private static void ConditionSamples(EClientSocket client, int nextOrderId)
{
//! [order_conditioning_activate]
Order mkt = OrderSamples.MarketOrder("BUY", 100);
//Order will become active if conditioning criteria is met
mkt.ConditionsCancelOrder = true;
mkt.Conditions.Add(OrderSamples.PriceCondition(208813720, "SMART", 600, false, false));
mkt.Conditions.Add(OrderSamples.ExecutionCondition("EUR.USD", "CASH", "IDEALPRO", true));
mkt.Conditions.Add(OrderSamples.MarginCondition(30, true, false));
mkt.Conditions.Add(OrderSamples.PercentageChangeCondition(15.0, 208813720, "SMART", true, true));
mkt.Conditions.Add(OrderSamples.TimeCondition("20160118 23:59:59", true, false));
mkt.Conditions.Add(OrderSamples.VolumeCondition(208813720, "SMART", false, 100, true));
client.placeOrder(nextOrderId++, ContractSamples.EuropeanStock(), mkt);
//! [order_conditioning_activate]
//Conditions can make the order active or cancel it. Only LMT orders can be conditionally canceled.
//! [order_conditioning_cancel]
Order lmt = OrderSamples.LimitOrder("BUY", 100, 20);
//The active order will be cancelled if conditioning criteria is met
lmt.ConditionsCancelOrder = true;
lmt.Conditions.Add(OrderSamples.PriceCondition(208813720, "SMART", 600, false, false));
client.placeOrder(nextOrderId++, ContractSamples.EuropeanStock(), lmt);
//! [order_conditioning_cancel]
}
//! ////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
private static void historicalTicks(EClientSocket client)
{
//! [reqhistoricalticks]
client.reqHistoricalTicks(18001, ContractSamples.USStockAtSmart(), "20170712 21:39:33", null, 10, "TRADES", 1, true, null);
client.reqHistoricalTicks(18002, ContractSamples.USStockAtSmart(), "20170712 21:39:33", null, 10, "BID_ASK", 1, true, null);
client.reqHistoricalTicks(18003, ContractSamples.USStockAtSmart(), "20170712 21:39:33", null, 10, "MIDPOINT", 1, true, null);
//! [reqhistoricalticks]
}
private static void realTimeBars(EClientSocket client)
{
client.reqRealTimeBars(3004, ContractSamples.FuturesOnOptionsES(), 5, "TRADES", true, null);
//! [reqrealtimebars]
Thread.Sleep(1000);
/*** Canceling real time bars ***/
//! [cancelrealtimebars]
client.cancelRealTimeBars(3004);
//! [cancelrealtimebars]
}
private static void headTimestamp(EClientSocket client)
{
//! [reqHeadTimeStamp]
client.reqHeadTimestamp(14001, ContractSamples.USStock(), "TRADES", 1, 1);
//! [reqHeadTimeStamp]
Thread.Sleep(1000);
//! [cancelHeadTimestamp]
client.cancelHeadTimestamp(14001);
//! [cancelHeadTimestamp]
}
private static void histogramData(EClientSocket client)
{
//! [reqHistogramData]
client.reqHistogramData(15001, ContractSamples.USStockWithPrimaryExch(), false, "1 week");
//! [reqHistogramData]
Thread.Sleep(2000);
//! [cancelHistogramData]
client.cancelHistogramData(15001);
//! [cancelHistogramData]
}
private static int getContractID(EClientSocket client, EWrapperImpl Allture, TradeBooks Book, int m, int leg, string sectype, string exchange)
{
Allture.checkContractEnd = false;
client.reqContractDetails(20010, ContractSamples.Contract_Options(Book.symbol[m], sectype, Book.expiration[m], Book.CallPut[m], leg, Book.multipler[m].ToString(), exchange));
//Thread.Sleep(sleep1);
while (!Allture.checkContractEnd)
{
Thread.Sleep(200);
}
Console.WriteLine("contract_ID: " + Allture.contract_ID + "\n");
return(Allture.contract_ID);
}
private static void historicalDataRequests(EClientSocket client)
{
/*** Requesting historical data ***/
//! [reqhistoricaldata]
String queryTime = DateTime.Now.AddMonths(-6).ToString("yyyyMMdd HH:mm:ss");
client.reqHistoricalData(4001, ContractSamples.EurGbpFx(), queryTime, "1 M", "1 day", "MIDPOINT", 1, 1, false, null);
client.reqHistoricalData(4002, ContractSamples.EuropeanStock(), queryTime, "10 D", "1 min", "TRADES", 1, 1, false, null);
//! [reqhistoricaldata]
Thread.Sleep(2000);
/*** Canceling historical data requests ***/
client.cancelHistoricalData(4001);
client.cancelHistoricalData(4002);
}
private static double getMktData(EClientSocket client, EWrapperImpl Allture, string symbol, string sectype, string expiration, string exchange)
{
if (string.IsNullOrEmpty(expiration))
{
client.reqMktData(1005, ContractSamples.Contract_RT(symbol, sectype, exchange), string.Empty, false, false, null);
}
else
{
client.reqMktData(1005, ContractSamples.Contract_FUT(symbol, sectype, expiration, exchange), string.Empty, false, false, null);
}
Thread.Sleep(sleep2);
client.cancelMktData(1005);
// Thread.Sleep(sleep0);
Console.WriteLine("\n price: " + Allture.mkt_price + "\n");
return(Allture.mkt_price);
}
private static double getSpreadPremium(EClientSocket client, EWrapperImpl Allture, TradeBooks Book, int m, double LegS, double LegB, string sectype, string exchange)
{
double LegB_price, LegS_price;
client.reqMktData(3011, ContractSamples.Contract_Options(Book.symbol[m], sectype, Book.expiration[m], Book.CallPut[m], LegB, Book.multipler[m].ToString(), exchange), string.Empty, false, false, null);
Thread.Sleep(1000);
client.cancelMktData(3011);
LegB_price = Allture.ask_price;
Console.WriteLine("legB ask: " + LegB_price + "\n");
client.reqMktData(3012, ContractSamples.Contract_Options(Book.symbol[m], sectype, Book.expiration[m], Book.CallPut[m], LegS, Book.multipler[m].ToString(), exchange), string.Empty, false, false, null);
