private void sendOrder(IWebSocketClientConnection webSocketConnection, string symbol, char side, ulong qty, ulong price)
{
Debug.Assert(side == OrderSide.BUY || side == OrderSide.SELL);
if (side != OrderSide.BUY && side != OrderSide.SELL)
{
throw new ArgumentException();
}
if (qty >= _minTradeSize)
{
// send order (Participate don't initiate - aka book or cancel) and keep track of the ClOrdId
string clorid = _tradeclient.SendOrder(
webSocketConnection,
symbol,
qty,
price,
side,
_tradeclient.BrokerId,
MakeClOrdId(),
OrdType.LIMIT,
ExecInst.PARTICIPATE_DONT_INITIATE
);
if (side == OrderSide.BUY)
{
_strategyBuyOrderClorid = clorid;
}
else
{
_strategySellOrderClorid = clorid;
}
}
}
public void SendRequestToCancelAllOrders(IWebSocketClientConnection connection)
{
JObject order_cancel_request = new JObject();
order_cancel_request["MsgType"] = "F";
order_cancel_request["FingerPrint"] = connection.Device.FingerPrint;
order_cancel_request["STUNTIP"] = connection.Device.Stuntip;
connection.SendMessage(order_cancel_request.ToString());
}
//
public string SendOrder(IWebSocketClientConnection connection,
string symbol,
ulong qty,
ulong price,
char side,
int broker_id,
string client_order_id,
char order_type = '2',
char execInst = default(char))
{
// add pending new order to the OMS
MiniOMS.Order orderToSend = new MiniOMS.Order();
orderToSend.Symbol = symbol;
orderToSend.OrderQty = qty;
orderToSend.Price = price;
orderToSend.Side = side;
orderToSend.ClOrdID = client_order_id;
orderToSend.OrdType = order_type;
orderToSend.OrdStatus = 'A'; // PENDING_NEW according to FIX std
try
{
_miniOMS.AddOrder(orderToSend);
}
catch (Exception ex)
{
LogStatus(LogStatusType.ERROR,
"The MiniOMS Rejected the Order : " +
orderToSend.ClOrdID + ";" +
orderToSend.OrderQty + ";" +
orderToSend.Price.ToString() + ";\n"
+ ex.Message.ToString() + "\n"
+ ex.StackTrace
);
return(null);
}
// send the order to the broker
JObject new_order_single = new JObject();
new_order_single["MsgType"] = "D";
new_order_single["ClOrdID"] = orderToSend.ClOrdID;
new_order_single["Symbol"] = orderToSend.Symbol;
new_order_single["Side"] = orderToSend.Side.ToString();
new_order_single["OrdType"] = orderToSend.OrdType.ToString();
new_order_single["Price"] = orderToSend.Price;
new_order_single["OrderQty"] = orderToSend.OrderQty;
new_order_single["BrokerID"] = broker_id;
if (execInst != default(char))
{
new_order_single["ExecInst"] = execInst.ToString();
}
new_order_single["FingerPrint"] = connection.Device.FingerPrint;
new_order_single["STUNTIP"] = connection.Device.Stuntip;
connection.SendMessage(new_order_single.ToString());
return(orderToSend.ClOrdID);
}
private void SendRequestForOpenOrders(IWebSocketClientConnection connection, int page = 0)
{
JObject orders_list_request = new JObject();
orders_list_request["MsgType"] = "U4";
orders_list_request["OrdersReqID"] = connection.NextOutgoingSeqNum();
orders_list_request["Page"] = page;
orders_list_request["PageSize"] = 20;
orders_list_request["Filter"] = new JArray("has_leaves_qty eq 1" /*"has_cum_qty eq 1"*/);
connection.SendMessage(orders_list_request.ToString());
}
private void replaceOrder(IWebSocketClientConnection webSocketConnection, string symbol, char side, ulong price, ulong qty = 0)
{
Debug.Assert(side == OrderSide.BUY || side == OrderSide.SELL);
string existingClorId = side == OrderSide.BUY ? this._strategyBuyOrderClorid : this._strategySellOrderClorid;
var orderToReplace = _tradeclient.miniOMS.GetOrderByClOrdID(existingClorId);
if (qty == 0)
{
qty = calculateOrderQty(symbol, side, price);
}
if (qty < _minOrderSize)
{
return; // order is too small to send
}
// cancel the previous sent order since it is not possible to modify the order
if (orderToReplace != null)
{
switch (orderToReplace.OrdStatus)
{
case OrdStatus.PENDING_NEW: // client control - in the case no response was received
case OrdStatus.PENDING_CANCEL:
LogStatus(
LogStatusType.WARN,
String.Format(
"WAITING ORDER STATE CHANGE : {0} CLORDID {1} SIDE {2}",
orderToReplace.OrdStatus.ToString(),
orderToReplace.ClOrdID,
side)
);
return; // wait the confirmation of the NEW or CANCEL (TODO: create a timeout to avoid ad-eternum wait)
case OrdStatus.NEW:
case OrdStatus.PARTIALLY_FILLED:
// cancel the order to replace it
if (orderToReplace.Price == price && orderToReplace.LeavesQty == qty)
{
return; // order is essencially the same and should not be replaced
}
_tradeclient.CancelOrderByClOrdID(webSocketConnection, orderToReplace.ClOrdID);
break;
//return;
default:
break;
}
}
// send a new order
sendOrder(webSocketConnection, symbol, side, qty, price);
}
public void SendTestRequest(IWebSocketClientConnection connection)
{
JObject test_request = new JObject();
test_request["MsgType"] = "1";
test_request["FingerPrint"] = connection.Device.FingerPrint;
test_request["STUNTIP"] = connection.Device.Stuntip;
test_request["TestReqID"] = connection.NextOutgoingSeqNum().ToString();
test_request["SendTime"] = Util.ConvertToUnixTimestamp(DateTime.Now).ToString();
string test_request_msg = test_request.ToString();
connection.SendMessage(test_request_msg);
}
public void OnClose(IWebSocketClientConnection webSocketConn)
{
Debug.Assert(!webSocketConn.IsConnected);
webSocketConn.IsLoggedOn = false;
OnLogEvent(LogStatusType.ERROR, "WebSocket closed.");
DispatchEvent(SystemEventType.CLOSED, webSocketConn);
bool bRetVal = _connections.Remove(webSocketConn);
if (bRetVal)
{
OnLogEvent(LogStatusType.INFO, "Removed connection : " + webSocketConn.ToString());
}
}
protected virtual void DispatchEvent(
SystemEventType evtType,
IWebSocketClientConnection connection,
JObject json = null)
{
if (SystemEvent != null)
{
SystemEventArgs args = new SystemEventArgs();
args.evtType = evtType;
args.json = json;
SystemEvent(connection, args);
}
}
protected static async Task TestRequest(IWebSocketClientConnection connection)
{
// Simple keep-alive mechanism using TestRequest/Heartbeat
long nextExpectedCounter = 0;
bool disconnect = false;
do
{
await Task.Delay(_testRequestDelay);
if (!connection.IsConnected)
{
break;
}
if (!connection.EnableTestRequest)
{
continue;
}
if (nextExpectedCounter > connection.receivedMessageCounter)
{
if (!disconnect)
{
connection.SendTestRequest();
disconnect = true;
}
else
{
// second chance before disconnecting
await Task.Delay(_testRequestDelay);
if (nextExpectedCounter > connection.receivedMessageCounter)
{
connection.OnLogEvent(LogStatusType.ERROR, "Websocket connection not responding");
connection.Shutdown();
break;
}
disconnect = false;
}
}
else
{
disconnect = false;
}
// update expectation for next iteration
nextExpectedCounter = connection.receivedMessageCounter + 1;
} while (connection.IsConnected);
}
