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 static DataTable GetFilteredNewTrades(DataTable butterfliesSheet, DataTable riskAcrossTickerhead, Dictionary <string, double> riskAcrossTheme)
{
DataTable ButterfliesSheet = butterfliesSheet.Select("trDte1>=" + MinTrDte).CopyToDataTable();
List <string> TickerHeadNewList = DataAnalysis.DataTableFunctions.GetColumnAsList <string>(dataTableInput: ButterfliesSheet, columnName: "tickerHead", uniqueQ: true);
DataTable ButterfliesSheetFiltered = new DataTable();
ButterfliesSheetFiltered = ButterfliesSheet.Clone();
DateTime CurrentDate = DateTime.Now.Date;
ContIndx1YearOut = 100 * (CurrentDate.Year + 1) + CurrentDate.Month;
for (int i = 0; i < ButterfliesSheet.Rows.Count; i++)
{
DataRow SelectedRow = ButterfliesSheet.Rows[i];
List <string> TickerList = new List <string> {
SelectedRow.Field <string>("Ticker1"), SelectedRow.Field <string>("Ticker2"), SelectedRow.Field <string>("Ticker3")
};
double Direction;
if (SelectedRow.Field <double>("z1") < 0)
{
Direction = 1;
}
else
{
Direction = -1;
}
List <string> ThemeList = RiskManager.GetThemeList4Position(tickerList: TickerList, direction: Direction);
if (ThemeList.Count > 0)
{
List <double> RelatedThemeDownsideList = new List <double>();
for (int j = 0; j < ThemeList.Count; j++)
{
RelatedThemeDownsideList.Add(ButterflyFinalBetSize * RiskManager.ThemeMultipliers[ThemeList[j]] - Math.Abs(riskAcrossTheme[ThemeList[j]]));
SelectedRow["SlackFromTheme"] = RelatedThemeDownsideList.Min();
}
}
else
{
SelectedRow["SlackFromTheme"] = ButterflyFinalBetSize;
}
}
for (int i = 0; i < TickerHeadNewList.Count; i++)
{
DataTable Selected4TickerHeadTable = ButterfliesSheet.Select("tickerHead='" + TickerHeadNewList[i] + "'").CopyToDataTable();
DataRow[] Long4TickerHead = Selected4TickerHeadTable.Select("z1<0");
DataRow[] Short4TickerHead = Selected4TickerHeadTable.Select("z1>0");
if (Long4TickerHead.Count() > 0)
{
DataRow[] ExistingLongRows = riskAcrossTickerhead.Select("TickerHead='" + TickerHeadNewList[i] + "' and Direction=1");
if (ExistingLongRows.Count() == 0)
{
for (int j = 0; j < Long4TickerHead.Count(); j++)
{
if (Math.Min(ButterflyFinalBetSize, Long4TickerHead[j].Field <double>("SlackFromTheme")) > MinNewPosition)
{
Long4TickerHead[j]["Size"] = Math.Min(ButterflyFinalBetSize, Long4TickerHead[j].Field <double>("SlackFromTheme"));
ButterfliesSheetFiltered.ImportRow(Long4TickerHead[j]);
}
}
}
else if ((ButterflyFinalBetSize - Math.Abs(ExistingLongRows[0].Field <double>("DownSide")) > MinNewPosition))
{
for (int j = 0; j < Long4TickerHead.Count(); j++)
{
if (Math.Min(ButterflyFinalBetSize, Long4TickerHead[j].Field <double>("SlackFromTheme")) > MinNewPosition)
{
Long4TickerHead[j]["Size"] = Math.Min(ButterflyFinalBetSize - Math.Abs(ExistingLongRows[0].Field <double>("DownSide")),
Math.Min(ButterflyFinalBetSize, Long4TickerHead[j].Field <double>("SlackFromTheme")));
ButterfliesSheetFiltered.ImportRow(Long4TickerHead[j]);
}
}
}
}
if (Short4TickerHead.Count() > 0)
{
DataRow[] ExistingShortRows = riskAcrossTickerhead.Select("TickerHead='" + TickerHeadNewList[i] + "' and Direction=-1");
if (ExistingShortRows.Count() == 0)
{
for (int j = 0; j < Short4TickerHead.Count(); j++)
{
if (Short4TickerHead[j].Field <double>("z1") >= 1.2)
{
if (Math.Min(ButterflyFinalBetSize, Short4TickerHead[j].Field <double>("SlackFromTheme")) > MinNewPosition)
{
Short4TickerHead[j]["Size"] = Math.Min(ButterflyFinalBetSize, Short4TickerHead[j].Field <double>("SlackFromTheme"));
}
}
else if (Short4TickerHead[j].Field <double>("z1") >= 0.6)
{
if (Math.Min(ButterflyFirstBetSize, Short4TickerHead[j].Field <double>("SlackFromTheme")) > MinNewPosition)
{
Short4TickerHead[j]["Size"] = Math.Min(ButterflyFirstBetSize, Short4TickerHead[j].Field <double>("SlackFromTheme"));
}
}
if (Short4TickerHead[j].Field <double>("Size") > 0)
{
ButterfliesSheetFiltered.ImportRow(Short4TickerHead[j]);
}
}
}
else
{
for (int j = 0; j < Short4TickerHead.Count(); j++)
{
if ((Short4TickerHead[j].Field <double>("z1") >= 1.2) &&
(ButterflyFinalBetSize - Math.Abs(ExistingShortRows[0].Field <double>("DownSide")) > MinNewPosition) &&
(Math.Min(ButterflyFinalBetSize, Short4TickerHead[j].Field <double>("SlackFromTheme")) > MinNewPosition)
)
{
Short4TickerHead[j]["Size"] = Math.Min(ButterflyFinalBetSize - Math.Abs(ExistingShortRows[0].Field <double>("DownSide")),
Math.Min(ButterflyFinalBetSize, Short4TickerHead[j].Field <double>("SlackFromTheme")));
}
else if ((Short4TickerHead[j].Field <double>("z1") >= 0.6) &&
(ButterflyFirstBetSize - Math.Abs(ExistingShortRows[0].Field <double>("DownSide")) > MinNewPosition) &&
(Math.Min(ButterflyFirstBetSize, Short4TickerHead[j].Field <double>("SlackFromTheme")) > MinNewPosition))
{
Short4TickerHead[j]["Size"] = Math.Min(ButterflyFirstBetSize - Math.Abs(ExistingShortRows[0].Field <double>("DownSide")),
Math.Min(ButterflyFirstBetSize, Short4TickerHead[j].Field <double>("SlackFromTheme")));
}
if (Short4TickerHead[j].Field <double>("Size") > 0)
{
ButterfliesSheetFiltered.ImportRow(Short4TickerHead[j]);
}
}
}
}
}
return(ButterfliesSheetFiltered);
}