private void PeriodicCall(object source, ElapsedEventArgs e)
{
ButterfliesStopSheet = CalculateStrategyPnls(StrategyTableInput: ButterfliesStopSheet);
DataRow[] Ready2CloseRows = ButterfliesStopSheet.Select("PnlMid>0");
if (Ready2CloseRows.Count() == 0)
{
if (DateTime.UtcNow > LogTime1.AddMinutes(5))
{
ButterflyLogger.Log("No trades to close");
LogTime1 = DateTime.UtcNow;
}
}
for (int i = 0; i < Ready2CloseRows.Count(); i++)
{
string Alias = Ready2CloseRows[i].Field <string>("Alias");
if (Ready2CloseRows[i].Field <int>("ButterflyQuantity") + Ready2CloseRows[i].Field <int>("WorkingButterflyOrders") != 0)
{
Ready2CloseRows[i]["WorkingButterflyOrders"] = -Ready2CloseRows[i].Field <int>("ButterflyQuantity");
ButterflyLogger.Log(Ready2CloseRows[i].Field <string>("Alias") + " will be closed");
ButterflyLogger.Log("Intraday pnl: " + Ready2CloseRows[i].Field <double>("PnlMid"));
ButterflyLogger.Log("Number of Butterflies: " + Ready2CloseRows[i].Field <int>("ButterflyQuantity"));
ButterflyLogger.Log("Number of Extra Spreads: " + Ready2CloseRows[i].Field <int>("SpreadQuantity"));
Console.Write("Do you agree? (Y/N): ");
string Decision = Console.ReadLine();
Decision = Decision.ToUpper();
if (Decision == "Y")
{
string AutoSpreaderName = Alias2AutoSpreaderDictionary[Alias];
ttapiUtils.AutoSpreader AutoSpreader = AutoSpreaderDictionary[AutoSpreaderName];
string OrderTag = TagDictionary[AutoSpreaderName];
string emre = "merve";
ttapiUtils.Trade.SendAutospreaderOrder(instrument: AutoSpreader.AutoSpreaderInstrument, instrumentDetails: AutoSpreader.AutoSpreaderInstrument.InstrumentDetails,
autoSpreader: AutoSpreader, qty: Ready2CloseRows[i].Field <int>("WorkingButterflyOrders"),
price: (decimal)Ready2CloseRows[i].Field <double>("ButterflyMidPrice"), orderTag: OrderTag, logger: ButterflyLogger);
}
else if (Decision == "N")
{
ButterflyLogger.Log("You have chosen to keep " + Ready2CloseRows[i].Field <string>("Alias"));
}
}
}
}
public static string SendAutospreaderOrder(ttapiUtils.AutoSpreader autoSpreader,
int qty, decimal price, string orderTag, Logger logger, int reloadQuantity = 0)
{
Instrument instrument = autoSpreader.AutoSpreaderInstrument;
InstrumentDetails instrumentDetails = instrument.InstrumentDetails;
AutospreaderSyntheticOrderProfile op = new AutospreaderSyntheticOrderProfile(((AutospreaderInstrument)instrument).GetValidGateways()[autoSpreader.GateWay],
(AutospreaderInstrument)instrument);
BuySell Direction = BuySell.Buy;
Rounding Rounding = Rounding.Down;
if (qty < 0)
{
Direction = BuySell.Sell;
qty = -qty;
Rounding = Rounding.Up;
}
string OrderKey = op.SiteOrderKey;
if (reloadQuantity != 0)
{
op.SlicerType = SlicerType.Reload;
op.DisclosedQuantity = Quantity.FromInt(instrument, reloadQuantity);
}
op.BuySell = Direction;
op.OrderQuantity = Quantity.FromInt(instrument, qty);
op.OrderType = OrderType.Limit;
op.OrderTag = orderTag;
op.LimitPrice = Price.FromDouble(instrumentDetails, Convert.ToDouble(price), Rounding);
if (!autoSpreader.ts.SendOrder(op))
{
logger.Log("Send new order failed: " + op.RoutingStatus.Message);
}
else
{
logger.Log("Send new order succeeded.");
}
return(OrderKey);
}
public static bool CancelAutospreaderOrder(string orderKey, ttapiUtils.AutoSpreader autoSpreader, Logger logger)
{
ASInstrumentTradeSubscription Ts = autoSpreader.ts;
bool Status = false;
if (Ts.Orders.ContainsKey(orderKey))
{
AutospreaderSyntheticOrderProfile Op = Ts.Orders[orderKey].GetOrderProfile() as AutospreaderSyntheticOrderProfile;
Op.Action = OrderAction.Delete;
if (!Ts.SendOrder(Op))
{
logger.Log("Cancal order failed. {0}" + Op.RoutingStatus.Message);
}
else
{
logger.Log("Cancel order succeeded.");
Status = true;
}
}
return(Status);
}
public static bool ChangeAutospreaderOrder(string orderKey, decimal price, ttapiUtils.AutoSpreader autoSpreader,
TradingTechnologies.TTAPI.Instrument instrument, Logger logger)
{
ASInstrumentTradeSubscription Ts = autoSpreader.ts;
bool Status = false;
if (Ts.Orders.ContainsKey(orderKey))
{
