/*abstract*/ public void runStrategy(IWebSocketClientConnection webSocketConnection, string symbol)
{
// Run the strategy to try to have an order on at least one side of the book according to fixed price range
// but never executing as a taker
if (!_enabled) // strategy cannot run when disabled
{
LogStatus(LogStatusType.WARN, "Strategy is disabled and will not run");
return;
}
// ** temporary workaround to support market pegged sell order strategy without plugins**
if (_priceType == PriceType.PEGGED && _strategySide == OrderSide.SELL)
{
// make the price float according to the MID Price
/*
* // requires the Security List for the trading symbol
* SecurityStatus status = _tradeclient.GetSecurityStatus ("BLINK", symbol);
* if (status == null)
* {
* LogStatus(
* LogStatusType.WARN,
* String.Format(
* "Waiting Security Status BLINK:{0} to run Pegged strategy",
* symbol)
* );
* return;
* }
*/
// check the remaining qty that can still be sold
ulong theSoldAmount = _tradeclient.GetSoldAmount();
if (theSoldAmount < _maxAmountToSell)
{
ulong uAllowedAmountToSell = _maxAmountToSell - theSoldAmount;
_maxTradeSize = _maxTradeSize < uAllowedAmountToSell ? _maxTradeSize : uAllowedAmountToSell;
_maxTradeSize = _maxTradeSize > _minTradeSize ? _maxTradeSize : _minTradeSize;
}
else
{
LogStatus(LogStatusType.WARN, String.Format("[runStrategy] Cannot exceed the allowed max amount to sell : {0} {1}", theSoldAmount, _maxAmountToSell));
_tradeclient.CancelOrderByClOrdID(webSocketConnection, _strategySellOrderClorid);
return;
}
// gather the data to calculate the midprice
OrderBook orderBook = _tradeclient.GetOrderBook(symbol);
// instead of bestAsk let's use the Price reached if one decides to buy 1 BTC
ulong maxPriceToBuy1BTC = orderBook.MaxPriceForAmountWithoutSelfOrders(
OrderBook.OrdSide.SELL,
(ulong)(1 * 1e8), // TODO: make it a parameter
_tradeclient.UserId);
// gather the magic element of the midprice (i.e. price to buy 10 BTC)
ulong maxPriceToBuyXBTC = orderBook.MaxPriceForAmountWithoutSelfOrders(
OrderBook.OrdSide.SELL,
(ulong)(10 * 1e8), // TODO: make it a parameter
_tradeclient.UserId);
// instead of the last price let's use the VWAP (short period tick based i.e last 30 min.)
ulong vwap = _tradeclient.CalculateVWAP();
ulong lastPx = _tradeclient.GetLastPrice();
ulong marketPrice = vwap > lastPx ? vwap : lastPx;
// calculate the mid price
//ulong midprice = (ulong)((status.BestAsk + status.BestBid + status.LastPx + maxPriceToBuyXBTC) / 4);
ulong midprice = (ulong)((orderBook.BestBid.Price + maxPriceToBuy1BTC + maxPriceToBuyXBTC + marketPrice) / 4);
Debug.Assert(_pegOffsetValue > 0);
_sellTargetPrice = midprice + _pegOffsetValue;
// get the dollar price
SecurityStatus usd_official_quote = _tradeclient.GetSecurityStatus("UOL", "USDBRL"); // use USDBRT for the turism quote
if (usd_official_quote == null || usd_official_quote.BestAsk == 0)
{
LogStatus(LogStatusType.WARN, "UOL:USDBRL not available");
}
// get the BTC Price in dollar
SecurityStatus bitfinex_btcusd_quote = _tradeclient.GetSecurityStatus("BITSTAMP", "BTCUSD");
if (bitfinex_btcusd_quote == null || bitfinex_btcusd_quote.BestAsk == 0)
{
LogStatus(LogStatusType.WARN, "BITSTAMP:BTCUSD not available");
}