Thread.Sleep(1000);
client.cancelMktData(3012);
LegS_price = Allture.ask_price;
Console.WriteLine("legS ask: " + LegS_price + "\n");
return(LegS_price - LegB_price);
}
static void Main(string[] args) {
ShowWindow(ThisConsole, MAXIMIZE);
int _nextValidId = 0;
TradesManagerStatic.AccountCurrency = "USD";
var ibClient = IBClientCore.Create(o => HandleMessage(o + ""));
ibClient.CommissionByTrade = (t) => 2;
ibClient.NextValidId += id => _nextValidId = id;
ibClient.CurrentTime += time => HandleMessage("Current Time: " + ibClient.ServerTime + "\n");
var coreFx = ibClient as ICoreFX;
//coreFx.LoginError += HandleError;
coreFx.SubscribeToPropertyChanged(ibc => ibc.SessionStatus, ibc => HandleMessage(new { ibc.SessionStatus } + ""));
//ibClient.PriceChanged += OnPriceChanged;
var fw = new IBWraper(coreFx, _ => 0);
var usdJpi2 = ContractSamples.FxContract("usd/jpy");
var gold = ContractSamples.Commodity("XAUUSD");
var es = ContractSamples.ContractFactory("ESM7");
var vx = ContractSamples.ContractFactory("VXH8");
var spy = ContractSamples.ContractFactory("SPY");
var svxy = ContractSamples.ContractFactory("SVXY");
//var opt = ContractSamples.Option("SPX","20180305",2695,true,"SPXW");
var opt = ContractSamples.Option("SPXW 180305C02680000");
var contract = spy;
AccountManager.NoPositionsPlease = false;
DataManager.DoShowRequestErrorDone = true;
const int twsPort = 7497;
ibClient.ManagedAccountsObservable.Subscribe(s => {
ibClient.ReqContractDetailsCached("VIX")
.Subscribe(_ => PriceHistory.AddTicks(fw, 1, "VIX", DateTime.Now.AddYears(-5), o => HandleMessage(o + "")));
return;
LoadHistory(ibClient, new[] { "VXQ8".ContractFactory() });
{// VIX
ibClient.ReqContractDetailsAsync(new Contract { Symbol = "ES", SecType = "FUT", Currency = "USD" })
//ibClient.ReqContractDetailsAsync(new Contract { LocalSymbol = "VXQ8", SecType = "FUT", Currency = "USD" })
.ToArray()
.Select(cds => cds.Select(cd => cd.Summary).OrderBy(c => c.LastTradeDateOrContractMonth))
.Subscribe(c => Console.WriteLine(c.ToJson(true)));
return;
}
HandleMessage($"{Thread.CurrentThread.ManagedThreadId}");
var am = fw.AccountManager;
(from options in am.CurrentOptions("VXX", 0, 2, 3, c => true)
select options)
.Subscribe(options => options.ForEach(o => Console.WriteLine(o)));
return;
var cdSPY = ibClient.ReqContractDetailsCached("SPY").ToEnumerable().ToArray();
var cdSPY2 = ibClient.ReqContractDetailsCached("SPY").ToEnumerable().ToArray();
Task.Delay(2000).ContinueWith(_ => {
ibClient.ReqCurrentOptionsAsync("ESM8", 2670, new[] { true, false }, 0, 1, 10)
.ToArray()
.ToEnumerable()
.ForEach(cds => {
cds.Take(50).ForEach(cd => HandleMessage2(cd));
HandleMessage("ReqCurrentOptionsAsync =============================");
});
ibClient.ReqCurrentOptionsAsync("ESM8", 2670, new[] { true, false }, 0, 1, 10)
.ToArray()
.ToEnumerable()
.ForEach(cds => {
cds.Take(50).ForEach(cd => HandleMessage2(cd));
HandleMessage("ReqCurrentOptionsAsync =============================");
});
//TestMakeBullPut("ESM8", false);
}); return;
TestParsedCombos();
TestCurrentStraddles(1, 1);
TestCurrentStraddles(1, 1); return;
TestCombosTrades(10).Subscribe(); return;
var cdsVXX = ibClient.ReqContractDetailsAsync("VXX 180329C00051500".ContractFactory()).ToEnumerable().Count(0, new { }).ToArray();
var symbols = new[] { "SPX", "VXX", "SPY" };
var timeOut = Observable.Return(0).Delay(TimeSpan.FromSeconds(100)).Timeout(TimeSpan.FromSeconds(15 * 1000)).Subscribe();
Stopwatch sw = Stopwatch.StartNew();
//.ForEach(trade => HandleMessage(new { trade.Pair}));
ProcessSymbols(1).Concat(TestCombosTrades(1)).ToEnumerable()
.ForEach(_ => {
timeOut.Dispose();
LoadHistory(ibClient, new[] { "spx".ContractFactory() });
});
//ShowTrades(fw);
//TestStraddleds();return;
//Contract.Contracts.OrderBy(c => c + "").ForEach(cached => HandleMessage(new { cached }));
//HandleMessage(nameof(ProcessSymbol) + " done =========================================================================");
#region Local Tests
void TestMakeBullPut(string symbol, bool placeOrder) {
HandleMessage2("MakeBullPut Start");
am.CurrentBullPuts(symbol, double.NaN, 1, 5, 0)
.ToEnumerable()
.Concat()
.Count(5, $"{nameof(TestMakeBullPut)}")
.ForEach(comboPrice => {
ibClient.ReqContractDetailsAsync(comboPrice.combo.contract)
.Subscribe(cd => {
});
comboPrice.combo.contract.Legs().Buffer(2).ForEach(b => Passager.ThrowIf(() => b[0].c.Strike - b[1].c.Strike != 5));
HandleMessage2(new { comboPrice.combo.contract });
ibClient.ReqPriceSafe(comboPrice.combo.contract, 4, true)
.ToEnumerable()
.ForEach(price => {
HandleMessage($"Observed {comboPrice.combo.contract} price:{price}");
if(placeOrder) {
HandleMessage2($"Placing SELL order for{comboPrice.combo.contract}");
am.OpenTrade(comboPrice.combo.contract, -1, price.ask.Avg(price.bid) * 0.55, 0, false, DateTime.MinValue);
}
});
HandleMessage2($"MakeBullPut Done ==================");
});
}
void TestMakeComboAll(bool placeOrder) {
HandleMessage2("ComboTrade Start");
AccountManager.MakeComboAll(am.Positions.Select(ct => (ct.contract, ct.position)), am.Positions, (pos, tradingClass) => pos.contract.TradingClass == tradingClass)
.ForEach(comboPrice => {
HandleMessage2(new { comboPrice.contract });
