public List <TradeOrder> CreateOrder(ParentOrder parentOrder)
{
List <TradeOrder> res = new List <TradeOrder>();
RollingAlgo algo = (RollingAlgo)parentOrder.Algo;
if (algo.CurrentLevel <= 0)
{
return(res);
}
var entry = algo.TradeMap[algo.CurrentLevel];
//if(entry.PartialFilled && !entry.SellOnPartil)
//{
// //on partial filled, if buy, then sell upper level
// entry = algo.TradeMap[algo.CurrentLevel - 1];
//}
if (entry.Level > 0 && entry.WasFilledSellOnPartial)
{
double price = Util.AdjustOrderPrice(TradeType.Sell, parentOrder.Symbol, entry.TargetSellPrice);
double qty = entry.CurrentQty;
var order = TradeManager.Instance.PlaceOrder(parentOrder.ID, TradeType.Sell, parentOrder.Symbol, price, qty);
if (order != null)
{
order.Notes = algo.CurrentLevel.ToString();
res.Add(order);
}
}
return(res);
}
public bool RemoveParentOrderByID(int ID)
{
int idx = -1;
ParentOrder parentOrder = GetParentOrderByParentID(ID);
if (parentOrder == null)
{
return(false);
}
lock (locker)
{
//Cancel open orders for this parentOrder
var openOrders = parentOrder.GetOpenOrders();
TradeManager.Instance.CancelOrders(openOrders);
}
Thread.Sleep(2000);
lock (locker)
{
if (Parent_Child_Order_Map.ContainsKey(ID))
{
Parent_Child_Order_Map.Remove(ID);
}
List <int> remove = new List <int>();
foreach (int childID in Child_Parent_Order_Map.Keys)
{
if (Child_Parent_Order_Map[childID] == parentOrder.ID)
{
remove.Add(childID);
}
}
foreach (int item in remove)
{
Child_Parent_Order_Map.Remove(item);
}
for (int i = 0; i < ParentOrderList.Count; i++)
{
if (ParentOrderList[i].ID == ID)
{
idx = i;
break;
}
}
if (idx != -1)
{
ParentOrderList.RemoveAt(idx);
}
}
StateManager.Save();
return(idx != -1);
}
public void AddParentOrder(ParentOrder parentOrder)
{
lock (locker)
{
ParentOrderList.Add(parentOrder);
if (!Parent_Child_Order_Map.ContainsKey(parentOrder.ID))
{
Parent_Child_Order_Map[parentOrder.ID] = new List <int>();
}
}
}
public void CloseParentOrderByID(int ID)
{
ParentOrder parent = GetParentOrderByParentID(ID);
ParentOrderManager.Instance.StopParentOrder(ID);
Thread.Sleep(500);
//Please mkt order
if (parent != null)
{
Log.Info(string.Format("Close parent order {0}, qty: {1}, market order ", parent.ID, parent.Qty));
var res = TradeManager.Instance.PlaceOrder(ID, TradeType.Sell, parent.Symbol, 0, parent.Qty, null, OrderType.MKT);
}
}
public ParentOrder CreateParentOrder(string symbol, double openQty, Algo algo)
{
int id = -1;
do
{
id = new Random().Next(1000 * 1000);
} while (Parent_Child_Order_Map.ContainsKey(id));
ParentOrder parentOrder = new ParentOrder(id, symbol, openQty, algo);
Log.Info(string.Format("ParentOrder {0} is created, symbol {1}", id, symbol));
return(parentOrder);
}
private void HandleSellExecution(ParentOrder parentOrder, TradeExecution execution)
{
TradeOrder order = parentOrder.GetChildOrderByID(execution.OrderID);
if (order == null)
{
Log.Error(string.Format("Cannot find trade order, orderID: {0}", execution.OrderID));
}
else
{
if (string.IsNullOrWhiteSpace(order.Notes))
{
Log.Warn("HandleSellExecution error. Cannot resolve execution level due to emtpy order notes");
}
else
{
int exeLevel = int.Parse(order.Notes);
TradeMap[exeLevel].CurrentQty -= execution.Shares;
if (TradeMap[exeLevel].CurrentQty < 0)
{
//should not hit here
Log.Error(string.Format("Negative CurrentQty detected. level: {0}, qty: {1}", exeLevel, TradeMap[exeLevel].CurrentQty));
}
if (TradeMap[exeLevel].CurrentQty <= 0)
{
if (TradeMap.ContainsKey(CurrentLevel))
{
TradeMap[CurrentLevel].WasFilledSellOnPartial = false;
TradeMap[CurrentLevel].LastBuyPrice = 0;
}
CurrentLevel--;
