public OrderTransaction RemoveSell()
{
OrderTransaction transaction = null;
Sells.TryDequeue(out transaction);
return(transaction);
}
private OrderTransaction CopyTransaction(OrderTransaction trans)
{
OrderTransaction l = new OrderTransaction();
l.Symbol = trans.Symbol;
l.Exchange = trans.Exchange;
l.Broker = trans.Broker;
l.Quantity = trans.Quantity;
l.Price = trans.Price;
l.ActionNameUS = trans.ActionNameUS;
l.TradeDate = trans.TradeDate;
l.SettledDate = trans.SettledDate;
l.Interest = trans.Interest;
l.Amount = trans.Amount;
l.Commission = trans.Commission;
l.Fees = trans.Fees;
l.CUSIP = trans.CUSIP;
l.Description = trans.Description;
l.ActionId = trans.ActionId;
l.TradeNumber = trans.TradeNumber;
l.RecordType = trans.RecordType;
l.TaxLotNumber = trans.TaxLotNumber;
l.OrderType = trans.OrderType;
l.OrderId = trans.OrderId;
l.Direction = trans.Direction;
return(l);
}
public OrderTransaction RemoveBuy()
{
OrderTransaction transaction = null;
Buys.TryDequeue(out transaction);
return(transaction);
}
public void ProcessTransaction(OrderTransaction trans)
{
string comment;
if (trans.OrderId == 8)
{
comment = "";
}
IPositionInventory openPosition = OpenPositions.FirstOrDefault(p => p.GetSymbol() == trans.Symbol);
if (openPosition == null)
{
openPosition = OpenPosition(trans, PositionInventoryMethod.Lifo);
OpenPositions.Add(openPosition);
}
else
{
OrderTransaction transaction = ResolvePosition(openPosition, trans);
if (openPosition.BuysCount() == 0 && openPosition.SellsCount() == 0)
{
OpenPositions.Remove(openPosition);
}
}
}
public void FifoAddsSell()
{
OrderTransaction trans = new OrderTransaction();
trans.Direction = OrderDirection.Sell;
fifo.Add(trans);
Assert.IsTrue(fifo.Sells.Count == 1);
fifo.Remove(Sell);
Assert.IsTrue(fifo.Sells.Count == 0);
}
public void LifoAddsBuy()
{
OrderTransaction trans = new OrderTransaction();
trans.Direction = OrderDirection.Buy;
lifo.Add(trans);
Assert.IsTrue(lifo.BuysCount() == 1);
lifo.Remove(Buy);
Assert.IsTrue(lifo.BuysCount() == 0);
}
public void FifoAddsBuy()
{
OrderTransaction trans = new OrderTransaction();
trans.Direction = OrderDirection.Buy;
fifo.Add(trans);
Assert.IsTrue(fifo.Buys.Count == 1);
fifo.Remove(Buy);
Assert.IsTrue(fifo.Buys.Count == 0);
}
public OrderTransaction RemoveBuy()
{
OrderTransaction transaction = null;
if (Buys.Count > 0)
{
Buys.TryPop(out transaction);
}
return(transaction);
}
public void CanOpenPosition()
{
OrderTransaction trans = new OrderTransaction();
trans.Symbol = "AAPL";
trans.Direction = OrderDirection.Buy;
OrderTransactionProcessor processor = new OrderTransactionProcessor();
IPositionInventory openPosition = processor.OpenPosition(trans, PositionInventoryMethod.Fifo);
processor.OpenPositions.Add(openPosition);
Assert.IsTrue(processor.OpenPositions.Count > 0);
}
public OrderTransaction RemoveSell()
{
OrderTransaction transaction = null;
if (Sells.Count > 0)
{
Sells.TryPop(out transaction);
}
return(transaction);
}
public void Add(OrderTransaction transaction)
{
Symbol = transaction.Symbol;
if (transaction.Direction == OrderDirection.Buy)
{
Buys.Push(transaction);
}
if (transaction.Direction == OrderDirection.Sell)
{
Sells.Push(transaction);
}
}
public void InterfaceOk()
{
OrderTransaction trans = new OrderTransaction();
trans.Direction = OrderDirection.Buy;
IPositionInventory lifo = new PositionInventoryLifo();
lifo.Add(trans);
var count = lifo.BuysCount();
Assert.IsTrue(lifo.BuysCount() == 1);
trans = lifo.RemoveBuy();
Assert.IsNotNull(trans);
Assert.IsTrue(lifo.BuysCount() == 0);
}
public void Add(OrderTransaction transaction)
{
Symbol = transaction.Symbol;
if (transaction.Direction == OrderDirection.Buy)
{
Buys.Enqueue(transaction);
}
if (transaction.Direction == OrderDirection.Sell)
{
Sells.Enqueue(transaction);
}
}
public void MatchedAndUnmatchedTransactions()
{
string path = @"C:\Users\Nick\Documents\Visual Studio 2013\Projects\LeanITrend\Engine\bin\Debug\";
string pathname = path + "transactions.csv";
// This part of the test is just to look at the JsonConvert
//string txt;
//using (StreamReader sr = new StreamReader(pathname))
//{
// txt = sr.ReadToEnd();
// sr.Close();
//}
//int index = txt.IndexOf("\r\n", System.StringComparison.Ordinal);
//string titlesremoved = txt.Substring(index + 2);
int counter = 0;
List<OrderTransaction> list = new List<OrderTransaction>();
OrderTransactionProcessor processor = new OrderTransactionProcessor();
using (StreamReader sr = new StreamReader(pathname))
{
string line = sr.ReadLine(); // read the header but do not count it.
