/// <summary>
/// OnOrderUpdate->OnExecutionUpdate->OnPositionUpdate
/// OnPositionUpdate: check new trade, change position for curTrade, no order update;
/// OnExecutionUpdate: check filled order, update the new entry order and liquidate order;
/// OnOrderUpdate: deal with working order, rejected/cancelled orders;
/// </summary>
/// <param name="order"></param>
/// <param name="limitPrice"></param>
/// <param name="stopPrice"></param>
/// <param name="quantity"></param>
/// <param name="filled"></param>
/// <param name="averageFillPrice"></param>
/// <param name="orderState"></param>
/// <param name="time"></param>
/// <param name="error"></param>
/// <param name="comment"></param>
protected override void OnOrderUpdate(Cbi.Order order, double limitPrice, double stopPrice,
int quantity, int filled, double averageFillPrice,
Cbi.OrderState orderState, DateTime time, Cbi.ErrorCode error, string comment)
{
//if(BarsInProgress !=0) return;
IndicatorProxy.Log2Disk = true;
if (PrintOut > 1 && !IsInStrategyAnalyzer)
{
IndicatorProxy.PrintLog(true, IsLiveTrading(),
CurrentBars[BarsInProgress] + "[" + BarsInProgress + "]:OnOrderUpdate IsUnmanaged=" + IsUnmanaged);
}
//The logic is implemented in the method below
CurrentTrade.OnCurOrderUpdate(order, limitPrice, stopPrice, quantity, filled, averageFillPrice,
orderState, time, error, comment);
return;
//The order execution is implemented in the method below
if (IsUnmanaged)
{
OnOrderUpdateUM(order, limitPrice, stopPrice, quantity, filled,
averageFillPrice, orderState, time, error, comment);
}
else
{
OnOrderUpdateMG(order, limitPrice, stopPrice, quantity, filled,
averageFillPrice, orderState, time, error, comment);
}
}
protected override void OnOrderUpdate(Cbi.Order order, double limitPrice, double stopPrice,
int quantity, int filled, double averageFillPrice,
Cbi.OrderState orderState, DateTime time, Cbi.ErrorCode error, string comment)
{
if (PrintDetails)
{
Print(string.Format("{0} | OOU | order | {1} | {2}", Times[1][0], time, order.ToString()));
}
AssignOrderToVariable(ref order);
// if either the profit target or stop loss is cancelled or rejected, then reset for a new entry
if (!suppressCancelExit && entryOrder != null && order != entryOrder &&
(!UseProfitTarget || (profitTarget != null &&
(profitTarget.OrderState == OrderState.Cancelled ||
profitTarget.OrderState == OrderState.Rejected))) &&
(!UseStopLoss || (stopLoss != null &&
(stopLoss.OrderState == OrderState.Cancelled ||
stopLoss.OrderState == OrderState.Rejected)))
)
{
// if either the stop or target is cancelled, wait 1 tick in OBU to check
// to see if this was because of the Exit on close occurring or if manually cancelled
ordersCancelled = true;
if (PrintDetails)
{
Print(string.Format("{0} stop or target cancelled or rejected", Times[1][0]));
}
}
// once the stop loss or profit target (or exit for flat / exit for manual cancel) fills, reset for a new entry
if ((profitTarget != null && profitTarget.OrderState == OrderState.Filled && (stopLoss == null || stopLoss.OrderState == OrderState.Cancelled)) ||
(stopLoss != null && stopLoss.OrderState == OrderState.Filled && (profitTarget == null || profitTarget.OrderState == OrderState.Cancelled)) ||
(exitFlat != null && exitFlat.OrderState == OrderState.Filled && (profitTarget == null || profitTarget.OrderState == OrderState.Cancelled) && (stopLoss == null || stopLoss.OrderState == OrderState.Cancelled)))
{
if (PrintDetails)
{
Print(string.Format("{0} | OOU | resetting", Times[1][0]));
}
entryOrder = null;
profitTarget = null;
stopLoss = null;
exitFlat = null;
suppressCancelExit = false;
}
// when the Exit on close fills, wait for the new session to start the next entry
// (so no orders are submitted between the exit on close and the end of the session)
if (exitSession != null && exitSession.OrderState == OrderState.Filled)
{
if (PrintDetails)
{
