protected void PlaceTargetOrder(double qty, double price, string name)
{
price = new PriceCalculator(LoggingConfig).RoundPrice(price, Instrument);
if (TargetOrderType == OrderType.Market)
StrategyOrder = MarketOrder(Instrument, EffectiveOrderSide, qty, name);
else if (TargetOrderType == OrderType.Limit)
StrategyOrder = LimitOrder(Instrument, EffectiveOrderSide, qty, price, name);
else if (TargetOrderType == OrderType.MarketOnClose)
{
StrategyOrder = MarketOrder(Instrument, EffectiveOrderSide, qty, name);
StrategyOrder.Type = OrderType.MarketOnClose;
}
if (string.IsNullOrWhiteSpace(IbBrokerAccountNumber))
{
LoggingUtility.WriteError(LoggingConfig, "IB BROKER NUMBER IS NOT SET. NO ORDER SUBMITTED");
return;
}
StrategyOrder.Account = IbBrokerAccountNumber;
if (AutoSubmit)
StrategyOrder.Send();
//CurrentStrategyOrdersList.Add(newOrder);
}
/// <summary>
///
/// </summary>
/// <param name="bar"></param>
/// <returns></returns>
protected double GetTargetPrice(Bar bar)
{
GapType gap = GapType.Allowed;
double targetPrice = bar.Open;
PriceCalculatorInput priceInput = new PriceCalculatorInput()
{
Strategy = this,
Atr = EffectiveAtrPrice,
CurrentBar = bar,
Instrument = Instrument,
OrderSide = EffectiveOrderSide
};
PriceCalculator calc = new PriceCalculator(LoggingConfig);
if (AccountForGaps)
{
double currentPrice = 0;
double lastPrice = 0;
gap = GetGapType(bar, ref currentPrice, ref lastPrice);
double change = Math.Abs(currentPrice - lastPrice);
if (gap != GapType.Allowed)
{
LoggingUtility.WriteWarn(LoggingConfig, string.Format(
"Found a gap of {0:c} ({1:p}) which is {2} from previous price of {3} to new price of {4}",
change,
change/lastPrice,
gap,
lastPrice,
currentPrice));
}
switch (gap)
{
case GapType.Allowed:
break;
case GapType.Favorable:
UpdateAllowedSlippages(FavorableGapAllowedSlippage, GapType.Favorable);
break;
case GapType.Unfavorable:
UpdateAllowedSlippages(UnfavorableGapAllowedSlippage, GapType.Unfavorable);
break;
default:
throw new InvalidOperationException("");
}
targetPrice = calc.CalculateSlippageAdjustedPrice(priceInput);
}
else
{
if (PriceCalculationStrategy == Enums.PriceCalculationStrategy.CurrentMarketPrice)
targetPrice = bar.Open;
else
targetPrice = calc.CalculateSlippageAdjustedPrice(priceInput);
}
LoggingUtility.WriteDebug(LoggingConfig,
string.Format("Calculated target price based on {0} strategy: {1:c}",
PriceCalculationStrategy, targetPrice));
return targetPrice;
}
