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artemiusgreatartemiusgreat
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Tradier
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Lines changed: 906 additions & 12 deletions

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‎Gateways/Schwab/Libs/Schwab.csproj‎

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</PropertyGroup>
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<ItemGroup>
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<PackageReference Include="Flurl.Http" Version="4.0.2" />
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<PackageReference Include="SchwabBroker" Version="1.0.2" />
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</ItemGroup>
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‎Gateways/Tradier/Libs/Grains/ConnectionGrain.cs‎

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using Core.Conventions;
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using Core.Enums;
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using Core.Extensions;
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using Core.Grains;
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using Core.Models;
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using System;
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using System.Linq;
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using System.Threading;
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using System.Threading.Tasks;
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using Tradier.Messages.Stream;
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using Tradier.Models;
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namespace Tradier.Grains
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{
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public interface ITradierConnectionGrain : IConnectionGrain
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{
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/// <summary>
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/// Connect
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/// </summary>
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/// <param name="connection"></param>
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/// <param name="observer"></param>
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Task<StatusResponse> Setup(Connection connection, ITradeObserver observer);
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}
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/// <summary>
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/// Constructor
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/// </summary>
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public class TradierConnectionGrain : ConnectionGrain, ITradierConnectionGrain
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{
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/// <summary>
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/// State
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/// </summary>
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protected Connection state;
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/// <summary>
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/// Connector
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/// </summary>
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protected TradierBroker connector;
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/// <summary>
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/// Observer
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/// </summary>
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protected ITradeObserver observer;
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/// <summary>
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/// Connect
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/// </summary>
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/// <param name="connection"></param>
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/// <param name="grainObserver"></param>
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public virtual async Task<StatusResponse> Setup(Connection connection, ITradeObserver grainObserver)
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{
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var cleaner = new CancellationTokenSource(connection.Timeout);
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await Disconnect();
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state = connection;
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observer = grainObserver;
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connector = new()
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{
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Token = connection.AccessToken,
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SessionToken = connection.SessionToken,
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};
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await connector.Connect(cleaner.Token);
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await Task.WhenAll(connection.Account.Instruments.Values.Select(Subscribe));
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return new()
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{
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Data = StatusEnum.Active
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};
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}
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/// <summary>
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/// Save state and dispose
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/// </summary>
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public override Task<StatusResponse> Disconnect()
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{
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connections?.ForEach(o => o.Dispose());
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connections?.Clear();
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connector?.Dispose();
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return Task.FromResult(new StatusResponse
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{
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Data = StatusEnum.Inactive
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});
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}
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/// <summary>
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/// Subscribe to streams
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/// </summary>
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/// <param name="instrument"></param>
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public override async Task<StatusResponse> Subscribe(Instrument instrument)
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{
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var descriptor = this.GetDescriptor();
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var instrumentDescriptor = this.GetDescriptor(instrument.Name);
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var domGrain = GrainFactory.GetGrain<IDomGrain>(instrumentDescriptor);
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var instrumentGrain = GrainFactory.GetGrain<IInstrumentGrain>(instrumentDescriptor);
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var positionsGrain = GrainFactory.GetGrain<IPositionsGrain>(descriptor);
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var ordersGrain = GrainFactory.GetGrain<IOrdersGrain>(descriptor);
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connector.OnPrice += async o =>
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{
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var group = await instrumentGrain.Send(instrument with
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{
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Price = MapPrice(o)
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});
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observer.StreamPrice(group);
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await ordersGrain.Tap(group);
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await positionsGrain.Tap(group);
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await observer.StreamTrade(group);
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};
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await connector.Subscribe(instrument.Name);
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return new()
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{
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Data = StatusEnum.Active
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};
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}
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/// <summary>
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/// Get price
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/// </summary>
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/// <param name="message"></param>
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protected virtual Price MapPrice(PriceMessage message) => new()
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{
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Ask = message.Ask,
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Bid = message.Bid,
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AskSize = message.AskSize,
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BidSize = message.BidSize,
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Last = (message.Bid + message.Ask) / 2.0,
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Time = message?.BidDate ?? DateTime.Now.Ticks
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};
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}
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}

