public void UpdateMinMax()
{
// Update Min Max
DerivativeSymbolQuote maxDi = MaxTick.Di;
DerivativeSymbolQuote minDi = MinTick.Di;
PercChangeFromMax = 100 * ((StockUtils.GetPriceForAnalysis(CurrTick.Di) - StockUtils.GetPriceForAnalysis(maxDi)) / StockUtils.GetPriceForAnalysis(maxDi));
PercChangeFromMin = 100 * ((StockUtils.GetPriceForAnalysis(CurrTick.Di) - StockUtils.GetPriceForAnalysis(minDi)) / StockUtils.GetPriceForAnalysis(minDi));
if (PercChangeFromMax >= 0)
{
// New Max
MaxTick = CurrTick;
}
else if (PercChangeFromMin <= 0)
{
// New Min
MinTick = CurrTick;
}
// Get trend
if (Math.Abs(CurrTick.Di.PercChangeFromPrevious) > 1.5)
{
DominantDirection = CurrTick.Di.PercChangeFromPrevious > 0 ? MarketDirection.UP : MarketDirection.DOWN;
}
}
private static void SyncHistory()
{
Console.WriteLine("Getting Symbols...");
var symbols = StockUtils.GetSymbols();
Console.WriteLine("");
Console.WriteLine("Found {0} symbols", symbols.Count());
List <Historic> historics = null;
foreach (var symbol in symbols)
{
IHistoryService _historyService = new HistoryService();
//Delete stale data (more than a year old)
Console.WriteLine("{0} -- Deleting stale data...", symbol);
_historyService.DeleteStaleHistory(symbol);
var dbHistories = _historyService.GetHistories(symbol);
// If there's no history for the symbol on the new list, add a year of history
if (dbHistories.Count() == 0)
{
Console.WriteLine("{0} -- No history found. Getting a years worth...", symbol);
historics = GetHistory(symbol, DateTime.Now.AddYears(-1), DateTime.Now);
if (historics != null && historics.Count < 210)
{
Console.WriteLine("{0} -- Not enough historic records found on yahoo ({1}). [SKIPPED]...", symbol, historics.Count);
continue;
}
}
else
{
//if (dbHistories.OrderByDescending(t => t.Date).First().Date == DateTime.Now.Date)
//{
// continue;
//}
// Add history beginning from it's latest record
//var latestHistoryDate = dbHistories.OrderByDescending(t => t.Date).First().Date;
//Going a month back (re-calibrating)
var latestHistoryDate = dbHistories.OrderByDescending(t => t.Date).First().Date.AddMonths(-1);
Console.WriteLine("{0} -- DB History found ({1}). Getting Yahoo history starting at {2}...", symbol, dbHistories.Count(), latestHistoryDate.AddDays(1).ToString());
historics = GetHistory(symbol, latestHistoryDate.AddDays(1), DateTime.Now);
}
// If we were able to pull records from yahoo, add/update database
if (historics != null)
{
Console.WriteLine("{0} -- Yahoo History found. Adding {1} records...", symbol, historics.Count());
_historyService.AddOrUpdateHistorics(historics);
}
_historyService.Dispose();
Console.WriteLine("~~~ Sleeping ~~~");
Thread.Sleep(2000);
}
}
public override void AddTick(SymbolTick si)
{
if (!AlgoUpdateTick(si))
{
PostProcAddTick();
return;
}
// Get call-put tick for mock, for live implement later
if (AlgoParams.IsReplayMode)
{
bool isBuy = S.TotalBuyTrades < S.TotalSellTrades;
if (S.TotalBuyTrades != S.TotalSellTrades)
{
var ordCall = GetPairedSquareOffOrder(isBuy ? Position.BUY : Position.SELL, DerivativePositionType.Call, false);
if (ordCall != null)
{
var strkPrc = (int)ordCall.OrderTick.Di.StrikePriceDouble;
// get tick from tick store
S.TickCall = StockUtils.GetNearestOptionTick(S.Ticks.CurrTick, S.TicksCall, ref strkPrc, S.TickCall);
}
else
{
S.TickCall = null;
}
var ordPut = GetPairedSquareOffOrder(isBuy ? Position.BUY : Position.SELL, DerivativePositionType.Put, false);
if (ordPut != null)
{
var strkPrc = (int)ordPut.OrderTick.Di.StrikePriceDouble;
// get tick from tick store
S.TickPut = StockUtils.GetNearestOptionTick(S.Ticks.CurrTick, S.TicksPut, ref strkPrc, S.TickPut);
}
else
{
S.TickPut = null;
}
}
}
// Remotely called squareoff
if (S.IsSquareoffAtProfit)
{
if (S.TotalBuyTrades != S.TotalSellTrades)
{
var profitPerc = GetSquareOffProfitPerc();
if (profitPerc > 0.05)
{
var orderPlaceCode = TryImmediateSquareOff(false, false, true);
if (orderPlaceCode == OrderPlaceAlgoCode.SUCCESS || orderPlaceCode != OrderPlaceAlgoCode.RETRY)
{
S.IsSquareoffAtProfit = false;
if (S.IsPauseAfterSquareOffAtProfit)
{
Pause(false);
S.IsPauseAfterSquareOffAtProfit = false;
}
}
}
}
}
if (AlgoParams.AlgoId >= 150)
{
Scalper20(1, 0.5);
}
else if (AlgoParams.AlgoId < 20)
{
Scalper10();
}
else if (AlgoParams.AlgoId < 30)
{
Scalper10(true, true);
}
else if (AlgoParams.AlgoId < 40)
{
Scalper20(1, 0.5);
}
else if (AlgoParams.AlgoId < 50)
{
Scalper20(0.5, 0.5);
}
else if (AlgoParams.AlgoId < 100)
{
Scalper20(0.5, 0.5, false, true);
}
else if (AlgoParams.AlgoId > 115 && AlgoParams.AlgoId < 120)
{
Scalper116();
}
else
{
Scalper20(0.5, 0.4, true);
}
PostProcAddTick();
}
// Beyond 0.6 and less than 0.3 does not work good, at least surely in nifty
// Stoploss 1 is most optimized
// Min profit 0.5, 0.75 and 1 are optimized. Not needed to dabble with them
public static TradingAlgo GetAlgo(short algoId, AlgoParams algoParams, bool onlyCheckAlgoExist)//bool doLimitLoss = false)
{
TradingAlgo algo = null;
bool isAlgoFound = true;
//algoParams.AllowInitialTickStabilization = true;
switch (algoId)
{
// -------------------- New Experiments Scalper 150 Algos-------------------------------- //
case 150:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
break;
case 151:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 1;
break;
case 152:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.75;
break;
case 153:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.3;
break;