while (!sr.EndOfStream)
{
line = sr.ReadLine();
if (line != null && line.Contains("Symbol")) continue;
Assert.IsNotNull(line);
counter++;
OrderTransaction t = new OrderTransaction();
CsvSerializer.Deserialize(",",line,ref t,false);
list.Add(t);
processor.ProcessTransaction(t);
}
sr.Close();
}
var csv = CsvSerializer.Serialize(",", processor.Trades, true);
using (StreamWriter sw = new StreamWriter(path + "Trades.csv"))
{
foreach (var s in csv)
{
sw.WriteLine(s);
}
sw.Flush();
sw.Close();
}
var x = JsonConvert.SerializeObject(list);
Assert.IsTrue(counter == list.Count);
Assert.IsTrue(processor.TotalProfit == 52.75m);
Assert.IsTrue(processor.TotalCommission == -26m);
}
public OrderTransaction Remove(string queueName)
{
OrderTransaction transaction = null;
if (queueName.Contains(Buy))
{
Buys.TryDequeue(out transaction);
}
if (queueName.Contains(Sell))
{
Sells.TryDequeue(out transaction);
}
return(transaction);
}
/// <summary>
/// Logs the OrderEvent Transaction
/// </summary>
/// <param name="orderEvent">the OrderEvent being logged</param>
/// <param name="includeHeader">Includes the field names</param>
public OrderTransaction Create(OrderEvent orderEvent, OrderTicket ticket, bool includeHeader = true)
{
var security = _algorithm.Securities[ticket.Symbol];
Order order = _algorithm.Transactions.GetOrderById(orderEvent.OrderId);
OrderTransaction t = new OrderTransaction();
// According to Scottrade a Buy is a negative amount (funds flow from my account to the seller's)
// However the Quantity filled is a negative number for Sell/Short and a positive for Buy/Long
// So multiply by -1 to give order value the correct sign
decimal orderValue = -1 * ticket.QuantityFilled * ticket.AverageFillPrice;
if (order != null)
{
var orderDateTime = _algorithm.Time;
DateTime settleDate = orderDateTime.AddDays(orderDateTime.DayOfWeek < DayOfWeek.Wednesday ? 3 : 5);
// Order Fees are a cost and negative to my account, therefore a negative number
var orderFees = security.TransactionModel.GetOrderFee(security, order) * -1;
#region "Create OrderTransaction"
t.ActionId = orderEvent.Direction.ToString() == "Buy" ? 1 : 13;
t.ActionNameUS = orderEvent.Direction.ToString();
t.Amount = orderValue;
t.Broker = "IB";
t.CUSIP = "CUSIP";
t.Commission = orderFees;
t.Description = string.Format("{0} {1} shares of {2} at ${3}", orderEvent.Direction, ticket.Quantity, orderEvent.Symbol, order.Price);
t.Direction = orderEvent.Direction;
t.Exchange = "";
t.Fees = 0; // need to calculate based upon difference in Portfolio[symbol].HoldingsValue between buy and sell
t.Id = 0;
t.Interest = 0;
t.Net = orderValue + orderFees;
t.OrderId = order.Id;
t.OrderType = ticket.OrderType;
t.Price = ticket.AverageFillPrice;
t.Quantity = ticket.Quantity;
t.RecordType = "Trade";
t.SettledDate = settleDate;
t.Symbol = ticket.Symbol.Value;
t.TaxLotNumber = String.Empty;
t.TradeDate = orderDateTime;
t.TradeNumber = 0;
#endregion
}
return t;
}
public IPositionInventory OpenPosition(OrderTransaction trans, PositionInventoryMethod positionResolution)
{
IPositionInventory position;
if (positionResolution == PositionInventoryMethod.Fifo)
{
position = new PositionInventoryFifo();
}
else
{
position = new PositionInventoryLifo();
}
position.Add(trans);
return(position);
}
public void ConvertsACsvLineToObjectAndBack()
{