Print(string.Format("{0} | OOU | exit on close filled waiting for next session for reset\r\n{1}", Times[1][0], order.ToString()));
}
exitOnCloseWait = true;
}
}
/// <summary>
///
/// </summary>
/// <param name="order"></param>
/// <param name="limitPrice"></param>
/// <param name="stopPrice"></param>
/// <param name="quantity"></param>
/// <param name="filled"></param>
/// <param name="averageFillPrice"></param>
/// <param name="orderState"></param>
/// <param name="time"></param>
/// <param name="error"></param>
/// <param name="comment"></param>
public virtual void OnCurOrderUpdate(Cbi.Order order, double limitPrice, double stopPrice,
int quantity, int filled, double averageFillPrice,
Cbi.OrderState orderState, DateTime time, Cbi.ErrorCode error, string comment)
{
if (!this.InstStrategy.IsInStrategyAnalyzer && InstStrategy.PrintOut > 1)
{
InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(),
String.Format("{0}:OnCurOrderUpdate, limitPrice={1}, stopPrice={2}, quantity={3},\t\n filled={4}, averageFillPrice={5}, orderState={6}",
InstStrategy.CurrentBar, limitPrice, stopPrice, quantity, filled, averageFillPrice, orderState));
}
try {
// if (order.Name == "myEntryOrder" && orderState != OrderState.Filled)
// entryOrder = order;
// if (entryOrder != null && entryOrder == order)
// {
// Print(order.ToString());
// if (order.OrderState == OrderState.Filled)
// entryOrder = null;
// }
//GetBracketOrderSubType(order);
//InstStrategy.IndicatorProxy.TraceMessage(this.Name, 1);
if (BracketOrder.EntryOrder != null && BracketOrder.EntryOrder == order)
{
if (orderState == OrderState.Cancelled ||
//order.OrderState == OrderState.Filled ||
orderState == OrderState.Rejected ||
orderState == OrderState.Unknown)
{
barsSinceEnOrd = 0;
BracketOrder.EntryOrder = null;
}
}
//InstStrategy.IndicatorProxy.TraceMessage(this.Name, 1);
if (BracketOrder.TrailingSLOrder.EntryOrder != null && BracketOrder.TrailingSLOrder.EntryOrder == order)
{
if (orderState == OrderState.Cancelled ||
orderState == OrderState.Rejected ||
orderState == OrderState.Unknown)
{
barsSinceEnOrd = 0;
BracketOrder.TrailingSLOrder.EntryOrder = null;
}
}
} catch (Exception ex) {
InstStrategy.Print("Exception=" + ex.StackTrace);
}
}
protected override void OnOrderUpdate(Cbi.Order order, double limitPrice, double stopPrice,
int quantity, int filled, double averageFillPrice,
Cbi.OrderState orderState, DateTime time, Cbi.ErrorCode error, string comment)
{
//Print("The most current order state is: " + order.OrderState); // OrderState.PartFilled
//Print("This particular order update state is: " + orderState); // OrderState.Working
if (filled != null && (order.Name == "ORs 1" || order.Name == "ORs 2"))
{
Print(order);
Print("This particular order update state is: " + filled + "\t" + order.OrderType + "\t" + order.Name); // OrderState.Working
setInitialStopShort(pct: StopPct, auto: AutoSetStopFromMarket);
}
if (filled != null && (order.Name == "OR 1" || order.Name == "OR 2"))
{
Print(order);
Print("This particular order update state is: " + filled + "\t" + order.OrderType + "\t" + order.Name); // OrderState.Working
setInitialStop(pct: StopPct, auto: AutoSetStopFromMarket);
}
}
private void GetInitialOrderApq(Cbi.Order order, Cbi.OrderState orderState, double limitPrice)
{
if (!order.IsLimit)
{
return;
}
if (SuperDom.AtmStrategySelectionMode == AtmStrategySelectionMode.DisplaySelectedAtmStrategyOnly)
{
if (SuperDom.AtmStrategy != null)
{
AtmStrategy atmStrategy1;
lock (order.Account.Strategies)
atmStrategy1 = order.Account.Strategies.FirstOrDefault(s => { lock (s.Orders) return(s.Orders.FirstOrDefault(o1 => o1 == order) != null); }) as AtmStrategy;
if (SuperDom.AtmStrategy != atmStrategy1)
{
return;
}
}
}
double price = limitPrice;
if (!Cbi.Order.IsTerminalState(orderState))
{
ConcurrentDictionary <Cbi.Order, long> ordersThisPrice;
// Are there any orders at this price?