// --------------------Scalper Algos: Immediate squareoff on min profit. No peak or minmax reset-------------------------------- //
case 13:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
algoParams.IsFixedTradesPerDay = true;
algoParams.NumTradesStopForDay = 2;
break;
case 14:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 1;
algoParams.IsFixedTradesPerDay = true;
algoParams.NumTradesStopForDay = 2;
break;
case 15:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.75;
algoParams.IsFixedTradesPerDay = true;
algoParams.NumTradesStopForDay = 2;
break;
case 17:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
break;
case 18:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 1;
break;
case 19:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.75;
break;
// --------------------Scalper Algos: Immediate squareoff on min profit. Reset peaktype and minmax-------------------------------- //
case 20:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
break;
case 21:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 1;
break;
case 22:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.75;
break;
case 23:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.35;
break;
// ----------------------Min Profit must. threshold moves (perc-minprofit) ---------------------------------- //
case 30:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
break;
case 31:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 1;
break;
case 32:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.75;
break;
// ---------------------Min profit + half of over that is must. threshold moves (perc-minprofit)/2------------------------------------------- //
case 40:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
break;
case 41:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 1;
break;
case 42:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.75;
break;
// -------------------------Same like 40s with reset min-max--------------------------- //
case 50:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
break;
case 51:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.75;
break;
case 52:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 1;
break;
case 53:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.35;
break;
case 60:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
algoParams.IsFixedTradesPerDay = true;
algoParams.NumTradesStopForDay = 1;
break;
case 61:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
algoParams.IsFixedTradesPerDay = true;
algoParams.NumTradesStopForDay = 2;
break;
case 62:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
algoParams.IsFixedTradesPerDay = true;
algoParams.NumTradesStopForDay = 3;
break;
// ------------------ Stop loss threshold moves with profit : lenient------------------------- //
case 100:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
break;
case 101:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 1;
break;
case 102:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.75;
break;
case 113:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
algoParams.IsFixedTradesPerDay = true;
algoParams.NumTradesStopForDay = 2;
break;
case 114:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 1;
algoParams.IsFixedTradesPerDay = true;
algoParams.NumTradesStopForDay = 2;
break;
case 115:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.75;
algoParams.IsFixedTradesPerDay = true;
algoParams.NumTradesStopForDay = 2;
break;
// ------------------ Stop loss threshold moves with profit :Straight profit/3 lenient------------------------- //
case 116:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.5;
break;
case 117:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 1;
break;
case 118:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.75;
break;
case 119:
algoParams.PercSquareOffThreshold = 1;
algoParams.PercMinProfit = 0.35;
algoParams.IsFixedTradesPerDay = true;
algoParams.NumTradesStopForDay = 2;
break;
default:
isAlgoFound = false;
break;
}
// Temporary test
//if (algoParams.IsReplayMode)
//{
// //algoParams.PercSquareOffThreshold = 1;
// //algoParams.AllowInitialTickStabilization = true;
// //algoParams.IsFixedTradesPerDay = true;
// algoParams.IsLimitLossPerDay = true;
// algoParams.NumTradesStopForDay = 2;
// algoParams.PercSquareOffThreshold = 1.25;
//}
if (!isAlgoFound)
{
return(null);
}
else if (onlyCheckAlgoExist)
{
algoParams.I = new Instrument("dummy", InstrumentType.FutureIndex, 100);
if (algoParams.IsHedgeAlgo)
{
algo = new AlgoHedge(algoParams);
}
else
{
algo = new AlgoScalper(algoParams);
}
return(algo);
}
algoParams.IsLimitLossPerDay = true;
algoParams.PercLossStopForDay = 2.5;
algoParams.NumNettLossTradesStopForDay = 5;
if (algoId >= 10)
{
algoParams.IsMinProfitMust = true;
}
if (StockUtils.IsInstrumentOptionType(algoParams.I.InstrumentType))
{
algoParams.PercMinProfit += 5;
if (algoParams.PercMarketDirectionChange == 7.05)
{
algoParams.PercSquareOffThreshold += 5;
}
else if (algoParams.PercMarketDirectionChange == 7.15)
{
//algoParams.PercMarketDirectionChange += 3.6;
algoParams.PercSquareOffThreshold += 15;
}
else
{
algoParams.PercSquareOffThreshold += 10;
}
algoParams.PercBrokerage = 12000 / (algoParams.I.StrikePrice * algoParams.I.Qty);
//algoParams.SquareOffBrokerageFactor = 1.3;
}
//if (algoId < 10)
// algo = new AlgoMinMax(algoParams);
//else
if (algoParams.IsHedgeAlgo)
{
algo = new AlgoHedge(algoParams);
}
else
{
algo = new AlgoScalper(algoParams);
}
return(algo);
}