public void OnExecutionReport(IWebSocketClientConnection webSocketConnection, MiniOMS.IOrder order)
{
if (_priceType == PriceType.PEGGED && _strategySide == OrderSide.SELL)
{
if (order.OrdStatus == OrdStatus.FILLED || order.OrdStatus == OrdStatus.PARTIALLY_FILLED)
{
ulong theSoldAmount = _tradeclient.GetSoldAmount();
if (theSoldAmount >= _maxAmountToSell)
{
LogStatus(LogStatusType.WARN, String.Format("[OnExecutionReport] Cannot exceed the allowed max amount to sell : {0} {1}", theSoldAmount, _maxAmountToSell));
_tradeclient.CancelOrderByClOrdID(webSocketConnection, _strategySellOrderClorid);
}
}
}
}
private void replaceOrder(IWebSocketClientConnection webSocketConnection, string symbol, char side, ulong price, ulong qty = 0)
{
Debug.Assert(side == OrderSide.BUY || side == OrderSide.SELL);
string existingClorId = side == OrderSide.BUY ? this._strategyBuyOrderClorid : this._strategySellOrderClorid;
var orderToReplace = _tradeclient.miniOMS.GetOrderByClOrdID(existingClorId);
// cancel the previous sent order since it is not possible to modify the order
if (orderToReplace != null)
{
switch (orderToReplace.OrdStatus)
{
case OrdStatus.PENDING_NEW: // client control - in the case no response was received
case OrdStatus.PENDING_CANCEL:
LogStatus(
LogStatusType.WARN,
String.Format(
"WAITING ORDER STATE CHANGE : {0} CLORDID {1} SIDE {2}",
orderToReplace.OrdStatus.ToString(),
orderToReplace.ClOrdID,
side)
);
return; // wait the confirmation
case OrdStatus.NEW:
case OrdStatus.PARTIALLY_FILLED:
// cancel the order to replace it
_tradeclient.CancelOrderByClOrdID(webSocketConnection, orderToReplace.ClOrdID);
break;
default:
break;
}
}
if (qty == 0)
{
qty = calculateOrderQty(symbol, side, price);
}
// send a new buy order
sendOrder(webSocketConnection, symbol, side, qty, price);
}
public bool CancelOrderByClOrdID(IWebSocketClientConnection connection, string clOrdID)
{
MiniOMS.Order orderToCancel = _miniOMS.GetOrderByClOrdID(clOrdID);
if (orderToCancel != null)
{
if (orderToCancel.OrdStatus == OrdStatus.NEW || orderToCancel.OrdStatus == OrdStatus.PARTIALLY_FILLED)
{
orderToCancel.OrdStatus = OrdStatus.PENDING_CANCEL;
JObject order_cancel_request = new JObject();
order_cancel_request["MsgType"] = "F";
order_cancel_request["ClOrdID"] = clOrdID;
order_cancel_request["FingerPrint"] = connection.Device.FingerPrint;
order_cancel_request["STUNTIP"] = connection.Device.Stuntip;
connection.SendMessage(order_cancel_request.ToString());
return(true);
}
}
return(false);
}
public void OnOpen(IWebSocketClientConnection connection)
{
Debug.Assert(connection.IsConnected);
Debug.Assert(!connection.IsLoggedOn);
OnLogEvent(LogStatusType.INFO, "Connection Succeeded");
_connections.Add(connection);
// dispatch the connection opened
DispatchEvent(SystemEventType.OPENED, connection);
// build the json Login Request Message
JObject login_request = new JObject();
login_request["MsgType"] = "BE";
login_request["UserReqID"] = connection.NextOutgoingSeqNum();
login_request["UserReqTyp"] = "1";
login_request["Username"] = connection.UserAccount.Username;
login_request["Password"] = connection.UserAccount.Password;
login_request["BrokerID"] = connection.UserAccount.BrokerId;
login_request["CancelOnDisconnect"] = "1"; // enabled so that all session orders are automatically cancelled upon a disconnection (should work in next backend version)
if (connection.UserAccount.SecondFactor != null && connection.UserAccount.SecondFactor != string.Empty)
{
login_request["SecondFactor"] = connection.UserAccount.SecondFactor;
}
login_request["UserAgent"] = "Mozilla/5.0 (Linux; Android 6.0; Nexus 5 Build/MRA58N) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/46.0.2490.76 Mobile Safari/537.36";
login_request["UserAgentLanguage"] = "en-US";
login_request["UserAgentTimezoneOffset"] = ":180,";
login_request["UserAgentPlatform"] = "Linux x86_64";
login_request["FingerPrint"] = connection.Device.FingerPrint;
login_request["STUNTIP"] = connection.Device.Stuntip;
// send the login request Message on wire
connection.SendMessage(login_request.ToString());
}
public void OnMessage(string message, IWebSocketClientConnection connection)
{
JObject msg = JsonConvert.DeserializeObject <JObject>(message);
string msgType = msg["MsgType"].Value <string>();
switch (msgType)
{
case "BF": //Login response:
{
if (msg.GetValue("UserReqTyp") != null && msg.GetValue("UserReqTyp").Value <int>() == 3)
{
Debug.Assert(connection.IsLoggedOn);
DispatchEvent(SystemEventType.CHANGE_PASSWORD_RESPONSE, connection, msg);
break;
}
if (msg["UserStatus"].Value <int>() == 1)
{
Debug.Assert(!connection.IsLoggedOn);
connection.IsLoggedOn = true;
OnLogEvent(LogStatusType.INFO, "Received LOGIN_OK response");
DispatchEvent(SystemEventType.LOGIN_OK, connection, msg);
}
else
{
connection.IsLoggedOn = false;
OnLogEvent(LogStatusType.WARN,
"Received LOGIN_ERROR response : " + msg["UserStatusText"].Value <string>()
);
DispatchEvent(SystemEventType.LOGIN_ERROR, connection, msg);
connection.Shutdown();
}
break;
}
case "W":
Debug.Assert(connection.IsLoggedOn);
if (msg["MarketDepth"].Value <int>() != 1) // Has Market Depth
{
DispatchEvent(SystemEventType.ORDER_BOOK_CLEAR, connection, msg);
DispatchEvent(SystemEventType.TRADE_CLEAR, connection, msg);
foreach (JObject entry in msg["MDFullGrp"])
{
entry["MDReqID"] = msg["MDReqID"];
switch (entry["MDEntryType"].Value <char>())
{
case '0': // Bid
case '1': // Offer
entry["Symbol"] = msg["Symbol"];
DispatchEvent(SystemEventType.ORDER_BOOK_NEW_ORDER, connection, entry);
break;
case '2': // Trade
DispatchEvent(SystemEventType.TRADE, connection, entry);
break;
case '4': // Trading Session Status
DispatchEvent(SystemEventType.TRADING_SESSION_STATUS, connection, entry);
break;
}
}
}
DispatchEvent(SystemEventType.MARKET_DATA_FULL_REFRESH, connection, msg);
break;
case "X":
if (msg["MDBkTyp"].Value <int>() == 3) // Order Depth
{
foreach (JObject entry in msg["MDIncGrp"])
{
entry["MDReqID"] = msg["MDReqID"];
switch (entry["MDEntryType"].Value <char>())
{
case '0': // Bid
case '1': // Offer
switch (entry["MDUpdateAction"].Value <char>())
{
case '0':
DispatchEvent(SystemEventType.ORDER_BOOK_NEW_ORDER, connection, entry);
break;
case '1':
DispatchEvent(SystemEventType.ORDER_BOOK_UPDATE_ORDER, connection, entry);
break;
case '2':
DispatchEvent(SystemEventType.ORDER_BOOK_DELETE_ORDER, connection, entry);
break;
case '3':
DispatchEvent(SystemEventType.ORDER_BOOK_DELETE_ORDERS_THRU, connection, entry);
break;
}
break;
case '2': // Trade
DispatchEvent(SystemEventType.TRADE, connection, entry);
break;
case '4': // Trading Session Status
DispatchEvent(SystemEventType.TRADING_SESSION_STATUS, connection, entry);
break;
}
}
}
else
{
// TODO: Top of the book handling.
