private void HandleMinuteAgg(IStreamAgg newValue)
{
if (_stockActions.TryGetValue(newValue.Symbol, out var actionList))
{
actionList.ForEach(action =>
action(new StockInput
{
ClosingPrice = newValue.Close,
Time = newValue.EndTimeUtc,
StockSymbol = newValue.Symbol
})
);
}
}
// Determine whether our position should grow or shrink and submit orders.
private async Task HandleMinuteAgg(IStreamAgg agg)
{
closingPrices.Add(agg.Close);
if (closingPrices.Count > 20)
{
closingPrices.RemoveAt(0);
Decimal avg = closingPrices.Average();
Decimal diff = avg - agg.Close;
// If the last trade hasn't filled yet, we'd rather replace
// it than have two orders open at once.
if (lastTradeOpen)
{
// We need to wait for the cancel to process in order to avoid
// having long and short orders open at the same time.
Boolean res = await alpacaTradingClient.DeleteOrderAsync(lastTradeId);
}
// Make sure we know how much we should spend on our position.
var account = await alpacaTradingClient.GetAccountAsync();
Decimal buyingPower = account.BuyingPower;
Decimal equity = account.Equity;
Int64 multiplier = account.Multiplier;
// Check how much we currently have in this position.
Int32 positionQuantity = 0;
Decimal positionValue = 0;
try
{
var currentPosition = await alpacaTradingClient.GetPositionAsync(symbol);
positionQuantity = currentPosition.Quantity;
positionValue = currentPosition.MarketValue;
}
catch (Exception)
{
// No position exists. This exception can be safely ignored.
}
if (diff <= 0)
{
// Price is above average: we want to short.
if (positionQuantity > 0)
{
// There is an existing long position we need to dispose of first
Console.WriteLine($"Removing {positionValue:C2} long position.");
await SubmitOrder(positionQuantity, agg.Close, OrderSide.Sell);
}
else
{
// Allocate a percent of portfolio to short position
Decimal portfolioShare = -1 * diff / agg.Close * scale;
Decimal targetPositionValue = -1 * equity * multiplier * portfolioShare;
Decimal amountToShort = targetPositionValue - positionValue;
if (amountToShort < 0)
{
// We want to expand our existing short position.
amountToShort *= -1;
if (amountToShort > buyingPower)
{
amountToShort = buyingPower;
}
Int32 qty = (Int32)(amountToShort / agg.Close);
Console.WriteLine($"Adding {qty * agg.Close:C2} to short position.");
await SubmitOrder(qty, agg.Close, OrderSide.Sell);
}
else
{
// We want to shrink our existing short position.
Int32 qty = (Int32)(amountToShort / agg.Close);
if (qty > -1 * positionQuantity)
{
qty = -1 * positionQuantity;
}
Console.WriteLine($"Removing {qty * agg.Close:C2} from short position");
await SubmitOrder(qty, agg.Close, OrderSide.Buy);
}
}
}
else
{
// Allocate a percent of our portfolio to long position.
Decimal portfolioShare = diff / agg.Close * scale;
Decimal targetPositionValue = equity * multiplier * portfolioShare;
Decimal amountToLong = targetPositionValue - positionValue;
if (positionQuantity < 0)
{
// There is an existing short position we need to dispose of first
Console.WriteLine($"Removing {positionValue:C2} short position.");
await SubmitOrder(-positionQuantity, agg.Close, OrderSide.Buy);
}
else if (amountToLong > 0)
{
// We want to expand our existing long position.
if (amountToLong > buyingPower)
{
amountToLong = buyingPower;
}
Int32 qty = (Int32)(amountToLong / agg.Close);
await SubmitOrder(qty, agg.Close, OrderSide.Buy);
Console.WriteLine($"Adding {qty * agg.Close:C2} to long position.");
}
else
{
// We want to shrink our existing long position.
amountToLong *= -1;
Int32 qty = (Int32)(amountToLong / agg.Close);
if (qty > positionQuantity)
{
qty = positionQuantity;
}
await SubmitOrder(qty, agg.Close, OrderSide.Sell);
Console.WriteLine($"Removing {qty * agg.Close:C2} from long position");
}
}
}
else
{
Console.WriteLine("Waiting on more data.");
}
}
public abstract void OnDataReceived(IStreamAgg obj);
public override void OnDataReceived(IStreamAgg obj)
{
// Implement the strategy
}
// Determine whether our position should grow or shrink and submit orders.
private void HandleMinuteAgg(IStreamAgg agg)
{
closingPrices.Add(agg.Close);
if (closingPrices.Count > 20)
{
closingPrices.RemoveAt(0);
Decimal avg = closingPrices.Average();
Decimal diff = avg - agg.Close;
// If the last trade hasn't filled yet, we'd rather replace
// it than have two orders open at once.
if (lastTradeOpen)
{
restClient.DeleteOrderAsync(lastTradeId);
}
// Make sure we know how much we should spend on our position.
var account = restClient.GetAccountAsync().Result;
Decimal buyingPower = account.BuyingPower;
Decimal portfolioValue = account.PortfolioValue;
// Check how much we currently have in this position.
int positionQuantity = 0;
Decimal positionValue = 0;
try
{
var currentPosition = restClient.GetPositionAsync(symbol).Result;
positionQuantity = currentPosition.Quantity;
positionValue = currentPosition.MarketValue;
}
catch (Exception e)
{
// No position exists. This exception can be safely ignored.
}
if (diff <= 0)
{
// Above the 20 minute average - exit any existing long position.
if (positionQuantity > 0)
{
Console.WriteLine("Setting position to zero.");
SubmitOrder(positionQuantity, agg.Close, OrderSide.Sell);
}
else
{
Console.WriteLine("No position to exit.");
}
}
else
{
// Allocate a percent of our portfolio to this position.
Decimal portfolioShare = diff / agg.Close * scale;
Decimal targetPositionValue = portfolioValue * portfolioShare;
Decimal amountToAdd = targetPositionValue - positionValue;
if (amountToAdd > 0)
{
// Buy as many shares as we can without going over amountToAdd.
// Make sure we're not trying to buy more than we can.
if (amountToAdd > buyingPower)
{
amountToAdd = buyingPower;
}
int qtyToBuy = (int)(amountToAdd / agg.Close);
SubmitOrder(qtyToBuy, agg.Close, OrderSide.Buy);
Console.WriteLine(String.Format("Adding {0:C2} to position.", qtyToBuy * agg.Close));
}
else
{
// Sell as many shares as we can without going under amountToAdd.
// Make sure we're not trying to sell more than we have.
amountToAdd *= -1;
int qtyToSell = (int)(amountToAdd / agg.Close);
if (qtyToSell > positionQuantity)
{
qtyToSell = positionQuantity;
}
SubmitOrder(qtyToSell, agg.Close, OrderSide.Sell);
Console.WriteLine(String.Format("Removing {0:C2} from position", qtyToSell * agg.Close));
}
}
}
else
{
Console.WriteLine("Waiting on more data.");
}
}
private static void PolygonStreamingClient_MinuteAggReceived(IStreamAgg obj)
{
Securities[obj.Symbol].OnMinuteAggReceived?.Invoke(obj);
}
