void SubscribeToEntryOrderRelatedEvents()
{
var bsThrottleTimeSpan = 0.1.FromSeconds();
var cpThrottleTimeSpan = 0.25.FromSeconds();
var buySelPropsExceptions = new[] { "CanTradeEx", "IsGhost" };
Func <IReactivePropertyChangedEventArgs <SuppRes>, bool> buySellPropsFilter = _ => !buySelPropsExceptions.Contains(_.PropertyName);
//ISubject<Action> fxWraper = new Subject<Action>();
//fxWraper.ObserveOn(TradesManagerStatic.TradingScheduler).Subscribe(a => a(), () => { Debugger.Break(); });
#region SetTradeNet
Action <Trade, double, double> SetTradeNet = (trade, limit, stop) => {
//fxWraper.OnNext(() => {
var fw = TradesManager;
if (!limit.IsNaN())
{
try {
if (fw.GetNetOrderRate(Pair, false).Abs(limit) > InPoints(1))
{
//Log = new Exception("FixOrderSetLimit:" + new { trade.Pair, limit = limit.Round(Digits()) });
fw.FixOrderSetLimit(trade.Id, limit, "");
}
} catch (Exception exc) { Log = exc; }
}
if (!stop.IsNaN())
{
try {
if (fw.GetNetOrderRate(Pair, true).Abs(stop) > InPoints(1))
{
//Log = new Exception("FixOrderSetStop:" + new { trade.Pair, stop = stop.Round(Digits()) });
fw.FixOrderSetStop(trade.Id, stop, "");
}
} catch (Exception exc) { Log = exc; }
}
TradeLastChangeDate = DateTime.Now;
//});
};
Action <Trade, double> SetTradeNetLimit = (trade, limit) => SetTradeNet(trade, limit, double.NaN);
Action <Trade, double> SetTradeNetStop = (trade, stop) => SetTradeNet(trade, double.NaN, stop);
Action CloseAllNetLimits = () => Trades.Take(1).ForEach(trade => SetTradeNetLimit(trade, 0));
Action CloseAllNetStops = () => Trades.Take(1).ForEach(trade => SetTradeNetStop(trade, 0));
#endregion
#region startBuySellLevelsTracking
Action startBuySellLevelsTracking = () => {
#region updateEntryOrders
Action <string> updateEntryOrders = (reason) => {
try {
var buySellLevels = new[] { BuyLevel, SellLevel };
GetEntryOrders().GroupBy(eo => eo.IsBuy).SelectMany(eog => eog.Skip(1)).ForEach(OnDeletingOrder);
Func <SuppRes, bool> canTrade = (sr) =>/* IsTradingHour() &&*/
sr.CanTrade && sr.TradesCount <= 0 &&
!Trades.IsBuy(sr.IsBuy).Any();
Func <bool, int> lotSize = isBuy =>
(buySellLevels.Where(sr => sr.IsBuy == isBuy).Any(canTrade) ? (isBuy ? LotSizeByLossBuy : LotSizeByLossSell) : 0)
+ (TradesManager.GetNetOrderRate(Pair, true) > 0 ? 0 : Trades.IsBuy(!isBuy).Lots());
buySellLevels.Select(sr => new { sr.IsBuy, sr.Rate, lotSize = lotSize(sr.IsBuy) })
.Do(sr => GetEntryOrders(sr.IsBuy).Where(a => sr.lotSize == 0).ForEach(OnDeletingOrder))
.Where(sr => sr.lotSize > 0 && !GetEntryOrders(sr.IsBuy).Any())
.ForEach(level => OnCreateEntryOrder(level.IsBuy, level.lotSize, level.Rate));
Action <Order> changeLimit = eo => TradesManager.YieldIf(!IsInVirtualTrading && eo.Lot.Ratio(lotSize(eo.IsBuy)) > 1.025)
.ForEach(fw => {
//Log = new Exception("ChangeEntryOrderLot:" + reason);
fw.ChangeEntryOrderLot(eo.OrderID, lotSize(eo.IsBuy));
});
Func <bool, double> orderRate = isBuy => buySellLevels.Where(sr => sr.IsBuy == isBuy).First().Rate;
