public static OrderDetails GetLotSize(Tuple <bool, bool, int> db, OrderDetails orderDetails, Strategy strategy, SignalFile signalFile, Positions positions)
{
int signalDirection = signalFile.Signal;
//int tradeDirection;
int strategyCurrentPosition = db.Item3;
//Trade direction
//if (strategyCurrentPosition > 0 && signalDirection < 0)
//{
// tradeDirection = -1;
//}
//else if (strategyCurrentPosition < 0 && signalDirection > 0)
//{
// tradeDirection = 1;
//}
//else if (strategyCurrentPosition < 0 && signalDirection < 0)
//{
// tradeDirection = -1;
//}
//else if (strategyCurrentPosition > 0 && signalDirection > 0)
//{
// tradeDirection = 1;
//}
//else
//{
// tradeDirection = signalFile.Signal;
//}
if (positions.IBSymbol == strategy.Symbol && signalFile.StrategyName == strategy.StrategyName)
{
switch (signalFile.Exit)
{
case "0":
if (strategyCurrentPosition > 0 && strategyCurrentPosition != 0 && signalDirection < 0)
{
orderDetails.LotSize = (strategy.LotSize * 2);
}
else if (strategyCurrentPosition < 0 && strategyCurrentPosition != 0 && signalDirection > 0)
{
orderDetails.LotSize = (strategy.LotSize * 2);
}
else if (strategyCurrentPosition != 0)
{
orderDetails.LotSize = strategy.LotSize;
}
else
{
orderDetails.LotSize = strategy.LotSize;
}
break;
case "1":
//if (strategyCurrentPosition > 0 && signalDirection != tradeDirection)
//{
// orderDetails.LotSize = strategy.LotSize;
//}
//else if (strategyCurrentPosition < 0 && signalDirection != tradeDirection)
//{
// orderDetails.LotSize = strategy.LotSize;
//}
//else
//{
orderDetails.LotSize = strategy.LotSize;
//}
break;
}
}
else if (string.IsNullOrEmpty(positions.IBSymbol) && strategyCurrentPosition == 0)
{
orderDetails.LotSize = strategy.LotSize;
}
GetOrderSide(signalFile, orderDetails);
return(orderDetails);
}
public static void CheckLastTrade(SignalFile signalFile, Transactions transactions, SimpleLogger log, Positions positions, Tuple <bool, bool, int> db)
{
if (db.Item1)
{
log.Warning($"Trying to Exceed Max Position. No order sent for {signalFile.Output}");
}
if (signalFile.Signal == 1 && transactions.LastTradeSide == 1 && positions.IBCurrentPosition > 0 && signalFile.StrategyName == transactions.Strategy)
{
log.Warning($"Last order sent in db was a BUY for {signalFile.Output}");
}
if (signalFile.Signal == -1 && transactions.LastTradeSide == -1 && positions.IBCurrentPosition < 0 && signalFile.StrategyName == transactions.Strategy)
{
log.Warning($"Last order sent in db was a SELL for {signalFile.Output}");
}
}
public Controller(EClientSocket clientSocket, SimpleLogger log, Parameters @params, Strategy strategy, Broker broker, Positions positions, FuturesContract futures, Prices prices, Transactions transactions, Slack slack)
{
this.@params = @params;
this.log = log;
this.clientSocket = clientSocket;
this.strategy = strategy;
this.broker = broker;
this.futures = futures;
this.prices = prices;
this.transactions = transactions;
this.slack = slack;
}
public Tuple <bool, bool, int> GetMaxPosition(Strategy strategy, SignalFile signalFile, Transactions transactions, Positions positions, SimpleLogger log, Parameters @params)
{
bool MaxTradeFlag = true;
bool maxPosFlag;
double _position;
Tuple <bool, int> db = ComparePositionAtIBandDB(strategy, signalFile, positions, log, @params);
bool dbPosConflict = db.Item1;
int strategyCurrentPosition = db.Item2;
double calculatedMaxPosition;
//Converting position to positive number to validate if the number exceeds the max number for the strategy maximum position(s)
if (!dbPosConflict)
{
_position = (strategyCurrentPosition < 0) ? -1 * strategyCurrentPosition : strategyCurrentPosition;
calculatedMaxPosition = CalculateMaxPosition(_position, strategy, signalFile, transactions, log);
}
else
{
_position = (positions.IBCurrentPosition < 0) ? -1 * positions.IBCurrentPosition : positions.IBCurrentPosition;
if (dbPosConflict)//if dbconflict then the position in the database must be incorrect and last trade was never filled
{
if (positions.IBCurrentPosition > 0)
{
transactions.LastTradeSide = 1;
}
else if (positions.IBCurrentPosition < 0)
{
transactions.LastTradeSide = -1;
}
strategyCurrentPosition = positions.IBCurrentPosition;
log.Warning($"Positions conflict. Using IB Position for last trade side: {transactions.LastTradeSide}");
}
calculatedMaxPosition = CalculateMaxPosition(_position, strategy, signalFile, transactions, log);
}
if (calculatedMaxPosition > strategy.StrategyMaxPosition && calculatedMaxPosition >= strategy.MaxPositionForSymbol)
{