if (priceToOrderApqMap.TryGetValue(price, out ordersThisPrice))
{
long apq;
if (!ordersThisPrice.TryGetValue(order, out apq))
{
if (!order.IsSimulatedStop)
{
if (order.OrderAction == Cbi.OrderAction.Buy || order.OrderAction == Cbi.OrderAction.BuyToCover)
{
NinjaTrader.Data.MarketDepthRow lr = null;
lock (SuperDom.MarketDepth.Instrument.SyncMarketDepth)
lr = SuperDom.MarketDepth.Bids.FirstOrDefault(b => b.Price == price);
if (lr != null)
{
apq = lr.Volume + 1;
}
ordersThisPrice.TryAdd(order, apq);
}
else
{
NinjaTrader.Data.MarketDepthRow lr = null;
lock (SuperDom.MarketDepth.Instrument.SyncMarketDepth)
lr = SuperDom.MarketDepth.Asks.FirstOrDefault(b => b.Price == price);
if (lr != null)
{
apq = lr.Volume + 1;
}
ordersThisPrice.TryAdd(order, apq);
}
// Remove order from any other prices it might reside in
RemoveOrder(order, price);
// Update APQ value to be written to screen at this price
UpdateApqValuesForScreen();
}
}
}
else
{
long apq = 0;
if (!order.IsSimulatedStop)
{
if (order.OrderAction == Cbi.OrderAction.Buy || order.OrderAction == Cbi.OrderAction.BuyToCover)
{
NinjaTrader.Data.MarketDepthRow lr = null;
lock (SuperDom.MarketDepth.Instrument.SyncMarketDepth)
lr = SuperDom.MarketDepth.Bids.FirstOrDefault(b => b.Price == price);
if (lr != null)
{
apq = lr.Volume + 1;
}
}
else
{
NinjaTrader.Data.MarketDepthRow lr = null;
lock (SuperDom.MarketDepth.Instrument.SyncMarketDepth)
lr = SuperDom.MarketDepth.Asks.FirstOrDefault(b => b.Price == price);
if (lr != null)
{
apq = lr.Volume + 1;
}
}
ordersThisPrice = new ConcurrentDictionary <Cbi.Order, long>();
if (ordersThisPrice.TryAdd(order, apq) && priceToOrderApqMap.TryAdd(price, ordersThisPrice))
{
// Remove order from any other prices it might reside in
RemoveOrder(order, price);
// Update APQ value to be written to screen at this price
UpdateApqValuesForScreen();
}
}
}
}
else // Remove terminal orders
{
if (!order.IsMarket)
{
// Remove order from any other prices it might reside in
RemoveOrder(order);
// Update APQ value to be written to screen at this price
UpdateApqValuesForScreen();
}
}
}
protected override void OnOrderUpdate(Cbi.Order order, double limitPrice, double stopPrice,
int quantity, int filled, double averageFillPrice,
Cbi.OrderState orderState, DateTime time, Cbi.ErrorCode error, string comment)
{
}
protected override void OnOrderUpdate(Cbi.Order order, double limitPrice, double stopPrice,
int quantity, int filled, double averageFillPrice,
Cbi.OrderState orderState, DateTime time, Cbi.ErrorCode error, string comment)
{
if (PrintDetails)
{
Print(string.Format("{0} | OOU | order | {1} | {2}", Times[1][0], time, order.ToString()));
}
AssignOrderToVariable(ref order);
// the logic below is to simulate OCO when manually cancelling an order.