}
DispatchEvent(SystemEventType.MARKET_DATA_INCREMENTAL_REFRESH, connection, msg);
break;
case "Y":
DispatchEvent(SystemEventType.MARKET_DATA_REQUEST_REJECT, connection, msg);
break;
case "f":
DispatchEvent(SystemEventType.SECURITY_STATUS, connection, msg);
break;
case "U3":
DispatchEvent(SystemEventType.BALANCE_RESPONSE, connection, msg);
break;
case "U5":
DispatchEvent(SystemEventType.ORDER_LIST_RESPONSE, connection, msg);
break;
case "8": //Execution Report
if (msg.GetValue("Volume") == null || msg.GetValue("Volume").Type == JTokenType.Null)
{
if (msg.GetValue("AvgPx") != null && msg.GetValue("AvgPx").Type != JTokenType.Null && msg.GetValue("AvgPx").Value <ulong>() > 0)
{
msg["Volume"] = (ulong)(msg["CumQty"].Value <ulong>() * (float)(msg["AvgPx"].Value <ulong>() / 1e8));
}
else
{
msg["Volume"] = 0;
}
}
DispatchEvent(SystemEventType.EXECUTION_REPORT, connection, msg);
break;
case "U33": // Trade History Response
DispatchEvent(SystemEventType.TRADE_HISTORY_RESPONSE, connection, msg);
break;
case "0":
DispatchEvent(SystemEventType.HEARTBEAT, connection, msg);
break;
case "ERROR":
OnLogEvent(LogStatusType.ERROR, msg.ToString());
DispatchEvent(SystemEventType.ERROR, connection, msg);
connection.Shutdown();
break;
default:
{
Debug.Assert(connection.IsLoggedOn);
OnLogEvent(LogStatusType.WARN, "Unhandled message type : " + msgType);
break;
}
}
}
public void OnError(string ErrorMessage, IWebSocketClientConnection webSocketConn)
{
OnLogEvent(LogStatusType.ERROR, ErrorMessage);
DispatchEvent(SystemEventType.ERROR, webSocketConn);
}
/*abstract*/ public void runStrategy(IWebSocketClientConnection webSocketConnection, string symbol)
{
// Run the strategy to try to have an order on at least one side of the book according to fixed price range
// but never executing as a taker
if (!_enabled) // strategy cannot run when disabled
{
LogStatus(LogStatusType.WARN, "Strategy is disabled and will not run");
return;
}
// get the BTC Price in dollar
SecurityStatus btcusd_quote = _tradeclient.GetSecurityStatus("BITSTAMP", "BTCUSD");
if (btcusd_quote == null || btcusd_quote.LastPx == 0)
{
if (_priceType == PriceType.TRAILING_STOP || _priceType == PriceType.PEGGED)
{
LogStatus(LogStatusType.WARN, "BITSTAMP:BTCUSD not available");
return;
}
}
// get the dollar price
SecurityStatus usd_official_quote = _tradeclient.GetSecurityStatus("UOL", "USDBRL"); // use USDBRT for the turism quote
if (usd_official_quote == null || usd_official_quote.BestAsk == 0 || usd_official_quote.BestBid == 0)
{
if (_priceType == PriceType.TRAILING_STOP || _priceType == PriceType.PEGGED)
{
LogStatus(LogStatusType.WARN, "UOL:USDBRL not available");
return;
}
}
OrderBook orderBook = _tradeclient.GetOrderBook(symbol);
if (orderBook == null)
{
LogStatus(LogStatusType.ERROR, "Order Book not available for " + symbol);
return;
}
if (_priceType == PriceType.TRAILING_STOP)
{
if (_strategySide == OrderSide.SELL && _stop_price > 0)
{
if (btcusd_quote.LastPx <= _stop_price)
{
// trigger the stop when the price goes down
ulong stop_price_floor = (ulong)(Math.Round(_stop_price / 1e8 * usd_official_quote.BestAsk / 1e8 * _stop_price_adjustment_factor, 2) * 1e8);
ulong best_bid_price = orderBook.BestBid != null ? orderBook.BestBid.Price : 0;
ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL, stop_price_floor, ulong.MaxValue);
Console.WriteLine("DEBUG ** Triggered Trailing Stop and should execute ASAP ** [{0}],[{1}],[{2}],[{3}]", btcusd_quote.LastPx, best_bid_price, stop_price_floor, availableQty);
if (best_bid_price >= stop_price_floor)
{
// force a minimal execution as maker to get e-mail notification when the trailing stop is triggered
availableQty = availableQty > _minOrderSize ? availableQty - _minOrderSize : availableQty;
sendOrder(webSocketConnection, symbol, OrderSide.SELL, availableQty, stop_price_floor, OrdType.LIMIT, 0, ExecInst.DEFAULT, TimeInForce.IMMEDIATE_OR_CANCEL);
}
// change the strategy so that the bot might negociate the leaves qty as a maker applying another limit factor as a sell floor
_priceType = PriceType.PEGGED;
_sell_floor_price = stop_price_floor;
Console.WriteLine("DEBUG Changed Strategy to FLOAT with SELL_FLOOR_PRICE=[{0}]", _sell_floor_price);
}
else
{
// when the market goes up - adjust the stop in case of a new high price in BTCUSD
if (btcusd_quote.LastPx > _trailing_stop_high_price)
{
_stop_price = (ulong)(Math.Round(btcusd_quote.LastPx / 1e8 * (1 - _stoppx_offset_percentage / 100), 3) * 1e8);
_trailing_stop_high_price = btcusd_quote.LastPx;
Console.WriteLine("DEBUG Trailing STOP [StopPx={0}] [HighPx=[{1}] [EntryPx={2}] [CapPx={3}]", _stop_price, _trailing_stop_high_price, _trailing_stop_entry_price, _trailing_stop_cap_price);
}
// and check we should make profit
if (_trailing_stop_cap_price > 0 && btcusd_quote.LastPx > _trailing_stop_cap_price)
{
ulong best_bid_price = orderBook.BestBid != null ? orderBook.BestBid.Price : 0;
double local_exchange_spread = (best_bid_price / 1e8) / (double)(btcusd_quote.LastPx / 1e8 * usd_official_quote.BestBid / 1e8);
if (local_exchange_spread > 1)
{
_sell_floor_price = (ulong)(Math.Round(btcusd_quote.LastPx / 1e8 * usd_official_quote.BestBid / 1e8 * _stop_price_adjustment_factor, 2) * 1e8);
ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL, _sell_floor_price, ulong.MaxValue);
Console.WriteLine("DEBUG ** Reached Trailing Stop CAP and should execute ASAP ** [{0}],[{1}],[{2}],[{3}]", btcusd_quote.LastPx, best_bid_price, _sell_floor_price, availableQty);
if (best_bid_price >= _sell_floor_price)
{
availableQty = availableQty > _minOrderSize ? availableQty - _minOrderSize : availableQty; // force minimal execution as maker
sendOrder(webSocketConnection, symbol, OrderSide.SELL, availableQty, _sell_floor_price, OrdType.LIMIT, 0, ExecInst.DEFAULT, TimeInForce.IMMEDIATE_OR_CANCEL);
}
// change the strategy so that the bot might negociate the leaves qty as a maker
_priceType = PriceType.PEGGED;
Console.WriteLine("DEBUG Changed Strategy to FLOAT with SELL_FLOOR_PRICE=[{0}]", _sell_floor_price);
}
else
{
Console.WriteLine("DEBUG ** Reached Trailing Stop CAP [but without local exchange spread] ** [{0}],[{1}],[{2}],[{3}]", btcusd_quote.LastPx, best_bid_price, usd_official_quote.BestBid, local_exchange_spread);
}
}
}
}
return;
}
// ** temporary workaround to support market pegged sell order strategy without plugins**
if (_priceType == PriceType.PEGGED && _strategySide == OrderSide.SELL)
{
// make the price float according to the MID Price
// gather the data to calculate the midprice
// instead of bestAsk let's use the Price reached if one decides to buy X BTC
ulong maxPriceToBuyXBTC = orderBook.MaxPriceForAmountWithoutSelfOrders(
OrderBook.OrdSide.SELL,
(ulong)(1 * 1e8), // TODO: make it a parameter
_tradeclient.UserId);
// let's use the VWAP as the market price (short period tick based i.e last 30 min.)
ulong marketPrice = _tradeclient.CalculateVWAP();
// calculate the mid price
ulong midprice = (ulong)((orderBook.BestBid.Price + maxPriceToBuyXBTC + marketPrice) / 3);
_sellTargetPrice = midprice + _pegOffsetValue;
// check the selling FLOOR
if (_sellTargetPrice < _sell_floor_price)
{
_sellTargetPrice = _sell_floor_price;
}
}
// another workaround for sending a single stop order and disable the strategy
if (_priceType == PriceType.STOP)
{
if (_strategySide == OrderSide.BUY)
{
char ordType = (_buyTargetPrice == 0 ? OrdType.STOP_MARKET : OrdType.STOP_LIMIT);
ulong ref_price = (_buyTargetPrice > _stop_price ? _buyTargetPrice : _stop_price);
ulong qty = calculateOrderQty(symbol, _strategySide, ref_price);
sendOrder(webSocketConnection, symbol, OrderSide.BUY, qty, _buyTargetPrice, ordType, _stop_price, default(char));
}
if (_strategySide == OrderSide.SELL)
{
char ordType = (_sellTargetPrice == 0 ? OrdType.STOP_MARKET : OrdType.STOP_LIMIT);
ulong qty = calculateOrderQty(symbol, OrderSide.SELL);
sendOrder(webSocketConnection, symbol, OrderSide.SELL, qty, _sellTargetPrice, ordType, _stop_price, default(char));
}
// disable strategy after sending the stop order...