OrderTransaction t = new OrderTransaction();
string csv =
@"0,AAPL,,IB,135,109.93,Buy,9/2/2015 1:41:00 PM,9/6/2015 1:41:00 PM,0,-14840.55,-1,0,-14841.55,CUSIP,Buy 135 shares of AAPL at $109.93,1,0,Trade,,Limit,1,Buy";
CsvSerializer.Deserialize<OrderTransaction>(",", csv, ref t, false);
Assert.IsTrue(t.Symbol == "AAPL");
// the ObjectToCsv call needs an IEnumerable, so convert to a list
List<OrderTransaction> list = new List<OrderTransaction>();
list.Add(t);
var csvout = CsvSerializer.Serialize(",", list, false);
var newcsv = csvout.FirstOrDefault();
Assert.IsTrue(System.String.Compare(csv, newcsv, System.StringComparison.Ordinal) == 0);
}
public void ProcessTransaction(OrderTransaction trans)
{
IPositionInventory openPosition = OpenPositions.FirstOrDefault(p => p.GetSymbol() == trans.Symbol);
if (openPosition == null)
{
openPosition = OpenPosition(trans, PositionInventoryMethod.Lifo);
OpenPositions.Add(openPosition);
}
else
{
OrderTransaction transaction = ResolvePosition(openPosition, trans);
if (openPosition.BuysCount() == 0 && openPosition.SellsCount() == 0)
{
OpenPositions.Remove(openPosition);
}
}
}
public OrderTransaction Remove(string direction)
{
OrderTransaction transaction = null;
if (direction.Contains(Buy))
{
if (Buys.Count > 0)
{
Buys.TryPop(out transaction);
}
}
if (direction.Contains(Sell))
{
if (Sells.Count > 0)
{
Sells.TryPop(out transaction);
}
}
return(transaction);
}
/// <summary>
/// Local processing of the order event. It only logs the transaction and orderEvent
/// </summary>
/// <param name="orderEvent">OrderEvent - the order event</param>
private void ProcessOrderEvent(OrderEvent orderEvent)
{
IEnumerable <OrderTicket> tickets;
//add to the list of order events which is saved to a file when running locally
// I will use this file to test Stefano Raggi's code
if (orderEvent.Status == OrderStatus.Filled)
{
_orderEvents.Add(orderEvent);
}
orderId = orderEvent.OrderId;
tradeResult = orderEvent.Status;
switch (orderEvent.Status)
{
case OrderStatus.New:
case OrderStatus.None:
case OrderStatus.Submitted:
// just checking to make sure they are coming through
tickets = Transactions.GetOrderTickets(t => t.OrderId == orderId && t.Status == orderEvent.Status);
break;
case OrderStatus.Canceled:
// just checking
tickets = Transactions.GetOrderTickets(t => t.OrderId == orderId && t.Status == orderEvent.Status);
break;
case OrderStatus.Filled:
case OrderStatus.PartiallyFilled:
tickets = Transactions.GetOrderTickets(t => t.OrderId == orderId && t.Status == orderEvent.Status);
if (tickets != null)
{
foreach (OrderTicket ticket in tickets)
{
#region logging
if (Portfolio[orderEvent.Symbol].Invested)
{
nEntryPrice = Portfolio[symbol].IsLong ? orderEvent.FillPrice : orderEvent.FillPrice * -1;
nExitPrice = 0;
}
else
{
nExitPrice = nEntryPrice < 0 ? orderEvent.FillPrice : orderEvent.FillPrice * -1;
nEntryPrice = 0;
}
#region "log the ticket as a OrderTransacton"
OrderTransactionFactory transactionFactory = new OrderTransactionFactory((QCAlgorithm)this);
OrderTransaction t = transactionFactory.Create(orderEvent, ticket, false);
_transactions.Add(t);
_orderTransactionProcessor.ProcessTransaction(t);
_tradecount++;
if (_orderTransactionProcessor.TotalProfit != totalProfit)
{
CalculateTradeProfit();
}
totalProfit = _orderTransactionProcessor.TotalProfit;
#endregion
#endregion "logging"
