public void ProcessLastBar(RangeBarModel bar)
{
// reduce inventory
if (_currentInventory > 0)
{
// sell trade
var trade = new TradeModel()
{
Timestamp = bar.Timestamp,
Price = bar.Bid ?? bar.CurrentPrice,
Amount = Math.Abs(_currentInventory * _orderSize) * (-1),
BarIndex = _bars.Count,
CurrentInventory = 0,
PositionState = PositionState.Close
};
_trades.Add(trade);
}
if (_currentInventory < 0)
{
// buy trade
var trade = new TradeModel()
{
Timestamp = bar.Timestamp,
Price = bar.Ask ?? bar.CurrentPrice,
Amount = Math.Abs(_currentInventory * _orderSize),
BarIndex = _bars.Count,
CurrentInventory = 0,
PositionState = PositionState.Close
};
_trades.Add(trade);
}
}
public void ProcessBars(RangeBarModel[] bars)
{
foreach (var bar in bars)
{
bar.Index = _bars.Count;
_bars.Add(bar);
var invAbs = _currentInventory * _orderSize;
var decision = _strategy.Decide(bar, invAbs);
if (decision == Action.Nothing)
{
continue;
}
var orderSize = _orderSize;
var positionState = PositionState.Open;
if (decision == Action.Buy)
{
if (_currentInventory < 0)
{
orderSize = Math.Abs(_currentInventory) * orderSize;
_currentInventory = 0;
positionState = PositionState.Close;
}
else
{
if (_maxLimitInventory.HasValue && Math.Abs(_currentInventory) >= _maxLimitInventory.Value)
{
// inventory reached, do nothing
continue;
}
if (_currentInventory > 0)
{
positionState = PositionState.Increase;
}
_currentInventory++;
}
var trade = new TradeModel()
{
Timestamp = bar.Timestamp,
Price = bar.Ask ?? bar.CurrentPrice,
Amount = orderSize,
BarIndex = _bars.Count,
CurrentInventory = _currentInventory,
PositionState = positionState
};
_trades.Add(trade);
LogTrade(trade);
}
if (decision == Action.Sell)
{
if (_currentInventory > 0)
{
orderSize = _currentInventory * orderSize;
_currentInventory = 0;
positionState = PositionState.Close;
}
else
{
if (_maxLimitInventory.HasValue && Math.Abs(_currentInventory) >= _maxLimitInventory.Value)
{
// inventory reached, do nothing
continue;
}
if (_currentInventory < 0)
{
positionState = PositionState.Increase;
}
_currentInventory--;
}
var trade = new TradeModel()
{
Timestamp = bar.Timestamp,
Price = bar.Bid ?? bar.CurrentPrice,
Amount = orderSize * (-1),
BarIndex = _bars.Count,
CurrentInventory = _currentInventory,
PositionState = positionState
};
_trades.Add(trade);
LogTrade(trade);
}
_maxInventory = Math.Max(_maxInventory, Math.Abs(_currentInventory));
}
}
private void LogTrade(TradeModel trade)
{
var side = trade.Amount < 0 ? "SELL" : "BUY";
//Console.WriteLine();
}
private bool ExecuteTakerStrategy(ITakerStrategy strategy, RangeBarModel bar, double orderSize)
{
if (strategy == null)
{
return(false);
}
var decision = strategy.Decide(bar, _currentInventoryAbs);
if (decision == Action.Nothing)
{
return(true);
}
var positionState = PositionState.Open;
if (decision == Action.Buy)
{
if (_currentInventory < 0)
{
orderSize = Math.Abs(_currentInventory) * orderSize;
_currentInventory = 0;
positionState = PositionState.Close;
}
else
{
if (_maxLimitInventory.HasValue && Math.Abs(_currentInventory) >= _maxLimitInventory.Value)
{
// inventory reached, do nothing
return(true);
}
if (_currentInventory > 0)
{
positionState = PositionState.Increase;
}
_currentInventory++;
}
_currentInventoryAbs += orderSize;
var trade = new TradeModel()
{
Timestamp = bar.TimestampUnix,
Price = bar.Ask ?? bar.CurrentPrice,
Amount = orderSize,
BarIndex = _bars.Count,
CurrentInventory = _currentInventory,
PositionState = positionState
};
_trades.Add(trade);
LogTrade(trade);
}
if (decision == Action.Sell)
{
if (_currentInventory > 0)
{
orderSize = _currentInventory * orderSize;
_currentInventory = 0;
positionState = PositionState.Close;
}
else
{
if (_maxLimitInventory.HasValue && Math.Abs(_currentInventory) >= _maxLimitInventory.Value)
{
// inventory reached, do nothing
return(true);
}
if (_currentInventory < 0)
{
positionState = PositionState.Increase;
}
_currentInventory--;
}
_currentInventoryAbs -= orderSize;
var trade = new TradeModel()
{
Timestamp = bar.TimestampUnix,
Price = bar.Bid ?? bar.CurrentPrice,
Amount = orderSize * (-1),
BarIndex = _bars.Count,
CurrentInventory = _currentInventory,
PositionState = positionState
};
_trades.Add(trade);
LogTrade(trade);
}
return(false);
}
private void EvaluatePreviousOrders(RangeBarModel bar)
{
if (_placedOrders.Count <= 0)
{
return;
}
var highPrice = bar.HighBuy ?? bar.High;
var lowPrice = bar.LowSell ?? bar.Low;
foreach (var placedOrder in _placedOrders.ToArray())
{
var orderPrice = placedOrder.Price;
var orderAmount = placedOrder.Amount;
var positionState = PositionState.Open;
if (placedOrder.Side == OrderSide.Bid)
{
if (_currentInventoryAbs < -1e-6)
{
positionState = PositionState.Close;
}
else
{
if (_maxLimitInventory.HasValue && Math.Abs(_currentInventory) >= _maxLimitInventory.Value)
{
// inventory reached, do nothing
_placedOrders.Remove(placedOrder);
continue;
}
if (_currentInventoryAbs > 1e-6)
{
positionState = PositionState.Increase;
}
}
if (lowPrice == null || lowPrice > orderPrice)
{
// no BUY trade, price was too high
continue;
}
_currentInventory++;
_currentInventoryAbs += orderAmount;
var trade = new TradeModel
{
Timestamp = bar.TimestampUnix,
Price = orderPrice,
Amount = orderAmount,
BarIndex = _bars.Count,
CurrentInventory = _currentInventory,
PositionState = positionState
};
_trades.Add(trade);
LogTrade(trade);
_placedOrders.Remove(placedOrder);
}
else
{
if (_currentInventoryAbs > 1e-6)
{
positionState = PositionState.Close;
}
else
{
if (_maxLimitInventory.HasValue && Math.Abs(_currentInventory) >= _maxLimitInventory.Value)
{
// inventory reached, do nothing
_placedOrders.Remove(placedOrder);
continue;
}
if (_currentInventoryAbs < -1e-6)
{
positionState = PositionState.Increase;
}
}
if (highPrice == null || highPrice < orderPrice)
{
// no SELL trade, price was too low
continue;
}
_currentInventory--;
_currentInventoryAbs -= orderAmount;
var trade = new TradeModel()
{
Timestamp = bar.TimestampUnix,
Price = orderPrice,
Amount = orderAmount * (-1),
BarIndex = _bars.Count,
CurrentInventory = _currentInventory,
PositionState = positionState
};
_trades.Add(trade);
LogTrade(trade);
_placedOrders.Remove(placedOrder);
}
}
}