this._enabled = false;
return;
}
// run the strategy that change orders in the book
if (_maxOrderSize > 0)
{
webSocketConnection.EnableTestRequest = false;
if (_strategySide == OrderSide.BUY || _strategySide == default(char)) // buy or both
{
runBuyStrategy(webSocketConnection, symbol);
}
if (_strategySide == OrderSide.SELL || _strategySide == default(char)) // sell or both
{
runSellStrategy(webSocketConnection, symbol);
}
webSocketConnection.EnableTestRequest = true;
}
}
private void runSellStrategy(IWebSocketClientConnection webSocketConnection, string symbol)
{
OrderBook.IOrder bestOffer = _tradeclient.GetOrderBook(symbol).BestOffer;
if (bestOffer != null)
{
if (bestOffer.UserId != _tradeclient.UserId)
{
// sell @ 1 cent bellow the best price (TODO: parameter for price increment)
ulong sellPrice = bestOffer.Price - (ulong)(0.01 * 1e8);
if (sellPrice >= _sellTargetPrice)
{
replaceOrder(webSocketConnection, symbol, OrderSide.SELL, sellPrice);
}
else
{
// cannot fight for the first position thus try to find a visible position in the book
OrderBook orderBook = _tradeclient.GetOrderBook(symbol);
List <OrderBook.Order> sellside = orderBook.GetOfferOrders();
int i = sellside.BinarySearch(
new OrderBook.Order(OrderBook.OrdSide.SELL, _sellTargetPrice + (ulong)(0.01 * 1e8)),
new OrderBook.OrderPriceComparer()
);
int position = (i < 0 ? ~i : i);
Debug.Assert(position > 0);
// verificar se a profundidade vale a pena: (TODO: parameters for max_pos_depth and max_amount_depth)
if (position > 5 + 1 && orderBook.DoesAmountExceedsLimit(
OrderBook.OrdSide.SELL,
position - 1, (ulong)(10 * 1e8)))
{
_tradeclient.CancelOrderByClOrdID(webSocketConnection, _strategySellOrderClorid);
return;
}
var pivotOrder = sellside[position];
if (pivotOrder.UserId == _tradeclient.UserId)
{
// ordem ja e minha : pega + recursos disponiveis e cola no preco no vizinho se já nao estiver
ulong price_delta = sellside[position + 1].Price - pivotOrder.Price;
ulong newSellPrice = (price_delta > (ulong)(0.01 * 1e8) ?
pivotOrder.Price + price_delta - (ulong)(0.01 * 1e8) :
pivotOrder.Price);
ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL);
if (newSellPrice > pivotOrder.Price || availableQty > pivotOrder.Qty)
{
replaceOrder(webSocketConnection, symbol, OrderSide.SELL, newSellPrice, availableQty);
}
}
else
{
// estabelece preco de venda 1 centavo menor do que nesta posicao
ulong newSellPrice = pivotOrder.Price - (ulong)(0.01 * 1e8);
replaceOrder(webSocketConnection, symbol, OrderSide.SELL, newSellPrice);
}
}
}
else
{
// check and replace the order to get closer to the order in the second position and gather more available funds
List <OrderBook.Order> sellside = _tradeclient.GetOrderBook(symbol).GetOfferOrders();
ulong price_delta = sellside.Count > 1 ? sellside[1].Price - sellside[0].Price : 0;
ulong newSellPrice = (price_delta > (ulong)(0.01 * 1e8) ?
bestOffer.Price + price_delta - (ulong)(0.01 * 1e8) :
bestOffer.Price);
ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL);
if (newSellPrice > bestOffer.Price || availableQty > bestOffer.Qty)
{
replaceOrder(webSocketConnection, symbol, OrderSide.SELL, newSellPrice, availableQty);
}
}
}
else
{
// TODO: empty book scenario
}
}
private void runSellStrategy(IWebSocketClientConnection webSocketConnection, string symbol)
{
OrderBook.IOrder bestBid = _tradeclient.GetOrderBook(symbol).BestBid;
OrderBook.IOrder bestOffer = _tradeclient.GetOrderBook(symbol).BestOffer;
if (_priceType == PriceType.MARKET_AS_MAKER)
{
ulong sellPrice = 0;
if (bestBid != null)
{
sellPrice = bestBid.Price + (ulong)(0.01 * 1e8);
}
else if (bestOffer != null)
{
sellPrice = bestOffer.Price;
}
if (sellPrice > 0 || _sell_floor_price > 0)
{
if (sellPrice >= _sell_floor_price)
{
replaceOrder(webSocketConnection, symbol, OrderSide.SELL, sellPrice);
return;
}
_sellTargetPrice = _sell_floor_price; // find the best position as maker for the sell floor price
}
else
{
// empty book scenario without a user defined sell floor price
_tradeclient.CancelOrderByClOrdID(webSocketConnection, _strategySellOrderClorid);
return;
}
}
// available funds with a target price should execute ASAP even as liquidity takers whenever possible
if (_sellTargetPrice > 0 && bestBid != null && bestBid.Price >= _sellTargetPrice && bestBid.UserId != _tradeclient.UserId)
{
ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL, bestBid.Price, ulong.MaxValue);
if (availableQty > _minOrderSize)
{
ulong sell_qty = Math.Min(availableQty, bestBid.Qty);
// execute the order as taker and emulate IOC instruction
sendOrder(webSocketConnection, symbol, OrderSide.SELL, sell_qty, bestBid.Price, OrdType.LIMIT, 0, ExecInst.DEFAULT, TimeInForce.IMMEDIATE_OR_CANCEL);
return;
}
else
{
// cancel current order to free balance to be used as taker
MiniOMS.IOrder own_sell_order = _tradeclient.miniOMS.GetOrderByClOrdID(_strategySellOrderClorid);
if (own_sell_order != null && (own_sell_order.OrdStatus == OrdStatus.NEW || own_sell_order.OrdStatus == OrdStatus.PARTIALLY_FILLED))
{
if (own_sell_order.LeavesQty > _minOrderSize)
{
ulong sell_qty = Math.Min(own_sell_order.LeavesQty, bestBid.Qty);
_tradeclient.CancelOrderByClOrdID(webSocketConnection, own_sell_order.ClOrdID);
sendOrder(webSocketConnection, symbol, OrderSide.SELL, sell_qty, bestBid.Price, OrdType.LIMIT, 0, ExecInst.DEFAULT, TimeInForce.IMMEDIATE_OR_CANCEL);
return;
}
}
}
}
// post the order in the order book
if (bestOffer != null)
{
if (bestOffer.UserId != _tradeclient.UserId)
{
// sell @ 1 cent bellow the best price (TODO: parameter for price increment)
ulong sellPrice = bestOffer.Price - (ulong)(0.01 * 1e8);
if (sellPrice >= _sellTargetPrice)
{
// TODO: Become a Taker when the spread is "small" (i.e for stop trailing converted to pegged or for any pegged)
if (sellPrice > bestBid.Price)
{
replaceOrder(webSocketConnection, symbol, OrderSide.SELL, sellPrice);
}
else
{
// avoid being a taker or receiving a reject when using ExecInst=6 but stay in the book with max price
ulong max_sell_price = bestBid.Price + (ulong)(0.01 * 1e8);
var own_order = _tradeclient.miniOMS.GetOrderByClOrdID(_strategySellOrderClorid);
ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL);
if (own_order == null || own_order.Price != max_sell_price || availableQty > own_order.OrderQty)
{
replaceOrder(webSocketConnection, symbol, OrderSide.SELL, max_sell_price);
}
}
}
else
{
// cannot fight for the first position thus try to find a visible position in the book
OrderBook orderBook = _tradeclient.GetOrderBook(symbol);
List <OrderBook.Order> sellside = orderBook.GetOfferOrders();
int i = sellside.BinarySearch(
new OrderBook.Order(OrderBook.OrdSide.SELL, _sellTargetPrice + (ulong)(0.01 * 1e8)),
new OrderBook.OrderPriceComparer()
);
int position = (i < 0 ? ~i : i);
Debug.Assert(position > 0);
// verificar se a profundidade vale a pena: (TODO: parameters for max_pos_depth and max_amount_depth)
if (position > 15 + 1 && orderBook.DoesAmountExceedsLimit(
OrderBook.OrdSide.SELL,
position - 1, (ulong)(20 * 1e8)))
{
_tradeclient.CancelOrderByClOrdID(webSocketConnection, _strategySellOrderClorid);
return;
}
var pivotOrder = sellside[position];
if (pivotOrder.UserId == _tradeclient.UserId)
{
// make sure the order is the same or from another client instance
MiniOMS.IOrder own_sell_order = _tradeclient.miniOMS.GetOrderByClOrdID(_strategySellOrderClorid);
if (sellside[position].OrderId == own_sell_order.OrderID)
{
// ordem ja e minha : pega + recursos disponiveis e cola no preco do vizinho se já nao estiver
ulong price_delta = sellside.Count > position + 1 ? sellside[position + 1].Price - pivotOrder.Price : 0;
ulong newSellPrice = (price_delta > (ulong)(0.01 * 1e8) ?