// calculate the selling floor must be at least the price of the BTC in USD
//ulong floor = (ulong)(1.01 * bitfinex_btcusd_quote.BestAsk * (float)(usd_official_quote.BestAsk / 1e8));
//if (floor == 0) {
ulong floor = (ulong)(8900 * 1e8); // TODO: make it an optional parameter or pegged to the dolar bitcoin
//}
//floor = (ulong)(5400 * 1e8);
// check the selling FLOOR
if (_sellTargetPrice < floor)
{
_sellTargetPrice = floor;
}
}
// run the strategy
if (_maxTradeSize > 0)
{
webSocketConnection.EnableTestRequest = false;
if (_strategySide == OrderSide.BUY || _strategySide == default(char)) // buy or both
{
runBuyStrategy(webSocketConnection, symbol);
}
if (_strategySide == OrderSide.SELL || _strategySide == default(char)) // sell or both
{
runSellStrategy(webSocketConnection, symbol);
}
webSocketConnection.EnableTestRequest = true;
}
}
private void runSellStrategy(IWebSocketClientConnection webSocketConnection, string symbol)
{
OrderBook.IOrder bestOffer = _tradeclient.GetOrderBook(symbol).BestOffer;
if (bestOffer != null)
{
if (bestOffer.UserId != _tradeclient.UserId)
{
// sell @ 1 cent bellow the best price (TODO: parameter for price increment)
ulong sellPrice = bestOffer.Price - (ulong)(0.01 * 1e8);
if (sellPrice >= _sellTargetPrice)
{
replaceOrder(webSocketConnection, symbol, OrderSide.SELL, sellPrice);
}
else
{
// cannot fight for the first position thus try to find a visible position in the book
OrderBook orderBook = _tradeclient.GetOrderBook(symbol);
List <OrderBook.Order> sellside = orderBook.GetOfferOrders();
int i = sellside.BinarySearch(
new OrderBook.Order(OrderBook.OrdSide.SELL, _sellTargetPrice + (ulong)(0.01 * 1e8)),
new OrderBook.OrderPriceComparer()
);
int position = (i < 0 ? ~i : i);
Debug.Assert(position > 0);
// verificar se a profundidade vale a pena: (TODO: parameters for max_pos_depth and max_amount_depth)
if (position > 5 + 1 && orderBook.DoesAmountExceedsLimit(
OrderBook.OrdSide.SELL,
position - 1, (ulong)(10 * 1e8)))
{
_tradeclient.CancelOrderByClOrdID(webSocketConnection, _strategySellOrderClorid);
return;
}
var pivotOrder = sellside[position];
if (pivotOrder.UserId == _tradeclient.UserId)
{
// ordem ja e minha : pega + recursos disponiveis e cola no preco no vizinho se já nao estiver
ulong price_delta = sellside[position + 1].Price - pivotOrder.Price;
ulong newSellPrice = (price_delta > (ulong)(0.01 * 1e8) ?
pivotOrder.Price + price_delta - (ulong)(0.01 * 1e8) :
pivotOrder.Price);
ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL);
if (newSellPrice > pivotOrder.Price || availableQty > pivotOrder.Qty)
{
replaceOrder(webSocketConnection, symbol, OrderSide.SELL, newSellPrice, availableQty);
}
}
else
{
// estabelece preco de venda 1 centavo menor do que nesta posicao
ulong newSellPrice = pivotOrder.Price - (ulong)(0.01 * 1e8);
replaceOrder(webSocketConnection, symbol, OrderSide.SELL, newSellPrice);
}
}
}
else
{
// check and replace the order to get closer to the order in the second position and gather more available funds
List <OrderBook.Order> sellside = _tradeclient.GetOrderBook(symbol).GetOfferOrders();
ulong price_delta = sellside.Count > 1 ? sellside[1].Price - sellside[0].Price : 0;
ulong newSellPrice = (price_delta > (ulong)(0.01 * 1e8) ?