//TradeMap.Remove(CurrentLevel);
//for (int i = CurrentLevel + 1; i <= ScaleLevel; i++)
//{
// if (TradeMap.ContainsKey(i)) TradeMap.Remove(i);
//}
//if (CurrentLevel >= 0)
//{
// GenerateTradeMapNextLevel(TradeMap[CurrentLevel].LastBuyPrice);
//}
}
}
Log.Info("After sld execution." + Util.PrintTradeMapCurrLvl(this));
}
}
public override void HandleExecutionMsg(ParentOrder parentOrder, TradeExecution tradeExecution)
{
if (tradeExecution.Side.ToUpper() == Constant.ExecutionBuy)
{
HandleBuyExecution(parentOrder, tradeExecution);
}
else if (tradeExecution.Side.ToUpper() == Constant.ExecutionSell)
{
HandleSellExecution(parentOrder, tradeExecution);
}
else
{
Log.Error(string.Format("Unsupported execution. Side {0}", tradeExecution.Side));
}
}
public void AddChildOrder(TradeOrder tradeOrder)
{
if (!Parent_Child_Order_Map.ContainsKey(tradeOrder.ParentOrderID))
{
return;
}
lock (locker)
{
ParentOrder pOrder = GetParentOrderByParentID(tradeOrder.ParentOrderID);
pOrder.AddChildOrder(tradeOrder);
Parent_Child_Order_Map[tradeOrder.ParentOrderID].Add(tradeOrder.OrderID);
Child_Parent_Order_Map[tradeOrder.OrderID] = tradeOrder.ParentOrderID;
}
}
public ParentOrder FindAssociatedParentOrderByChildID(int childOrderID)
{
ParentOrder res = null;
lock (locker)
{
if (Child_Parent_Order_Map.ContainsKey(childOrderID))
{
int pID = Child_Parent_Order_Map[childOrderID];
res = GetParentOrderByParentID(pID);
}
}
return(res);
}
public override List <TradeOrder> Eval(ParentOrder parentOrder)
{
List <TradeOrder> res = new List <TradeOrder>();
foreach (var rule in TradeRules)
{
var list = rule.CreateOrder(parentOrder);
if (list != null && list.Count > 0)
{
res.AddRange(list);
}
}
return(res);
}
public ParentOrder GetParentOrderByParentID(int ID)
{
ParentOrder res = null;
lock (locker)
{
foreach (ParentOrder p in ParentOrderList)
{
if (p.ID == ID)
{
res = p;
break;
}
}
}
return(res);
}
public Dictionary <int, TradeMapEntry> GetTradeMapByParentID(int parentOrderID)
{
Dictionary <int, TradeMapEntry> res = null;
ParentOrder p = ParentOrderManager.Instance.GetParentOrderByParentID(parentOrderID);
if (p != null)
{
res = ((RollingAlgo)p.Algo).TradeMap;
}
else
{
Log.Error(string.Format("Cannot find parent order ID: " + parentOrderID));
}
return(res);
}
public List <TradeOrder> CreateOrder(ParentOrder parentOrder)
{
List <TradeOrder> res = new List <TradeOrder>();
RollingAlgo algo = (RollingAlgo)parentOrder.Algo;
if (algo.CurrentLevel != 0)
{
return(res);
}
var entry = algo.TradeMap[algo.CurrentLevel];
double lastPrice = MarketDataManager.Instance.GetLastPrice(parentOrder.Symbol);
if (entry.WasFilledSellOnPartial)
{
double soldPct = 1 - entry.CurrentQty / entry.TargetQty;
if (SellPct - soldPct > 0.001)
{
double qty = SellPct * entry.TargetQty - (entry.TargetQty - entry.CurrentQty);
double price = Util.AdjustOrderPrice(TradeType.Sell, parentOrder.Symbol, entry.LastBuyPrice * (1 + priceUpPct));
if (Util.IsLimitPriceInMktRange(TradeType.Sell, parentOrder.Symbol, price, lastPrice))
{
var order = TradeManager.Instance.PlaceOrder(parentOrder.ID, TradeType.Sell, parentOrder.Symbol, price, qty);
if (order != null)
{
order.Notes = algo.CurrentLevel.ToString();
res.Add(order);
}
}
else
{
Log.Info("Not place first level order due to outside last price range");
Log.Info(string.Format("Symbol:{0}, TradeType: {1}, Price: {2}, MarketPx: {3}",
parentOrder.Symbol, TradeType.Sell.ToString(), price, lastPrice
));
}
}
}
return(res);
}
public List <TradeOrder> CreateOrder(ParentOrder parentOrder)
{
List <TradeOrder> res = new List <TradeOrder>();