pivotOrder.Price + price_delta - (ulong)(0.01 * 1e8) :
pivotOrder.Price);
ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL);
if (newSellPrice > pivotOrder.Price || availableQty > pivotOrder.Qty)
{
replaceOrder(webSocketConnection, symbol, OrderSide.SELL, newSellPrice, availableQty);
}
}
}
else
{
// estabelece preco de venda 1 centavo menor do que nesta posicao
ulong newSellPrice = pivotOrder.Price - (ulong)(0.01 * 1e8);
replaceOrder(webSocketConnection, symbol, OrderSide.SELL, newSellPrice);
}
}
}
else
{
// check and replace the order on the top to get closer to the order in the second position and gather more available funds
MiniOMS.IOrder own_sell_order = _tradeclient.miniOMS.GetOrderByClOrdID(_strategySellOrderClorid);
List <OrderBook.Order> sellside = _tradeclient.GetOrderBook(symbol).GetOfferOrders();
if (sellside[0].OrderId == own_sell_order.OrderID)
{
ulong price_delta = sellside.Count > 1 ? sellside[1].Price - sellside[0].Price : 0;
ulong newSellPrice = (price_delta > (ulong)(0.01 * 1e8) ?
bestOffer.Price + price_delta - (ulong)(0.01 * 1e8) :
bestOffer.Price);
ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL);
if (newSellPrice > bestOffer.Price || availableQty > bestOffer.Qty)
{
replaceOrder(webSocketConnection, symbol, OrderSide.SELL, newSellPrice, availableQty);
}
}
}
}
else
{
// empty book scenario
ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL);
Debug.Assert(_sellTargetPrice > 0);
ulong sell_price = Math.Max(_sellTargetPrice, bestBid != null ? bestBid.Price + (ulong)(0.01 * 1e8) : 0);
sendOrder(webSocketConnection, symbol, OrderSide.SELL, availableQty, sell_price);
}
}
private void runBuyStrategy(IWebSocketClientConnection webSocketConnection, string symbol)
{
OrderBook.IOrder bestBid = _tradeclient.GetOrderBook(symbol).BestBid;
OrderBook.IOrder bestOffer = _tradeclient.GetOrderBook(symbol).BestOffer;
if (_priceType == PriceType.MARKET_AS_MAKER)
{
ulong buyPrice = 0;
if (bestOffer != null)
{
buyPrice = bestOffer.Price - (ulong)(0.01 * 1e8);
}
else if (bestBid != null)
{
buyPrice = bestBid.Price;
}
Debug.Assert(_buy_cap_price > 0);
if (_buy_cap_price == 0)
{
_buy_cap_price = ulong.MaxValue;
}
if (buyPrice > 0 && buyPrice <= _buy_cap_price)
{
replaceOrder(webSocketConnection, symbol, OrderSide.BUY, buyPrice);
return;
}
if (_buy_cap_price == ulong.MaxValue)
{
_tradeclient.CancelOrderByClOrdID(webSocketConnection, _strategyBuyOrderClorid);
return;
}
_buyTargetPrice = _buy_cap_price; // find the best position as maker at the buy cap price
}
if (_priceType == PriceType.EXPLORE_BOOK_DEPTH)
{
// set the price based on the depth (this is a lot inefficent but I don't care)
OrderBook orderBook = _tradeclient.GetOrderBook(symbol);
ulong max_price = orderBook.MaxPriceForAmountWithoutSelfOrders(OrderBook.OrdSide.BUY, _minBookDepth, _tradeclient.UserId);
ulong min_price = orderBook.MaxPriceForAmountWithoutSelfOrders(OrderBook.OrdSide.BUY, _maxBookDepth, _tradeclient.UserId);
max_price = max_price < ulong.MaxValue ? max_price : min_price;
var myOrder = _tradeclient.miniOMS.GetOrderByClOrdID(this._strategyBuyOrderClorid);
if (max_price < ulong.MaxValue)
{
min_price = min_price < ulong.MaxValue ? min_price : max_price;
if (myOrder == null || myOrder.Price > max_price || myOrder.Price < min_price)
{
//LogStatus (LogStatusType.WARN, String.Format ("[DT] must change order price not in expected position {0} {1} {2}", myOrder != null ? myOrder.Price : 0, max_price, min_price));
if (min_price < max_price)
{
_buyTargetPrice = min_price + (ulong)(0.01 * 1e8); // 1 pip better than min_price
}
else
{
_buyTargetPrice = min_price - (ulong)(0.01 * 1e8); // 1 pip worse than min_price
}
}
else
{
return; // don't change the order because it is still in an acceptable position
}
}
else
{
// no reference found in the book
SecurityStatus usd_official_quote = _tradeclient.GetSecurityStatus("UOL", "USDBRL"); // use USDBRT for the turism quote
SecurityStatus btcusd_quote = _tradeclient.GetSecurityStatus("BITSTAMP", "BTCUSD");
if (usd_official_quote != null && usd_official_quote.BestBid > 0 && btcusd_quote != null && btcusd_quote.BestBid > 0)
{
ulong market_price = _tradeclient.CalculateVWAP();
ulong lastPrice = _tradeclient.GetLastPrice();
ulong off_sale_price = (ulong)(usd_official_quote.BestBid / 1e8 * btcusd_quote.BestBid / 1e8 * 0.5 * 1e8);
_buyTargetPrice = Math.Min(Math.Min(market_price, lastPrice), off_sale_price);
}
else
{
return;
}
}
}
if (bestBid != null)
{
if (bestBid.UserId != _tradeclient.UserId)
{
// buy @ 1 cent above the best price (TODO: parameter for price increment)
ulong buyPrice = bestBid.Price + (ulong)(0.01 * 1e8);
if (buyPrice <= this._buyTargetPrice)
{
if (buyPrice < bestOffer.Price)
{
replaceOrder(webSocketConnection, symbol, OrderSide.BUY, buyPrice);
}
else
{
// avoid being a taker or receiving a reject when using ExecInst=6 but stay in the book with max price
ulong max_buy_price = bestOffer.Price - (ulong)(0.01 * 1e8);
var own_order = _tradeclient.miniOMS.GetOrderByClOrdID(_strategyBuyOrderClorid);
ulong availableQty = calculateOrderQty(symbol, OrderSide.BUY, max_buy_price);
if (own_order == null || own_order.Price != max_buy_price || availableQty > own_order.OrderQty)
{
replaceOrder(webSocketConnection, symbol, OrderSide.BUY, max_buy_price);
}
}
}
else
{
// cannot fight for the first position thus try to find a visible position in the book
OrderBook orderBook = _tradeclient.GetOrderBook(symbol);
List <OrderBook.Order> buyside = orderBook.GetBidOrders();
int i = buyside.BinarySearch(
new OrderBook.Order(OrderBook.OrdSide.BUY, _buyTargetPrice - (ulong)(0.01 * 1e8)),
new OrderBook.ReverseOrderPriceComparer()
);
int position = (i < 0 ? ~i : i);
Debug.Assert(position > 0);
if (this._priceType != PriceType.EXPLORE_BOOK_DEPTH)
{
// verificar se a profundidade vale a pena: (TODO: parameters for max_pos_depth and max_amount_depth)
if (position > 15 + 1 && orderBook.DoesAmountExceedsLimit(
OrderBook.OrdSide.BUY,
position - 1, (ulong)(20 * 1e8)))
{
_tradeclient.CancelOrderByClOrdID(webSocketConnection, _strategyBuyOrderClorid);
return;
}
}
var pivotOrder = buyside[position];
if (pivotOrder.UserId == _tradeclient.UserId)
{
// make sure the order is the same or from another client instance
MiniOMS.IOrder own_buy_order = _tradeclient.miniOMS.GetOrderByClOrdID(_strategyBuyOrderClorid);
if (buyside[position].OrderId == own_buy_order.OrderID)
{
// ordem ja e minha : pega + recursos disponiveis e cola no preco no vizinho se já nao estiver
ulong price_delta = buyside.Count > position + 1 ? pivotOrder.Price - buyside[position + 1].Price : 0;
ulong newBuyPrice = (price_delta > (ulong)(0.01 * 1e8) ?