}
}
break;
}
}
public void NoOpenPositionsReturnNull()
{
OrderTransaction trans = new OrderTransaction();
trans.Symbol = "AAPL";
IPositionInventory openPosition = p.OpenPositions.FirstOrDefault(s => s.GetSymbol() == trans.Symbol);
Assert.IsNull(openPosition);
}
private OrderTransaction CreateTrade(OrderTransaction buytrans, OrderTransaction selltrans)
{
var l = new OrderTransaction();
if (buytrans == null && selltrans == null)
{
return(l);
}
if (buytrans.Amount >= 0)
{
throw new ArgumentException("Buy trans amount >= 0");
}
if (selltrans.Amount <= 0)
{
throw new ArgumentException("Sell trans amount <= 0");
}
if (buytrans.Quantity <= 0)
{
throw new ArgumentException("Buy quantity <= 0");
}
if (selltrans.Quantity >= 0)
{
throw new ArgumentException("Sell quantity >= 0");
}
MatchedTrade trade = new MatchedTrade
{
Id = ++tradeId,
Symbol = buytrans.Symbol,
DescriptionOfProperty = string.Format("{0} {1}", buytrans.Quantity, buytrans.Symbol),
DateAcquired = buytrans.TradeDate,
DateSoldOrDisposed = selltrans.TradeDate,
AdjustmentAmount = 0,
ReportedToIrs = true,
ReportedToMe = true,
Brokerage = selltrans.Broker,
BuyOrderId = buytrans.OrderId,
SellOrderId = selltrans.OrderId
};
// Buy quantities are positive, sell quantities are negative
// Buy Amount is negative, sell Amount is positive.
// commission and fees are always negative
if (Math.Abs(buytrans.Quantity) == Math.Abs(selltrans.Quantity))
{
trade.Quantity = buytrans.Quantity;
trade.Proceeds = Math.Abs(selltrans.Net);
trade.CostOrBasis = Math.Abs(buytrans.Net);
//Long Term Short Term
TimeSpan diff = trade.DateSoldOrDisposed.Subtract(trade.DateAcquired);
if (diff.TotalDays > 365)
{
trade.LongTermGain = true;
}
//if (trade.DateSoldOrDisposed.Year == 2014)
TotalCommission += buytrans.Commission;
TotalCommission += selltrans.Commission;
LastTradeCommission = buytrans.Commission + selltrans.Commission;
TotalProfit += trade.GainOrLoss;
//if (Math.Abs(trade.GainOrLoss) > 1000)
// throw new Exception("Invalid gain or loss");
trade.CumulativeProfit = TotalProfit;
Trades.Add(trade);
}
return(l);
}
private OrderTransaction ResolvePosition(IPositionInventory position, OrderTransaction trans)
{
OrderTransaction buytrans = new OrderTransaction();
OrderTransaction selltrans = new OrderTransaction();
OrderTransaction l = new OrderTransaction();
if (trans.Direction == OrderDirection.Buy)
{
if (position.SellsCount() > 0)
{
selltrans = position.RemoveSell();
if (Math.Abs(trans.Quantity) == Math.Abs(selltrans.Quantity))
{
return CreateTrade(trans, selltrans);
}
// if the buytrans qty is greater than the selltrans qty, split the buy
if (trans.Quantity > Math.Abs(selltrans.Quantity))
{
#region "Trans is Buy and buy greater than sell"
var unitcost = Math.Abs(trans.Amount / trans.Quantity);
// split the (buy)trans to equalize with the selltrans quantity
l = CopyTransaction(trans);
l.Quantity = trans.Quantity + selltrans.Quantity; // sell quantity will be negative
l.Amount = unitcost * l.Quantity * -1;
l.Commission = 0;
l.Fees = 0;
l.Interest = 0;
l.Net = l.Amount;
buytrans = CopyTransaction(trans);
buytrans.Quantity = Math.Abs(selltrans.Quantity);
buytrans.Amount = unitcost * buytrans.Quantity * -1;
buytrans.Net = buytrans.Amount + buytrans.Commission + buytrans.Fees;
CreateTrade(buytrans, selltrans);
return ResolvePosition(position, l);