ibClient.ReqPriceSafe(comboPrice.contract.contract, 4, true)
.ToEnumerable()
.ForEach(price => {
HandleMessage($"Observed {comboPrice.contract} price:{price}");
if(placeOrder) {
HandleMessage2($"Placing SELL order for{comboPrice.contract}");
am.OpenTrade(comboPrice.contract.contract, -1, price.ask.Avg(price.bid) * 0.55, 0, false, DateTime.MinValue);
}
});
HandleMessage2($"ComboTrade Done ==================");
});
}
void TestCurrentStraddles(int count, int gap) {
var swCombo = Stopwatch.StartNew();
Observable.Interval(TimeSpan.FromMilliseconds(1000))
.Take(count)
.SelectMany(pea => TestImpl()).Subscribe();
IObservable<Unit> TestImpl() { // Combine positions
//HandleMessage("Combos:");
return am.CurrentStraddles("SPX", 1, 6, gap)
.Select(ts => ts.Select(t => new {
i = t.instrument,
bid = t.bid.Round(2),
ask = t.ask.Round(2),
avg = t.ask.Avg(t.bid),
time = t.time.ToString("HH:mm:ss"),
delta = t.delta.Round(3),
t.strikeAvg
}))
.Select(combos => {
HandleMessage("Current Straddles:");
combos.OrderBy(c => c.strikeAvg).ForEach(combo => HandleMessage(new { combo }));
//HandleMessage($"Conbos done ======================================");
HandleMessage($"Current Straddles done in {swCombo.ElapsedMilliseconds} ms =======================================");
swCombo.Restart();
return Unit.Default;
})
;
//HandleMessage($"Done in {swCombo.ElapsedMilliseconds} ms");
}
}
void TestParsedCombos() {
am.ComboTrades(1)
.ToArray()
.ToEnumerable()
.ToArray()
.ForEach(comboPrices => {
HandleMessage2("ComboTrades Start");
comboPrices.ForEach(comboPrice => HandleMessage2(new { comboPrice }));
HandleMessage2($"ComboTrades Done ==================");
});
}
IObservable<Unit> TestCombosTrades(int count) {
return ibClient.PriceChangeObservable
//.Throttle(TimeSpan.FromSeconds(0.1))
//.DistinctUntilChanged(_ => am.Positions.Count)
.Take(count)
.Select(pea => {
TestComboTradesImpl();
return Unit.Default;
});
void TestComboTradesImpl() { // Combine positions
var swCombo = Stopwatch.StartNew();
am.ComboTrades(1)
.ToArray()
.ToEnumerable()
.ToArray()
.ForEach(comboPrices => {
HandleMessage2("Matches: Start");
comboPrices.ForEach(comboPrice => HandleMessage2(new { comboPrice }));
HandleMessage2($"Matches: Done in {swCombo.ElapsedMilliseconds} ms =========================================");
});
}
}
IObservable<Unit> ProcessSymbols(int count) {
//return ibClient.PriceChangeObservable.Sample(TimeSpan.FromSeconds(0.1))
//.DistinctUntilChanged(_ => am.Positions.Count)
return Observable.Interval(TimeSpan.FromMilliseconds(100))
.Select(pea => {
TestImpl();
HandleMessage(nameof(ProcessSymbols) + " done =========================================================================");
return Unit.Default;
});
void TestImpl() {
var combos = symbols.Take(10).Buffer(10).Repeat(1).Select(b => b.Select(ProcessSymbol).Count(symbols.Length, new { }).ToArray())
.Do(list => {
//Passager.ThrowIf(() => list.Count != symbols.Length);
HandleMessage2(new { sw.ElapsedMilliseconds });
sw.Restart();
})
.ToList();
sw.Stop();
return;
(from cls in combos
from cl in cls
from c in cl
from o in c.options
select o
)
.ToObservable()
//.Do(_ => Thread.Sleep(200))
.SelectMany(option => ibClient.ReqPriceSafe(option, 1, false).Select(p => (option, p)))
.Subscribe(price => HandleMessage2($"Observed:{price}"));
}
IList<(Contract contract, Contract[] options)> ProcessSymbol(string symbol) {
//HandleMessage(new { symbol } + "");
// fw.AccountManager.BatterflyFactory("spx index").ToArray().ToEnumerable()
//ibClient.ReqPriceMarket(symbol).ToEnumerable().Count(1, "ReqMarketPrice").ForEach(mp => HandleMessage($"{symbol}:{new { mp = mp.ToJson() }}"));
//var cds = ibClient.ReqContractDetails(symbol);
//HandleMessage($"{symbol}: {cds.Select(cd => cd.Summary).Flatter(",") }");
return am.CurrentStraddles(symbol, 1, 4, 0)
//.Do(t => t.options.ForEach(c => ibClient.SetOfferSubscription(c, _ => { })))
.ToEnumerable()
.ToArray()
.Do(straddles => straddles.Count(4, new { }))
.Concat()
.Do(c => Passager.ThrowIf(() => !c.combo.contract.Key.Contains("[C-P]")))
.Do(straddle => {
HandleMessage2(new { straddle = straddle.combo.contract });
//ibClient.SetOfferSubscription(straddle.combo.contract);
ibClient.ReqPriceSafe(straddle.combo.contract, 2, false, double.NaN)
.Take(1)
.Subscribe(price => {
Passager.ThrowIf(() => price.ask <= 0 || price.bid <= 0);
HandleMessage2($"Observed:{straddle.instrument}{price}");
});
})
.Select(straddle => straddle.combo)
.ToArray();
}
}
(Contract contract, Contract[] options)[] TestStraddleds(string symbol, int gap) {
var straddlesCount = 5;
var expirationCount = 1;
int expirationDaysSkip = 0;
var price = ibClient.ReqContractDetailsCached(symbol).SelectMany(cd => ibClient.ReqPriceSafe(cd.Summary, 1, true).Select(p => p.ask.Avg(p.bid)).Do(mp => HandleMessage($"{symbol}:{new { mp }}")));
var contracts = (from p in price
from str in fw.AccountManager.MakeStraddles(symbol, p, expirationDaysSkip, expirationCount, straddlesCount, gap)
select str)
.ToEnumerable()
.ToArray()
.Count(straddlesCount * expirationCount, i => { Debugger.Break(); }, i => { Debugger.Break(); }, new { straddlesCount, expirationCount })
.Do(c => Passager.ThrowIf(() => !c.contract.Key.Contains("[C-P]")))
.ToArray();