pivotOrder.Price - price_delta + (ulong)(0.01 * 1e8) :
pivotOrder.Price);
ulong availableQty = calculateOrderQty(symbol, OrderSide.BUY, newBuyPrice);
if (newBuyPrice < pivotOrder.Price || availableQty > pivotOrder.Qty)
{
replaceOrder(webSocketConnection, symbol, OrderSide.BUY, newBuyPrice, availableQty);
}
}
}
else
{
// estabelece preco de venda 1 centavo maior do que nesta posicao
ulong newbuyPrice = pivotOrder.Price + (ulong)(0.01 * 1e8);
replaceOrder(webSocketConnection, symbol, OrderSide.BUY, newbuyPrice);
}
}
}
else
{
// make sure the order is the same or from another client instance
// check and replace order to get closer to the order in the second position and gather more avaible funds
List <OrderBook.Order> buyside = _tradeclient.GetOrderBook(symbol).GetBidOrders();
MiniOMS.IOrder own_buy_order = _tradeclient.miniOMS.GetOrderByClOrdID(_strategyBuyOrderClorid);
if (buyside[0].OrderId == own_buy_order.OrderID)
{
ulong price_delta = buyside.Count > 1 ? buyside[0].Price - buyside[1].Price : 0;
ulong newBuyPrice = (price_delta > (ulong)(0.01 * 1e8) ?
bestBid.Price - price_delta + (ulong)(0.01 * 1e8) :
bestBid.Price);
ulong availableQty = calculateOrderQty(symbol, OrderSide.BUY, newBuyPrice);
if (newBuyPrice < bestBid.Price || availableQty > bestBid.Qty)
{
replaceOrder(webSocketConnection, symbol, OrderSide.BUY, newBuyPrice, availableQty);
}
}
}
}
else
{
// empty book scenario
ulong availableQty = calculateOrderQty(symbol, OrderSide.BUY, _buyTargetPrice);
Debug.Assert(_buyTargetPrice > 0);
ulong buy_price = Math.Min(_buyTargetPrice, bestOffer != null ? bestOffer.Price - (ulong)(0.01 * 1e8) : ulong.MaxValue);
sendOrder(webSocketConnection, symbol, OrderSide.BUY, availableQty, buy_price);
}
}
private void OnBrokerNotification(object sender, SystemEventArgs evt)
{
IWebSocketClientConnection webSocketConnection = (IWebSocketClientConnection)sender;
try
{
switch (evt.evtType)
{
case SystemEventType.LOGIN_OK:
LogStatus(LogStatusType.INFO, "Processing after succesful LOGON");
this._myUserID = evt.json["UserID"].Value <ulong>();
// disable test request to avoid disconnection during the "slow" market data processing
webSocketConnection.EnableTestRequest = false;
StartInitialRequestsAfterLogon(webSocketConnection);
break;
case SystemEventType.MARKET_DATA_REQUEST_REJECT:
LogStatus(LogStatusType.ERROR, "Unexpected Marketdata Request Reject");
webSocketConnection.Shutdown();
break;
case SystemEventType.MARKET_DATA_FULL_REFRESH:
{
string symbol = evt.json["Symbol"].Value <string>();
// dump the order book
LogStatus(LogStatusType.WARN, _allOrderBooks[symbol].ToString());
// bring back the testrequest keep-alive mechanism after processing the book
webSocketConnection.EnableTestRequest = true;
// run the trading strategy to buy and sell orders based on the top of the book
_tradingStrategy.runStrategy(webSocketConnection, symbol);
// TODO: remove the temp dump bellow
this._vwapForTradingSym.PrintTradesAndTheVWAP();
// example how to notify the application to start
//this._tradingStrategy.OnStart(webSocketConnection);
}
break;
// --- Order Book Management Events ---
case SystemEventType.ORDER_BOOK_CLEAR:
{
string symbol = evt.json["Symbol"].Value <string>();
OrderBook orderBook = null;
if (_allOrderBooks.TryGetValue(symbol, out orderBook))
{
orderBook.Clear();
}
else
{
orderBook = new OrderBook(symbol);
_allOrderBooks.Add(symbol, orderBook);
}
}
break;
case SystemEventType.ORDER_BOOK_NEW_ORDER:
{
string symbol = evt.json["Symbol"].Value <string>();
OrderBook orderBook = null;
if (_allOrderBooks.TryGetValue(symbol, out orderBook))
{
orderBook.AddOrder(evt.json);
}
else
{
LogStatus(LogStatusType.ERROR,
"Order Book not found for Symbol " + symbol + " @ " + evt.evtType.ToString());
}
}
break;
case SystemEventType.ORDER_BOOK_DELETE_ORDERS_THRU:
{
string symbol = evt.json["Symbol"].Value <string>();
OrderBook orderBook = null;
if (_allOrderBooks.TryGetValue(symbol, out orderBook))
{
orderBook.DeleteOrdersThru(evt.json);
}
else
{
LogStatus(LogStatusType.ERROR,
"Order Book not found for Symbol " + symbol + " @ " + evt.evtType.ToString()
);
}
}
break;
case SystemEventType.ORDER_BOOK_DELETE_ORDER:
{
string symbol = evt.json["Symbol"].Value <string>();
OrderBook orderBook = null;
if (_allOrderBooks.TryGetValue(symbol, out orderBook))
{
orderBook.DeleteOrder(evt.json);
}
else
{
LogStatus(LogStatusType.ERROR,
"Order Book not found for Symbol " + symbol + " @ " + evt.evtType.ToString()
);
}
}
break;
case SystemEventType.ORDER_BOOK_UPDATE_ORDER:
{
string symbol = evt.json["Symbol"].Value <string>();
OrderBook orderBook = null;
if (_allOrderBooks.TryGetValue(symbol, out orderBook))
{
orderBook.UpdateOrder(evt.json);
}
else
{
LogStatus(LogStatusType.ERROR,
"Order Book not found for Symbol " + symbol + " @ " + evt.evtType.ToString()
);
}
}
break;
// ------------------------------------
case SystemEventType.TRADE_CLEAR:
LogStatus(LogStatusType.WARN, "Receieved Market Data Event " + evt.evtType.ToString());
break;
case SystemEventType.SECURITY_STATUS:
{
LogStatus(LogStatusType.WARN,
"Receieved Market Data Event " +
evt.evtType.ToString() + " " +
(evt.json != null ? evt.json.ToString() : ".")