// if the stop or target has filled (instead of being cancelled), nt will automatically
// cancel any remaining orders attached to the entry's signal name.
// prevent the OCO logic below to prevent overfills (cancelling an already cancelled order)
if (orderState == OrderState.Filled && ((profitTarget != null && order == profitTarget) ||
(stopLoss != null && order == stopLoss)))
{
if (PrintDetails)
{
Print(string.Format("{0} | OOU | stop or target filled, preventing oco actions until reset", Times[1][0]));
}
suppressOco = true;
}
// oco strings cannot be used in the managed approach. So simulate OCO here for manually cancelled orders
// if the profit target is cancelled and the stop loss is still working, cancel the stop loss
if (!suppressOco && profitTarget != null && order == profitTarget &&
(orderState == OrderState.Cancelled || orderState == OrderState.Rejected) &&
stopLoss != null &&
(stopLoss.OrderState == OrderState.Accepted || stopLoss.OrderState == OrderState.Working))
{
if (PrintDetails)
{
Print(string.Format("{0} | OOU | cancelling stop", Times[1][0]));
}
CancelOrder(stopLoss);
}
// if the stop loss is cancelled and the profit target is still working, cancel the profit target
else if (!suppressOco && stopLoss != null && order == stopLoss &&
(orderState == OrderState.Cancelled || orderState == OrderState.Rejected) &&
profitTarget != null &&
(profitTarget.OrderState == OrderState.Accepted ||
profitTarget.OrderState == OrderState.Working))
{
if (PrintDetails)
{
Print(string.Format("{0} | OOU | cancelling target", Times[1][0]));
}
CancelOrder(profitTarget);
}
// if both the profit target and stop loss are cancelled or rejected,
// then exit the position and reset for a new entry
else if (entryOrder != null && order != entryOrder &&
(!UseProfitTarget || (profitTarget != null &&
(profitTarget.OrderState == OrderState.Cancelled ||
profitTarget.OrderState == OrderState.Rejected))) &&
(!UseStopLoss || (stopLoss != null &&
(stopLoss.OrderState == OrderState.Cancelled ||
stopLoss.OrderState == OrderState.Rejected))))
{
// if either the stop or target is cancelled, wait 1 tick in OBU to check
// to see if this was because of the Exit on close occurring or if manually cancelled
ordersCancelled = true;
if (PrintDetails)
{
Print(string.Format("{0} | OOU | stop or target cancelled or rejected", Times[1][0]));
}
}
// end of simulated oco logic for manual cancellations
// once the stop loss or profit target (or exit for flat / exit for manual cancel) fills, reset for a new entry
if ((profitTarget != null && profitTarget.OrderState == OrderState.Filled && (stopLoss == null || stopLoss.OrderState == OrderState.Cancelled)) ||
(stopLoss != null && stopLoss.OrderState == OrderState.Filled && (profitTarget == null || profitTarget.OrderState == OrderState.Cancelled)) ||
(exitFlat != null && exitFlat.OrderState == OrderState.Filled && (profitTarget == null || profitTarget.OrderState == OrderState.Cancelled) && (stopLoss == null || stopLoss.OrderState == OrderState.Cancelled)))
{
if (PrintDetails)
{
Print(string.Format("{0} | OOU | resetting", Times[1][0]));
}
entryOrder = null;
profitTarget = null;
stopLoss = null;
exitFlat = null;
}
// when the Exit on close fills, wait for the new session to start the next entry
// (so no orders are submitted between the exit on close and the end of the session)
if (exitSession != null && exitSession.OrderState == OrderState.Filled)