AutospreaderSyntheticOrderProfile Op = Ts.Orders[orderKey].GetOrderProfile() as AutospreaderSyntheticOrderProfile;
Rounding Rounding = Rounding.Down;
if (Op.BuySell == BuySell.Sell)
{
Rounding = Rounding.Up;
}
Price LimitPrice = Price.FromDouble(instrument.InstrumentDetails, Convert.ToDouble(price), Rounding);
if (Op.LimitPrice != LimitPrice)
{
Op.LimitPrice = LimitPrice;
Op.Action = OrderAction.Change;
if (!Ts.SendOrder(Op))
{
logger.Log("Send change order failed. {0}" + Op.RoutingStatus.Message);
}
else
{
logger.Log("Send change order succeeded.");
Status = true;
}
}
}
return(Status);
}
public FuturesButterflyTTAPI(string u, string p)
{
m_username = u;
m_password = p;
mysql connection = new mysql();
conn = connection.conn;
string OutputFolder = TA.DirectoryNames.GetDirectoryName("daily");
StreamWriter LogFile = new StreamWriter(OutputFolder + "/FuturesButterfly.txt", true);
ButterflyLogger = new Logger(LogFile);
AutoSpreaderList = new List <ttapiUtils.AutoSpreader>();
AutoSpreaderDictionary = new Dictionary <string, ttapiUtils.AutoSpreader>();
Alias2AutoSpreaderDictionary = new Dictionary <string, string>();
TagDictionary = new Dictionary <string, string>();
LogTime1 = DateTime.MinValue;
PriceTableSymbolsReceived = new List <string>();
StrategyPositionDictionary = new Dictionary <string, DataTable>();
TTAPISubs = new ttapiUtils.Subscription(m_username, m_password);
SpreadList = new List <string>();
DateTime ReportDate = CalendarUtilities.BusinessDays.GetBusinessDayShifted(shiftInDays: -1);
DateTime TodayDate = DateTime.Now.Date;
ButterflyLogger.SW.WriteLine();
ButterflyLogger.Log("NOTES FOR " + TodayDate.ToString("MM/dd/yyyy"));
ButterflyLogger.Log(new String('-', 20));
string DirectoryName = TA.DirectoryNames.GetDirectoryName(ext: "ta");
string ButterflyOutputDirectoryName = TA.DirectoryNames.GetDirectoryName(ext: "futuresButterflyOutput");
string DirectoryExtension = TA.DirectoryNames.GetDirectoryExtension(directoryDate: ReportDate);
DataSet FollowupOutput = IOUtilities.ExcelDataReader.LoadFile(DirectoryName + "/" + DirectoryExtension + "/followup.xlsx");
DataTable ButterfliesFollowupSheet = FollowupOutput.Tables["butterflies"];
DataSet ButterfliesOutput = IOUtilities.ExcelDataReader.LoadFile(ButterflyOutputDirectoryName + "/" + DirectoryExtension + "/butterflies.xlsx");
DataTable ButterfliesSheet = ButterfliesOutput.Tables["good"];
PeriodicTimer = new System.Timers.Timer();
PeriodicTimer.Elapsed += new ElapsedEventHandler(PeriodicCall);
PeriodicTimer.Interval = 30000;
// And start it
PeriodicTimer.Enabled = true;
DataColumn SizeColumn = new DataColumn("Size", typeof(double));
SizeColumn.DefaultValue = 0;
ButterfliesSheet.Columns.Add(SizeColumn);
ButterfliesSheet.Columns.Add("Theme", typeof(string));
DataColumn ExistingThemePositionColumn = new DataColumn("ExistingThemePosition", typeof(double));
ExistingThemePositionColumn.DefaultValue = 0;
ButterfliesSheet.Columns.Add(ExistingThemePositionColumn);
ButterfliesSheet.Columns.Add("SlackFromTheme", typeof(double));
for (int i = 0; i < ButterfliesFollowupSheet.Rows.Count; i++)
{
StrategyUtilities.PositionManagerOutput PositionManagerOut = PositionManager.GetFuturesButterflyPosition(alias: ButterfliesFollowupSheet.Rows[i].Field <string>("Alias"),
asOfDate: TodayDate, conn: conn);
if (PositionManagerOut.CorrectPositionQ)
{
StrategyPositionDictionary.Add(ButterfliesFollowupSheet.Rows[i].Field <string>("Alias"), PositionManagerOut.SortedPosition);
}
}
DataTable ButterfliesFollowupSheetAdjusted = RiskManager.CalculateAdjustedDownside(dataTableInput: ButterfliesFollowupSheet, newTradesTable: ButterfliesSheet,
strategyPositionDictionary: StrategyPositionDictionary);
DataTable RiskAcrossTickerhead = RiskManager.AggregateRiskAcrossTickerHead(dataTableInput: ButterfliesFollowupSheetAdjusted);
Dictionary <string, double> RiskAcrossTheme = RiskManager.GetRiskAcrossTheme(dataTableInput: ButterfliesFollowupSheetAdjusted,
strategyPositionDictionary: StrategyPositionDictionary);