#endregion
}
else
{
#region "Trans is Buy and sell greater than buy"
var unitcost = Math.Abs(selltrans.Amount / selltrans.Quantity);
// Split the sell
l = CopyTransaction(selltrans);
l.Quantity = selltrans.Quantity + trans.Quantity; // sell quantity will be negative
l.Amount = unitcost * l.Quantity * -1;
l.Commission = 0;
l.Fees = 0;
l.Interest = 0;
l.Net = l.Amount;
// split the sell. The Sell gets no ICF
selltrans.Quantity = selltrans.Quantity - l.Quantity; // sell qty is negative
selltrans.Amount = unitcost * selltrans.Quantity * -1;
selltrans.Net = selltrans.Amount + selltrans.Commission + selltrans.Fees;
CreateTrade(trans, selltrans);
return ResolvePosition(position, l);
#endregion
}
}
else
{
position.Add(trans);
}
}
else
{
if (position.BuysCount() > 0)
{
buytrans = position.RemoveBuy();
if (Math.Abs(trans.Quantity) == Math.Abs(buytrans.Quantity))
{
return CreateTrade(buytrans, trans);
}
Decimal unitcost = 0;
if (Math.Abs(trans.Quantity) > buytrans.Quantity)
{
#region "Trans is sell and sell is greater than buy"
unitcost = Math.Abs(trans.Amount / trans.Quantity);
// split the sell, buytrans keeps the IFC
l = CopyTransaction(trans);
l.Quantity = trans.Quantity + buytrans.Quantity;
l.Amount = unitcost * l.Quantity * -1;
l.Commission = 0;
l.Fees = 0;
l.Interest = 0;
l.Net = l.Amount;
selltrans = CopyTransaction(trans);
selltrans.Quantity = selltrans.Quantity - l.Quantity;
selltrans.Amount = unitcost * selltrans.Quantity * -1;
selltrans.Net = selltrans.Amount + selltrans.Commission + selltrans.Fees;
CreateTrade(buytrans, selltrans);
return ResolvePosition(position, l);
#endregion
}
else
{
#region "Trans is sell and buy is greater than sell"
unitcost = Math.Abs(buytrans.Amount / buytrans.Quantity);
// split the (buy)trans to equalize with the selltrans quantity
l = CopyTransaction(buytrans);
l.Quantity = buytrans.Quantity + trans.Quantity; // sell quantity will be negative
l.Amount = unitcost * l.Quantity * -1;
l.Commission = 0;
l.Fees = 0;
l.Interest = 0;
l.Net = l.Amount;
buytrans.Quantity = buytrans.Quantity - l.Quantity;
buytrans.Amount = unitcost * buytrans.Quantity * -1;
buytrans.Net = buytrans.Amount + buytrans.Commission + buytrans.Fees;
CreateTrade(buytrans, trans);
return ResolvePosition(position, l);
#endregion
}
}
else
{
position.Add(trans);
}
}
return l;
}
private OrderTransaction CreateTrade(OrderTransaction buytrans, OrderTransaction selltrans)
{
var l = new OrderTransaction();
if (buytrans == null && selltrans == null)
return l;
if (buytrans.Amount >= 0)
throw new ArgumentException("Buy trans amount >= 0");
if (selltrans.Amount <= 0)
throw new ArgumentException("Sell trans amount <= 0");
if (buytrans.Quantity <= 0)
throw new ArgumentException("Buy quantity <= 0");
if (selltrans.Quantity >= 0)
throw new ArgumentException("Sell quantity >= 0");
MatchedTrade trade = new MatchedTrade
{
Id = ++tradeId,
Symbol = buytrans.Symbol,
DescriptionOfProperty = string.Format("{0} {1}", buytrans.Quantity, buytrans.Symbol),
DateAcquired = buytrans.TradeDate,
DateSoldOrDisposed = selltrans.TradeDate,
AdjustmentAmount = 0,
ReportedToIrs = true,
ReportedToMe = true,
Brokerage = selltrans.Broker,
BuyOrderId = buytrans.OrderId,
SellOrderId = selltrans.OrderId
};
// Buy quantities are positive, sell quantities are negative
// Buy Amount is negative, sell Amount is positive.