RollingAlgo algo = (RollingAlgo)parentOrder.Algo;
TradeMapEntry entry = null;
int orderLevel = -99;
if (algo.CurrentLevel == -1)
{
//entry = algo.TradeMap[0];
orderLevel = 0;
}
else
{
TradeMapEntry currEntry = algo.TradeMap[algo.CurrentLevel];
if (currEntry.PartialFilled && !currEntry.WasFilledSellOnPartial)
{
//On partial filled, if buy, then buy current level
orderLevel = algo.CurrentLevel;
}
else if (currEntry.Filled && algo.CurrentLevel <= algo.ScaleLevel - 1)
{
//buy next level
orderLevel = algo.CurrentLevel + 1;
}
}
entry = algo.TradeMap.ContainsKey(orderLevel) ? algo.TradeMap[orderLevel] : null;
if (entry != null)
{
double price = Util.AdjustOrderPrice(TradeType.Buy, parentOrder.Symbol, entry.TargetBuyPrice);
double qty = entry.TargetQty - entry.CurrentQty;
var order = TradeManager.Instance.PlaceOrder(parentOrder.ID, TradeType.Buy, parentOrder.Symbol, price, qty);
if (order != null)
{
order.Notes = orderLevel.ToString();
res.Add(order);
}
}
return(res);
}
private void HandleBuyExecution(ParentOrder parentOrder, TradeExecution execution)
{
/*
* check if buy execution create new tradeMap entry
* 1.curr level =-1;
* 2. Curre level filled and next level exist
* 3. curr level partial filled but wasfilled and next level exist
* 4. curr level is zero and partial filled and buyback enabled
*
* */
TradeOrder order = parentOrder.GetChildOrderByID(execution.OrderID);
if (order == null)
{
Log.Error(string.Format("Cannot find trade order, orderID: {0}", execution.OrderID));
}
else
{
int exeLevel = int.Parse(order.Notes);
TradeMap[exeLevel].CurrentQty += execution.Shares;
if (TradeMap[exeLevel].CurrentQty > TradeMap[exeLevel].TargetQty)
{
//should not hit here
Log.Error(string.Format("Overbot Qty detected. level: {0}, qty: {1}, target qty: {2}",
exeLevel, TradeMap[exeLevel].CurrentQty, TradeMap[exeLevel].TargetQty));
}
TradeMap[exeLevel].LastBuyPrice = execution.Price;
//TradeMap[exeLevel].TargetSellPrice = (exeLevel == 0) ? int.MaxValue : TradeMap[exeLevel - 1].LastBuyPrice;
CurrentLevel = Math.Max(CurrentLevel, exeLevel);
if (TradeMap[CurrentLevel].Filled)
{
TradeMap[CurrentLevel].WasFilledSellOnPartial = true;
//GenerateTradeMapNextLevel(TradeMap[CurrentLevel].LastBuyPrice);
}
Log.Info("After bot execution." + Util.PrintTradeMapCurrLvl(this));
}
}
public bool UpdateTradeMapByParentID(int parentOrderID, Dictionary <int, TradeMapEntry> map, int currLvl)
{
bool res = false;
ParentOrder p = ParentOrderManager.Instance.GetParentOrderByParentID(parentOrderID);
if (p != null)
{
RollingAlgo algo = (RollingAlgo)p.Algo;
algo.TradeMap = map;
algo.CurrentLevel = currLvl;
res = true;
}
else
{
Log.Error(string.Format("Cannot find parent order ID: " + parentOrderID));
}
return(res);
}
public List <TradeOrder> CreateOrder(ParentOrder parentOrder)
{
List <TradeOrder> res = new List <TradeOrder>();
RollingAlgo algo = (RollingAlgo)parentOrder.Algo;
if (algo.BuyBackLvlZero && algo.TradeMap.ContainsKey(algo.CurrentLevel))
{
TradeMapEntry entry = algo.TradeMap[algo.CurrentLevel];
if (algo.CurrentLevel == 0 && !entry.Filled && entry.WasFilledSellOnPartial)
{
double price = Util.AdjustOrderPrice(TradeType.Buy, parentOrder.Symbol, entry.TargetBuyPrice);
double qty = entry.TargetQty - entry.CurrentQty;
var order = TradeManager.Instance.PlaceOrder(parentOrder.ID, TradeType.Buy, parentOrder.Symbol, price, qty);
if (order != null)
{
order.Notes = algo.CurrentLevel.ToString();
res.Add(order);
}
}
}
return(res);
}
public abstract List <TradeOrder> Eval(ParentOrder parentOrder);
public abstract void HandleExecutionMsg(ParentOrder parentOrder, TradeExecution tradeExecution);
