public Dictionary <int, TradeMapEntry> InitializeTradeMap(RollingAlgo algo)
{
Dictionary <int, TradeMapEntry> res = new Dictionary <int, TradeMapEntry>();
double buyPrice = algo.BeginPrice;
double sellPrice = int.MaxValue;
double qty = (algo.IsShare) ? algo.ShareOrDollarAmt : Math.Floor(algo.ShareOrDollarAmt / algo.BeginPrice);
for (int i = 0; i <= algo.ScaleLevel; i++)
{
TradeMapEntry entry = new TradeMapEntry();
entry.Level = i;
if (i == 0)
{
entry.TargetBuyPrice = buyPrice;
entry.TargetSellPrice = sellPrice;
entry.TargetQty = qty;
}
else
{
double tmpprice = (algo.IsPctScaleFactor) ? buyPrice * (1 - algo.ScaleFactor) : buyPrice - algo.ScaleFactor;
buyPrice = tmpprice <= 0 ? 0 : Util.NormalizePrice(tmpprice);
entry.TargetBuyPrice = buyPrice;
double tmpprice2 = (algo.IsPctScaleFactor) ? buyPrice / (1 - algo.ScaleFactor) : buyPrice + algo.ScaleFactor;
sellPrice = tmpprice2 <= 0 ? 0 : Util.NormalizePrice(tmpprice2);
entry.TargetSellPrice = sellPrice;
qty = (algo.IsShare) ? algo.ShareOrDollarAmt : Math.Floor(algo.ShareOrDollarAmt / entry.TargetBuyPrice);
entry.TargetQty = qty;
double adj = 0d;
if (algo.IsAdjPct)
{
adj = entry.Level * entry.TargetQty * algo.AdjQty / (double)100;
}
else
{
adj = algo.AdjQty * entry.Level;
}
entry.TargetQty += adj;
if (entry.TargetQty < 0)
{
entry.TargetQty = 0;
}
}
res[i] = entry;
}
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 GenerateTradeMapNextLevel(double currBuyPrice)
{
if (CurrentLevel < this.ScaleLevel - 1)
{
TradeMapEntry entry = new TradeMapEntry();
entry.Level = CurrentLevel + 1;
double price = (IsPctScaleFactor) ? currBuyPrice * (1 - ScaleFactor) :
currBuyPrice - ScaleFactor;
entry.TargetBuyPrice = price <= 0 ? 0 : Util.NormalizePrice(price);
if (this.IsShare)
{
entry.TargetQty = this.ShareOrDollarAmt;
}
else
{
entry.TargetQty = Math.Floor(this.ShareOrDollarAmt / entry.TargetBuyPrice);
}
double adj = 0d;
if (this.IsAdjPct)
{
adj = entry.Level * entry.TargetQty * this.AdjQty / (double)100;
}
else
{
adj = this.AdjQty * entry.Level;
}
entry.TargetQty += adj;
if (entry.TargetQty < 0)
{
entry.TargetQty = 0;
}
TradeMap[entry.Level] = entry;
}
}
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);
}