//Passager.ThrowIf(() => !IBClientCore.OptionChainCache.Count(1, new { }).Do(HandleMessage).Any(x => x.Value.tradingClass == "SPXW"));
return contracts;
}
void StressTest() =>
symbols.Take(10).Buffer(10).Repeat(10000).ToObservable()
.Do(_ => { Thread.Sleep(100); })
.SelectMany(b => b.Select(sym => ibClient.ReqContractDetailsAsync(sym.ContractFactory())))
.Merge()
.Subscribe();
#endregion
});
public static int Main(string[] args)
{
// specify account and strategy
string IBaccount = TradeBooks.accountInit();
string tradingModel = "es_growth";
string tradingInstrument = "ES";
int multipler = 50;
int tryCNT = 1;
int tryGap = (int)openBook.gap * 20;
int bestCNT = 0;
double[] Returns = new double[2];
double[] Premium = new double[tryCNT];
int[] LegB_ID = new int[tryCNT];
int[] LegB = new int[tryCNT];
int legS;
int legS_ID;
openBook.positionCNT = 1;
for (int n = 0; n < openBook.positionCNT; n++)
{
openBook.symbol[n] = tradingInstrument;
openBook.multipler[n] = multipler;
}
//! start the connection
int[] channel = new int[2];
channel = TradeBooks.channelSetup(IBaccount, tradingModel);
EClientSocket clientSocket = Allture.ClientSocket;
EReaderSignal readerSignal = Allture.Signal;
//! [connect]
clientSocket.eConnect("127.0.0.1", channel[0], channel[1]);
//! [connect]
//! [ereader]
//Create a reader to consume messages from the TWS. The EReader will consume the incoming messages and put them in a queue
var reader = new EReader(clientSocket, readerSignal);
reader.Start();
//Once the messages are in the queue, an additional thread can be created to fetch them
new Thread(() => { while (clientSocket.IsConnected())
{
readerSignal.waitForSignal(); reader.processMsgs();
}
})
{
IsBackground = true
}.Start();
//! [ereader]
//**** current time *****
string date_time, last_time;
date_time = DateTime.Now.ToString("hh:mm:ss tt");
//**************************
//*** Account Info ***
//**************************
clientSocket.reqAccountSummary(9001, "All", AccountSummaryTags.GetAllTags());
Thread.Sleep(1000);
Console.WriteLine("account ID: " + Allture.account_ID);
Console.WriteLine("account Value: " + Allture.account_value);
Console.WriteLine("account_BuyingPower: " + Allture.account_BuyingPower);
Console.WriteLine("account_InitMarginReq: " + Allture.account_InitMarginReq);
Console.WriteLine("account_MaintMarginReq: " + Allture.account_MaintMarginReq);
Console.WriteLine("account_ExcessLiquidity: " + Allture.account_ExcessLiquidity);
Console.WriteLine("account_AvailableFunds: " + Allture.account_AvailableFunds);
Console.WriteLine("\n");
Allture.remainingOrderSize = 100000; // set to maxium order size
clientSocket.reqMarketDataType(1);
// clientSocket.reqGlobalCancel();
Thread.Sleep(sleep1);
while ((DateTime.Now > Convert.ToDateTime("09:30:00 AM")) && (DateTime.Now < Convert.ToDateTime("16:00:00 PM")))
{
last_time = date_time;
for (int n = 0; n < openBook.positionCNT; n++)
{
if (openBook.status[n] == "complete")
{
continue;
}
if (openBook.status[n] == "submit")
{
Allture.currOrderId = openBook.currOrderID[n];
Allture.remainingOrderSize = 0;
Allture.checkOrderEnd = false;
clientSocket.reqOpenOrders();
while (!Allture.checkOrderEnd)
{
Thread.Sleep(200);
}
if (Allture.remainingOrderSize == 0)
{
openBook.status[n] = "complete";
openBook.capital[n] = 0;
openBook.size[n] = 0;
continue; // if remaining size = 0, means this order has completely filled. then go to the next position
}
}
legS = 2700;
legS_ID = getContractID(clientSocket, Allture, openBook, n, legS, "FOP", "GLOBEX");
LegB[0] = legS - 100;
LegB_ID[0] = getContractID(clientSocket, Allture, openBook, n, LegB[0], "FOP", "GLOBEX");
//******* check the order status again. if still exiting, cancel the order order, update the order size and capital
if (openBook.status[n] == "submit")
{
Allture.currOrderId = openBook.currOrderID[n];
Allture.remainingOrderSize = 0;
Allture.checkOrderEnd = false;
clientSocket.reqOpenOrders();
while (!Allture.checkOrderEnd)
{
Thread.Sleep(200);
}
if (Allture.remainingOrderSize == 0)
{
openBook.status[n] = "complete";
openBook.capital[n] = 0;
openBook.size[n] = 0;
continue;
}
else
{
clientSocket.cancelOrder(openBook.currOrderID[n]); //cancel existing order
Thread.Sleep(sleep1);
openBook.status[n] = "cancel";
if (Allture.remainingOrderSize > openBook.size[n])
{
Allture.remainingOrderSize = openBook.size[n];
}
openBook.capital[n] = openBook.capital[n] - (openBook.size[n] - Allture.remainingOrderSize) * openBook.margin[n];
openBook.size[n] = (int)(openBook.usingCapital * openBook.capital[n] / 10000);
}
}
else
{
openBook.size[n] = (int)(100);
}
//********* Place order ************************
clientSocket.reqIds(-1);
Thread.Sleep(sleep1);
clientSocket.placeOrder(Allture.NextOrderId, ContractSamples.Contract_Combo(openBook.symbol[n], "BAG", openBook.expiration[n], openBook.CallPut[n], LegB_ID[0], legS_ID, openBook.multipler[n].ToString(), "GLOBEX"), OrderSamples.ComboLimitOrder("BUY", openBook.size[n], -1.0, false));
Thread.Sleep(sleep1);
//********* update remaining of the trading book **************
openBook.status[n] = "submit";
openBook.currOrderID[n] = Allture.NextOrderId;
openBook.legS[n] = legS;
openBook.legB[n] = LegB[0];
openBook.premium[n] = 1.0;
}
}
clientSocket.reqGlobalCancel();
Thread.Sleep(sleep1);
Console.WriteLine("today's trading is done...time: " + DateTime.Now);
