public static void startMarketData()
{
SystemFlg.setMarketDataFlg(true);
MarketDataLog.initialize();
//BoardDataUpdate.getCurrentBoard();
BoardDataUpdate.startBoardUpdate();
marketDataThread();
DBWriter.startDBWriter();
//System.Diagnostics.Debug.WriteLine("kita2");
}
private static void OnReceiveBoard(BoardDiff data)
{
//if (BoardDataUpdate.getCurrentBoard().MidPrice > 0)
{
var current_board = BoardDataUpdate.getCurrentBoard();
current_board.dt = DateTime.Now;
var ask_min = current_board.Asks.Select(x => x.Price).ToList().Min();
var bid_max = current_board.Bids.Select(x => x.Price).ToList().Max();
foreach (var v in data.Asks)
{
if (v.Price < ask_min)
{
ask_min = v.Price;
}
break;
}
foreach (var v in data.Bids)
{
if (v.Price > bid_max)
{
bid_max = v.Price;
}
break;
}
current_board.Asks[0].Price = ask_min;
current_board.Bids[0].Price = bid_max;
current_board.spread = ask_min - bid_max;
MarketDataLog.addBoardData(current_board.dt, new double[] { bid_max, ask_min, current_board.spread });
BoardDataUpdate.setCurrentBoard(current_board);
Form1.Form1Instance.setLabel3(current_board.spread.ToString());
}
/*
* foreach (var v in data.Asks)
* line += v.Price + " x " + v.Size;
* Form1.Form1Instance.addListBox(data.MidPrice+" : " + line);
*/
}
private static async Task <string> MMStrategy(Account ac)
{
string res = "";
var board = BoardDataUpdate.getCurrentBoard();
//if (board.Asks.Length > 0)
{
var bids = board.Bids.Select(x => x.Price).ToList();
var asks = board.Asks.Select(x => x.Price).ToList();
double bid_max = bids.Max();
double ask_min = asks.Min();
await ac.checkExecutionAndUpdateOrders();
var ord = ac.getAllOrders();
if (ac.holding_total_size == 0 && ord.Count == 0) //no positions, no orders
{
if (board.spread >= entry_spread)
{
//entry for both of bid and ask
var sell_order = await ac.entry(ask_min - 1, order_size, "SELL");
if (sell_order.order_id != "")
{
Log.addLog("MMStrategy", "ordered sell @" + (ask_min - 1));
Form1.Form1Instance.Invoke((Action)(() => { Form1.Form1Instance.addListBox2("ordered sell @" + (ask_min - 1)); }));
}
var buy_order = await ac.entry(bid_max + 1, order_size, "BUY");
if (buy_order.order_id != "")
{
Log.addLog("MMStrategy", "ordered buy @" + (bid_max + 1));
Form1.Form1Instance.Invoke((Action)(() => { Form1.Form1Instance.addListBox2("ordered buy @" + (bid_max + 1)); }));
}
//check execution and start exit price tracing when executed
bool flg = true;
do
{
await ac.checkExecutionAndUpdateOrders();
if (ac.holding_ave_side != "")
{
await ac.startExitPriceTracingOrder();
}
else if (BoardDataUpdate.getCurrentBoard().spread < entry_spread)
{
//Log.addLog("MMStrategy", "cancelAllOrders-hold=0, order=0");
await ac.cancelAllOrders();
flg = false;
}
} while (flg);
}
}
else if (ac.holding_total_size == 0 && ord.Count > 0) //no positions but some orders
{
if (board.spread < entry_spread)
{
//Log.addLog("MMStrategy", "cancelAllOrders-hold=0, order>0, board.spread < entry_spread");
var res_cancel = await ac.cancelAllOrders();
if (res_cancel != "error")
{
//ac.takeLog("cancelling all orders");
//Form1.Form1Instance.Invoke((Action)(() => { Form1.Form1Instance.addListBox2("cancelling all orders"); }));
}
}
else
{
for (int i = 0; i < ord.Count; i++)
{
if (ord[i].order_side == "BUY")
{
if (ord[i].order_price <= bid_max)
{
double size = ord[i].order_lot;
Form1.Form1Instance.Invoke((Action)(() => { Form1.Form1Instance.addListBox2("cancelling buy order, id=" + ord[i].order_id); }));
//Log.addLog("MMStrategy", "hold=0, order>0, board.spread > entry_spread, cancelling buy order, id=" + ord[i].order_id);
var res_cancel = await ac.cancelOrder(ord[i].order_id);
if (res_cancel != "error")
{
//Form1.Form1Instance.Invoke((Action)(() => { Form1.Form1Instance.addListBox2("ordered buy @" + (bid_max + 1)); }));
//await ac.entry(bid_max + 1, size, "BUY");
}
}
}
else
{
if (ord[i].order_price >= ask_min)
{
double size = ord[i].order_lot;
Form1.Form1Instance.Invoke((Action)(() => { Form1.Form1Instance.addListBox2("cancelling sell order, id=" + ord[i].order_id); }));
//Log.addLog("MMStrategy", "hold=0, order>0, board.spread > entry_spread, cancelling sell order, id=" + ord[i].order_id);
var res_cancel = await ac.cancelOrder(ord[i].order_id);
if (res_cancel != "error")
{
//Form1.Form1Instance.Invoke((Action)(() => { Form1.Form1Instance.addListBox2("ordered sell @" + (ask_min - 1)); }));
//await ac.entry(ask_min - 1, size, "SELL");
}
}
}
}
}
}