Action <Order> changeRate = eo => TradesManager.YieldIf(!IsInVirtualTrading && eo.Rate.Abs(orderRate(eo.IsBuy)) > PointSize)
.ForEach(fw => {
//Log = new Exception("ChangeEntryOrderRate:" + reason);
fw.ChangeEntryOrderRate(eo.OrderID, orderRate(eo.IsBuy));
});
GetEntryOrders().ForEach(eo => {
changeLimit(eo);
changeRate(eo);
});
} catch (Exception exc) { Log = exc; }
};
#endregion
_reactiveBuySellLevels = new[] { BuyLevel, SellLevel, BuyCloseLevel, SellCloseLevel }.CreateDerivedCollection(sr => sr);
_reactiveBuySellLevels.ChangeTrackingEnabled = true;
_reactiveBuySellLevelsSubscribtion = (CompositeDisposable)
_reactiveBuySellLevels.ItemChanged
.Where(buySellPropsFilter)
.Sample(bsThrottleTimeSpan)
//.Do(_ => Log = new Exception(new { Name = "startBuySellLevelsTracking", _.PropertyName, Value = _.Value + "" } + ""))
.Select(_ => _.Sender.IsBuy ? "Buy" + (_.Sender.IsExitOnly ? "Close" : "") + "Level" : "Sell" + (_.Sender.IsExitOnly ? "Close" : "") + "Level")
.Merge(ReactiveTrades.ItemChanged.Where(_ => _.PropertyName == "Stop").Select(_ => _.Sender.IsBuy ? "BuyTrade" : "SellTrade"))
.Merge(Observable.FromEventPattern <EventHandler <OrderEventArgs>, OrderEventArgs>(
h => TradesManager.OrderAdded += h, h => TradesManager.OrderAdded -= h).Select(e => "OrderAdded"))
.Merge(Observable.FromEventPattern <EventHandler <OrderEventArgs>, OrderEventArgs>(
h => TradesManager.OrderChanged += h, h => TradesManager.OrderChanged -= h).Select(e => "OrderChanged"))
.Merge(Observable.FromEvent <OrderRemovedEventHandler, Order>(h => TradesManager.OrderRemoved += h, h => TradesManager.OrderRemoved -= h).Select(_ => "OrderRemoved"))
.Merge(this.WhenAny(tm => tm.CurrentPrice, tm => "CurrentPrice").Sample(cpThrottleTimeSpan))
.Merge(this.WhenAny(tm => tm.CanDoEntryOrders, tm => "CanDoEntryOrders"))
.Merge(this.WhenAny(tm => tm.CanDoNetStopOrders, tm => "CanDoNetStopOrders"))
.Subscribe(reason => _updateEntryOrdersBuffer.Push(() => updateEntryOrders(reason)));
updateEntryOrders("Start Tracking");
};
#endregion
#region startBuySellCloseLevelsTracking
#region Net Update Implementations
var bsCloseLevels = MonoidsCore.ToFunc(() => new[] { BuyCloseLevel, SellCloseLevel }.Where(sr => sr != null));
Action updateTradeLimitOrders = () => {
Func <Trade, double[]> levelRate = trade => bsCloseLevels().Where(sr => sr.IsBuy == !trade.IsBuy).Select(sr => sr.Rate).Take(1).ToArray();
Action <Trade> changeRate = trade => levelRate(trade)
.Where(_ => !IsInVirtualTrading)
.Where(lr => trade.Limit.Abs(lr) > PointSize)
.ForEach(lr => SetTradeNetLimit(trade, lr));
Trades.Take(1).ForEach(changeRate);
};
Func <Trade, double[]> getDefaultStop = trade => // Take care of reversed corridor
bsCloseLevels()
.Where(_ => SellLevel.Rate > BuyLevel.Rate)
.Where(bs => bs.IsBuy != trade.IsBuy)
.Select(bs => trade.Open.Abs(bs.Rate) * 2)
.Select(stop => trade.IsBuy ? -stop : stop)
.Select(stop => trade.Open + stop)
.ToArray();
