public void LoadNonVolatileVars()
{
lock (DbLock)
{
//reload my internal state
BsonDocument states = Db.GetCollection("State").FindById("TradingAlgoState");
if (states != null)
{
State = Db.Mapper.Deserialize <NonVolatileVars>(states["State"]);
//reload derived class state
this.RestoreState(Db.Mapper.Deserialize <object>(states["DerivedClassState"]));
//reload modules state
Sentry.RestoreState(Db.Mapper.Deserialize <object>(states["Sentry"]));
Allocator.RestoreState(Db.Mapper.Deserialize <object>(states["Allocator"]));
Executor.RestoreState(Db.Mapper.Deserialize <object>(states["Executor"]));
RiskManager.RestoreState(Db.Mapper.Deserialize <object>(states["RiskManager"]));
}
//rebuild symbols data
foreach (var symData in Db.GetCollection <SymbolData>("SymbolsData").FindAll())
{
_SymbolsData[symData.Id] = symData;
}
if (Db.UserVersion < 4)
{
foreach (var op in DbClosedOperations.FindAll().ToArray())
{
op.Recalculate();
DbClosedOperations.Upsert(op);
}
foreach (var op in DbActiveOperations.FindAll().ToArray())
{
op.Recalculate();
DbActiveOperations.Upsert(op);
}
Db.UserVersion = 4;
Db.Checkpoint();
Db.Rebuild();
}
//rebuild operations
//closed operations are not loaded in current session
foreach (var op in DbActiveOperations.FindAll().ToArray())
{
this.AddActiveOperation(op);
}
}
}
public void SaveNonVolatileVars()
{
lock (DbLock)
{
//save my internal state
BsonDocument state = new BsonDocument();
state["_id"] = "TradingAlgoState";
state["State"] = Db.Mapper.Serialize(State);
//Save derived state
state["DerivedClassState"] = Db.Mapper.Serialize(GetState());
//save module states
state["Sentry"] = Db.Mapper.Serialize(Sentry.GetState());
state["Allocator"] = Db.Mapper.Serialize(Allocator.GetState());
state["Executor"] = Db.Mapper.Serialize(Executor.GetState());
state["RiskManager"] = Db.Mapper.Serialize(RiskManager.GetState());
Db.GetCollection("State").Upsert(state);
foreach (var symData in SymbolsData.Values)
{
Db.GetCollection <SymbolData>("SymbolsData").Upsert(symData);
}
Db.BeginTrans();
foreach (var op in ActiveOperations.Where(op => op.IsChanged))
{
DbActiveOperations.Upsert(op);
}
foreach (var op in ClosedOperations.Where(op => op.IsChanged))
{
DbClosedOperations.Upsert(op);
}
Db.Commit();
Db.Checkpoint();
}
}
public override async Task OnStartAsync()
{
await this.Initialize();
await SymbolsFilter.Initialize(this);
if (Sentry != null)
{
await Sentry.Initialize(this);
}
if (Allocator != null)
{
await Allocator.Initialize(this);
}
if (Executor != null)
{
await Executor.Initialize(this);
}
if (RiskManager != null)
{
await RiskManager.Initialize(this);
}
}
public async Task Update(TimeSlice slice)
{
LastUpdate = Market.Time;
//update selected symbols
var changes = await SymbolsFilter.UpdateAsync(slice);
if (changes != SelectedSymbolsChanges.None)
{
var selectedForOperationsActive = this.ActiveOperations.Select(ao => ao.Symbol).GroupBy(ao => ao.Key).Select(g => g.First()).ToList();
//release feeds of unused symbols
foreach (var sym in changes.RemovedSymbols)
{
SymbolData symbolData = GetSymbolData(sym);
symbolData.IsSelectedForTrading = false;
//if it doesn't have acrive operations
if (!selectedForOperationsActive.Any(aos => aos.Key == sym.Key))
{
if (symbolData.Feed != null)
{
symbolData.Feed.OnData -= Feed_OnData;
this.ReleaseFeed(symbolData.Feed);
symbolData.Feed = null;
}
}
}
//add feeds for added symbols and those that have open operations
foreach (var sym in changes.AddedSymbols)
{
SymbolData symbolData = GetSymbolData(sym);
symbolData.IsSelectedForTrading = true;
}
foreach (var sym in changes.AddedSymbols.Concat(selectedForOperationsActive))
{
SymbolData symbolData = GetSymbolData(sym);