bestOffer.Price + price_delta - (ulong)(0.01 * 1e8) :
bestOffer.Price);
ulong availableQty = calculateOrderQty(symbol, OrderSide.SELL);
if (newSellPrice > bestOffer.Price || availableQty > bestOffer.Qty)
{
replaceOrder(webSocketConnection, symbol, OrderSide.SELL, newSellPrice, availableQty);
}
}
}
else
{
// TODO: empty book scenario
}
}
private void OnBrokerNotification(object sender, SystemEventArgs evt)
{
IWebSocketClientConnection webSocketConnection = (IWebSocketClientConnection)sender;
try
{
switch (evt.evtType)
{
case SystemEventType.LOGIN_OK:
LogStatus(LogStatusType.INFO, "Processing after succesful LOGON");
this._myUserID = evt.json["UserID"].Value <ulong>();
// disable test request to avoid disconnection during the "slow" market data processing
webSocketConnection.EnableTestRequest = false;
StartInitialRequestsAfterLogon(webSocketConnection);
break;
case SystemEventType.MARKET_DATA_REQUEST_REJECT:
LogStatus(LogStatusType.ERROR, "Unexpected Marketdata Request Reject");
webSocketConnection.Shutdown();
break;
case SystemEventType.MARKET_DATA_FULL_REFRESH:
{
string symbol = evt.json["Symbol"].Value <string>();
// dump the order book
LogStatus(LogStatusType.WARN, _allOrderBooks[symbol].ToString());
// bring back the testrequest keep-alive mechanism after processing the book
webSocketConnection.EnableTestRequest = true;
// run the trading strategy to buy and sell orders based on the top of the book
_tradingStrategy.runStrategy(webSocketConnection, symbol);
// TODO: remove the temp dump bellow
this._vwapForTradingSym.PrintTradesAndTheVWAP();
// example how to notify the application to start
//this._tradingStrategy.OnStart(webSocketConnection);
}
break;
// --- Order Book Management Events ---
case SystemEventType.ORDER_BOOK_CLEAR:
{
string symbol = evt.json["Symbol"].Value <string>();
OrderBook orderBook = null;
if (_allOrderBooks.TryGetValue(symbol, out orderBook))
{
orderBook.Clear();
}
else
{
orderBook = new OrderBook(symbol);
_allOrderBooks.Add(symbol, orderBook);
}
}
break;
case SystemEventType.ORDER_BOOK_NEW_ORDER:
{
string symbol = evt.json["Symbol"].Value <string>();
OrderBook orderBook = null;
if (_allOrderBooks.TryGetValue(symbol, out orderBook))
{
orderBook.AddOrder(evt.json);
}
else
{
LogStatus(LogStatusType.ERROR,
"Order Book not found for Symbol " + symbol + " @ " + evt.evtType.ToString());
}
}
break;
case SystemEventType.ORDER_BOOK_DELETE_ORDERS_THRU:
{
string symbol = evt.json["Symbol"].Value <string>();
OrderBook orderBook = null;
if (_allOrderBooks.TryGetValue(symbol, out orderBook))
{
orderBook.DeleteOrdersThru(evt.json);
}
else
{
LogStatus(LogStatusType.ERROR,
"Order Book not found for Symbol " + symbol + " @ " + evt.evtType.ToString()
);
}
}
break;
case SystemEventType.ORDER_BOOK_DELETE_ORDER:
{
string symbol = evt.json["Symbol"].Value <string>();
OrderBook orderBook = null;
if (_allOrderBooks.TryGetValue(symbol, out orderBook))
{
orderBook.DeleteOrder(evt.json);
}
else
{
LogStatus(LogStatusType.ERROR,
"Order Book not found for Symbol " + symbol + " @ " + evt.evtType.ToString()
);
}
}
break;
case SystemEventType.ORDER_BOOK_UPDATE_ORDER:
{
string symbol = evt.json["Symbol"].Value <string>();
OrderBook orderBook = null;
if (_allOrderBooks.TryGetValue(symbol, out orderBook))
{
orderBook.UpdateOrder(evt.json);
}
else
{
LogStatus(LogStatusType.ERROR,
"Order Book not found for Symbol " + symbol + " @ " + evt.evtType.ToString()
);
}
}
break;
// ------------------------------------
case SystemEventType.TRADE_CLEAR:
LogStatus(LogStatusType.WARN, "Receieved Market Data Event " + evt.evtType.ToString());
break;
case SystemEventType.SECURITY_STATUS:
{
LogStatus(LogStatusType.WARN,
"Receieved Market Data Event " +
evt.evtType.ToString() + " " +
(evt.json != null ? evt.json.ToString() : ".")