clientSocket.eDisconnect();
return(0);
}
public static int Main(string[] args)
{
// specify account and strategy
string IBaccount = TradeBooks.accountInit();
string tradingModel = "monitor";
double indexPrice = 0, lastPrice = 0, vixPrice = 0, vix1Price = 0, vix2Price = 0;
int legB_ID, legS_ID;
double spread_premium;
//*** set the monitoring parameters **********
bool autoExit = false;
double SPXexitPoint = 30;
double ESexitPoint = 30;
double CLexitPoint = 3;
double GCexitPoint = 20;
double exitPoint = 100;
int Alert1 = 0;
int Alert2 = 0;
bool[] alert1 = new bool[Constants.max_position];
bool[] alert2 = new bool[Constants.max_position];
bool[] alert3 = new bool[Constants.max_position];
bool alert_vix = false; // vix/vix1 backwardation
bool alert_vix1 = false; // vix1/vix2 backwardation
List <double> putSPXlegS = new List <double>();
List <double> callSPXlegS = new List <double>();
List <double> putESlegS = new List <double>();
List <double> callESlegS = new List <double>();
List <double> putCLlegS = new List <double>();
List <double> callCLlegS = new List <double>();
List <double> putGClegS = new List <double>();
List <double> callGClegS = new List <double>();
//**** current date and time *****
string date_time, today;
date_time = DateTime.Now.ToString("h:mm:ss tt");
today = DateTime.Now.ToString("MMdd");
// today = "0928"; // if today is not the trading close day
//***** set up excel **************
_Excel.Application excel = new _Excel.Application();
excel.DisplayAlerts = false;
_Excel.Workbook monitor_wb = excel.Workbooks.Open("C:\\Users\\Jack\\Documents\\Companies\\allture\\Trading\\option_spread\\Accounts\\All_Account_Oct_2018.xlsm");
_Excel.Worksheet csheet = monitor_wb.Worksheets[today];
// string path = TradeBooks.xlsPathSetup(IBaccount);
// _Excel.Workbook monitor_wb = excel.Workbooks.Open(path + IBaccount + "\\account_" + IBaccount + ".xlsm");
// _Excel.Worksheet csheet = monitor_wb.Worksheets["Positions"];
Console.WriteLine("\n start calculating, time: " + DateTime.Now + " \n");
//******* read position data to openBook
position_xls_readin(csheet, openBook);
monitor_wb.Close(0);
excel.Quit();
for (int n = 0; n < openBook.positionCNT; n++)
{
if (openBook.symbol[n] == "SPX")
{
if (openBook.CallPut[n] == "Put")
{
putSPXlegS.Add(openBook.legS[n]);
}
else
{
callSPXlegS.Add(openBook.legS[n]);
}
}
if (openBook.symbol[n] == "ES")
{
if (openBook.CallPut[n] == "Put")
{
putESlegS.Add(openBook.legS[n]);
}
else
{
callESlegS.Add(openBook.legS[n]);
}
}
if (openBook.symbol[n] == "CL")
{
if (openBook.CallPut[n] == "Put")
{
putCLlegS.Add(openBook.legS[n]);
}
else
{
callCLlegS.Add(openBook.legS[n]);
}
}
if (openBook.symbol[n] == "GC")
{
if (openBook.CallPut[n] == "Put")
{
putGClegS.Add(openBook.legS[n]);
}
else
{
callGClegS.Add(openBook.legS[n]);
}
}
}
callSPXlegS.Sort((s1, s2) => s1.CompareTo(s2));
callESlegS.Sort((s1, s2) => s1.CompareTo(s2));
callCLlegS.Sort((s1, s2) => s1.CompareTo(s2));
callGClegS.Sort((s1, s2) => s1.CompareTo(s2));
putSPXlegS.Sort((s1, s2) => s2.CompareTo(s1));
putESlegS.Sort((s1, s2) => s2.CompareTo(s1));
putCLlegS.Sort((s1, s2) => s2.CompareTo(s1));
putGClegS.Sort((s1, s2) => s2.CompareTo(s1));
//! start the connection ********************************//
int[] channel = new int[2];
channel = TradeBooks.channelSetup(IBaccount, tradingModel);
EClientSocket clientSocket = Allture.ClientSocket;
EReaderSignal readerSignal = Allture.Signal;
//! [connect]
clientSocket.eConnect("127.0.0.1", channel[0], channel[1]);
//! [connect]
//! [ereader]
//Create a reader to consume messages from the TWS. The EReader will consume the incoming messages and put them in a queue
var reader = new EReader(clientSocket, readerSignal);
reader.Start();
//Once the messages are in the queue, an additional thread can be created to fetch them
new Thread(() => { while (clientSocket.IsConnected())
{
readerSignal.waitForSignal(); reader.processMsgs();
}
})
{
IsBackground = true
}.Start();
//! [ereader]
//**************************
//*** Account Info ***
//**************************
clientSocket.reqAccountSummary(9001, "All", AccountSummaryTags.GetAllTags());
Thread.Sleep(1000);
Console.WriteLine("account ID: " + Allture.account_ID);
Console.WriteLine("account Value: " + Allture.account_value);
Console.WriteLine("account_BuyingPower: " + Allture.account_BuyingPower);
Console.WriteLine("account_ExcessLiquidity: " + Allture.account_ExcessLiquidity);
Console.WriteLine("account_AvailableFunds: " + Allture.account_AvailableFunds);
Console.WriteLine("\n");
//******* calculate the adj std, return with spx, vix, vxx at order execuation in xls
// runSPXstrategyCurr(trading_new, csheet, clientSocket);
for (int n = 0; n < openBook.positionCNT; n++)
{
alert1[n] = false;
alert2[n] = false;
alert3[n] = false;
}
clientSocket.reqMarketDataType(1);
Thread.Sleep(sleep1);
while ((DateTime.Now > Convert.ToDateTime("09:30:00 AM")) && (DateTime.Now < Convert.ToDateTime("16:01:00 PM")))
{
do
{
indexPrice = getMktData(clientSocket, Allture, "SPX", "IND", "", "CBOE");
}while (indexPrice == lastPrice);
lastPrice = indexPrice; // to ensure vix, vix1, vix2 not consecutive, since their prices aren't chaning very much each time, can't be consecutive for lastPrice.