// commission and fees are always negative
if (Math.Abs(buytrans.Quantity) == Math.Abs(selltrans.Quantity))
{
trade.Quantity = buytrans.Quantity;
trade.Proceeds = Math.Abs(selltrans.Net);
trade.CostOrBasis = Math.Abs(buytrans.Net);
//Long Term Short Term
TimeSpan diff = trade.DateSoldOrDisposed.Subtract(trade.DateAcquired);
if (diff.TotalDays > 365)
trade.LongTermGain = true;
//if (trade.DateSoldOrDisposed.Year == 2014)
TotalCommission += buytrans.Commission;
TotalCommission += selltrans.Commission;
LastTradeCommission = buytrans.Commission + selltrans.Commission;
TotalProfit += trade.GainOrLoss;
//if (Math.Abs(trade.GainOrLoss) > 1000)
// throw new Exception("Invalid gain or loss");
trade.CumulativeProfit = TotalProfit;
Trades.Add(trade);
}
return l;
}
private OrderTransaction CopyTransaction(OrderTransaction trans)
{
OrderTransaction l = new OrderTransaction();
l.Symbol = trans.Symbol;
l.Exchange = trans.Exchange;
l.Broker = trans.Broker;
l.Quantity = trans.Quantity;
l.Price = trans.Price;
l.ActionNameUS = trans.ActionNameUS;
l.TradeDate = trans.TradeDate;
l.SettledDate = trans.SettledDate;
l.Interest = trans.Interest;
l.Amount = trans.Amount;
l.Commission = trans.Commission;
l.Fees = trans.Fees;
l.CUSIP = trans.CUSIP;
l.Description = trans.Description;
l.ActionId = trans.ActionId;
l.TradeNumber = trans.TradeNumber;
l.RecordType = trans.RecordType;
l.TaxLotNumber = trans.TaxLotNumber;
l.OrderType = trans.OrderType;
l.OrderId = trans.OrderId;
l.Direction = trans.Direction;
return l;
}
public IPositionInventory OpenPosition(OrderTransaction trans, PositionInventoryMethod positionResolution)
{
IPositionInventory position;
if (positionResolution == PositionInventoryMethod.Fifo)
position = new PositionInventoryFifo();
else
{
position = new PositionInventoryLifo();
}
position.Add(trans);
return position;
}
/// <summary>
/// Local processing of the order event. It only logs the transaction and orderEvent
/// </summary>
/// <param name="orderEvent">OrderEvent - the order event</param>
private void ProcessOrderEvent(OrderEvent orderEvent)
{
IEnumerable <OrderTicket> tickets;
//add to the list of order events which is saved to a file when running locally
// I will use this file to test Stefano Raggi's code
var currentSignalInfo = signalInfos.FirstOrDefault(s => s.Symbol == orderEvent.Symbol);
orderId = orderEvent.OrderId;
if (currentSignalInfo != null)
{
currentSignalInfo.Status = orderEvent.Status;
}
tickets = Transactions.GetOrderTickets(t => t.OrderId == orderId);
switch (orderEvent.Status)
{
case OrderStatus.New:
case OrderStatus.None:
case OrderStatus.Submitted:
case OrderStatus.Invalid:
break;
case OrderStatus.PartiallyFilled:
if (currentSignalInfo != null)
{
nEntryPrice = Portfolio[symbol].HoldStock ? Portfolio[symbol].AveragePrice : 0;
}
break;
case OrderStatus.Canceled:
if (currentSignalInfo != null)
{
currentSignalInfo.IsActive = true;
}
break;
case OrderStatus.Filled:
if (currentSignalInfo != null)
{
currentSignalInfo.IsActive = true;
}
nEntryPrice = Portfolio[symbol].HoldStock ? Portfolio[symbol].AveragePrice : 0;
if (tickets != null)
{
foreach (OrderTicket ticket in tickets)
{
//int infoId = Convert.ToInt32(ticket.Tag);
#region "save the ticket as a OrderTransacton"
OrderTransactionFactory transactionFactory = new OrderTransactionFactory((QCAlgorithm)this);
OrderTransaction t = transactionFactory.Create(orderEvent, ticket, false);
_transactions.Add(t);
_orderTransactionProcessor.ProcessTransaction(t);
_tradecount++;
if (_orderTransactionProcessor.TotalProfit != totalProfit)
{