);
SecurityStatus securityStatus = new SecurityStatus();
securityStatus.Market = evt.json["Market"].Value <string>();
securityStatus.Symbol = evt.json["Symbol"].Value <string>();
securityStatus.LastPx = evt.json["LastPx"].Value <ulong>();
securityStatus.HighPx = evt.json["HighPx"].Value <ulong>();
if (evt.json["BestBid"].Type != JTokenType.Null)
{
securityStatus.BestBid = evt.json["BestBid"].Value <ulong>();
}
else
{
securityStatus.BestBid = 0;
}
if (evt.json["BestAsk"].Type != JTokenType.Null)
{
securityStatus.BestAsk = evt.json["BestAsk"].Value <ulong>();
}
else
{
securityStatus.BestAsk = 0;
}
if (evt.json["LowPx"].Type != JTokenType.Null)
{
securityStatus.LowPx = evt.json["LowPx"].Value <ulong>();
}
else
{
securityStatus.LowPx = 0;
}
securityStatus.SellVolume = evt.json["SellVolume"].Value <ulong>();
securityStatus.BuyVolume = evt.json["BuyVolume"].Value <ulong>();
// update the security status information
string securityKey = securityStatus.Market + ":" + securityStatus.Symbol;
_securityStatusEntries[securityKey] = securityStatus;
// update the strategy when a new market information arrives
_tradingStrategy.runStrategy(webSocketConnection, _tradingSymbol);
}
break;
case SystemEventType.TRADE:
{
JObject msg = evt.json;
LogStatus(LogStatusType.WARN, "Receieved Market Data Event " + evt.evtType.ToString() + msg);
_vwapForTradingSym.pushTrade(
new ShortPeriodTickBasedVWAP.Trade(
msg["TradeID"].Value <ulong>(),
msg["Symbol"].Value <string>(),
msg["MDEntryPx"].Value <ulong>(),
msg["MDEntrySize"].Value <ulong>(),
String.Format("{0} {1}", msg["MDEntryDate"].Value <string>(), msg["MDEntryTime"].Value <string>())
)
);
/*
* LogStatus(
* LogStatusType.INFO,
* String.Format(
* "New Trade : VWAP = {0} | LastPx = {1} - {2} | Size = {3}",
* _vwapForTradingSym.calculateVWAP(),
* _vwapForTradingSym.getLastPx(),
* msg["MDEntryPx"].Value<ulong>(),
* msg["MDEntrySize"].Value<ulong>()
* )
* );
*/
}
break;
case SystemEventType.TRADING_SESSION_STATUS:
break;
case SystemEventType.MARKET_DATA_INCREMENTAL_REFRESH:
LogStatus(LogStatusType.WARN, "Receieved Market Data Incremental Refresh : " + evt.evtType.ToString());
// update the strategy when an incremental message is processed
_tradingStrategy.runStrategy(webSocketConnection, _tradingSymbol);
break;
// --- Order Entry Replies ---
case SystemEventType.EXECUTION_REPORT:
{
LogStatus(LogStatusType.WARN, "Receieved " + evt.evtType.ToString() + "\n" + evt.json.ToString());
MiniOMS.IOrder order = ProcessExecutionReport(evt.json);
_tradingStrategy.OnExecutionReport(webSocketConnection, order);
}
break;
case SystemEventType.ORDER_LIST_RESPONSE:
{
// process the requested list of orders
JObject msg = evt.json;
LogStatus(LogStatusType.WARN,
"Received " + evt.evtType.ToString() + " : " + "Page=" + msg["Page"].Value <string>()
);
JArray ordersLst = msg["OrdListGrp"].Value <JArray>();
if (ordersLst != null && ordersLst.Count > 0)
{
var columns = msg["Columns"].Value <JArray>();
Dictionary <string, int> indexOf = new Dictionary <string, int>();
int index = 0;
foreach (JToken col in columns)
{
indexOf.Add(col.Value <string>(), index++);
}
foreach (JArray data in ordersLst)
{
MiniOMS.Order order = new MiniOMS.Order();
order.ClOrdID = data[indexOf["ClOrdID"]].Value <string>();
order.OrderID = data[indexOf["OrderID"]].Value <ulong>();
order.Symbol = data[indexOf["Symbol"]].Value <string>();
order.Side = data[indexOf["Side"]].Value <char>();
order.OrdType = data[indexOf["OrdType"]].Value <char>();
order.OrdStatus = data[indexOf["OrdStatus"]].Value <char>();
order.AvgPx = data[indexOf["AvgPx"]].Value <ulong>();
order.Price = data[indexOf["Price"]].Value <ulong>();
order.OrderQty = data[indexOf["OrderQty"]].Value <ulong>();
order.OrderQty = data[indexOf["LeavesQty"]].Value <ulong>();