do
{
vixPrice = getMktData(clientSocket, Allture, "VIX", "IND", "", "CBOE");
}while (vixPrice == lastPrice);
lastPrice = vixPrice;
do
{
indexPrice = getMktData(clientSocket, Allture, "SPX", "IND", "", "CBOE");
}while (indexPrice == lastPrice);
lastPrice = indexPrice; // to ensure vix, vix1, vix2 not consecutive, since their prices aren't chaning very much each time, can't be consecutive for lastPrice.
do
{
vix1Price = getMktData(clientSocket, Allture, "VIX", "FUT", openBook.vx1Exp, "CFE");
}while (vix1Price == lastPrice);
lastPrice = vix1Price;
do
{
indexPrice = getMktData(clientSocket, Allture, "SPX", "IND", "", "CBOE");
}while (indexPrice == lastPrice);
lastPrice = indexPrice; // to ensure vix, vix1, vix2 not consecutive, since their prices aren't chaning very much each time, can't be consecutive for lastPrice.
do
{
vix2Price = getMktData(clientSocket, Allture, "VIX", "FUT", openBook.vx2Exp, "CFE");
}while (vix2Price == lastPrice);
lastPrice = vix2Price;
Console.WriteLine("\n UX2 price: " + vix2Price + "\n");
if (!alert_vix && (vix1Price < vixPrice))
{
SendMail("*****@*****.**", "Alert vix backwardation ! ", "VIX:" + vixPrice + " UX1:" + vix1Price);
// SendMail("*****@*****.**", "Alert vix backwardation ! ", "VIX:" + vixPrice + " UX1:" + vix1Price);
alert_vix = true;
}
if (!alert_vix1 && (vix2Price < vix1Price))
{
SendMail("*****@*****.**", "Alert UX1 backwardation ! ", "UX1:" + vix1Price + " UX2:" + vix2Price);
// SendMail("*****@*****.**", "Alert UX1 backwardation ! ", "UX1:" + vix1Price + " UX2:" + vix2Price);
alert_vix1 = true;
}
for (int n = 0; n < openBook.positionCNT; n++)
{
if (openBook.size[n] == 0)
{
continue;
}
//**********************************************************
//*** Real time market price - Real Time Index bid/ask/mid**
//**********************************************************
if (openBook.symbol[n] == "SPX")
{
if (openBook.CallPut[n] == "Put")
{
if (openBook.legS[n] < putSPXlegS[0])
{
continue;
}
}
do
{
indexPrice = getMktData(clientSocket, Allture, "SPX", "IND", "", "CBOE");
}while (indexPrice == lastPrice);
lastPrice = indexPrice;
Console.WriteLine("\n spx price: " + indexPrice + "\n");
exitPoint = SPXexitPoint;
}
else if (openBook.symbol[n] == "ES")
{
if (openBook.CallPut[n] == "Put")
{
if (openBook.legS[n] < putESlegS[0])
{
continue;
}
}
do
{
indexPrice = getMktData(clientSocket, Allture, "ES", "FUT", openBook.underlyingExp[n], "GLOBEX");
}while (indexPrice == lastPrice);
lastPrice = indexPrice;
Console.WriteLine("\n es price: " + indexPrice + "\n");
exitPoint = ESexitPoint;
}
else if (openBook.symbol[n] == "CL")
{
if (openBook.CallPut[n] == "Put")
{
if (openBook.legS[n] < putCLlegS[0])
{
continue;
}
}
do
{
indexPrice = getMktData(clientSocket, Allture, "CL", "FUT", openBook.underlyingExp[n], "NYMEX");
}while (indexPrice == lastPrice);
lastPrice = indexPrice;
Console.WriteLine("\n cl price: " + indexPrice + "\n");
exitPoint = CLexitPoint;
}
else if (openBook.symbol[n] == "GC")
{
if (openBook.CallPut[n] == "Put")
{
if (openBook.legS[n] < putGClegS[0])
{
continue;
}
}
do
{
indexPrice = getMktData(clientSocket, Allture, "GC", "FUT", openBook.underlyingExp[n], "NYMEX");
}while (indexPrice == lastPrice);
lastPrice = indexPrice;
Console.WriteLine("\n GC price: " + indexPrice + "\n");
exitPoint = GCexitPoint;
}
else
{
continue;
}
if (openBook.CallPut[n] == "Put")
{
if (!alert1[n] && (indexPrice <= (openBook.legS[n] + exitPoint + Alert1)))
{
// if alert1, sending email;
SendMail("*****@*****.**", "Alert1 !! " + openBook.model[n], openBook.symbol[n] + " " + indexPrice + ", " + openBook.legS[n] + ", " + openBook.expiration[n].Substring(4) + ", " + openBook.size[n] + ", " + openBook.accountID[n]);
// SendMail("*****@*****.**", "Alert1 ! " + openBook.model[n], openBook.symbol[n] + " " + indexPrice + ", " + openBook.legS[n] + ", " + openBook.expiration[n].Substring(4) + ", " + openBook.size[n] + ", " + openBook.accountID[n]);
alert1[n] = true;
}
/* if (!alert2[n] && (indexPrice <= (openBook.legS[n] + exitPoint + Alert2)))
* // {
* // if alert2, sending email;
* // SendMail("*****@*****.**", "Alert2 !! " + openBook.model[n], openBook.symbol[n] + " " + indexPrice + ", " + openBook.legS[n] + ", " + openBook.expiration[n].Substring(4) + ", " + openBook.legS[n] + ", " + openBook.size[n] + ", " + openBook.accountID[n]);
* // SendMail("*****@*****.**", "Alert2 ! " + openBook.model[n], openBook.symbol[n] + " " + indexPrice + ", " + openBook.legS[n] + ", " + openBook.expiration[n].Substring(4) + ", " + openBook.size[n] + ", " + openBook.accountID[n]);
* // alert2[n] = true;
* // }
* if (!alert3[n] && (indexPrice <= (openBook.legS[n] + exitPoint)))
* {
* // if alert3, sending email;
* SendMail("*****@*****.**", "Alert3 !! " + openBook.model[n], openBook.symbol[n] + " " + indexPrice + ", " + openBook.legS[n] + ", " + openBook.expiration[n].Substring(4) + ", " + openBook.size[n] + ", " + openBook.accountID[n]);
* // SendMail("*****@*****.**", "Alert3 ! " + openBook.model[n], openBook.symbol[n] + " " + indexPrice + ", " + ", " + openBook.legS[n] + openBook.expiration[n].Substring(4) + ", " + openBook.size[n] + ", " + openBook.accountID[n]);
* alert3[n] = true;
* }
*/
// very complicated for auto exit and high risk, need more time to think through !!!