Action updateTradeStopOrders = () => {
var bsLevels = new[] { BuyLevel, SellLevel }.Where(sr => sr != null);
Func <Trade, IEnumerable <double> > levelRate = trade =>
getDefaultStop(trade)
.Concat(bsLevels
.Where(sr => sr.IsBuy == !trade.IsBuy && (!CanDoEntryOrders || !sr.CanTrade))
.Select(t => t.Rate)
.Take(1)
)
.Take(1);
Action <Trade> changeRate = trade => TradesManager.YieldNotNull(levelRate(trade).Any(rate => trade.Stop.Abs(rate) > PointSize))
.ForEach(fw => levelRate(trade).ForEach(rate => SetTradeNetStop(trade, rate)));
Trades.Take(1).ForEach(changeRate);
};
#endregion
// New Limit
Action startBuySellCloseLimitTracking = () => {
_reactiveBuySellLimitLevels = new[] { BuyCloseLevel, SellCloseLevel, BuyLevel, SellLevel }
.CreateDerivedCollection(sr => sr);
_reactiveBuySellLimitLevels.ChangeTrackingEnabled = true;
_reactiveBuySellCloseLimitSubscribtion = (CompositeDisposable)_reactiveBuySellLimitLevels
.ItemChanged
.Where(buySellPropsFilter)
.Sample(bsThrottleTimeSpan)
//.Do(_ => Log = new Exception(new { Name = "startBuySellCloseLevelsTracking", _.PropertyName, Value = _.Value + "" } + ""))
.Select(_ => _.Sender.IsBuy ? "Buy(Close)Level" : "Sell(Close)Level")
.Merge(this.WhenAny(tm => tm.CurrentPrice, tm => "CurrentPrice").Sample(cpThrottleTimeSpan))
.Merge(this.WhenAny(tm => tm.CanDoEntryOrders, tm => "CanDoEntryOrders"))
.Merge(this.WhenAny(tm => tm.CanDoNetStopOrders, tm => "CanDoNetStopOrders"))
.Merge(this.WhenAny(tm => tm.IsTrader, tm => "IsTrader"))
.Subscribe(_ => {
if (CanDoNetLimitOrders)
{
updateTradeLimitOrders();
}
else
{
CloseAllNetLimits();
}
});
};
// New Stop
Action startBuySellCloseStopTracking = () => {
_reactiveBuySellStopLevels = new[] { BuyCloseLevel, SellCloseLevel, BuyLevel, SellLevel }
.CreateDerivedCollection(sr => sr);
_reactiveBuySellStopLevels.ChangeTrackingEnabled = true;
_reactiveBuySellCloseStopSubscribtion = (CompositeDisposable)_reactiveBuySellStopLevels
.ItemChanged
.Where(buySellPropsFilter)
.Sample(bsThrottleTimeSpan)
//.Do(_ => Log = new Exception(new { Name = "startBuySellCloseLevelsTracking", _.PropertyName, Value = _.Value + "" } + ""))
.Select(_ => _.Sender.IsBuy ? "Buy(Close)Level" : "Sell(Close)Level")
.Merge(this.WhenAny(tm => tm.CurrentPrice, tm => "CurrentPrice").Sample(cpThrottleTimeSpan))
.Merge(this.WhenAny(tm => tm.CanDoEntryOrders, tm => "CanDoEntryOrders"))
.Merge(this.WhenAny(tm => tm.CanDoNetStopOrders, tm => "CanDoNetStopOrders"))
.Merge(this.WhenAny(tm => tm.IsTrader, tm => "IsTrader"))
.Subscribe(_ => {
if (CanDoNetStopOrders)
{
updateTradeStopOrders();
}
else
{
CloseAllNetStops();
}
});
};
#endregion
#region Init BuySellLevels
this.WhenAny(tm => tm.Strategy
, tm => tm.TrailingDistanceFunction
, tm => tm.HasBuyLevel
, tm => tm.HasSellLevel
, tm => tm.CanDoEntryOrders
, tm => tm.CanDoNetLimitOrders
, tm => tm.MustStopTrading
, (s, t, eo, no, ta, bl, sl) =>
Strategy == Strategies.Universal && HasBuyLevel && HasSellLevel && CanDoEntryOrders && !MustStopTrading && !IsInVirtualTrading