tradenet = CalculateTradeProfit(t.Symbol);
}
totalProfit = _orderTransactionProcessor.TotalProfit;
#endregion
}
}
break;
}
}
private OrderTransaction ResolvePosition(IPositionInventory position, OrderTransaction trans)
{
OrderTransaction buytrans = new OrderTransaction();
OrderTransaction selltrans = new OrderTransaction();
OrderTransaction l = new OrderTransaction();
if (trans.Direction == OrderDirection.Buy)
{
if (position.SellsCount() > 0)
{
selltrans = position.RemoveSell();
if (Math.Abs(trans.Quantity) == Math.Abs(selltrans.Quantity))
{
return(CreateTrade(trans, selltrans));
}
// if the buytrans qty is greater than the selltrans qty, split the buy
if (trans.Quantity > Math.Abs(selltrans.Quantity))
{
#region "Trans is Buy and buy greater than sell"
var unitcost = Math.Abs(trans.Amount / trans.Quantity);
// split the (buy)trans to equalize with the selltrans quantity
l = CopyTransaction(trans);
l.Quantity = trans.Quantity + selltrans.Quantity; // sell quantity will be negative
l.Amount = unitcost * l.Quantity * -1;
l.Commission = 0;
l.Fees = 0;
l.Interest = 0;
l.Net = l.Amount;
buytrans = CopyTransaction(trans);
buytrans.Quantity = Math.Abs(selltrans.Quantity);
buytrans.Amount = unitcost * buytrans.Quantity * -1;
buytrans.Net = buytrans.Amount + buytrans.Commission + buytrans.Fees;
CreateTrade(buytrans, selltrans);
return(ResolvePosition(position, l));
#endregion
}
else
{
#region "Trans is Buy and sell greater than buy"
var unitcost = Math.Abs(selltrans.Amount / selltrans.Quantity);
// Split the sell
l = CopyTransaction(selltrans);
l.Quantity = selltrans.Quantity + trans.Quantity; // sell quantity will be negative
l.Amount = unitcost * l.Quantity * -1;
l.Commission = 0;
l.Fees = 0;
l.Interest = 0;
l.Net = l.Amount;
// split the sell. The Sell gets no ICF
selltrans.Quantity = selltrans.Quantity - l.Quantity; // sell qty is negative
selltrans.Amount = unitcost * selltrans.Quantity * -1;
selltrans.Net = selltrans.Amount + selltrans.Commission + selltrans.Fees;
CreateTrade(trans, selltrans);
return(ResolvePosition(position, l));
#endregion
}
}
else
{
position.Add(trans);
}
}
else
{
if (position.BuysCount() > 0)
{
buytrans = position.RemoveBuy();
if (Math.Abs(trans.Quantity) == Math.Abs(buytrans.Quantity))
{
return(CreateTrade(buytrans, trans));
}
Decimal unitcost = 0;
if (Math.Abs(trans.Quantity) > buytrans.Quantity)
{
#region "Trans is sell and sell is greater than buy"
unitcost = Math.Abs(trans.Amount / trans.Quantity);
// split the sell, buytrans keeps the IFC
l = CopyTransaction(trans);
l.Quantity = trans.Quantity + buytrans.Quantity;
l.Amount = unitcost * l.Quantity * -1;
l.Commission = 0;
l.Fees = 0;
l.Interest = 0;
l.Net = l.Amount;
selltrans = CopyTransaction(trans);
selltrans.Quantity = selltrans.Quantity - l.Quantity;
selltrans.Amount = unitcost * selltrans.Quantity * -1;
selltrans.Net = selltrans.Amount + selltrans.Commission + selltrans.Fees;
CreateTrade(buytrans, selltrans);
return(ResolvePosition(position, l));
#endregion
}
else
{
#region "Trans is sell and buy is greater than sell"
unitcost = Math.Abs(buytrans.Amount / buytrans.Quantity);
// split the (buy)trans to equalize with the selltrans quantity
l = CopyTransaction(buytrans);
l.Quantity = buytrans.Quantity + trans.Quantity; // sell quantity will be negative
l.Amount = unitcost * l.Quantity * -1;
l.Commission = 0;
l.Fees = 0;
l.Interest = 0;
l.Net = l.Amount;
buytrans.Quantity = buytrans.Quantity - l.Quantity;
buytrans.Amount = unitcost * buytrans.Quantity * -1;
buytrans.Net = buytrans.Amount + buytrans.Commission + buytrans.Fees;
