public List <string> GetOpenedOrdersChangeNotifications()
{
List <string> res = new List <string>();
if (PrevOpenedOrders == null)
{
PrevOpenedOrders = new OpenedOrderInfo[0];
}
for (int i = 0; i < PrevOpenedOrders.Length; i++)
{
var po = PrevOpenedOrders[i];
var oo = OpenedOrders.FirstOrDefault(o => o.OrderId == PrevOpenedOrders[i].OrderId);
if (oo == null)
{
res.Add("Order " + po.OrderId + " completely filled");
}
else if (oo.Amount != po.Amount)
{
res.Add("Order " + po.OrderId + " partially filled");
}
}
for (int i = 0; i < OpenedOrders.Count; i++)
{
var oo = OpenedOrders[i];
var po = PrevOpenedOrders.FirstOrDefault(p => p.OrderId == oo.OrderId);
if (po == null)
{
res.Add("New order '" + oo.OrderId + "' added. " + oo.TickerName + " rate = " + oo.ValueString + " amount = " + oo.AmountString);
}
}
PrevOpenedOrders = new OpenedOrderInfo[OpenedOrders.Count];
OpenedOrders.CopyTo(PrevOpenedOrders);
return(res);
}
protected virtual void UpdateCurrentLoss()
{
if (StrategyData.Count > 0)
{
CombinedStrategyDataItem last = (CombinedStrategyDataItem)StrategyData.Last();
last.CurrentLoss = Math.Min(last.CurrentLoss, OpenedOrders.Sum(o => o.CurrentLoss));
}
}
protected virtual OpenPositionInfo OpenShortPosition(Ticker ticker, string mark, double value, double amount, bool allowTrailing, bool checkForMinValue, double trailingStopLossPc, double minProfitPc)
{
double spent = ticker.SpentInBaseCurrency(value, amount);
if (1.05 * spent > GetMaxAllowedShortDeposit())
{
return(null);
}
if (checkForMinValue && spent < MinDepositForOpenPosition)
{
return(null);
}
TradingResult res = MarketSell(ticker, value, amount);
if (res == null)
{
return(null);
}
OpenPositionInfo info = new OpenPositionInfo()
{
Ticker = ticker,
DataItemIndex = StrategyData.Count - 1,
Time = DataProvider.CurrentTime,
Type = OrderType.Sell,
Spent = spent + CalcFee(res.Total),
AllowTrailing = allowTrailing,
StopLossPercent = trailingStopLossPc,
OpenValue = res.Value,
OpenAmount = res.Amount,
Amount = res.Amount,
Mark = mark,
AllowHistory = (DataProvider is SimulationStrategyDataProvider),
Total = res.Total,
MinProfitPercent = minProfitPc,
CloseValue = value * (1 + minProfitPc * 0.01),
};
info.UpdateCurrentValue(DataProvider.CurrentTime, res.Value);
OpenedOrders.Add(info);
OrdersHistory.Add(info);
OnOpenShortPosition(info);
UpdateMaxAllowedShortDeposit(-info.Spent);
IOpenedPositionsProvider provider = (IOpenedPositionsProvider)StrategyData.Last();
provider.OpenedPositions.Add(info);
provider.AddMark(mark);
Save();
return(info);
}
protected virtual OpenPositionInfo OpenLongPosition(string mark, double value, double amount, bool allowTrailing, bool checkForMinValue, double trailingStopLossPc, double minProfitPc)
{
if (1.05 * value * amount > MaxAllowedDeposit)
{
return(null);
}
if (checkForMinValue && value * amount < MinDepositForOpenPosition)
{
return(null);
}
TradingResult res = MarketBuy(value, amount);
if (res == null)
{
return(null);
}
OpenPositionInfo info = new OpenPositionInfo()
{
DataItemIndex = StrategyData.Count - 1,
Time = DataProvider.CurrentTime,
Type = OrderType.Buy,
Spent = res.Total + CalcFee(res.Total),
AllowTrailing = allowTrailing,
StopLossPercent = trailingStopLossPc,
OpenValue = res.Value,
OpenAmount = res.Amount,
Amount = res.Amount,
Mark = mark,
AllowHistory = (DataProvider is SimulationStrategyDataProvider),
Total = res.Total,
MinProfitPercent = minProfitPc,
CloseValue = value * (1 + minProfitPc * 0.01),
};
info.UpdateCurrentValue(DataProvider.CurrentTime, res.Value);
OpenedOrders.Add(info);
OrdersHistory.Add(info);
OnOpenLongPosition(info);
MaxAllowedDeposit -= info.Spent;
IOpenedPositionsProvider provider = (CombinedStrategyDataItem)StrategyData.Last();
provider.OpenedPositions.Add(info);
provider.AddMark(mark);
Save();
return(info);
}
protected void CloseShortPosition(OpenPositionInfo info, TradingResult res)
{
if (res == null)
{
return;
}
double earned = res.Total - CalcFee(res.Total);
MaxAllowedShortDeposit += earned;