// seems if we don't directly get position info from IB, then should not do any auto exits
if (autoExit)
{
if (alert3[n])
{
//*** estimate the current spread's price and contract ID for combo orders
if (openBook.symbol[n] == "SPX")
{
spread_premium = 0;
// spread_premium = 0.05 + getSpreadPremium(clientSocket, Allture, openBook, n, openBook.legS[n], openBook.legB[n], "OPT", "SMART");
legS_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legS[n], "OPT", "SMART");
legB_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legB[n], "OPT", "SMART");
//********* Place order ***************************
clientSocket.reqIds(-1);
Thread.Sleep(sleep1);
clientSocket.placeOrder(Allture.NextOrderId, ContractSamples.Contract_Combo(openBook.symbol[n], "BAG", openBook.expiration[n], openBook.CallPut[n], legB_ID, legS_ID, "100", "SMART"), OrderSamples.ComboLimitOrder("SELL", openBook.size[n], -spread_premium, false));
Thread.Sleep(sleep2);
openBook.size[n] = 0;
if (openBook.legS[n] == putSPXlegS[0])
{
putSPXlegS.RemoveAt(0);
}
// else if (openBook.legS[n] == putSPXlegS[1]) putSPXlegS.RemoveAt(1);
// else if (openBook.legS[n] == putSPXlegS[2]) putSPXlegS.RemoveAt(2);
}
else if (openBook.symbol[n] == "ES")
{
spread_premium = 0;
// spread_premium = 0.05 + getSpreadPremium(clientSocket, Allture, openBook, n, openBook.legS[n], openBook.legB[n], "FOP", "GLOBEX");
legS_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legS[n], "FOP", "GLOBEX");
legB_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legB[n], "FOP", "GLOBEX");
//********* Place order ************************
clientSocket.reqIds(-1);
Thread.Sleep(sleep1);
clientSocket.placeOrder(Allture.NextOrderId, ContractSamples.Contract_Combo(openBook.symbol[n], "BAG", openBook.expiration[n], openBook.CallPut[n], legB_ID, legS_ID, "50", "GLOBEX"), OrderSamples.ComboLimitOrder("SELL", openBook.size[n], -spread_premium, false));
Thread.Sleep(sleep2);
openBook.size[n] = 0;
if (openBook.legS[n] == putESlegS[0])
{
putESlegS.RemoveAt(0);
}
// else if (openBook.legS[n] == putESlegS[1]) putESlegS.RemoveAt(1);
// else if (openBook.legS[n] == putESlegS[2]) putESlegS.RemoveAt(2);
}
else if (openBook.symbol[n] == "CL")
{
spread_premium = 0;
// spread_premium = getSpreadPremium(clientSocket, Allture, openBook, n, openBook.legS[n], openBook.legB[n], "FOP", "NYMEX");
legS_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legS[n], "FOP", "NYMEX");
legB_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legB[n], "FOP", "NYMEX");
//********* Place order ************************
clientSocket.reqIds(-1);
Thread.Sleep(sleep1);
clientSocket.placeOrder(Allture.NextOrderId, ContractSamples.Contract_Combo(openBook.symbol[n], "BAG", openBook.expiration[n], openBook.CallPut[n], legB_ID, legS_ID, "1000", "NYMEX"), OrderSamples.ComboLimitOrder("SELL", openBook.size[n], -spread_premium, false));
Thread.Sleep(sleep2);
openBook.size[n] = 0;
if (openBook.legS[n] == putESlegS[0])
{
putCLlegS.RemoveAt(0);
}
// else if (openBook.legS[n] == putESlegS[1]) putESlegS.RemoveAt(1);
// else if (openBook.legS[n] == putESlegS[2]) putESlegS.RemoveAt(2);
}
else if (openBook.symbol[n] == "GC")
{
spread_premium = 0;
// spread_premium = getSpreadPremium(clientSocket, Allture, openBook, n, openBook.legS[n], openBook.legB[n], "FOP", "NYMEX");
legS_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legS[n], "FOP", "NYMEX");
legB_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legB[n], "FOP", "NYMEX");
//********* Place order ************************
clientSocket.reqIds(-1);
Thread.Sleep(sleep1);
clientSocket.placeOrder(Allture.NextOrderId, ContractSamples.Contract_Combo(openBook.symbol[n], "BAG", openBook.expiration[n], openBook.CallPut[n], legB_ID, legS_ID, "100", "NYMEX"), OrderSamples.ComboLimitOrder("SELL", openBook.size[n], -spread_premium, false));
Thread.Sleep(sleep2);
openBook.size[n] = 0;
if (openBook.legS[n] == putESlegS[0])
{
putGClegS.RemoveAt(0);
}
// else if (openBook.legS[n] == putESlegS[1]) putESlegS.RemoveAt(1);
// else if (openBook.legS[n] == putESlegS[2]) putESlegS.RemoveAt(2);
}
else
{
continue;
}
// very complicated, need more time to think through !!! one thought - just simply place order, don't cancel it, until it filled
// seems if we don't directly get position info from IB, then should not do any auto exits
}
}
}
else if (openBook.CallPut[n] == "Call")
{
if (!alert3[n] && (indexPrice >= (openBook.legS[n] - exitPoint)))
{
// if alert3, sending email;
SendMail("*****@*****.**", "call Alert3 !! " + openBook.model[n], openBook.symbol[n] + " " + indexPrice + ", " + openBook.legS[n] + ", " + openBook.expiration[n].Substring(4) + ", " + openBook.size[n] + ", " + openBook.accountID[n]);
SendMail("*****@*****.**", "call Alert3 ! " + openBook.model[n], openBook.symbol[n] + " " + indexPrice + ", " + ", " + openBook.legS[n] + openBook.expiration[n].Substring(4) + ", " + openBook.size[n] + ", " + openBook.accountID[n]);
alert3[n] = true;
}
// very complicated for auto exit and high risk, need more time to think through !!!
