public override Dictionary <string, string> BuildQueryParams()
{
var qp = new Dictionary <string, string>()
{
{ "symbol", Symbol },
{ "side", Side.GetValue() },
{ "recvWindow", "6500" },
{ "type", Type.GetValue() },
{ "timeInForce", TimeInForce.GetValue() },
{ "quantity", Quantity.ToString() },
{ "price", Price.ToString() }
};
if (NewClientOrderId != null)
{
qp.Add("newClientOrderId", NewClientOrderId);
}
if (StopPrice.HasValue)
{
qp.Add("stopPrice", StopPrice.ToString());
}
if (IcebergQty.HasValue)
{
qp.Add("icebergQty", IcebergQty.ToString());
}
if (RecvWindow.HasValue)
{
qp.Add("recvWindow", RecvWindow.ToString());
}
return(qp);
}
public async void Calc(float curPrice, string symbol = null)
{
CurPrice = curPrice;
foreach (var stat in Strategy.AccountStat)
{
stat.Value.CurPrice = curPrice;
}
if (EntryPrice > 0)
{
if (Level > 0)
{
if (ActionType == ActionType.Long)
{
HighestProfit = Math.Max(HighestProfit, curPrice - EntryPrice);
}
else
{
HighestProfit = Math.Max(HighestProfit, EntryPrice - curPrice);
}
// ignore the duplicated signal processing
if (HighestProfit - _highestProfitSinceLastSent >= (double)(ModifyThreshold * Strategy.Symbol.MinTick))
{
int profit_class = HighestProfit / EntryPrice < ProfitTarget / 100 ? 0 :
1 + (int)((HighestProfit / EntryPrice - ProfitTarget / 100) / (ProfitTarget / 100 * TargetIncrement));
profit_class = profit_class > Level ? Level : profit_class;
ProfitClass = Math.Max(ProfitClass, profit_class);
if (ProfitClass > 0)
{
TypeAccessor accessor = BaseOrderTypeAccessor.GetAccessor(OT_stopProfit);
if (ActionType == ActionType.Long)
{
StopPrice = EntryPrice + HighestProfit * (BaseLine / 100 + DropIncrement / 100 * (ProfitClass - 1));
if (curPrice <= StopPrice + (float)(SubmitThreshold * Strategy.Symbol.MinTick))
{
accessor[OT_stopProfit, "LmtPrice"] = StopPrice.ToString();
accessor[OT_stopProfit, "AuxPrice"] = StopPrice.ToString();
bool r = await Controllers.OrderManager.ProcessSignal(Strategy.Script, Strategy, OrderAction.APSLong, DateTime.Now, OT_stopProfit, curPrice);
if (r)
{
_highestProfitSinceLastSent = HighestProfit;
}
}
}
else if (ActionType == ActionType.Short)
{
StopPrice = EntryPrice - HighestProfit * (BaseLine / 100 + DropIncrement / 100 * (ProfitClass - 1));
if (curPrice >= StopPrice - (float)(SubmitThreshold * Strategy.Symbol.MinTick))
{
accessor[OT_stopProfit, "LmtPrice"] = StopPrice.ToString();
accessor[OT_stopProfit, "AuxPrice"] = StopPrice.ToString();
bool r = await Controllers.OrderManager.ProcessSignal(Strategy.Script, Strategy, OrderAction.APSShort, DateTime.Now, OT_stopProfit, curPrice);
if (r)
{
_highestProfitSinceLastSent = HighestProfit;
}
}
}
}
}
}
// stop loss
if (Stoploss > 0)
{
// ignore duplicated signal processing
if (Stoploss != _stoplossLastSent)
{
float sp = 0; // stop price
TypeAccessor accessor = BaseOrderTypeAccessor.GetAccessor(OT_stopLoss);
float stoploss = (float)Stoploss;
switch (StoplossSelector)
{
case 0: // in points/dollars(actual value)
// remain unchanged
break;
case 1: // in ticks
stoploss *= (float)Strategy.Symbol.MinTick;
break;
case 2: // in percentage
stoploss = (float)(EntryPrice * Stoploss * 0.01);
break;
case 3: // from AFL sript;
// remain unchanged
break;
}
if (ActionType == ActionType.Long)
{
StopLossPrice = sp = EntryPrice - stoploss;
if (curPrice <= sp + (float)(SubmitThreshold * Strategy.Symbol.MinTick))
{
accessor[OT_stopLoss, "LmtPrice"] = sp.ToString();
accessor[OT_stopLoss, "AuxPrice"] = sp.ToString();
bool r = await Controllers.OrderManager.ProcessSignal(Strategy.Script, Strategy, OrderAction.StoplossLong, DateTime.Now, OT_stopLoss, curPrice);
if (r)
{
_stoplossLastSent = Stoploss;
}
}
}
else if (ActionType == ActionType.Short)
{
StopLossPrice = sp = EntryPrice + stoploss;
if (curPrice >= sp - (float)(SubmitThreshold * Strategy.Symbol.MinTick))
{
accessor[OT_stopLoss, "LmtPrice"] = sp.ToString();
accessor[OT_stopLoss, "AuxPrice"] = sp.ToString();
bool r = await Controllers.OrderManager.ProcessSignal(Strategy.Script, Strategy, OrderAction.StoplossShort, DateTime.Now, OT_stopLoss, curPrice);
if (r)
{
_stoplossLastSent = Stoploss;
}
}
}
}
}
}
}
public string ToString(int decimals)
{
if (IsFilled)
{
return(base.ToString());
}
return((Direction == Direction.Long ? "Long" : "Short") + UnsignedSize + " " + Symbol + "@" + (Type == OrderType.Market ? "Mkt" : (Type == OrderType.Limit || Type == OrderType.StopLimit ? LimitPrice.ToString("N" + decimals) : StopPrice.ToString("N" + decimals) + "stp")) + " [" + AccountName + "] " + Id + (Type == OrderType.Stop || Type == OrderType.StopLimit ? " stop: " + StopPrice.ToString("N" + decimals) : string.Empty));
}