public void setStrategyBase(NinjaTrader.NinjaScript.StrategyBase s)
{
strategybase = s;
SetBaseCurrency(s.Account.Denomination);
if (!string.IsNullOrEmpty(iehdata))
{
try
{
BinaryFormatter bf = new BinaryFormatter();
MemoryStream memstr = new MemoryStream(Convert.FromBase64String(iehdata), true);
iexithandling = ibKastl.Helper.BinaryFormatterHelper.Read <IExitHandling>(memstr, Assembly.GetExecutingAssembly());
Zweistein.NinjaTraderLog.Process("SingleSpread.setStrategyBase:", iexithandling.ToString(), NinjaTrader.Cbi.LogLevel.Warning, NinjaTrader.Cbi.LogCategories.Strategy);
}
catch (Exception e) {
Zweistein.NinjaTraderLog.Process("SingleSpread.setStrategyBase:", e.Message, NinjaTrader.Cbi.LogLevel.Warning, NinjaTrader.Cbi.LogCategories.Strategy);
if (strategybase.TraceOrders)
{
strategybase.Print(e.Message + " SOURCE:" + e.Source);
}
}
}
string tmp = "iexithandling=";
if (iexithandling == null)
{
Zweistein.NinjaTraderLog.Process("SingleSpread.setStrategyBase:", "iexithandling==null", NinjaTrader.Cbi.LogLevel.Warning, NinjaTrader.Cbi.LogCategories.Strategy);
tmp += "null";
}
else
{
tmp += iexithandling.ToString();
}
if (strategybase.TraceOrders)
{
strategybase.Print(tmp);
}
entry[0].setStrategyBase(s);
entry[1].setStrategyBase(s);
exit[0].setStrategyBase(s);
exit[1].setStrategyBase(s);
}
public SingleSpread(MarketPosition leg1, int _units, string strratio, NinjaTrader.NinjaScript.StrategyBase _strategybase)
{
mleg1 = leg1;
strategybase = _strategybase;
units = _units;
Zweistein.FractionString f = new Zweistein.FractionString(strratio, ':');
lots1 = (int)f.Nominator * units;
lots2 = (int)f.Denominator * units;
if (lots1 == 0 || lots2 == 0)
{
throw new ArgumentNullException("SingleSpread , incomplete spread defintion: lots1 or lots2 == 0");
}
SetBaseCurrency(_strategybase.Account.Denomination);
entry = new HandledOrder[] { new HandledOrder(strategybase), new HandledOrder(strategybase) };
exit = new HandledOrder[] { new HandledOrder(strategybase), new HandledOrder(strategybase) };
}
public void FillPG(NinjaTrader.NinjaScript.StrategyBase _strategy)
{
_pg.SelectedObject = _strategy;
foreach (PropertyItem p in _pg.Properties)
{
try {
DisplayAttribute v = p.GetAttribute <DisplayAttribute>();
if (v == null)
{
continue;
}
if (v != null && v.GroupName == "RuntimeEditable")
{
continue;
}
}
catch {}
p.IsBrowsable = false;
p.IsExpanded = true;
}
}
public void RebuildPositions(NinjaTrader.NinjaScript.StrategyBase strategy)
{
DateTime t = NinjaTrader.Core.Globals.Now;
//SetBaseCurrency(strategy.Account.Denomination);
PropertyInfo pi = strategy.GetType().GetProperty("FirstLoadUTC");
string FirstLoadUTC = (string)pi.GetValue(strategy);
DateTime tmp = DateTime.Parse(FirstLoadUTC);
DateTime mintime = new DateTime(tmp.Year, tmp.Month, tmp.Day, tmp.Hour, tmp.Minute, tmp.Second);
mintime = mintime.AddHours(-1);
for (int i = 0; i < 2; i++)
{
int n = 0;
double avg = 0;
//if(t.AddDays(-2) <mintime) mintime=t.AddDays(-2);
// strategy.Print("RebuildPositions: mintime:"+ mintime.Kind.ToString() + " t:"+t.Kind.ToString());
// strategy.Print("RebuildPositions:"+ mintime.ToString());
System.Collections.ObjectModel.Collection <NinjaTrader.Cbi.Execution> ce =
NinjaTrader.Cbi.Execution.DbGet(strategy.Account, strategy.Instruments[i], mintime, t);