maxPosFlag = true;
log.Warning($"{signalFile.StrategyName} is trying to Exceed Strategy Max Position of {strategy.StrategyMaxPosition}.");
}
else if (calculatedMaxPosition <= strategy.StrategyMaxPosition)
{
maxPosFlag = false;
}
else
{
maxPosFlag = false;
}
log.Warning($"{signalFile.StrategyName} dbPosConflict:{dbPosConflict} MaxTradeFlag:{MaxTradeFlag} calculatedMaxPosition:{calculatedMaxPosition} strategy.StrategyMaxPosition:{strategy.StrategyMaxPosition} strategy.MaxPositionForSymbol:{strategy.MaxPositionForSymbol}");
if (signalFile.StrategyName == strategy.StrategyName && !maxPosFlag && strategyCurrentPosition != 0)
{
switch (signalFile.Signal)
{
case 1:
if (strategyCurrentPosition < 0)
{
MaxTradeFlag = false;
}
else if (strategyCurrentPosition > 0 && _position <= strategy.MaxPositionForSymbol)
{
MaxTradeFlag = false;
}
break;
case -1:
if (strategyCurrentPosition > 0)
{
MaxTradeFlag = false;
}
else if (strategyCurrentPosition < 0 && _position <= strategy.MaxPositionForSymbol)
{
MaxTradeFlag = false;
}
break;
}
}
else if (strategyCurrentPosition == 0)
{
MaxTradeFlag = false;
}
return(new Tuple <bool, bool, int>(MaxTradeFlag, dbPosConflict, strategyCurrentPosition));
}
public Tuple <bool, int> ComparePositionAtIBandDB(Strategy strategy, SignalFile signalFile, Positions positions, SimpleLogger log, Parameters @params)
{
bool dbPosConflict = false;
int dbPosition = DBFunctions.GetCurrentStrategyPositionFromDB(log, strategy);
if (dbPosition != positions.IBCurrentPosition && signalFile.StrategyName == strategy.StrategyName)
{
string slackMsg = $"*[POSITION CONFLICT]* *{strategy.StrategyName}* curr_Strategy_Position table:*{dbPosition}* and IB:*{IBCurrentPosition}*";
dbPosConflict = true;
log.Warning(slackMsg);
slack.SendMessageToSlack(slackMsg, @params);
}
return(new Tuple <bool, int>(dbPosConflict, dbPosition));
}
public static Positions SetIBPosition(Strategy strategy, int strategyPosition, Positions positions)
{
positions.IBSymbol = strategy.Symbol;
positions.IBCurrentPosition = strategyPosition;
return(positions);
}
public void ValidateConnectionToBroker(Strategy strategy, Positions positions)
{
int count = 0;
int n;
if (clientSocket.IsConnected())
{
UpdateIBPositionList(strategy, positions);
}
else
{
EWrapperImpl ibClient = new EWrapperImpl();
while (!clientSocket.IsConnected())
{
try { clientSocket.eConnect("127.0.0.1", 7496, 100); } catch (Exception ex) { this.log.Trace(ex.Message.ToString()); }
if (clientSocket.IsConnected())
{
var reader = new EReader(clientSocket, ibClient.Signal);
reader.Start();
new Thread(() =>
{
while (clientSocket.IsConnected())
{
ibClient.Signal.waitForSignal();
reader.processMsgs();
}
})
{
IsBackground = true
}.Start();
GetNextValideOrderId(ibClient);
}
if (!clientSocket.IsConnected())
{
if (count < Ordinal.Length - 1)
{
n = count;
}
else
{
n = Ordinal.Length - 1;
}
log.Warning($"{count + 1}{Ordinal[n].ToString()} attempt could not connect to IBApi. Retry in {[email protected]} seconds.");
// this.log.Warning($"{count + 1} attempt could not connect to IBApi. Retry in {[email protected]} seconds.");
Thread.Sleep(TimeSpan.FromSeconds([email protected]));
count++;
}
if (count > [email protected])
{
this.log.Warning("Closing. Could not establish connection.");
slack.SendMessageToSlack("*Closing App... Could not Establish Connection to Broker.*", @params);
Environment.Exit(1);
}
}
}
}
private void UpdateIBPositionList(Strategy strategy, Positions positions)
{
bool connectionOK = true;
int cnt = 0;
int n;
if (!string.IsNullOrEmpty(strategy.Symbol))
{
Positions.PositionList.Clear();
Positions.PositionEndFlag = false;
clientSocket.reqPositions();
while (!Positions.PositionEndFlag)
{
if (Positions.PositionEndFlag)
{
break;
}
if (!clientSocket.IsConnected())
{
ValidateConnectionToBroker(strategy, positions);
}
if (cnt >= @params.maxLoopCount)
{
connectionOK = false;
this.log.Warning("[IB WARNING] Could not update IB Positions.");
break;
}
if (cnt < Ordinal.Length - 1)
{
n = cnt;
}
else
{
n = Ordinal.Length - 1;
}
this.log.Warning($"Waiting for IB Positions to Update. {cnt + 1}{Ordinal[n].ToString()} try.");
cnt++;
}
if (connectionOK == false)
{
TimeSpan time = DateTime.Now.TimeOfDay;
if (time > new TimeSpan(00, 00, 00) && time < new TimeSpan(08, 00, 00))
{
slack.SendMessageToSlack("*Connection to Broker must have been lost.*", @params);
Thread.Sleep((TimeSpan.FromSeconds(60)));
RestartProgram();
}
else
{
slack.SendMessageToSlack("*Connection to Broker must have been lost.*", @params);
RestartProgram();
}
}
}
}