ButterfliesSheetFiltered = Filtering.GetFilteredNewTrades(butterfliesSheet: ButterfliesSheet, riskAcrossTickerhead: RiskAcrossTickerhead, riskAcrossTheme: RiskAcrossTheme);
DataColumn ButterflyQuantityColumn = new DataColumn("ButterflyQuantity", typeof(int));
ButterflyQuantityColumn.DefaultValue = 0;
ButterfliesSheetFiltered.Columns.Add(ButterflyQuantityColumn);
DataColumn Spread1QuantityColumn = new DataColumn("Spread1Quantity", typeof(int));
Spread1QuantityColumn.DefaultValue = 0;
ButterfliesSheetFiltered.Columns.Add(Spread1QuantityColumn);
DataColumn Spread2QuantityColumn = new DataColumn("Spread2Quantity", typeof(int));
Spread2QuantityColumn.DefaultValue = 0;
ButterfliesSheetFiltered.Columns.Add(Spread2QuantityColumn);
ButterfliesSheetFiltered.Columns.Add("Alias", typeof(string));
PriceTable = new DataTable();
PriceTable.Columns.Add("Ticker", typeof(string));
PriceTable.Columns.Add("TickerHead", typeof(string));
PriceTable.Columns.Add("IsAutoSpreaderQ", typeof(bool));
DataColumn BidPriceColumn = new DataColumn("BidPrice", typeof(double));
BidPriceColumn.DefaultValue = Double.NaN;
PriceTable.Columns.Add(BidPriceColumn);
DataColumn AskPriceColumn = new DataColumn("AskPrice", typeof(double));
AskPriceColumn.DefaultValue = Double.NaN;
PriceTable.Columns.Add(AskPriceColumn);
PriceTable.Columns.Add("BidQ", typeof(int));
PriceTable.Columns.Add("AskQ", typeof(int));
DataColumn ValidPriceColumn = new DataColumn("ValidPriceQ", typeof(bool));
ValidPriceColumn.DefaultValue = false;
PriceTable.Columns.Add(ValidPriceColumn);
for (int i = 0; i < ButterfliesSheetFiltered.Rows.Count; i++)
{
DataRow SelectedRow = ButterfliesSheetFiltered.Rows[i];
string Alias = "";
string Ticker1 = SelectedRow.Field <string>("ticker1");
string Ticker2 = SelectedRow.Field <string>("ticker2");
string Ticker3 = SelectedRow.Field <string>("ticker3");
if (SelectedRow.Field <double>("z1") < 0)
{
double FirstSpreadQuantity = Math.Round(SelectedRow.Field <double>("Size") / Math.Abs(SelectedRow.Field <double>("Downside")));
double SecondSpreadQuantity = Math.Round(FirstSpreadQuantity * SelectedRow.Field <double>("second_spread_weight_1"));
if (FirstSpreadQuantity < SecondSpreadQuantity)
{
SelectedRow["ButterflyQuantity"] = (int)FirstSpreadQuantity;
SelectedRow["Spread2Quantity"] = -(int)(SecondSpreadQuantity - FirstSpreadQuantity);
}
else if (FirstSpreadQuantity > SecondSpreadQuantity)
{
SelectedRow["ButterflyQuantity"] = (int)SecondSpreadQuantity;
SelectedRow["Spread1Quantity"] = (int)(FirstSpreadQuantity - SecondSpreadQuantity);
}
else
{
ButterfliesSheetFiltered.Rows[i]["ButterflyQuantity"] = (int)FirstSpreadQuantity;
}
Alias = SelectedRow.Field <string>("tickerHead") + Ticker1.Substring(Ticker1.Count() - 5, 5) + Ticker2.Substring(Ticker2.Count() - 5, 5) +
Ticker2.Substring(Ticker2.Count() - 5, 5) + Ticker3.Substring(Ticker3.Count() - 5, 5);
}
else if (ButterfliesSheetFiltered.Rows[i].Field <double>("z1") > 0)
{
double FirstSpreadQuantity = Math.Round(ButterfliesSheetFiltered.Rows[i].Field <double>("Size") / Math.Abs(ButterfliesSheetFiltered.Rows[i].Field <double>("Upside")));
double SecondSpreadQuantity = Math.Round(FirstSpreadQuantity * ButterfliesSheetFiltered.Rows[i].Field <double>("second_spread_weight_1"));
if (FirstSpreadQuantity < SecondSpreadQuantity)
{
SelectedRow["ButterflyQuantity"] = -(int)FirstSpreadQuantity;
SelectedRow["Spread2Quantity"] = (int)(SecondSpreadQuantity - FirstSpreadQuantity);
}
else if (FirstSpreadQuantity > SecondSpreadQuantity)
{
SelectedRow["ButterflyQuantity"] = -(int)SecondSpreadQuantity;
SelectedRow["Spread1Quantity"] = -(int)(FirstSpreadQuantity - SecondSpreadQuantity);
}
else
{
SelectedRow["ButterflyQuantity"] = (int)FirstSpreadQuantity;
}
Alias = SelectedRow.Field <string>("tickerHead") + Ticker2.Substring(Ticker2.Count() - 5, 5) + Ticker3.Substring(Ticker3.Count() - 5, 5) +
Ticker1.Substring(Ticker1.Count() - 5, 5) + Ticker2.Substring(Ticker2.Count() - 5, 5);
}
SelectedRow["Alias"] = Alias;
List <string> TickerList = new List <string> {
Ticker1 + "-" + Ticker2,
Ticker2 + "-" + Ticker3
