protected sealed override void QuotingProcess()
{
try
{
if (!OrderSynchronizer.IsAnyOrdersInWork &&
PositionSynchronizer.IsPosAndTradesEven)
{
Quote bestQuote = MarketDepth.GetSuitableBestLimitQuote(QuotingSide);
if (bestQuote == null)
{
return;
}
decimal price = Security.ShrinkPrice(bestQuote.Price + QuotePriceShift);
decimal volume = Math.Abs(Volume) - Math.Abs(Position);
if (volume <= 0 || price <= 0)
{
return;
}
if (IsLimitPriceAcceptableForQuoting(price))
{
var order = this.CreateOrder(QuotingSide, price, volume);
order.WhenRegistered(Connector)
.Do(() => ProcessNicePriceOrder(order))
.Once()
.Apply(this);
OrderSynchronizer.PlaceOrder(order);
}
else if (IsLimitOrdersAlwaysRepresent && StopQuotingPrice > 0)
{
var order = this.CreateOrder(QuotingSide, StopQuotingPrice, volume);
order.WhenRegistered(Connector)
.Do(() => ProcessBadPriceOrder(order))
.Once()
.Apply(this);
OrderSynchronizer.PlaceOrder(order);
}
}
}
catch (Exception ex)
{
this.AddErrorLog(ex);
PrimaryStopping();
}
}
private void ProcessBadPriceOrder(Order order)
{
Security.WhenMarketDepthChanged(Connector)
.Do(md =>
{
if (OrderSynchronizer.IsAnyOrdersInWork &&
IsBestQuoteMyQuote(order, MarketDepth.GetSuitableBestLimitQuote(QuotingSide)) &&
IsTradingTime())
{
try
{
OrderSynchronizer.CancelCurrentOrder();
}
catch (InvalidOperationException ex)
{
IncrMaxErrorCountIfNotScared();
this.AddWarningLog("MaxErrorCount was incremented");
this.AddErrorLog(ex);
}
}
})
.Until(() => !OrderSynchronizer.IsAnyOrdersInWork || IsStrategyStopping())
.Apply(this);
}
private void AssignEnterRulesAndStart()
{
if (_enterStrategy == null)
{
throw new NullReferenceException("strategy, when was trying to assign enter rules");
}
Security.WhenMarketDepthChanged(Connector)
.Do(md =>
{
if (_lastQuoterPrice == 0)
{
return;
}
if (md.BestBid == null || md.BestAsk == null)
{
return;
}
var bestQuote = md.GetSuitableBestLimitQuote(_enterStrategy.QuotingSide);
if (_enterStrategy.QuotePriceShift != 0)
{
if (_lastQuoterPrice != bestQuote.Price ||
md.BestPair.SpreadPrice != null && md.BestPair.SpreadPrice.Value <= _spread)
{
_lastQuoterPrice = 0;
_enterStrategy.SafeStop();
}
}
if (_enterStrategy.QuotePriceShift == 0 && CheckIfSpreadChangedOrItsParts(md.BestPair))
{
_enterStrategy.SafeStop();
}
})
.Until(() => !_isEnterActivated)
.Apply(this);
_enterStrategy.WhenOrderRegistered()
.Do(o =>
{
_lastQuoterPrice = o.Price;
})
.Until(() => !_isEnterActivated)
.Apply(this);
_enterStrategy.WhenNewMyTrade()
.Do(mt =>
{
var sign = 1;
if (_enterStrategy.QuotingSide == Sides.Sell)
{
sign = -1;
}
PositionAndMoneySyncIncrementation(mt.Trade.Volume * sign, mt.Trade.Volume * mt.Trade.Price * sign * -1);
_leaveStrategy.SafeStop();
})
.Until(() => !_isEnterActivated)
.Apply(this);
_enterStrategy.PrimaryStrategyStopped += () =>
{
ChildStrategies.Remove(_enterStrategy);
_isEnterActivated = false;
};
MarkStrategyLikeChild(_enterStrategy);
ChildStrategies.Add(_enterStrategy);
}