order.CumQty = data[indexOf["CumQty"]].Value <ulong>();
order.CxlQty = data[indexOf["CxlQty"]].Value <ulong>();
order.Volume = data[indexOf["Volume"]].Value <ulong>();
order.OrderDate = data[indexOf["OrderDate"]].Value <string>();
order.TimeInForce = data[indexOf["TimeInForce"]].Value <char>();
LogStatus(LogStatusType.WARN,
"Adding Order to MiniOMS -> ClOrdID = " + order.ClOrdID.ToString() +
" OrdStatus = " + order.OrdStatus
);
try
{
_miniOMS.AddOrder(order);
}
catch (System.ArgumentException)
{
}
}
// check and request the next page
if (ordersLst.Count >= msg["PageSize"].Value <int>())
{
LogStatus(LogStatusType.INFO, "Requesting Page " + msg["Page"].Value <int>() + 1);
SendRequestForOpenOrders(webSocketConnection, msg["Page"].Value <int>() + 1);
}
else
{
LogStatus(LogStatusType.INFO, "EOT - no more Order List pages to process.");
// notify application that all requestes where replied,
// assuming the ORDER_LIST_REQUEST was the last in the StartInitialRequestsAfterLogon
//_tradingStrategy.OnStart(webSocketConnection);
}
}
}
break;
case SystemEventType.BALANCE_RESPONSE:
if (evt.json != null)
{
//JObject receivedBalances = evt.json[_brokerId.ToString()].Value<JObject>();
foreach (var rb in evt.json[_brokerId.ToString()].Value <JObject>())
{
try
{
this._balances[rb.Key] = rb.Value.Value <ulong>();
}
catch (System.OverflowException)
{
// TODO: find a better solution for this kind of conversion problem
// {"4": {"BRL_locked": -1, "BTC_locked": 0, "BRL": 48460657965, "BTC": 50544897}, "MsgType": "U3", "ClientID": 90826379, "BalanceReqID": 3}
this._balances[rb.Key] = 0;
}
}
// update the strategy when the balance is updated
_tradingStrategy.runStrategy(webSocketConnection, _tradingSymbol);
}
break;
case SystemEventType.TRADE_HISTORY_RESPONSE:
{
JObject msg = evt.json;
LogStatus(LogStatusType.WARN,
"Received " + evt.evtType.ToString() + " : " + "Page=" + msg["Page"].Value <string>()
);
/*
* JArray all_trades = msg["TradeHistoryGrp"].Value<JArray>();
*
* if (all_trades != null && all_trades.Count > 0)
* {
* var columns = msg["Columns"].Value<JArray>();
* Dictionary<string, int> indexOf = new Dictionary<string, int>();
* int index = 0;
* foreach (JToken col in columns)
* {
* indexOf.Add(col.Value<string>(), index++);
* }
*
* foreach (JArray trade in all_trades)
* {
* _vwapForTradingSym.pushTrade(
* new ShortPeriodTickBasedVWAP.Trade(
* trade[indexOf["TradeID"]].Value<ulong>(),
* trade[indexOf["Market"]].Value<string>(),
* trade[indexOf["Price"]].Value<ulong>(),
* trade[indexOf["Size"]].Value<ulong>(),
* trade[indexOf["Created"]].Value<string>()
* )
* );
* }
*
* // check and request the next page
* if (all_trades.Count >= msg["PageSize"].Value<int>())
* {
* LogStatus(LogStatusType.INFO, "TODO: Requesting Page " + msg["Page"].Value<int>() + 1);
* //TODO: create a function to call here and request a new page if requested period in minutes is not satified
* }
* else
* {
* LogStatus(LogStatusType.INFO, "EOT - no more Trade History pages to process.");
* }
*
* LogStatus(LogStatusType.INFO, String.Format("VWAP = {0}", _vwapForTradingSym.calculateVWAP()));
* }
*/
}
//
break;
case SystemEventType.CLOSED:
// notify the application the connection was broken
//_tradingStrategy.OnClose(webSocketConnection);
break;
// Following events are ignored because inheritted behaviour is sufficient for this prototype
case SystemEventType.OPENED:
case SystemEventType.ERROR:
case SystemEventType.LOGIN_ERROR:
case SystemEventType.HEARTBEAT:
break;
default:
LogStatus(LogStatusType.WARN, "Unhandled Broker Notification Event : " + evt.evtType.ToString());
break;
}
}
catch (Exception ex)
{
LogStatus(LogStatusType.ERROR,
" OnBrokerNotification Event Handler Error : " + ex.Message.ToString() + "\n" + ex.StackTrace
);
}
}