};
ttapiUtils.AutoSpreader As = new ttapiUtils.AutoSpreader(dbTickerList: TickerList, payUpTicks: 2);
SpreadList.AddRange(TickerList);
AutoSpreaderList.Add(As);
AutoSpreaderDictionary.Add(As.AutoSpreaderName, As);
Alias2AutoSpreaderDictionary.Add(Alias, As.AutoSpreaderName);
TagDictionary.Add(As.AutoSpreaderName, "fut_but_fol_" + i);
DataRow PriceRow = PriceTable.NewRow();
PriceRow["Ticker"] = As.AutoSpreaderName;
PriceRow["TickerHead"] = SelectedRow.Field <string>("tickerHead");
PriceRow["IsAutoSpreaderQ"] = true;
PriceTable.Rows.Add(PriceRow);
}
HistoricPriceTable = GetPrice.GetFuturesPrice.getFuturesPrice4Ticker(tickerHeadList: ContractUtilities.ContractMetaInfo.FuturesButterflyTickerheadList,
dateTimeFrom: ReportDate, dateTimeTo: ReportDate, conn: conn);
DataRow [] StopList = ButterfliesFollowupSheet.Select("Recommendation='STOP'");
if (StopList.Length > 0)
{
ButterfliesStopSheet = StopList.CopyToDataTable();
ButterfliesStopSheet.Columns.Add("PnlMid", typeof(double));
ButterfliesStopSheet.Columns.Add("PnlWorst", typeof(double));
ButterfliesStopSheet.Columns.Add("ButterflyMidPrice", typeof(double));
ButterfliesStopSheet.Columns.Add("ButterflyWorstPrice", typeof(double));
ButterfliesStopSheet.Columns.Add("ButterflyQuantity", typeof(int));
ButterfliesStopSheet.Columns.Add("SpreadMidPrice", typeof(double));
ButterfliesStopSheet.Columns.Add("SpreadWorstPrice", typeof(double));
ButterfliesStopSheet.Columns.Add("SpreadQuantity", typeof(int));
DataColumn WorkingButterflyOrdersColumn = new DataColumn("WorkingButterflyOrders", typeof(int));
WorkingButterflyOrdersColumn.DefaultValue = 0;
ButterfliesStopSheet.Columns.Add(WorkingButterflyOrdersColumn);
DataColumn WorkingSpreadOrdersColumn = new DataColumn("WorkingSpreadOrders", typeof(int));
WorkingSpreadOrdersColumn.DefaultValue = 0;
ButterfliesStopSheet.Columns.Add(WorkingSpreadOrdersColumn);
for (int i = 0; i < StopList.Length; i++)
{
string Alias = StopList[i].Field <string>("Alias");
StrategyUtilities.PositionManagerOutput PositionManagerOut = PositionManager.GetFuturesButterflyPosition(alias: Alias, asOfDate: TodayDate, conn: conn);
DataTable StrategyPosition = PositionManagerOut.SortedPosition;
StrategyPosition.Columns.Add("ClosePrice", typeof(double));
for (int j = 0; j < StrategyPosition.Rows.Count; j++)
{
DataRow SelectedHistRow = HistoricPriceTable.Select("ticker='" + StrategyPosition.Rows[j].Field <string>("Ticker") + "'")[0];
StrategyPosition.Rows[j]["ClosePrice"] = SelectedHistRow.Field <decimal>("close_price");
}
List <string> TickerList = new List <string> {
StrategyPosition.Rows[0].Field <string>("Ticker") + "-" + StrategyPosition.Rows[1].Field <string>("Ticker"),
StrategyPosition.Rows[1].Field <string>("Ticker") + "-" + StrategyPosition.Rows[2].Field <string>("Ticker")
};
StrategyPositionDictionary[Alias] = StrategyPosition;
SpreadList.AddRange(TickerList);
if (PositionManagerOut.CorrectPositionQ)
{
ttapiUtils.AutoSpreader As = new ttapiUtils.AutoSpreader(dbTickerList: TickerList, payUpTicks: 2);
AutoSpreaderList.Add(As);
AutoSpreaderDictionary.Add(As.AutoSpreaderName, As);
Alias2AutoSpreaderDictionary.Add(Alias, As.AutoSpreaderName);
TagDictionary.Add(As.AutoSpreaderName, "fut_but_fol_" + (i + ButterfliesSheetFiltered.Rows.Count));
DataRow PriceRow = PriceTable.NewRow();
PriceRow["Ticker"] = As.AutoSpreaderName;
PriceRow["TickerHead"] = StrategyPosition.Rows[0].Field <string>("TickerHead");
PriceRow["IsAutoSpreaderQ"] = true;
PriceTable.Rows.Add(PriceRow);
}
else
{
ButterflyLogger.Log("Check " + Alias + " ! Position may be incorrect.");
}
}
SpreadList = SpreadList.Distinct().ToList();
SpreadTable = new DataTable();
SpreadTable.Columns.Add("Ticker", typeof(string));
SpreadTable.Columns.Add("IsSpreadQ", typeof(bool));
for (int i = 0; i < SpreadList.Count; i++)
{
DataRow SpreadRow = SpreadTable.NewRow();
SpreadRow["Ticker"] = SpreadList[i];
SpreadRow["IsSpreadQ"] = true;
SpreadTable.Rows.Add(SpreadRow);
DataRow PriceRow = PriceTable.NewRow();
PriceRow["Ticker"] = SpreadList[i];