‎Gateways/Tradier/Libs/Grains/OptionsGrain.cs‎

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using Core.Enums;
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using Core.Grains;
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using Core.Models;
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using System.Linq;
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using System.Threading;
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using System.Threading.Tasks;
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using Tradier.Messages.MarketData;
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using Tradier.Models;
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using Tradier.Queries.MarketData;
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namespace Tradier.Grains
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{
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public interface ITradierOptionsGrain : IOptionsGrain
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{
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/// <summary>
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/// Connect
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/// </summary>
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/// <param name="connection"></param>
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Task<StatusResponse> Setup(Connection connection);
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}
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public class TradierOptionsGrain : OptionsGrain, ITradierOptionsGrain
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{
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/// <summary>
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/// State
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/// </summary>
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protected Connection state;
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/// <summary>
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/// Connector
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/// </summary>
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protected TradierBroker connector;
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/// <summary>
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/// Connect
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/// </summary>
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/// <param name="connection"></param>
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public virtual async Task<StatusResponse> Setup(Connection connection)
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{
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var cleaner = new CancellationTokenSource(connection.Timeout);
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state = connection;
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connector = new()
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{
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Token = connection.AccessToken,
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SessionToken = connection.SessionToken,
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};
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await connector.Connect(cleaner.Token);
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return new()
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{
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Data = StatusEnum.Active
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};
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}
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/// <summary>
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/// Option chain
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/// </summary>
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/// <param name="criteria"></param>
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public override async Task<InstrumentsResponse> Options(Criteria criteria)
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{
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var query = new OptionChainRequest
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{
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Symbol = criteria.Instrument.Name,
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Expiration = criteria.MaxDate ?? criteria.MinDate
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};
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var cleaner = new CancellationTokenSource(state.Timeout);
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var chain = await connector.GetOptionChain(query, cleaner.Token);
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var options = chain
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.Options
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?.Select(MapOption)
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?.OrderBy(o => o.Derivative.ExpirationDate)
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?.ThenBy(o => o.Derivative.Strike)
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?.ThenBy(o => o.Derivative.Side)
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?.ToList() ?? [];
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return new()
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{
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Data = options
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};
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}
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/// <summary>
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/// Get internal option
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/// </summary>
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/// <param name="message"></param>
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protected virtual Instrument MapOption(OptionMessage message)
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{
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var instrument = new Instrument
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{
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Name = message.Underlying,
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Exchange = message.Exchange
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};
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var optionPoint = new Price
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{
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Ask = message.Ask,
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Bid = message.Bid,
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AskSize = message.AskSize ?? 0,
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BidSize = message.BidSize ?? 0,
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Volume = message.Volume,
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Last = message.Last,
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Bar = new()
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{
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Low = message.Low,
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High = message.High,
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Open = message.Open,
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Close = message.Close
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}
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};
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var optionInstrument = new Instrument
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{
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Basis = instrument,
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Price = optionPoint,
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Name = message.Symbol,
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Exchange = message.Exchange,
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Leverage = message.ContractSize ?? 100,
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Type = GetInstrumentType(message.Type)
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};
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var side = null as OptionSideEnum?;
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switch (message.OptionType.ToUpper())
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{
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case "PUT": side = OptionSideEnum.Put; break;
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case "CALL": side = OptionSideEnum.Call; break;
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}
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var derivative = new Derivative
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{
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Side = side,
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Strike = message.Strike,
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TradeDate = message.ExpirationDate,
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ExpirationDate = message.ExpirationDate,
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OpenInterest = message.OpenInterest ?? 0,
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Volatility = message?.Greeks?.SmvIV ?? 0,
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};
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var greeks = message?.Greeks;
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if (greeks is not null)
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{
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derivative = derivative with
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{
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Variance = new Variance
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{
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Rho = greeks.Rho ?? 0,
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Vega = greeks.Vega ?? 0,
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Delta = greeks.Delta ?? 0,
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Gamma = greeks.Gamma ?? 0,
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Theta = greeks.Theta ?? 0
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}
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};
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}
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optionInstrument = optionInstrument with
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{
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Price = optionPoint,
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Derivative = derivative
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};
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return optionInstrument;
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}
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/// <summary>
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/// Asset type
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/// </summary>
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/// <param name="assetType"></param>
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protected virtual InstrumentEnum? GetInstrumentType(string assetType)
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{
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switch (assetType?.ToUpper())
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{
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case "EQUITY": return InstrumentEnum.Shares;
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case "INDEX": return InstrumentEnum.Indices;
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case "FUTURE": return InstrumentEnum.Futures;
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case "OPTION": return InstrumentEnum.Options;
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}
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return InstrumentEnum.Group;
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}
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}
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}

‎Gateways/Tradier/Libs/Grains/OrderSenderGrain.cs‎

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using Core.Enums;
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using Core.Models;
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using System.Linq;
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using System.Threading;
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using System.Threading.Tasks;
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namespace Tradier.Grains
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{
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public interface ITradierOrderSenderGrain : ITradierOrdersGrain
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{
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}
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public class TradierOrderSenderGrain : TradierOrdersGrain, ITradierOrderSenderGrain
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{
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/// <summary>
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/// Send order
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/// </summary>
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/// <param name="order"></param>
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public override async Task<OrderResponse> Send(Order order)
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{
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//var message = MapOrder(order);
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//var accountCode = order.Account.Descriptor;
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//var messageResponse = await connector.SendOrder(message, accountCode, CancellationToken.None);
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//var response = new OrderResponse { Data = new() { Id = messageResponse.OrderId } };
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return null;
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}
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}
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}

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