public override StrategyOrderActions ComputeActions()
{
Position openPosition = AlgoTraderShared.Positions.Find(p => p.StrategyId == Id && p.Symbol == Symbol && p.Status == PositionStatus.Open);
Node node = AlgoTraderShared.NodesData[Symbol].Nodes[AlgoTraderShared.NodesData[Symbol].Nodes.Count - 1];
decimal currentSpread = node.AskPrice - node.BidPrice;
decimal currentPrice = node.TradePrice;
if (openPosition != null)
{
int n = AT.UC.GetRandomInteger(1, 3);
if (n == 1)
{
StrategyOrderActions sa = new StrategyOrderActions();
sa.PositionId = openPosition.Id;
sa.PositionSide = openPosition.Side;
sa.StrategyName = this.GetType().Name;
sa.StrategyId = Id;
sa.Symbol = Symbol;
sa.OrderActions = new List <OrderAction>();
Order orderToCancel = AlgoTraderShared.Orders.Find(o => o.StrategyId == Id && o.Symbol == Symbol && o.IsCancelable());
if (orderToCancel != null)
{
OrderAction cancelOA = new OrderAction();
cancelOA.Type = OrderActionType.Cancel;
cancelOA.OrderId = orderToCancel.Id;
OrderAction marketSell = new OrderAction();
marketSell.Type = OrderActionType.Place;
marketSell.OrderType = OrderType.Market;
marketSell.OrderSide = OrderSide.Sell;
marketSell.Quantity = 1;
sa.OrderActions.Add(cancelOA);
sa.OrderActions.Add(marketSell);
}
return(sa);
}
}
else
{
int n = AT.UC.GetRandomInteger(1, 3);
if (n == 1)
{
StrategyOrderActions sa = new StrategyOrderActions();
sa.PositionSide = PositionSide.Long;
sa.StrategyName = this.GetType().Name;
sa.OrderActions = new List <OrderAction>();
sa.StrategyId = Id;
sa.Symbol = Symbol;
OrderAction marketBuy = new OrderAction();
marketBuy.Type = OrderActionType.Place;
marketBuy.OrderType = OrderType.Market;
marketBuy.OrderSide = OrderSide.Buy;
marketBuy.Quantity = 1;
OrderAction stopLossOrder = new OrderAction();
stopLossOrder.Type = OrderActionType.Place;
stopLossOrder.OrderType = OrderType.Stop;
stopLossOrder.OrderSide = OrderSide.Sell;
// stopprice is current price minus a little
stopLossOrder.StopPrice = currentPrice - 0.15M;
stopLossOrder.Quantity = 1;
sa.OrderActions.Add(marketBuy);
sa.OrderActions.Add(stopLossOrder);
return(sa);
}
}
return(null);
}
public override StrategyOrderActions ComputeActions()
{
Position openPosition = AlgoTraderShared.Positions.Find(p => p.StrategyId == Id && p.Symbol == Symbol && p.Status == PositionStatus.Open);
Node node = AlgoTraderShared.NodesData[Symbol].Nodes[AlgoTraderShared.NodesData[Symbol].Nodes.Count - 1];
decimal currentSpread = node.AskPrice - node.BidPrice;
decimal currentPrice = node.TradePrice;
if (openPosition != null)
{
int n = AT.UC.GetRandomInteger(1, 5);
// sell if the price is more than 0.04 cents than what you bought it at, or more than some mins has passed
if (n == 3 && (currentPrice > openPosition.BoughtAt + 0.05M || (AlgoTraderState.CurrentTime.GetDateTimeNano() - openPosition.OpenedAt > 2400000000000L)))
{
StrategyOrderActions sa = new StrategyOrderActions();
sa.PositionId = openPosition.Id;
sa.PositionSide = openPosition.Side;
sa.StrategyName = this.GetType().Name;
sa.StrategyId = Id;
sa.Symbol = Symbol;
sa.OrderActions = new List <OrderAction>();
Order orderToCancel = AlgoTraderShared.Orders.Find(o => o.StrategyId == Id && o.Symbol == Symbol && o.IsCancelable());
if (orderToCancel != null)
{
OrderAction cancelOA = new OrderAction();
cancelOA.Type = AlgoTraderEnums.OrderActionType.Cancel;
cancelOA.OrderId = orderToCancel.Id;
OrderAction marketSell = new OrderAction();
marketSell.Type = OrderActionType.Place;
marketSell.OrderType = OrderType.Market;
marketSell.OrderSide = OrderSide.Sell;
marketSell.Quantity = 1;
sa.OrderActions.Add(cancelOA);
sa.OrderActions.Add(marketSell);
}
return(sa);
}
}
else
{
int n = AT.UC.GetRandomInteger(1, 60);
if (n == 3 && currentSpread < 0.02M)
{
StrategyOrderActions sa = new StrategyOrderActions();
sa.PositionSide = PositionSide.Long;
sa.StrategyName = this.GetType().Name;
sa.OrderActions = new List <OrderAction>();
sa.StrategyId = Id;
sa.Symbol = Symbol;
OrderAction marketBuy = new OrderAction();
marketBuy.Type = OrderActionType.Place;
marketBuy.OrderType = OrderType.Market;
marketBuy.OrderSide = OrderSide.Buy;
marketBuy.Quantity = 1;
OrderAction stopLossOrder = new OrderAction();
stopLossOrder.Type = OrderActionType.Place;
stopLossOrder.OrderType = OrderType.Stop;
stopLossOrder.OrderSide = OrderSide.Sell;
// stopprice is current price minus a little
stopLossOrder.StopPrice = currentPrice - 0.15M;
stopLossOrder.Quantity = 1;
sa.OrderActions.Add(marketBuy);
sa.OrderActions.Add(stopLossOrder);
return(sa);
}
}
return(null);
}