)
.DistinctUntilChanged()
.Sample(bsThrottleTimeSpan)
.Subscribe(st => { // Turn on/off live entry orders
try {
if (st) // Subscribe to events in order to update live entry orders
//Log = new Exception("startBuySellLevelsTracking");
{
startBuySellLevelsTracking();
}
else if (_reactiveBuySellLevelsSubscribtion != null)
{
try {
GetEntryOrders().ToList().ForEach(order => OnDeletingOrder(order.OrderID));
} catch (Exception exc) { Log = exc; }
CleanReactiveBuySell(ref _reactiveBuySellLevelsSubscribtion, ref _reactiveBuySellLevels);
}
} catch (Exception exc) { Log = exc; }
});
#endregion
#region Init BuySellCloseLevels
//this.WhenAny(
// tm => tm.BuyCloseLevel
// , tm => tm.SellCloseLevel
// , tm => tm.CanDoNetLimitOrders
// , tm => tm.CanDoNetStopOrders
// , tm => tm.CanDoEntryOrders
// , (b, s, non, nos, eo) =>
// BuyCloseLevel != null && SellCloseLevel != null && CanDoNetOrders && !IsInVitualTrading)
// .DistinctUntilChanged()
// .Sample(bsThrottleTimeSpan)
// .Subscribe(st => {// Turn on/off live net orders
// try {
// CleanReactiveBuySell(ref _reactiveBuySellCloseLevelsSubscribtion, ref _reactiveBuySellCloseLevels);
// if (!CanDoNetLimitOrders) CloseAllNetLimits();
// if (!CanDoNetStopOrders) CloseAllNetStops();
// if (st) {// (Re)Subscribe to events in order to update live net orders
// Log = new Exception("startBuySellCloseLevelsTracking");
// startBuySellCloseLevelsTracking();
// }
// } catch (Exception exc) { Log = exc; }
// });
// New Limit
this.WhenAny(
tm => tm.HasBuyCloseLevel
, tm => tm.HasSellCloseLevel
, tm => tm.CanDoNetLimitOrders
, (b, s, non) =>
HasBuyCloseLevel && HasSellCloseLevel && CanDoNetLimitOrders && !IsInVirtualTrading)
.DistinctUntilChanged()
.Sample(bsThrottleTimeSpan)
.Subscribe(st => {// Turn on/off live net orders
try {
CleanReactiveBuySell(ref _reactiveBuySellCloseLimitSubscribtion, ref _reactiveBuySellLimitLevels);
if (!CanDoNetLimitOrders)
{
//Log = new Exception("Stop Limit Tracking");
CloseAllNetLimits();
}
if (st)// (Re)Subscribe to events in order to update live net orders
//Log = new Exception("Start Limit Tracking");
{
startBuySellCloseLimitTracking();
}
} catch (Exception exc) { Log = exc; }
});
// Net Stop
this.WhenAny(
tm => tm.HasBuyCloseLevel
, tm => tm.HasSellCloseLevel
, tm => tm.CanDoNetStopOrders
, (b, s, non) =>
HasBuyCloseLevel && HasSellCloseLevel && CanDoNetStopOrders && !IsInVirtualTrading)
.DistinctUntilChanged()
.Sample(bsThrottleTimeSpan)
.Subscribe(st => {// Turn on/off live net orders
try {
CleanReactiveBuySell(ref _reactiveBuySellCloseStopSubscribtion, ref _reactiveBuySellStopLevels);
if (!CanDoNetStopOrders)
{
//Log = new Exception("Stop Stop Tracking");
CloseAllNetStops();
}
if (st)// (Re)Subscribe to events in order to update live net orders
//Log = new Exception("Start Stop Tracking");
{
startBuySellCloseStopTracking();
}
} catch (Exception exc) { Log = exc; }
});
#endregion
}
