpdateUserPosLog(extID, instrument, BotPos, rd);
BotPos = new CBotPos(instrument, this, AcconuntsFeeProc[extID]);
}
}
//new deal has another direction and amount more than current position
//so, we need revert position
//first close previous direction pos than open another dir pos
//with remain
else if ((Math.Abs(rd.Amount) > Math.Abs(BotPos.OldAmount)))
{
//note: using old amount for fully close
BotPos.AddClosedCostHist(rd.Id_Deal, rd.Price, Math.Abs(BotPos.OldAmount),
rd.Fee_buy + rd.Fee_sell, rd.Fee_Dealing, rd.FeeStock,
(EnmDealDir)rd.Dir,
rd.Moment, rd.ReplId);
decimal amountRamained = BotPos.Mult * (Math.Abs(BotPos.OldAmount) - Math.Abs(rd.Amount));
BotPos.Close(rd.Moment, rd.ReplId);
UpdateLatestBotPos(extID, instrument, BotPos);
UpdateUserPosLog(extID, instrument, BotPos, rd);
BotPos = new CBotPos(instrument, this, AcconuntsFeeProc[extID]);
BotPos.Amount = amountRamained;
BotPos.OnOpenNewPos(rd);
//2018-06-07 was before OnOpenNewPos
BotPos.AddOpenedCostHist(rd.Id_Deal, rd.Price, Math.Abs(amountRamained),
rd.Fee_buy + rd.Fee_sell, rd.Fee_Dealing, rd.FeeStock,
(EnmDealDir)rd.Dir, rd.Moment,
rd.ReplId);
BotPos.CalcCurrentPos();
}
}
//Update positions of all bots of all instruments
DictPositionsOfBots[extID][instrument] = BotPos;
UserDealsPosBoxClient.TriggerRecalculateBot(extID, instrument, EnmBotEventCode.OnUserDeal, (CBotPos)BotPos.Copy());
_client.UpdDBPosInstr(extID, rd.Instrument, BotPos.Amount, BotPos.AvPos);
}
catch (Exception e)
{
Error("CuserDealsBox.CalculateBotsPos", e);
}
// mxDictPositionRecord.ReleaseMutex();
}//end of lock (LckDictPositionsOfBots)
// LckDictPositionsOfBots.ReleaseMutex();
}