string[] SpreadAsArray = SpreadList[i].Split(new char[] { '-' });
PriceRow["TickerHead"] = ContractUtilities.ContractMetaInfo.GetContractSpecs(SpreadAsArray[0]).tickerHead;
PriceRow["IsAutoSpreaderQ"] = false;
PriceTable.Rows.Add(PriceRow);
}
}
PriceTableSymbols = DataAnalysis.DataTableFunctions.GetColumnAsList <string>(dataTableInput: PriceTable, columnName: "Ticker");
TTAPISubs.TickerTable = SpreadTable;
TTAPISubs.AutoSpreaderList = AutoSpreaderList;
TTAPISubs.AsuUpdateList = new List <EventHandler <AuthenticationStatusUpdateEventArgs> > {
TTAPISubs.StartASESubscriptions, TTAPISubs.startInstrumentLookupSubscriptionsFromDataTable
};
//TTAPISubs.AsuUpdateList = new List<EventHandler<AuthenticationStatusUpdateEventArgs>> {TTAPISubs.startInstrumentLookupSubscriptionsFromDataTable };
TTAPISubs.ilsUpdateList = new List <EventHandler <InstrumentLookupSubscriptionEventArgs> > {
TTAPISubs.startPriceSubscriptions, TTAPISubs.startTradeSubscriptions
};
//TTAPISubs.ilsUpdateList = new List<EventHandler<InstrumentLookupSubscriptionEventArgs>> { TTAPISubs.startPriceSubscriptions};
TTAPISubs.priceUpdatedEventHandler = m_ps_FieldsUpdated;
TTAPISubs.orderFilledEventHandler = m_ts_OrderFilled;
}
public FuturesButterflyTTAPI(string u, string p)
{
m_username = u;
m_password = p;
mysql connection = new mysql();
conn = connection.conn;
string OutputFolder = TA.DirectoryNames.GetDirectoryName("daily");
StreamWriter LogFile = new StreamWriter(OutputFolder + "/FuturesButterfly.txt", true);
ButterflyLogger = new Logger(LogFile);
AutoSpreaderList = new List<ttapiUtils.AutoSpreader>();
AutoSpreaderDictionary = new Dictionary<string, ttapiUtils.AutoSpreader>();
AliasDictionary = new Dictionary<string, string>();
TagDictionary = new Dictionary<string, string>();
PriceTableSymbolsReceived = new List<string>();
StrategyPositionDictionary = new Dictionary<string, DataTable>();
TTAPISubs = new ttapiUtils.Subscription(m_username, m_password);
SpreadList = new List<string>();
DateTime ReportDate = CalendarUtilities.BusinessDays.GetBusinessDayShifted(shiftInDays: -1);
DateTime TodayDate = DateTime.Now.Date;
ButterflyLogger.SW.WriteLine();
ButterflyLogger.Log("NOTES FOR " + TodayDate.ToString("MM/dd/yyyy"));
ButterflyLogger.Log(new String('-', 20));
string DirectoryName = TA.DirectoryNames.GetDirectoryName(ext: "ta");
string DirectoryExtension = TA.DirectoryNames.GetDirectoryExtension(directoryDate: ReportDate);
DataSet FollowupOutput = IOUtilities.ExcelDataReader.LoadFile(DirectoryName + "/" + DirectoryExtension + "/followup.xlsx");
DataTable ButterfliesFollowupSheet = FollowupOutput.Tables["butterflies"];
PriceTable = new DataTable();
PriceTable.Columns.Add("Ticker", typeof(string));
PriceTable.Columns.Add("TickerHead", typeof(string));
PriceTable.Columns.Add("IsAutoSpreaderQ", typeof(bool));
PriceTable.Columns.Add("BidPrice", typeof(double));
PriceTable.Columns.Add("AskPrice", typeof(double));
HistoricPriceTable = GetPrice.GetFuturesPrice.getFuturesPrice4Ticker(tickerHeadList: ContractUtilities.ContractMetaInfo.FuturesButterflyTickerheadList,
dateTimeFrom: ReportDate, dateTimeTo: ReportDate, conn: conn);
DataRow [] StopList = ButterfliesFollowupSheet.Select("Recommendation='STOP'");
if (StopList.Length>0)
{
ButterfliesStopSheet = StopList.CopyToDataTable();
ButterfliesStopSheet.Columns.Add("PnlMid",typeof(double));
ButterfliesStopSheet.Columns.Add("PnlWorst", typeof(double));
for (int i = 0; i < StopList.Length; i++)
{
string Alias = StopList[i].Field<string>("Alias");
StrategyUtilities.PositionManagerOutput PositionManagerOut = PositionManager.GetFuturesButterflyPosition(alias: Alias, asOfDate: TodayDate, conn: conn);
DataTable StrategyPosition = PositionManagerOut.SortedPosition;
StrategyPosition.Columns.Add("ClosePrice", typeof(double));
for (int j = 0; j < StrategyPosition.Rows.Count; j++)
{
DataRow SelectedHistRow = HistoricPriceTable.Select("ticker='" + StrategyPosition.Rows[j].Field<string>("Ticker") + "'")[0];
StrategyPosition.Rows[j]["ClosePrice"] = SelectedHistRow.Field<decimal>("close_price");