// seems if we don't directly get position info from IB, then should not do any auto exits
// must have the auto exit. otherwise, you can't handle that many position mannually. and sychological/emotion is another issue.
if (autoExit)
{
if (alert3[n])
{
//*** estimate the current spread's price and contract ID for combo orders
if (openBook.symbol[n] == "SPX")
{
// spread_premium = 0;
spread_premium = 0.05 + getSpreadPremium(clientSocket, Allture, openBook, n, openBook.legS[n], openBook.legB[n], "OPT", "SMART");
legS_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legS[n], "OPT", "SMART");
legB_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legB[n], "OPT", "SMART");
//********* Place order ***************************
clientSocket.reqIds(-1);
Thread.Sleep(sleep1);
clientSocket.placeOrder(Allture.NextOrderId, ContractSamples.Contract_Combo(openBook.symbol[n], "BAG", openBook.expiration[n], openBook.CallPut[n], legB_ID, legS_ID, "100", "SMART"), OrderSamples.ComboLimitOrder("SELL", openBook.size[n], -spread_premium, false));
Thread.Sleep(sleep2);
openBook.size[n] = 0;
if (openBook.legS[n] == callSPXlegS[0])
{
callSPXlegS.RemoveAt(0);
}
// else if (openBook.legS[n] == callSPXlegS[1]) callSPXlegS.RemoveAt(1);
// else if (openBook.legS[n] == callSPXlegS[2]) callSPXlegS.RemoveAt(2);
}
else if (openBook.symbol[n] == "ES")
{
// spread_premium = 0;
spread_premium = 0.05 + getSpreadPremium(clientSocket, Allture, openBook, n, openBook.legS[n], openBook.legB[n], "FOP", "GLOBEX");
legS_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legS[n], "FOP", "GLOBEX");
legB_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legB[n], "FOP", "GLOBEX");
//********* Place order ************************
clientSocket.reqIds(-1);
Thread.Sleep(sleep1);
clientSocket.placeOrder(Allture.NextOrderId, ContractSamples.Contract_Combo(openBook.symbol[n], "BAG", openBook.expiration[n], openBook.CallPut[n], legB_ID, legS_ID, "50", "GLOBEX"), OrderSamples.ComboLimitOrder("SELL", openBook.size[n], -spread_premium, false));
Thread.Sleep(sleep2);
openBook.size[n] = 0;
if (openBook.legS[n] == callESlegS[0])
{
callESlegS.RemoveAt(0);
}
// else if (openBook.legS[n] == callESlegS[1]) callESlegS.RemoveAt(1);
// else if (openBook.legS[n] == callESlegS[2]) callESlegS.RemoveAt(2);
else if (openBook.symbol[n] == "CL")
{
spread_premium = 0;
// spread_premium = getSpreadPremium(clientSocket, Allture, openBook, n, openBook.legS[n], openBook.legB[n], "FOP", "NYMEX");
legS_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legS[n], "FOP", "NYMEX");
legB_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legB[n], "FOP", "NYMEX");
//********* Place order ************************
clientSocket.reqIds(-1);
Thread.Sleep(sleep1);
clientSocket.placeOrder(Allture.NextOrderId, ContractSamples.Contract_Combo(openBook.symbol[n], "BAG", openBook.expiration[n], openBook.CallPut[n], legB_ID, legS_ID, "1000", "NYMEX"), OrderSamples.ComboLimitOrder("SELL", openBook.size[n], -spread_premium, false));
Thread.Sleep(sleep2);
openBook.size[n] = 0;
if (openBook.legS[n] == callCLlegS[0])
{
callCLlegS.RemoveAt(0);
}
// else if (openBook.legS[n] == callCLlegS[1]) callCLlegS.RemoveAt(1);
// else if (openBook.legS[n] == callCLlegS[2]) callCLlegS.RemoveAt(2);
}
else if (openBook.symbol[n] == "GC")
{
spread_premium = 0;
// spread_premium = getSpreadPremium(clientSocket, Allture, openBook, n, openBook.legS[n], openBook.legB[n], "FOP", "NYMEX");
legS_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legS[n], "FOP", "NYMEX");
legB_ID = getContractID(clientSocket, Allture, openBook, n, openBook.legB[n], "FOP", "NYMEX");
//********* Place order ************************
clientSocket.reqIds(-1);
Thread.Sleep(sleep1);
clientSocket.placeOrder(Allture.NextOrderId, ContractSamples.Contract_Combo(openBook.symbol[n], "BAG", openBook.expiration[n], openBook.CallPut[n], legB_ID, legS_ID, "100", "NYMEX"), OrderSamples.ComboLimitOrder("SELL", openBook.size[n], -spread_premium, false));
Thread.Sleep(sleep2);
openBook.size[n] = 0;
if (openBook.legS[n] == callCLlegS[0])
{
callGClegS.RemoveAt(0);
}
// else if (openBook.legS[n] == callCLlegS[1]) callCLlegS.RemoveAt(1);
// else if (openBook.legS[n] == callCLlegS[2]) callCLlegS.RemoveAt(2);
}
// very complicated, need more time to think through !!! one thought - just simply place order, don't cancel it, until it filled
// seems if we don't directly get position info from IB, then should not do any auto exits
}
}
}
}
}
}
Console.WriteLine("\n start finish, time: " + DateTime.Now + " \n");
return(0);
}