{
if (PrintDetails)
{
Print(string.Format("{0} | OOU | exit on close filled waiting for next session for reset\r\n{1}", Times[1][0], order.ToString()));
}
exitOnCloseWait = true;
}
}
protected override void OnOrderUpdate(Cbi.Order order, double limitPrice, double stopPrice, int quantity, int filled, double averageFillPrice, Cbi.OrderState orderState, DateTime time, Cbi.ErrorCode error, string comment)
{
//Entry Order
if (order.Name == "StartOrder" && order.OrderState == OrderState.Filled)
{
StartOrder = order;
_status = "StartOrder";
}
//if (order.Name == "Profit target" && order.OrderState == OrderState.Filled)
//{
//}
//if (order.Name == "Stop loss" && order.OrderState == OrderState.Filled)
//{
//}
////Recover
//if (order.Name == "Cover1" && order.OrderState == OrderState.Filled)
// _status = "Recover";
//if (order.Name == "CollectionMIT")
// CollectionMIT = order;
//if(order.Name == "CollectionMIT" && order.OrderState == OrderState.Filled)
//{
// SetProfitTarget("CollectionMIT", CalculationMode.Price, High[0] + 10 * TickSize, true);
// CollectionMIT = order;
//}
//if (order.Name == "Profit target" && order.OrderState == OrderState.Filled && _status.Equals("Collection"))
//{
// ProfitTarget = order;
// CollectionMIT = EnterLongLimit(0, true, 1, High[1] - 9 * TickSize, "CollectionMIT");
//}
#region help
//else if (order.Name == "Collection" && order.OrderState == OrderState.Filled)
//{
// LimitCollectionOrder = EnterLongLimit(High[0] - 7 * TickSize, "LimitCollectionOrder");
//}
//else if (order.Name == "LimitCollectionOrder" && order.OrderState == OrderState.Working)
//{
// LimitCollectionOrder = order;
// _status = "LimitCollectionOrder";
//}
//else if (order.Name == "LimitCollectionOrder" && order.OrderState == OrderState.Filled)
//{
// LimitCollectionOrder = order;
//}
//else if (order.Name == "LimitCollectionOrder")
// Draw.Dot(this, @"MyCustomStrategy" + CurrentBars[0].ToString(), false, 0, Close[0], Brushes.Blue);
// Logs.SuperLogs(order.ToString());
////StartOrderExit
//if (order.Name == "StartOrderExit" && order.OrderState == OrderState.Filled)
//{
// _status = "Collect";
// EnterLongLimit(1, High[0] - 8 * TickSize, "CollectionOrder");
//}
////Collection Order working
//if (order.Name == "CollectionOrder")
// CollectionOrder = order;
//if(order.Name == "CollectionOrder" && order.OrderState == OrderState.Filled)
//{
// SetProfitTarget("CollectionOrder", CalculationMode.Pips, 10, true);
//}
//Collection Activated
//if(order.Name == "CollectionOrder" && order.OrderState == OrderState.Filled)
//{
// SetStopLoss("CollectionOrder", CalculationMode.Price, StartOrder.AverageFillPrice + 2 * TickSize, true);
// SetProfitTarget("CollectionOrder", CalculationMode.Price, High[0] + 10 * TickSize, true);
//}
//if(order.Name == "CollectSignal" && order.OrderState == OrderState.Filled)
//{
//}
//if (order != null && entryOrder == null && order.Name == "EntryOrder" && orderState == OrderState.Filled)
//{
// entryOrder = order;
// Logs.SuperLogs(entryOrder.ToString());
// _initprice = averageFillPrice;
// Print("LOL");
//}
//Logs.SuperLogs(string.Format("{0} {1}", entryOrder.ToString(), "DOWN DOWN ||| "));
//// if entry order exists
//if (entryOrder != null && entryOrder == order)
//{
// Print(order.ToString());
// if (order.OrderState == OrderState.Cancelled)
// {
// // Do something here
// entryOrder = null;
// }
//}
#endregion
}