}
List<string> TickerList = new List<string> { StrategyPosition.Rows[0].Field<string>("Ticker") + "-" + StrategyPosition.Rows[1].Field<string>("Ticker"),
StrategyPosition.Rows[1].Field<string>("Ticker") + "-" + StrategyPosition.Rows[2].Field<string>("Ticker")};
StrategyPositionDictionary.Add(Alias, StrategyPosition);
SpreadList.AddRange(TickerList);
if (PositionManagerOut.CorrectPositionQ)
{
bool wuhu = TickerList[0].Contains("-");
string[] TickerListAux = TickerList[0].Split('-');
ttapiUtils.AutoSpreader As = new ttapiUtils.AutoSpreader(dbTickerList: TickerList, payUpTicks: 2);
AutoSpreaderList.Add(As);
AutoSpreaderDictionary.Add(As.AutoSpreaderName, As);
AliasDictionary.Add(As.AutoSpreaderName, Alias);
TagDictionary.Add(As.AutoSpreaderName, "fut_but_fol" + i);
DataRow PriceRow = PriceTable.NewRow();
PriceRow["Ticker"] = As.AutoSpreaderName;
PriceRow["TickerHead"] = StrategyPosition.Rows[0].Field<string>("TickerHead");
PriceRow["IsAutoSpreaderQ"] = true;
PriceTable.Rows.Add(PriceRow);
}
else
{
ButterflyLogger.Log("Check " + Alias + " ! Position may be incorrect.");
}
}
SpreadList = SpreadList.Distinct().ToList();
SpreadTable = new DataTable();
SpreadTable.Columns.Add("Ticker", typeof(string));
SpreadTable.Columns.Add("IsSpreadQ", typeof(bool));
for (int i = 0; i < SpreadList.Count; i++)
{
DataRow SpreadRow = SpreadTable.NewRow();
SpreadRow["Ticker"] = SpreadList[i];
SpreadRow["IsSpreadQ"] = true;
SpreadTable.Rows.Add(SpreadRow);
DataRow PriceRow = PriceTable.NewRow();
PriceRow["Ticker"] = SpreadList[i];
string[] SpreadAsArray = SpreadList[i].Split(new char[] { '-' });
PriceRow["TickerHead"] = ContractUtilities.ContractMetaInfo.GetContractSpecs(SpreadAsArray[0]).tickerHead;
PriceRow["IsAutoSpreaderQ"] = false;
PriceTable.Rows.Add(PriceRow);
}
}
PriceTableSymbols = DataAnalysis.DataTableFunctions.GetColumnAsList<string>(dataTableInput: PriceTable, columnName: "Ticker");
TTAPISubs.TickerTable = SpreadTable;
TTAPISubs.AutoSpreaderList = AutoSpreaderList;
TTAPISubs.AsuUpdateList = new List<EventHandler<AuthenticationStatusUpdateEventArgs>> { TTAPISubs.StartASESubscriptions,TTAPISubs.startInstrumentLookupSubscriptionsFromDataTable };
//TTAPISubs.AsuUpdateList = new List<EventHandler<AuthenticationStatusUpdateEventArgs>> {TTAPISubs.startInstrumentLookupSubscriptionsFromDataTable };
TTAPISubs.ilsUpdateList = new List<EventHandler<InstrumentLookupSubscriptionEventArgs>> { TTAPISubs.startPriceSubscriptions, TTAPISubs.startTradeSubscriptions };
//TTAPISubs.ilsUpdateList = new List<EventHandler<InstrumentLookupSubscriptionEventArgs>> { TTAPISubs.startPriceSubscriptions};
TTAPISubs.priceUpdatedEventHandler = m_ps_FieldsUpdated;
TTAPISubs.orderFilledEventHandler = m_ts_OrderFilled;
}
private void PeriodicCall(object source, ElapsedEventArgs e)
{
DateTime TimeStamp = DateTime.Now;
DateTime TimeStampFull = new DateTime(TodayDate.Year, TodayDate.Month, TodayDate.Day, TimeStamp.Hour, TimeStamp.Minute, 0);
int RowIndx = 0;
OpportunityZone OpZone;
PositionZone PosZone;
int Qty = 1;
DataRow SelectedRow = SummaryTable.Rows[RowIndx];
ttapiUtils.AutoSpreader SelectedAutospreader = AutoSpreaderDictionary[SelectedRow.Field <string>("Ticker")];
Instrument SelectedInstrument = SelectedAutospreader.AutoSpreaderInstrument;
if (SelectedRow.Field <bool>("ValidPrice"))
{
TimeSeriesObj.updateValues(newPrice: SelectedRow.Field <double>("MidConverted"),
newDateTime: TimeStampFull, instrument: SelectedRow.Field <string>("Ticker"));
double IndicatorValue = TechnicalSignals.MovingAverage.CalculateTimeSeriesMovingAverage(timeSeries: TimeSeriesObj.Data,
columnName: SelectedRow.Field <string>("Ticker"), dateTimePoint: TimeStampFull, numObs: 40);
double Spread = SelectedRow.Field <double>("MidConverted") - IndicatorValue;
if (Spread > SelectedRow.Field <double>("UpperLimit"))
{
OpZone = OpportunityZone.Zone1;
}
else if ((Spread <= SelectedRow.Field <double>("UpperLimit")) && (Spread > 0))
{
OpZone = OpportunityZone.Zone2;
}