info.UpdateCurrentValue(DataProvider.CurrentTime, res.Value);
info.Earned += earned;
info.Amount -= res.Amount;
info.Total -= res.Total;
info.CloseValue = res.Value;
//CombinedStrategyDataItem item = (CombinedStrategyDataItem)StrategyData.FirstOrDefault(i => ((CombinedStrategyDataItem)i).Time == info.CandlestickTime);
//if(item != null) {
// item.Closed = true;
// item.CloseLength = ((CombinedStrategyDataItem)StrategyData.Last()).Index - item.Index;
//}
IOpenedPositionsProvider last = (IOpenedPositionsProvider)StrategyData.Last();
double fee = 0.075 / 100.0;
double profit = ((1 / info.CloseValue) - (1 / info.OpenValue)) * res.Amount;
double openFee = fee * (1 / info.OpenValue) * res.Amount; // info.Ticker.Total(info.OpenValue, res.Amount);
double closeFee = fee * (1 / info.CloseValue) * res.Amount; // info.Ticker.Total(info.CloseValue, res.Amount);
profit -= openFee + closeFee;
profit *= Short.UsdTicker.OrderBook.Bids[0].Value;
Earned += profit;
if (info.Amount < 0.000001)
{
OpenedOrders.Remove(info);
last.ClosedPositions.Add(info);
info.CloseTime = DataProvider.CurrentTime;
}
//last.ClosedOrder = true;
//last.Value = Ticker.OrderBook.Bids[0].Value;
//if(item != null)
// item.Profit = profit;
//last.AddMark("Close " + info.Mark);
}
protected bool AlreadyOpenedPingPongPosition()
{
if (OpenedOrders.Count > 0 && OpenedOrders.Last().CurrentValue > OpenedOrders.Last().StopLoss)
{
return(true);
}
CombinedStrategyDataItem last = (CombinedStrategyDataItem)StrategyData.Last();
foreach (OpenPositionInfo info in OpenedOrders)
{
if (info.Mark != "PP")
{
continue;
}
SRValue res = SRIndicator2.FindSupportByTime(info.CandlestickTime);
if (res != null && info.Type == OrderType.Buy && (SRIndicator2.BelongsSameSupportLevel(res) || last.Index - info.DataItemIndex < 5))
{
return(true);
}
}
return(false);
}
protected void CloseLongPosition(OpenPositionInfo info, TradingResult res)
{
if (res == null)
{
return;
}
double earned = res.Total - CalcFee(res.Total);
MaxAllowedDeposit += earned;
info.UpdateCurrentValue(DataProvider.CurrentTime, res.Value);
info.Earned += earned;
info.Amount -= res.Amount;
info.Total -= res.Total;
info.CloseValue = res.Value;
//StatisticalArbitrageHistoryItem item = (StatisticalArbitrageHistoryItem)StrategyData.FirstOrDefault(i => ((StatisticalArbitrageHistoryItem)i).Time == info.CandlestickTime);
//if(item != null) {
// item.Closed = true;
// item.CloseLength = ((CombinedStrategyDataItem)StrategyData.Last()).Index - item.Index;
//}
IOpenedPositionsProvider last = StrategyData.Last() as IOpenedPositionsProvider;
if (info.Amount < 0.000001)
{
OpenedOrders.Remove(info);
last.ClosedPositions.Add(info);
info.CloseTime = DataProvider.CurrentTime;
Earned += info.Earned - info.Spent;
}
//last.ClosedOrder = true;
//last.Value = Ticker.OrderBook.Bids[0].Value;
//if(item != null)
// item.Profit = earned - info.Spent;
//last.AddMark("Close " + info.Mark);
}
protected override void CloseLongPosition(OpenPositionInfo info)
{
TradingResult res = MarketSell(Ticker.OrderBook.Bids[0].Value, info.Amount);
if (res != null)
{
double earned = res.Total - CalcFee(res.Total);
MaxAllowedDeposit += earned;
info.UpdateCurrentValue(DataProvider.CurrentTime, res.Value);
info.Earned += earned;
info.Amount -= res.Amount;
info.Total -= res.Total;
info.CloseValue = res.Value;
CombinedStrategyDataItem item = (CombinedStrategyDataItem)StrategyData.FirstOrDefault(i => ((CombinedStrategyDataItem)i).Time == info.CandlestickTime);
if (item != null)
{
item.Closed = true;
item.CloseLength = ((CombinedStrategyDataItem)StrategyData.Last()).Index - item.Index;
}
CombinedStrategyDataItem last = (CombinedStrategyDataItem)StrategyData.Last();
if (info.Amount < 0.000001)
{
OpenedOrders.Remove(info);
last.ClosedPositions.Add(info);
info.CloseTime = DataProvider.CurrentTime;
Earned += info.Earned - info.Spent;
}
last.ClosedOrder = true;
last.Value = Ticker.OrderBook.Bids[0].Value;
if (item != null)
{
item.Profit = earned - info.Spent;
}
last.AddMark("Close " + info.Mark);
}
}