);
SecurityStatus securityStatus = new SecurityStatus();
securityStatus.Market = evt.json["Market"].Value <string>();
securityStatus.Symbol = evt.json["Symbol"].Value <string>();
securityStatus.LastPx = evt.json["LastPx"].Value <ulong>();
securityStatus.HighPx = evt.json["HighPx"].Value <ulong>();
if (evt.json["BestBid"].Type != JTokenType.Null)
{
securityStatus.BestBid = evt.json["BestBid"].Value <ulong>();
}
else
{
securityStatus.BestBid = 0;
}
if (evt.json["BestAsk"].Type != JTokenType.Null)
{
securityStatus.BestAsk = evt.json["BestAsk"].Value <ulong>();
}
else
{
securityStatus.BestAsk = 0;
}
if (evt.json["LowPx"].Type != JTokenType.Null)
{
securityStatus.LowPx = evt.json["LowPx"].Value <ulong>();
}
else
{
securityStatus.LowPx = 0;
}
securityStatus.SellVolume = evt.json["SellVolume"].Value <ulong>();
securityStatus.BuyVolume = evt.json["BuyVolume"].Value <ulong>();
// update the security status information
string securityKey = securityStatus.Market + ":" + securityStatus.Symbol;
_securityStatusEntries[securityKey] = securityStatus;
// update the strategy when a new market information arrives
_tradingStrategy.runStrategy(webSocketConnection, _tradingSymbol);
}
break;
case SystemEventType.TRADE:
{
JObject msg = evt.json;
LogStatus(LogStatusType.WARN, "Receieved Market Data Event " + evt.evtType.ToString() + msg);
_vwapForTradingSym.pushTrade(
new ShortPeriodTickBasedVWAP.Trade(
msg["TradeID"].Value <ulong>(),
msg["Symbol"].Value <string>(),
msg["MDEntryPx"].Value <ulong>(),
msg["MDEntrySize"].Value <ulong>(),
String.Format("{0} {1}", msg["MDEntryDate"].Value <string>(), msg["MDEntryTime"].Value <string>())
)
);
/*
* LogStatus(
* LogStatusType.INFO,
* String.Format(
* "New Trade : VWAP = {0} | LastPx = {1} - {2} | Size = {3}",
* _vwapForTradingSym.calculateVWAP(),
* _vwapForTradingSym.getLastPx(),
* msg["MDEntryPx"].Value<ulong>(),
* msg["MDEntrySize"].Value<ulong>()
* )
* );
*/
}
break;
case SystemEventType.TRADING_SESSION_STATUS:
break;
case SystemEventType.MARKET_DATA_INCREMENTAL_REFRESH:
LogStatus(LogStatusType.WARN, "Receieved Market Data Incremental Refresh : " + evt.evtType.ToString());
// update the strategy when an incremental message is processed
_tradingStrategy.runStrategy(webSocketConnection, _tradingSymbol);
break;
// --- Order Entry Replies ---
case SystemEventType.EXECUTION_REPORT:
{
LogStatus(LogStatusType.WARN, "Receieved " + evt.evtType.ToString() + "\n" + evt.json.ToString());
MiniOMS.IOrder order = ProcessExecutionReport(evt.json);
_tradingStrategy.OnExecutionReport(webSocketConnection, order);
}
break;
case SystemEventType.ORDER_LIST_RESPONSE:
{
// process the requested list of orders
JObject msg = evt.json;
LogStatus(LogStatusType.WARN,
"Received " + evt.evtType.ToString() + " : " + "Page=" + msg["Page"].Value <string>()
);
JArray ordersLst = msg["OrdListGrp"].Value <JArray>();
if (ordersLst != null && ordersLst.Count > 0)
{
var columns = msg["Columns"].Value <JArray>();
Dictionary <string, int> indexOf = new Dictionary <string, int>();
int index = 0;
foreach (JToken col in columns)
{
indexOf.Add(col.Value <string>(), index++);
}
foreach (JArray data in ordersLst)
{
MiniOMS.Order order = new MiniOMS.Order();
order.ClOrdID = data[indexOf["ClOrdID"]].Value <string>();
order.OrderID = data[indexOf["OrderID"]].Value <ulong>();
order.Symbol = data[indexOf["Symbol"]].Value <string>();
order.Side = data[indexOf["Side"]].Value <char>();
order.OrdType = data[indexOf["OrdType"]].Value <char>();
order.OrdStatus = data[indexOf["OrdStatus"]].Value <char>();
order.AvgPx = data[indexOf["AvgPx"]].Value <ulong>();
order.Price = data[indexOf["Price"]].Value <ulong>();
order.OrderQty = data[indexOf["OrderQty"]].Value <ulong>();
order.OrderQty = data[indexOf["LeavesQty"]].Value <ulong>();
order.CumQty = data[indexOf["CumQty"]].Value <ulong>();
order.CxlQty = data[indexOf["CxlQty"]].Value <ulong>();
order.Volume = data[indexOf["Volume"]].Value <ulong>();
order.OrderDate = data[indexOf["OrderDate"]].Value <string>();
order.TimeInForce = data[indexOf["TimeInForce"]].Value <char>();
LogStatus(LogStatusType.WARN,
"Adding Order to MiniOMS -> ClOrdID = " + order.ClOrdID.ToString() +
" OrdStatus = " + order.OrdStatus
);
try
{
_miniOMS.AddOrder(order);
}
catch (System.ArgumentException)
{
}
}
// check and request the next page
if (ordersLst.Count >= msg["PageSize"].Value <int>())
{
LogStatus(LogStatusType.INFO, "Requesting Page " + msg["Page"].Value <int>() + 1);
SendRequestForOpenOrders(webSocketConnection, msg["Page"].Value <int>() + 1);
}
else
{
LogStatus(LogStatusType.INFO, "EOT - no more Order List pages to process.");
// notify application that all requestes where replied,
// assuming the ORDER_LIST_REQUEST was the last in the StartInitialRequestsAfterLogon
//_tradingStrategy.OnStart(webSocketConnection);
}
}
}
break;
case SystemEventType.BALANCE_RESPONSE:
if (evt.json != null)
{
//JObject receivedBalances = evt.json[_brokerId.ToString()].Value<JObject>();
foreach (var rb in evt.json[_brokerId.ToString()].Value <JObject>())
{
try
{
this._balances[rb.Key] = rb.Value.Value <ulong>();
}
catch (System.OverflowException)
{
// TODO: find a better solution for this kind of conversion problem
// {"4": {"BRL_locked": -1, "BTC_locked": 0, "BRL": 48460657965, "BTC": 50544897}, "MsgType": "U3", "ClientID": 90826379, "BalanceReqID": 3}
this._balances[rb.Key] = 0;
}
}
// update the strategy when the balance is updated
_tradingStrategy.runStrategy(webSocketConnection, _tradingSymbol);
}
break;
case SystemEventType.TRADE_HISTORY_RESPONSE:
{
JObject msg = evt.json;
LogStatus(LogStatusType.WARN,
"Received " + evt.evtType.ToString() + " : " + "Page=" + msg["Page"].Value <string>()
);
/*
* JArray all_trades = msg["TradeHistoryGrp"].Value<JArray>();
*
* if (all_trades != null && all_trades.Count > 0)
* {
* var columns = msg["Columns"].Value<JArray>();
* Dictionary<string, int> indexOf = new Dictionary<string, int>();
* int index = 0;
* foreach (JToken col in columns)
* {
* indexOf.Add(col.Value<string>(), index++);
* }
*
* foreach (JArray trade in all_trades)
* {
* _vwapForTradingSym.pushTrade(
* new ShortPeriodTickBasedVWAP.Trade(
* trade[indexOf["TradeID"]].Value<ulong>(),
* trade[indexOf["Market"]].Value<string>(),
* trade[indexOf["Price"]].Value<ulong>(),
* trade[indexOf["Size"]].Value<ulong>(),
* trade[indexOf["Created"]].Value<string>()
* )
* );
* }
*
* // check and request the next page
* if (all_trades.Count >= msg["PageSize"].Value<int>())
* {
* LogStatus(LogStatusType.INFO, "TODO: Requesting Page " + msg["Page"].Value<int>() + 1);
* //TODO: create a function to call here and request a new page if requested period in minutes is not satified
* }
* else
* {
* LogStatus(LogStatusType.INFO, "EOT - no more Trade History pages to process.");
* }
*
* LogStatus(LogStatusType.INFO, String.Format("VWAP = {0}", _vwapForTradingSym.calculateVWAP()));
* }
*/
}
//
break;
case SystemEventType.CLOSED:
// notify the application the connection was broken
//_tradingStrategy.OnClose(webSocketConnection);
break;
// Following events are ignored because inheritted behaviour is sufficient for this prototype
case SystemEventType.OPENED:
case SystemEventType.ERROR:
case SystemEventType.LOGIN_ERROR:
case SystemEventType.HEARTBEAT:
break;
default:
LogStatus(LogStatusType.WARN, "Unhandled Broker Notification Event : " + evt.evtType.ToString());
break;
}
}
catch (Exception ex)
{
LogStatus(LogStatusType.ERROR,
" OnBrokerNotification Event Handler Error : " + ex.Message.ToString() + "\n" + ex.StackTrace
);
}
}
private void StartInitialRequestsAfterLogon(IWebSocketClientConnection connection)
{
// 1. cancel all user orders
SendRequestToCancelAllOrders(connection); // not necessary if cancel on disconnect is active
// 2. send the balance request
JObject balance_request = new JObject();
balance_request["MsgType"] = "U2";
balance_request["BalanceReqID"] = connection.NextOutgoingSeqNum();
balance_request["FingerPrint"] = connection.Device.FingerPrint;
balance_request["STUNTIP"] = connection.Device.Stuntip;
connection.SendMessage(balance_request.ToString());
// 3. send market data request
JObject marketdata_request = new JObject();
marketdata_request["MsgType"] = "V";
marketdata_request["MDReqID"] = connection.NextOutgoingSeqNum();
marketdata_request["SubscriptionRequestType"] = "1";
marketdata_request["MarketDepth"] = 0;
marketdata_request["MDUpdateType"] = "1";
marketdata_request["MDEntryTypes"] = new JArray("0", "1", "2"); // bid, offer, trade
marketdata_request["Instruments"] = new JArray(_tradingSymbol);
marketdata_request["FingerPrint"] = connection.Device.FingerPrint;
marketdata_request["STUNTIP"] = connection.Device.Stuntip;
connection.SendMessage(marketdata_request.ToString());
// 4. send security status request
JObject securitystatus_request = new JObject();
securitystatus_request["MsgType"] = "e";
securitystatus_request["SecurityStatusReqID"] = connection.NextOutgoingSeqNum();
securitystatus_request["SubscriptionRequestType"] = "1";
JArray instruments = new JArray();
instruments.Add("BLINK:BTCBRL");
instruments.Add("BLINK:BTCUSD");
instruments.Add("BLINK:BTCVND");
instruments.Add("BLINK:BTCVEF");
instruments.Add("BLINK:BTCPKR");
instruments.Add("BLINK:BTCCLP");
instruments.Add("BITSTAMP:BTCUSD");
instruments.Add("ITBIT:BTCUSD");
instruments.Add("BITFINEX:BTCUSD");
instruments.Add("BTRADE:BTCUSD");
instruments.Add("MBT:BTCBRL");
instruments.Add("KRAKEN:BTCEUR");
instruments.Add("COINFLOOR:BTCGBP");
instruments.Add("UOL:USDBRL");
instruments.Add("UOL:USDBRT");
instruments.Add("OKCOIN:BTCCNY");
securitystatus_request["Instruments"] = instruments;
securitystatus_request["FingerPrint"] = connection.Device.FingerPrint;
securitystatus_request["STUNTIP"] = connection.Device.Stuntip;
connection.SendMessage(securitystatus_request.ToString());
// 5. send the trade history request
JObject trades_request = new JObject();
trades_request["MsgType"] = "U32";
trades_request["TradeHistoryReqID"] = connection.NextOutgoingSeqNum();
//trades_request["Filter"] = new JArray("Symbol eq 'BTCBRL'"); // not working
//trades_request["SymbolList"] = new JArray("BTCBRL"); // not working
trades_request["FingerPrint"] = connection.Device.FingerPrint;
trades_request["STUNTIP"] = connection.Device.Stuntip;
connection.SendMessage(trades_request.ToString());
// 6. send request for all "open" orders
SendRequestForOpenOrders(connection);
}
/*abstract*/ public void runStrategy(IWebSocketClientConnection webSocketConnection, string symbol)
{
// Run the strategy to try to have an order on at least one side of the book according to fixed price range
// but never executing as a taker
if (!_enabled) // strategy cannot run when disabled
{
LogStatus(LogStatusType.WARN, "Strategy is disabled and will not run");
return;
}
// ** temporary workaround to support market pegged sell order strategy without plugins**
if (_priceType == PriceType.PEGGED && _strategySide == OrderSide.SELL)
{
// make the price float according to the MID Price
/*
* // requires the Security List for the trading symbol
* SecurityStatus status = _tradeclient.GetSecurityStatus ("BLINK", symbol);
* if (status == null)
* {
* LogStatus(
* LogStatusType.WARN,
* String.Format(
* "Waiting Security Status BLINK:{0} to run Pegged strategy",
* symbol)
* );
* return;
* }
*/
// check the remaining qty that can still be sold
ulong theSoldAmount = _tradeclient.GetSoldAmount();
if (theSoldAmount < _maxAmountToSell)
{
ulong uAllowedAmountToSell = _maxAmountToSell - theSoldAmount;
_maxTradeSize = _maxTradeSize < uAllowedAmountToSell ? _maxTradeSize : uAllowedAmountToSell;
_maxTradeSize = _maxTradeSize > _minTradeSize ? _maxTradeSize : _minTradeSize;
}
else
{
LogStatus(LogStatusType.WARN, String.Format("[runStrategy] Cannot exceed the allowed max amount to sell : {0} {1}", theSoldAmount, _maxAmountToSell));
_tradeclient.CancelOrderByClOrdID(webSocketConnection, _strategySellOrderClorid);
return;
}
// gather the data to calculate the midprice
OrderBook orderBook = _tradeclient.GetOrderBook(symbol);
// instead of bestAsk let's use the Price reached if one decides to buy 1 BTC
ulong maxPriceToBuy1BTC = orderBook.MaxPriceForAmountWithoutSelfOrders(
OrderBook.OrdSide.SELL,
(ulong)(1 * 1e8), // TODO: make it a parameter
_tradeclient.UserId);
// gather the magic element of the midprice (i.e. price to buy 10 BTC)
ulong maxPriceToBuyXBTC = orderBook.MaxPriceForAmountWithoutSelfOrders(
OrderBook.OrdSide.SELL,
(ulong)(10 * 1e8), // TODO: make it a parameter
_tradeclient.UserId);
// instead of the last price let's use the VWAP (short period tick based i.e last 30 min.)
ulong vwap = _tradeclient.CalculateVWAP();
ulong lastPx = _tradeclient.GetLastPrice();
ulong marketPrice = vwap > lastPx ? vwap : lastPx;
// calculate the mid price
//ulong midprice = (ulong)((status.BestAsk + status.BestBid + status.LastPx + maxPriceToBuyXBTC) / 4);
ulong midprice = (ulong)((orderBook.BestBid.Price + maxPriceToBuy1BTC + maxPriceToBuyXBTC + marketPrice) / 4);
Debug.Assert(_pegOffsetValue > 0);
_sellTargetPrice = midprice + _pegOffsetValue;
// get the dollar price
SecurityStatus usd_official_quote = _tradeclient.GetSecurityStatus("UOL", "USDBRL"); // use USDBRT for the turism quote
if (usd_official_quote == null || usd_official_quote.BestAsk == 0)
{
LogStatus(LogStatusType.WARN, "UOL:USDBRL not available");
}
// get the BTC Price in dollar
SecurityStatus bitfinex_btcusd_quote = _tradeclient.GetSecurityStatus("BITSTAMP", "BTCUSD");
if (bitfinex_btcusd_quote == null || bitfinex_btcusd_quote.BestAsk == 0)
{
LogStatus(LogStatusType.WARN, "BITSTAMP:BTCUSD not available");
}
// calculate the selling floor must be at least the price of the BTC in USD
//ulong floor = (ulong)(1.01 * bitfinex_btcusd_quote.BestAsk * (float)(usd_official_quote.BestAsk / 1e8));
//if (floor == 0) {
ulong floor = (ulong)(8900 * 1e8); // TODO: make it an optional parameter or pegged to the dolar bitcoin
//}
//floor = (ulong)(5400 * 1e8);
// check the selling FLOOR
if (_sellTargetPrice < floor)
{
_sellTargetPrice = floor;
}
}
// run the strategy
if (_maxTradeSize > 0)
{
webSocketConnection.EnableTestRequest = false;
if (_strategySide == OrderSide.BUY || _strategySide == default(char)) // buy or both
{
runBuyStrategy(webSocketConnection, symbol);
}
if (_strategySide == OrderSide.SELL || _strategySide == default(char)) // sell or both
{
runSellStrategy(webSocketConnection, symbol);
}
webSocketConnection.EnableTestRequest = true;
}
}