private void DoHedge(decimal currentDelta, decimal deltaStep)
{
QuoterStrategy mqs = null;
var hedgeSize = (currentDelta / deltaStep).PrepareSizeToTrade();
if (currentDelta > 0)
{
hedgeSize = hedgeSize.ShrinkSizeToTrade(Sides.Sell, _futuresPosition,
MinFuturesPositionVal);
if (hedgeSize <= 0)
{
return;
}
mqs = new MarketQuoterStrategy(Sides.Sell, hedgeSize, Security.GetMarketPrice(Sides.Sell));
_futuresPosition -= hedgeSize;
}
if (currentDelta < 0)
{
hedgeSize = hedgeSize.ShrinkSizeToTrade(Sides.Buy, _futuresPosition,
MaxFuturesPositionVal);
if (hedgeSize <= 0)
{
return;
}
mqs = new MarketQuoterStrategy(Sides.Buy, hedgeSize, Security.GetMarketPrice(Sides.Buy));
_futuresPosition += hedgeSize;
}
MarkStrategyLikeChild(mqs);
ChildStrategies.Add(mqs);
}
protected override void OnStarted()
{
if (SecurityWithSignalToClose == null)
{
DoStrategyPreparation(new Security[] { }, new Security[] { Security }, new Portfolio[] { Portfolio });
}
else
{
DoStrategyPreparation(new Security[] { }, new Security[] { Security, SecurityWithSignalToClose }, new Portfolio[] { Portfolio });
}
if (Volume <= 0 || _priceToClose <= 0)
{
throw new ArgumentException(
$"Volume: {Volume} or price to close: {_priceToClose} cannot be below zero");
}
;
this.WhenPositionChanged()
.Do(() =>
{
if (Math.Abs(Position) >= Volume)
{
PrimaryStopping();
}
})
.Apply(this);
//не проверяем время, т.к. правило выполняется Once()
TimingController.SetTimingUnnecessary();
if (SecurityWithSignalToClose == null)
{
var md = GetMarketDepth(Security);
Security.WhenMarketDepthChanged(Connector)
.Do(() =>
{
var mqs = new MarketQuoterStrategy(_strategyOrderSide, Volume, _priceToClose);
mqs.WhenStopped()
.Do(this.Stop)
.Once()
.Apply(this);
MarkStrategyLikeChild(mqs);
ChildStrategies.Add(mqs);
})
.Once()
.Apply(this);
}
else
{
PrimaryStrategy mqs = null;
var md = GetMarketDepth(SecurityWithSignalToClose);
var mqsStartRule = SecurityWithSignalToClose
.WhenMarketDepthChanged(Connector)
.Do(() =>
{
if (!IsTradingTime())
{
return;
}
//котировки специально развернуты неверно - как только была сделка на графике (ударили в аск или налили в бид) - закрываемся
if (_securityDesirableDirection == PriceDirection.Up && md.BestAsk.Price >= _priceToClose ||
_securityDesirableDirection == PriceDirection.Down && md.BestBid.Price <= _priceToClose)
{
// пока делаем по любой цене, как только сработает условие
mqs = new MarketQuoterStrategy(_strategyOrderSide, Volume, Security.GetMarketPrice(_strategyOrderSide));
mqs.WhenStopped()
.Do(this.Stop)
.Once()
.Apply(this);
MarkStrategyLikeChild(mqs);
ChildStrategies.Add(mqs);
}
})
.Until(() => mqs != null)
.Apply(this);
this.WhenStopping()
.Do(() => { /*NOP*/ })
.Apply(this)
.Exclusive(mqsStartRule);
}
base.OnStarted();
}