CreateTrade(buytrans, trans);
return(ResolvePosition(position, l));
#endregion
}
}
else
{
position.Add(trans);
}
}
return(l);
}
private void SendTransaction(OrderTransaction t)
{
string j = JsonConvert.SerializeObject(t);
try
{
using (var client = new HttpClient())
{
var uri = new Uri(@"http://localhost:55293/");
client.DefaultRequestHeaders.Accept.Add(new MediaTypeWithQualityHeaderValue("application/json"));
client.BaseAddress = uri;
//HttpResponseMessage response = client.PostAsJsonAsync("api/OrderTransaction", t).Result;
//if (!response.IsSuccessStatusCode)
//{
// string r = "Error Code" + response.StatusCode + " : Message - " + response.ReasonPhrase;
// Log(r);
//}
}
}
catch (AggregateException aggregateException)
{
WebSiteAvailable = false;
StringBuilder sb = new StringBuilder();
sb.AppendLine();
SummarizeExceptions(sb, aggregateException);
sb.AppendLine(aggregateException.StackTrace);
Log(sb.ToString());
}
}
public void TransactionHistoryAddsOK()
{
OrderTransaction trans = new OrderTransaction();
trans.Direction = OrderDirection.Buy;
p.TransactionHistory.Add(trans);
Assert.IsTrue(p.TransactionHistory.Count > 0);
}
public void OpenTradesAddsOk()
{
OrderTransaction trans = new OrderTransaction();
trans.Direction = OrderDirection.Buy;
p.OpenTrades.Add(trans);
Assert.IsTrue(p.OpenTrades.Count > 0);
}
public void OpenPositionOpensABuyPositionPosition()
{
OrderTransaction trans = new OrderTransaction();
trans.Direction = OrderDirection.Buy;
trans.Symbol = "AAPL";
p.ProcessTransaction(trans);
Assert.IsTrue(p.OpenPositions.Count > 0);
}
/// <summary>
/// Local processing of the order event. It only logs the transaction and orderEvent
/// </summary>
/// <param name="orderEvent">OrderEvent - the order event</param>
private void ProcessOrderEvent(OrderEvent orderEvent)
{
IEnumerable <OrderTicket> tickets;
//add to the list of order events which is saved to a file when running locally
// I will use this file to test Stefano Raggi's code
if (orderEvent.Status == OrderStatus.Filled)
{
_orderEvents.Add(orderEvent);
}
orderId = orderEvent.OrderId;
tradeResult = orderEvent.Status;
switch (orderEvent.Status)
{
case OrderStatus.New:
case OrderStatus.None:
case OrderStatus.Submitted:
// just checking to make sure they are coming through
tickets = Transactions.GetOrderTickets(t => t.OrderId == orderId && t.Status == orderEvent.Status);
break;
case OrderStatus.Canceled:
tickets = Transactions.GetOrderTickets(t => t.OrderId == orderId && t.Status == orderEvent.Status);
if (tickets != null)
{
foreach (OrderTicket ticket in tickets)
{
int infoId = Convert.ToInt32(ticket.Tag);
SignalInfo si = signalInfos.FirstOrDefault(f => f.Id == infoId);
if (si != null)
{
si.IsActive = true;
}
}
}
break;
case OrderStatus.Filled:
case OrderStatus.PartiallyFilled:
tickets = Transactions.GetOrderTickets(t => t.OrderId == orderId && t.Status == orderEvent.Status);
if (tickets != null)
{
foreach (OrderTicket ticket in tickets)
{
int infoId = Convert.ToInt32(ticket.Tag);
SignalInfo si = signalInfos.FirstOrDefault(f => f.Id == infoId);
if (si != null)
{
si.IsActive = true;
}
#region "log the ticket as a OrderTransacton"
OrderTransactionFactory transactionFactory = new OrderTransactionFactory((QCAlgorithm)this);
OrderTransaction t = transactionFactory.Create(orderEvent, ticket, false);
_transactions.Add(t);
_orderTransactionProcessor.ProcessTransaction(t);
_tradecount++;
if (_orderTransactionProcessor.TotalProfit != totalProfit)
{
CalculateTradeProfit(t.Symbol);
}
totalProfit = _orderTransactionProcessor.TotalProfit;
#endregion
}
}
break;
}
}