else if (ac.holding_total_size > 0)//holding positions, and orders
{
Log.addLog("MMStrategy", "ac.holding_total_size > 0");
var com = await ac.startExitPriceTracingOrder();
res = "completed exit price tracing order";
}
}
return(res);
}
public async Task <string> startExitPriceTracingOrder()
{
string res = "";
takeLog(DateTime.Now + ": started exit price tracing order");
Log.addLog("Account-startExitPriceTracingOrder", "startExitPriceTracingOrder");
Form1.Form1Instance.Invoke((Action)(() => { Form1.Form1Instance.addListBox2("started price tracing order"); }));
await Task.Run(async() =>
{
do
{
await checkExecutionAndUpdateOrders();
if (holding_total_size > 0) //if holding position
{
var board = BoardDataUpdate.getCurrentBoard();
double bid_max = board.Bids.Select(x => x.Price).ToList().Max();
double ask_min = board.Asks.Select(x => x.Price).ToList().Min();
var ord = getAllOrders();
if (holding_ave_side == "BUY") //hodling long position
{
var orders = ord.Where(x => x.order_side == "SELL").ToList();
if (orders.Count > 0) //exit order is already exist
{
for (int i = 0; i < orders.Count; i++)
{
if (orders[i].order_status != "CANCELLING")
{
if (orders[i].order_price >= ask_min)
{
var res_cancel = await cancelOrder(orders[i].order_id);
if (res_cancel != "error")
{
takeLog(DateTime.Now + ": PirceTracingOrder - cancelling sell order " + orders[i].order_price + " x " + orders[i].order_lot);
Log.addLog("Account-startExitPriceTracingOrder", ": PirceTracingOrder - cancelling sell order " + orders[i].order_price + " x " + orders[i].order_lot);
Form1.Form1Instance.Invoke((Action)(() => { Form1.Form1Instance.addListBox2("PirceTracingOrder - cancelling sell order : " + orders[i].order_price + " x " + orders[i].order_lot); }));
}
}
}
}
}
else //if no exit order
{
//var order = await FlyerAPI2.sendChiledOrderAsync("SELL", ask_min - 1, holding_total_size, 1);
var order = await entry(ask_min - 1, holding_total_size, "SELL");
/*if (order.order_id != "")
* {
* addOrder(DateTime.Now, ask_min - 1, holding_total_size, order.order_id, "ACTIVE", "SELL");
* takeLog(DateTime.Now + ": PirceTracingOrder - entry sell order " + (ask_min - 1).ToString() + " x " + holding_total_size);
* Log.addLog("Account-startExitPriceTracingOrder", ": PirceTracingOrder - entry sell order " + (ask_min - 1).ToString() + " x " + holding_total_size);
* Form1.Form1Instance.Invoke((Action)(() => { Form1.Form1Instance.addListBox2("PirceTracingOrder - ordered sell @" + (ask_min - 1)); }));
* }*/
}
}
else if (holding_ave_side == "SELL") //holding short position
{
var orders = ord.Where(x => x.order_side == "BUY").ToList();
if (orders.Count > 0) //exit order is already exist
{
for (int i = 0; i < orders.Count; i++)
{
if (orders[i].order_status != "CANCELLING")
{
if (orders[i].order_price <= bid_max)
{
var res_cancel = await cancelOrder(orders[i].order_id);
if (res_cancel != "error")
{
takeLog(DateTime.Now + ": PirceTracingOrder - cancelling buy order " + orders[i].order_price + " x " + orders[i].order_lot);
Log.addLog("Account-startExitPriceTracingOrder", ": PirceTracingOrder - cancelling buy order " + orders[i].order_price + " x " + orders[i].order_lot);
Form1.Form1Instance.Invoke((Action)(() => { Form1.Form1Instance.addListBox2("PirceTracingOrder - cancelling buy order : " + orders[i].order_price + " x " + orders[i].order_lot); }));
}
}
}
}
}
else //exit order it not yet exit
{
//var order = await FlyerAPI2.sendChiledOrderAsync("BUY", bid_max + 1, holding_total_size, 1);
var order = await entry(bid_max + 1, holding_total_size, "BUY");
/*if (order.order_id != "")
* {
* addOrder(DateTime.Now, bid_max + 1, holding_total_size, order.order_id, "ACTIVE", "BUY");
* takeLog(DateTime.Now + ": PirceTracingOrder - entry buy order " + (bid_max + 1).ToString() + " x " + holding_total_size);
* Log.addLog("Account-startExitPriceTracingOrder", ": PirceTracingOrder - entry buy order " + (bid_max + 1).ToString() + " x " + holding_total_size);
* Form1.Form1Instance.Invoke((Action)(() => { Form1.Form1Instance.addListBox2("PirceTracingOrder - ordered buy @" + (bid_max + 1)); }));
* }*/
}
}
}
} while (holding_total_size > 0 || getNumCurrentOrders() > 0);
});
takeLog("Completed exit price tracing order");
Log.addLog("Account-startExitPriceTracingOrder", "Completed exit price tracing order");
Form1.Form1Instance.Invoke((Action)(() => { Form1.Form1Instance.addListBox2("Completed exit price tracing order"); }));
return(res);
}