else if ((Spread <= 0) && (Spread > SelectedRow.Field <double>("LowerLimit")))
{
OpZone = OpportunityZone.Zone3;
}
else if (Spread < SelectedRow.Field <double>("LowerLimit"))
{
OpZone = OpportunityZone.Zone4;
}
else
{
OpZone = OpportunityZone.Zone0;
}
if ((SelectedRow.Field <int>("Position") == 0) && (SelectedRow.Field <int>("WorkingOrders") == 0))
{
PosZone = PositionZone.None;
}
else if ((SelectedRow.Field <int>("Position") > 0) && (SelectedRow.Field <int>("WorkingOrders") == 0))
{
PosZone = PositionZone.Long;
}
else if ((SelectedRow.Field <int>("Position") < 0) && (SelectedRow.Field <int>("WorkingOrders") == 0))
{
PosZone = PositionZone.Short;
}
else if ((SelectedRow.Field <int>("Position") == 0) && (SelectedRow.Field <int>("WorkingOrders") > 0))
{
PosZone = PositionZone.WorkingEntryLong;
}
else if ((SelectedRow.Field <int>("Position") == 0) && (SelectedRow.Field <int>("WorkingOrders") < 0))
{
PosZone = PositionZone.WorkingEntryShort;
}
else if ((SelectedRow.Field <int>("Position") > 0) && (SelectedRow.Field <int>("WorkingOrders") < 0))
{
PosZone = PositionZone.WorkingExitLong;
}
else if ((SelectedRow.Field <int>("Position") < 0) && (SelectedRow.Field <int>("WorkingOrders") > 0))
{
PosZone = PositionZone.WorkingEntryShort;
}
else
{
PosZone = PositionZone.Undefined;
}
//New Short Position
if ((OpZone == OpportunityZone.Zone1) && (PosZone == PositionZone.None))
{
IFSLogger.Log(SelectedRow.Field <string>("Alias") + " entering a short position for " + SelectedRow.Field <double>("Mid"));
SelectedRow["WorkingOrders"] = -Qty;
SelectedRow["WorkingOrderKey"] = ttapiUtils.Trade.SendAutospreaderOrder(instrument: SelectedInstrument, instrumentDetails: SelectedInstrument.InstrumentDetails, autoSpreader: SelectedAutospreader,
qty: -Qty, price: (decimal)SelectedRow.Field <double>("Mid"), orderTag: SelectedRow.Field <string>("Tag"), logger: IFSLogger);
}
//New Long Position
else if ((OpZone == OpportunityZone.Zone4) && (PosZone == PositionZone.None))
{
IFSLogger.Log(SelectedRow.Field <string>("Alias") + " entering a long position for " + SelectedRow.Field <double>("Mid"));
SelectedRow["WorkingOrders"] = Qty;
SelectedRow["WorkingOrderKey"] = ttapiUtils.Trade.SendAutospreaderOrder(instrument: SelectedInstrument, instrumentDetails: SelectedInstrument.InstrumentDetails, autoSpreader: SelectedAutospreader,
qty: Qty, price: (decimal)SelectedRow.Field <double>("Mid"), orderTag: SelectedRow.Field <string>("Tag"), logger: IFSLogger);
}
//Adjusting Short Open Position
else if ((OpZone == OpportunityZone.Zone1) && (PosZone == PositionZone.WorkingEntryShort))
{
IFSLogger.Log(SelectedRow.Field <string>("Alias") + " adjusting short open order price to " + SelectedRow.Field <double>("Mid"));
ttapiUtils.Trade.ChangeAutospreaderOrder(orderKey: SelectedRow.Field <string>("WorkingOrderKey"),
price: (decimal)SelectedRow.Field <double>("Mid"), autoSpreader: SelectedAutospreader, instrument: SelectedInstrument, logger: IFSLogger);
}
//Adjusting Long Open Position
else if ((OpZone == OpportunityZone.Zone4) && (PosZone == PositionZone.WorkingEntryLong))
{
IFSLogger.Log(SelectedRow.Field <string>("Alias") + " adjusting long open order price to " + SelectedRow.Field <double>("Mid"));
ttapiUtils.Trade.ChangeAutospreaderOrder(orderKey: SelectedRow.Field <string>("WorkingOrderKey"),
price: (decimal)SelectedRow.Field <double>("Mid"), autoSpreader: SelectedAutospreader, instrument: SelectedInstrument, logger: IFSLogger);
}
//Closing Short Position
else if (((OpZone == OpportunityZone.Zone3) | (OpZone == OpportunityZone.Zone4)) && (PosZone == PositionZone.Short))
{
IFSLogger.Log(SelectedRow.Field <string>("Alias") + " has normalized. Closing position for " + SelectedRow.Field <double>("Mid"));
SelectedRow["WorkingOrders"] = -SelectedRow.Field <int>("Position");
SelectedRow["WorkingOrderKey"] = ttapiUtils.Trade.SendAutospreaderOrder(instrument: SelectedInstrument, instrumentDetails: SelectedInstrument.InstrumentDetails, autoSpreader: SelectedAutospreader,
