/// <summary>
/// Order side to bonary direction
/// </summary>
/// <param name="position"></param>
/// <returns></returns>
protected int GetDirection(ITransactionPositionModel position)
{
switch (position.Side)
{
case OrderSideEnum.Buy: return(1);
case OrderSideEnum.Sell: return(-1);
}
return(0);
}
/// <summary>
/// Update position properties based on specified order
/// </summary>
/// <param name="position"></param>
/// <param name="order"></param>
protected virtual ITransactionPositionModel UpdatePositionProps(ITransactionPositionModel position, ITransactionOrderModel order)
{
position.Id = order.Id;
position.Name = order.Name;
position.Description = order.Description;
position.Type = order.Type;
position.Size = order.Size;
position.Side = order.Side;
position.Group = order.Group;
position.Price = order.Price;
position.OpenPrice = order.Price;
position.Instrument = order.Instrument;
position.Orders = order.Orders;
position.Time = order.Time;
return(position);
}
/// <summary>
/// Create position when there is a position with the same transaction type
/// </summary>
/// <param name="nextOrder"></param>
/// <param name="previousPosition"></param>
/// <returns></returns>
protected virtual ITransactionPositionModel DecreasePosition(ITransactionOrderModel nextOrder, ITransactionPositionModel previousPosition)
{
if (previousPosition == null)
{
return(null);
}
var isSameBuy = Equals(previousPosition.Side, OrderSideEnum.Buy) && Equals(nextOrder.Side, OrderSideEnum.Buy);
var isSameSell = Equals(previousPosition.Side, OrderSideEnum.Sell) && Equals(nextOrder.Side, OrderSideEnum.Sell);
if (isSameBuy || isSameSell)
{
return(null);
}
var openPrices = GetOpenPrices(nextOrder);
var pointModel = nextOrder.Instrument.PointGroups.LastOrDefault();
nextOrder.Time = pointModel.Time;
nextOrder.Price = openPrices.Last().Price;
nextOrder.Status = OrderStatusEnum.Filled;
var nextPosition = UpdatePositionProps(new TransactionPositionModel(), nextOrder);
nextPosition.Time = pointModel.Time;
nextPosition.OpenPrices = openPrices;
nextPosition.Price = nextPosition.OpenPrice = nextOrder.Price;
nextPosition.Size = Math.Abs(nextPosition.Size.Value - previousPosition.Size.Value);
previousPosition.CloseTime = nextPosition.Time;
previousPosition.ClosePrice = nextPosition.OpenPrice;
previousPosition.GainLoss = previousPosition.GainLossEstimate;
previousPosition.GainLossPoints = previousPosition.GainLossPointsEstimate;
Account.Balance += previousPosition.GainLoss;
Account.ActiveOrders.Remove(nextOrder);
Account.ActivePositions.Remove(previousPosition);
DeleteOrders(previousPosition.Orders.ToArray());
Account.Orders.Add(nextOrder);
Account.Positions.Add(previousPosition);
if (ConversionManager.Compare(nextPosition.Size, 0.0) == false)
{
Account.ActivePositions.Add(nextPosition);
}
return(nextPosition);
}
/// <summary>
/// Create position when there is a position with the same transaction type
/// </summary>
/// <param name="nextOrder"></param>
/// <param name="previousPosition"></param>
/// <returns></returns>
protected virtual ITransactionPositionModel IncreasePosition(ITransactionOrderModel nextOrder, ITransactionPositionModel previousPosition)
{
if (previousPosition == null)
{
return(null);
}
var isSameBuy = Equals(previousPosition.Side, OrderSideEnum.Buy) && Equals(nextOrder.Side, OrderSideEnum.Buy);
var isSameSell = Equals(previousPosition.Side, OrderSideEnum.Sell) && Equals(nextOrder.Side, OrderSideEnum.Sell);
if (isSameBuy == false && isSameSell == false)
{
return(null);
}
var openPrices = GetOpenPrices(nextOrder);
var pointModel = nextOrder.Instrument.PointGroups.LastOrDefault();
nextOrder.Time = pointModel.Time;
nextOrder.Price = openPrices.Last().Price;
nextOrder.Status = OrderStatusEnum.Filled;
var nextPosition = UpdatePositionProps(new TransactionPositionModel(), nextOrder);
nextPosition.Time = pointModel.Time;
nextPosition.Price = nextOrder.Price;
nextPosition.Size = nextOrder.Size + previousPosition.Size;
nextPosition.OpenPrices = previousPosition.OpenPrices.Concat(openPrices).ToList();
nextPosition.OpenPrice = nextPosition.OpenPrices.Sum(o => o.Size * o.Price) / nextPosition.OpenPrices.Sum(o => o.Size);
previousPosition.CloseTime = nextPosition.Time;
previousPosition.ClosePrice = nextPosition.OpenPrice;
previousPosition.GainLoss = previousPosition.GainLossEstimate;
previousPosition.GainLossPoints = previousPosition.GainLossPointsEstimate;
Account.ActiveOrders.Remove(nextOrder);
Account.ActivePositions.Remove(previousPosition);
Account.Orders.Add(nextOrder);
Account.Positions.Add(previousPosition);
Account.ActivePositions.Add(nextPosition);
return(previousPosition);
}
/// <summary>
/// Create position when there are no other positions
/// </summary>
/// <param name="nextOrder"></param>
/// <param name="previousPosition"></param>
/// <returns></returns>
protected virtual ITransactionPositionModel OpenPosition(ITransactionOrderModel nextOrder, ITransactionPositionModel previousPosition)
{
if (previousPosition != null)
{
return(null);
}
var openPrices = GetOpenPrices(nextOrder);
var pointModel = nextOrder.Instrument.PointGroups.LastOrDefault();
nextOrder.Time = pointModel.Time;
nextOrder.Price = openPrices.Last().Price;
nextOrder.Status = OrderStatusEnum.Filled;
var nextPosition = UpdatePositionProps(new TransactionPositionModel(), nextOrder);
nextPosition.Time = pointModel.Time;
nextPosition.OpenPrices = openPrices;
nextPosition.Price = nextPosition.OpenPrice = nextOrder.Price;
Account.Orders.Add(nextOrder);
Account.ActiveOrders.Remove(nextOrder);
Account.ActivePositions.Add(nextPosition);
return(nextPosition);
}