foreach (string s in exectokens[i])
{
NinjaTrader.Cbi.Execution exec = ce.FirstOrDefault(x => x.OrderId == s);
if (exec != null)
{
if (i == 0 && exec.MarketPosition == mleg1 || i == 1 && exec.MarketPosition != mleg1)
{
// we add averaging
n += exec.Quantity;
avg += exec.Price * exec.Quantity;
}
else
{
n -= exec.Quantity;
avg -= exec.Price * exec.Quantity;
}
execs[i].Add(exec);
strategy.Executions.Add(exec);
strategy.Positions[i].AddExecution(exec);
}
}
int u = 0;
if (mleg1 == MarketPosition.Long)
{
u = 1;
}
if (mleg1 == MarketPosition.Short)
{
u = -1;
}
if (i == 0)
{
positionX = 1 * u * n;
}
if (i == 1)
{
positionY = -1 * u * n;
}
if (n != 0)
{
avg_fill[i] = avg / (double)n;
}
else
{
avg_fill[i] = 0;
}
}
}
public SingleSpread(ref Queue <SingleSpread> transferfrom, NinjaTrader.Cbi.Currency currency)
{
int tmpunits = 0;
Zweistein.FractionString f = null;
SetBaseCurrency(currency);
List <SingleSpread> toremove = new List <SingleSpread>();
foreach (SingleSpread s in transferfrom)
{
if (s.exit[0].Order != null || s.exit[1].Order != null)
{
continue;
}
if (s.mleg1 == NinjaTrader.Cbi.MarketPosition.Long)
{
if (s.positionX != s.lots1)
{
continue;
}
if (-1 * s.positionY != s.lots2)
{
continue;
}
}
if (s.mleg1 == NinjaTrader.Cbi.MarketPosition.Short)
{
if (-1 * s.positionX != s.lots1)
{
continue;
}
if (s.positionY != s.lots2)
{
continue;
}
}
if (s.mleg1 == NinjaTrader.Cbi.MarketPosition.Flat)
{
continue;
}
if (s.MarketPosition == NinjaTrader.Cbi.MarketPosition.Long)
{
tmpunits += s.NUnits;
}
if (s.MarketPosition == NinjaTrader.Cbi.MarketPosition.Short)
{
tmpunits -= s.NUnits;
}
totalprice0 += (double)Zweistein.CurrencyConversion.Cube.Convert((decimal)s.totalprice0, Zweistein.CurrencyConversion.ISO(s.BaseCurrency), Zweistein.CurrencyConversion.ISO(basecurrency));
totalprice1 += (double)Zweistein.CurrencyConversion.Cube.Convert((decimal)s.totalprice1, Zweistein.CurrencyConversion.ISO(s.BaseCurrency), Zweistein.CurrencyConversion.ISO(basecurrency));
positionX += s.positionX;
positionY += s.positionY;
if (s.units > 0)
{
int k1 = s.lots1 / s.units;
int k2 = s.lots2 / s.units;
if (f == null)
{
f = new Zweistein.FractionString(k1.ToString() + ":" + k2.ToString(), ':');
strategybase = s.strategybase;
}
}
toremove.Add(s);
}
if (f == null)
{
throw new ArgumentNullException("SingleSpread(ref Queue<SingleSpread> spreads) , spreads is empty collection");
}
if (tmpunits > 0)
{
this.mleg1 = NinjaTrader.Cbi.MarketPosition.Long;
}
else
{
if (tmpunits < 0)
{
this.mleg1 = NinjaTrader.Cbi.MarketPosition.Short;
}
}
if (tmpunits == 0)
{
throw new ArgumentNullException("SingleSpread(ref Queue<SingleSpread> spreads) , tmpunits == 0");
}
units = Math.Abs(tmpunits);
lots1 = (int)f.Nominator * units;
lots2 = (int)f.Denominator * units;
if (lots1 == 0 || lots2 == 0)
{
throw new ArgumentNullException("SingleSpread , incomplete spread defintion: lots1 or lots2 == 0");
}
foreach (SingleSpread r in toremove)
{
for (int i = 0; i < transferfrom.Count; i++)
{
SingleSpread q = transferfrom.Dequeue();
if (q == r)
{
break;
}
transferfrom.Enqueue(q);
}
}
}
public HandledOrder(NinjaTrader.NinjaScript.StrategyBase _strategybase)
{
strategybase = _strategybase;
}
public void setStrategyBase(NinjaTrader.NinjaScript.StrategyBase nb)
{
strategybase = nb;
}