if (symbolData.Feed == null)
{
symbolData.Feed = await this.GetSymbolFeed(sym.Key);
symbolData.Feed.OnData -= Feed_OnData;
symbolData.Feed.OnData += Feed_OnData;
}
}
if (Sentry != null)
{
await Sentry.OnSymbolsChanged(changes);
}
if (Allocator != null)
{
Allocator.OnSymbolsChanged(changes);
}
if (Executor != null)
{
Executor.OnSymbolsChanged(changes);
}
if (RiskManager != null)
{
RiskManager.OnSymbolsChanged(changes);
}
}
// register trades with their linked operations
Operation[] oldOperations = null;
List <Operation> operationsResumed = new List <Operation>();
foreach (ITrade trade in slice.Trades)
{
//first search in active operations
var symData = _SymbolsData[trade.Symbol];
var activeOp = symData.ActiveOperations.FirstOrDefault(op => op.IsTradeAssociated(trade));
if (activeOp != null)
{
if (activeOp.AddTrade(trade))
{
Logger.Info($"{Time} - New trade for operation {activeOp.ToString()}: {trade.ToString()}");
}
}
else
{
//let's search in closed operations by getting ligtweigth instances
if (oldOperations == null)
{
//lock (DbLock)
// oldOperations = oldOperations ?? DbClosedOperations.Find(o => o.CreationTime >= Market.Time.AddDays(-5)).ToArray();
lock (DbLock)
oldOperations = QueryClosedOperations(doc => doc["CreationTime"].AsDateTime >= Market.Time.AddDays(-4));
}
var oldOp = oldOperations.FirstOrDefault(op => op.IsTradeAssociated(trade));
//if we found an operation let's get a real instance
if (oldOp != null)
{
oldOp = DbClosedOperations.FindById(oldOp.Id);
if (oldOp == null)
{
Logger.Error($"Operation found then not found! {oldOp}.");
}
}
if (oldOp != null)
{
operationsResumed.Add(oldOp);
if (oldOp.AddTrade(trade))
{
Logger.Info($"{Time} - New trade for 'old' operation {activeOp}: {trade.ToString()}");
}
//check if it got resumed by this new trade
if (!oldOp.IsClosed)
{
this.ResumeOperation(oldOp);
Logger.Info($"Resuming 'old' operation {activeOp}.");
}
else
{
oldOp.Dispose(); //otherwise we must dispose it
}
}
else
{
Logger.Debug($"{Time} - New trade {trade.ToString()} without any associated operation");
}
}
}
//dispose the operations that we didn't use
if (oldOperations != null)
{
foreach (var oper in oldOperations.Where(oo => !operationsResumed.Contains(oo)))
{
oper.Dispose();
}
}
// call OnUpdate
await OnUpdate(slice);
// get signals
if (Sentry != null)
{
Sentry.UpdateAsync(slice);
}
//create operations
if (Allocator != null)
{
Allocator.Update(slice);
}
//close operations that have been in close queue for enough time
lock (DbLock)
{
this.Db?.BeginTrans();
List <Operation> operationsToClose = _ActiveOperations.Where(op => this.Time >= op.CloseDeadTime).ToList();
foreach (var op in operationsToClose)
{
if (op.AmountInvested > 0)
{
Logger.Info("{0} - Closing operation {1}.", Time, op.ToString("c"));
}
else
{
Logger.Debug("{0} - Closing operation {1}.", Time, op.ToString("c"));
}
op.Close();
_ActiveOperations.Remove(op);
if (this.Config.SaveData || op.AmountInvested > 0)
{
this._ClosedOperations.Add(op);
}
this.SymbolsData[op.Symbol.Key].CloseOperation(op);
if (this.Config.SaveData)
{
lock (DbLock)
{
//update database
DbActiveOperations.Delete(op.Id);
DbClosedOperations.Upsert(op);
}
}
}
this.Db?.Commit();
}
//add new operations that have been created
foreach (var op in slice.NewOperations)
{
AddActiveOperation(op);
}
//manage orders
if (Executor != null)
{
await Executor.Update(slice);
}
//manage risk
if (RiskManager != null)
{
await RiskManager.Update(slice);
}
while (Commands.Count > 0)
{
try
{
if (Commands.TryDequeue(out Command command))
{
await command.Run();
}
}
catch (Exception ex)
{
Logger.Error($"Error while running command: {ex.Message}.");
}
}
if (Config.SaveData)
{
SaveNonVolatileVars();
}
}