qty: -SelectedRow.Field <int>("Position"), price: (decimal)SelectedRow.Field <double>("Mid"), orderTag: SelectedRow.Field <string>("Tag"), logger: IFSLogger);
}
//Closing Long Position
else if (((OpZone == OpportunityZone.Zone1) | (OpZone == OpportunityZone.Zone2)) && (PosZone == PositionZone.Long))
{
IFSLogger.Log(SelectedRow.Field <string>("Alias") + " has normalized. Closing position for " + SelectedRow.Field <double>("Mid"));
SelectedRow["WorkingOrders"] = -SelectedRow.Field <int>("Position");
SelectedRow["WorkingOrderKey"] = ttapiUtils.Trade.SendAutospreaderOrder(instrument: SelectedInstrument, instrumentDetails: SelectedInstrument.InstrumentDetails, autoSpreader: SelectedAutospreader,
qty: -SelectedRow.Field <int>("Position"), price: (decimal)SelectedRow.Field <double>("Mid"), orderTag: SelectedRow.Field <string>("Tag"), logger: IFSLogger);
}
// Adjusting Short Close Position
else if (((OpZone == OpportunityZone.Zone3) | (OpZone == OpportunityZone.Zone4)) && (PosZone == PositionZone.WorkingExitShort))
{
IFSLogger.Log(SelectedRow.Field <string>("Alias") + " adjusting short close order price to " + SelectedRow.Field <double>("Mid"));
ttapiUtils.Trade.ChangeAutospreaderOrder(orderKey: SelectedRow.Field <string>("WorkingOrderKey"),
price: (decimal)SelectedRow.Field <double>("Mid"), autoSpreader: SelectedAutospreader, instrument: SelectedInstrument, logger: IFSLogger);
}
// Adjusting Long Close Position
else if (((OpZone == OpportunityZone.Zone1) | (OpZone == OpportunityZone.Zone2)) && (PosZone == PositionZone.WorkingExitLong))
{
IFSLogger.Log(SelectedRow.Field <string>("Alias") + " adjusting long close order price to " + SelectedRow.Field <double>("Mid"));
ttapiUtils.Trade.ChangeAutospreaderOrder(orderKey: SelectedRow.Field <string>("WorkingOrderKey"),
price: (decimal)SelectedRow.Field <double>("Mid"), autoSpreader: SelectedAutospreader, instrument: SelectedInstrument, logger: IFSLogger);
}
//Canceling Short Entry Order
else if ((OpZone != OpportunityZone.Zone1) && (PosZone == PositionZone.WorkingEntryShort))
{
IFSLogger.Log(SelectedRow.Field <string>("Alias") + " has normalized canceling working order");
bool cancelSuccess = ttapiUtils.Trade.CancelAutospreaderOrder(orderKey: SelectedRow.Field <string>("WorkingOrderKey"),
autoSpreader: SelectedAutospreader, logger: IFSLogger);
if (cancelSuccess)
{
SelectedRow["WorkingOrders"] = 0;
}
}
//Canceling Long Entry Order
else if ((OpZone != OpportunityZone.Zone4) && (PosZone == PositionZone.WorkingEntryLong))
{
IFSLogger.Log(SelectedRow.Field <string>("Alias") + " has normalized canceling working order");
bool cancelSuccess = ttapiUtils.Trade.CancelAutospreaderOrder(orderKey: SelectedRow.Field <string>("WorkingOrderKey"),
autoSpreader: SelectedAutospreader, logger: IFSLogger);
if (cancelSuccess)
{
SelectedRow["WorkingOrders"] = 0;
}
}
//Canceling Short Exit Order
else if ((OpZone != OpportunityZone.Zone3) && (OpZone != OpportunityZone.Zone4) && (PosZone == PositionZone.WorkingExitShort))
{
IFSLogger.Log(SelectedRow.Field <string>("Alias") + " has de-normalized canceling working order");
bool cancelSuccess = ttapiUtils.Trade.CancelAutospreaderOrder(orderKey: SelectedRow.Field <string>("WorkingOrderKey"),
autoSpreader: SelectedAutospreader, logger: IFSLogger);
if (cancelSuccess)
{
SelectedRow["WorkingOrders"] = 0;
}
}
//Canceling Long Exit Order
else if ((OpZone != OpportunityZone.Zone1) && (OpZone != OpportunityZone.Zone2) && (PosZone == PositionZone.WorkingExitLong))
{
IFSLogger.Log(SelectedRow.Field <string>("Alias") + " has de-normalized canceling working order");
bool cancelSuccess = ttapiUtils.Trade.CancelAutospreaderOrder(orderKey: SelectedRow.Field <string>("WorkingOrderKey"),
autoSpreader: SelectedAutospreader, logger: IFSLogger);
if (cancelSuccess)
{
SelectedRow["WorkingOrders"] = 0;
}
}
Console.WriteLine(DateTime.Now + " Recorded Price: " + SummaryTable.Rows[RowIndx].Field <double>("MidConverted"));
Console.WriteLine(DateTime.Now + " Spread: " + (SummaryTable.Rows[RowIndx].Field <double>("MidConverted") - IndicatorValue));
}
}
