/*
* private void exitTradeStrategy(Series<DateTime, MarketDataElement> series)
* {
*
* if (!execution.isPositionOnSignalEmpty())
* {
* return;
* }
*
* double tickClose = calculateMid();
* if (tickClose.Equals(double.NaN))
* return;
*
* double enterPrice = lastExecutePrice;
* double idealEnterPrice = lastSignalPrice;
* if (execution.CurrentMarketPosition > 0)
* {
* double profitTargetPt = enterPrice + profitTarget;
* double cutLossTarget = enterPrice - cutLoss;
* String reason = "[Strategy] : Exit with the {0} trade because exceed profit target: profitTargetPt={1}; tickClose={2}; idealEnterPrice={3}; enterPrice={4}";
* reason = reason.Replace("{0}", "SELL").Replace("{1}", profitTargetPt.ToString()).Replace("{2}", tickClose.ToString());
* reason = reason.Replace("{3}", idealEnterPrice.ToString()).Replace("{4}", enterPrice.ToString());
* log.Info("[Strategy] : Exit Sell Generated !!! ");
* log.Info(reason);
* if (sentOrder)
* {
* stgHelper.placeLimitTrade(AppConstant.SELL_SIGNAL, "Exit Random Trade", profitTargetPt, "", orderSize, 1);
* stgHelper.placeStopTrade(AppConstant.SELL_SIGNAL, "Cutloss Random Trade", cutLossTarget, "", orderSize, 2);
* }
* return;
* }
*
* if (execution.CurrentMarketPosition < 0)
* {
* double profitTargetPt = enterPrice - profitTarget;
* double cutLossTarget = enterPrice + cutLoss;
* String reason = "[Strategy] : Exit with the {0} trade because lower than profit target: profitTargetPt={1}; tickClose={2}; idealEnterPrice={3}; enterPrice={4}";
* reason = reason.Replace("{0}", "BUY").Replace("{1}", profitTargetPt.ToString()).Replace("{2}", tickClose.ToString());
* reason = reason.Replace("{3}", idealEnterPrice.ToString()).Replace("{4}", enterPrice.ToString());
* log.Info("[Strategy] : Exit BUY Generated !!! ");
* log.Info(reason);
* if (sentOrder)
* {
* stgHelper.placeLimitTrade(AppConstant.BUY_SIGNAL, "Exit Random Trade", profitTargetPt, "", orderSize, 1);
* stgHelper.placeStopTrade(AppConstant.BUY_SIGNAL, "Cutloss Random Trade", cutLossTarget, "", orderSize, 2);
* }
* return;
* }
* }*/
private void exitTradeStrategy(Series <DateTime, MarketDataElement> series)
{
if (!execution.isPositionOnSignalEmpty())
{
return;
}
double tickClose = calculateMid();
if (tickClose.Equals(double.NaN))
{
return;
}
double enterPrice = lastExecutePrice;
double idealEnterPrice = lastSignalPrice;
if (execution.CurrentMarketPosition > 0)
{
double profitTargetPt = enterPrice + profitTarget;
if (tickClose > profitTargetPt)
{
String reason = "[Strategy] : Exit with the {0} trade because exceed profit target: profitTargetPt={1}; tickClose={2}; idealEnterPrice={3}; enterPrice={4}";
reason = reason.Replace("{0}", "SELL").Replace("{1}", profitTargetPt.ToString()).Replace("{2}", tickClose.ToString());
reason = reason.Replace("{3}", idealEnterPrice.ToString()).Replace("{4}", enterPrice.ToString());
log.Info("[Strategy] : Exit Sell Generated !!! ");
log.Info(reason);
if (sentOrder)
{
stgHelper.placeMarketTrade(AppConstant.SELL_SIGNAL, "Exit Random Trade", tickClose, "", orderSize, 1);
//stgHelper.placeExitTrade(TSAppConstant.SELL_SIGNAL, "Profit Target Rule", reason, tickClose, enterPrice, orderSize);
}
return;
}
}
if (execution.CurrentMarketPosition < 0)
{
double profitTargetPt = enterPrice - profitTarget;
if (tickClose < profitTargetPt)
{
String reason = "[Strategy] : Exit with the {0} trade because lower than profit target: profitTargetPt={1}; tickClose={2}; idealEnterPrice={3}; enterPrice={4}";
reason = reason.Replace("{0}", "BUY").Replace("{1}", profitTargetPt.ToString()).Replace("{2}", tickClose.ToString());
reason = reason.Replace("{3}", idealEnterPrice.ToString()).Replace("{4}", enterPrice.ToString());
log.Info("[Strategy] : Exit BUY Generated !!! ");
log.Info(reason);
if (sentOrder)
{
stgHelper.placeMarketTrade(AppConstant.BUY_SIGNAL, "Exit Random Trade", tickClose, "", orderSize, 1);
//stgHelper.placeExitTrade(TSAppConstant.BUY_SIGNAL, "Profit Target Rule", reason, tickClose, enterPrice, orderSize);
}
return;
}
}
}
public void test_IsPositionOnSignalEmpty_Positive()
{
ISignalContext context = new SignalContext();
context.CurrentMarketPosition = 1;
Assert.AreEqual(true, context.isPositionOnSignalEmpty());
}
public void test_IsPositionOnSignalEmpty_Negative()
{
ISignalContext context = new SignalContext();
context.CurrentMarketPosition = 1;
context.setPendingSignal1(AppConstant.BUY_SIGNAL, 20000, createOrder_Buy1Contract_0Complete(), "Buy Order");
Assert.AreEqual(false, context.isPositionOnSignalEmpty());
context = new SignalContext();
context.CurrentMarketPosition = 0;
Assert.AreEqual(false, context.isPositionOnSignalEmpty());
context = new SignalContext();
context.CurrentMarketPosition = 1;
context.setPendingSignal1(AppConstant.BUY_SIGNAL, 20000, createOrder_Buy1Contract_0Complete(), "Buy Order");
context.setPendingSignal2(AppConstant.SELL_SIGNAL, 22000, createOrder_Sell1Contract_0Complete(), "Sell Order");
Assert.AreEqual(false, context.isPositionOnSignalEmpty());
}
