void OnEntryPositions(IndicatorEventArgs e)
{
//New entry with no poistions for both legs
if (HasPosition(0) <= 0 && HasPosition(1) <= 0)
{
string key = ctxPairSpdDaily.KeyLastDay; //giSpdRs.GetDateStrByDateTime(Times[0][0]); //
if (key == null)
{
Print(string.Format("ctxPairSpdDaily.KeyLastDay CurrentBars={0}, BarsInProgress={1}, Times[][0]={2}",
CurrentBars[BarsInProgress], BarsInProgress, Times[BarsInProgress][0]));
return;
}
CtxPairSpd ctxps = ctxPairSpdDaily.GetDayCtx(key);
if (ctxps == null)
{
return;
}
else
{
int quant1 = base.GetTradeQuantity(0, CapRatio1);
int quant2 = base.GetTradeQuantity(1, CapRatio2);
string sig = e.IndSignal.SignalName;
Print(String.Format("{0}:OnEntryPositions quant1={1}, quant2={2}: Spread={3}, Upper={4}, Lower={5}",
CurrentBars[BarsInProgress], quant1, quant2, giSpdRs.Spread[0], giSpdRs.Upper[0], giSpdRs.Lower[0]));
if (TrendDirection.Down.ToString().Equals(ctxps.TrendDirection) &&
PositionInBand.Lower.ToString().Equals(ctxps.PositionInBand) &&
sig == giSpdRs.SignalName_AboveStdDev)
{
if (MktPosition1 != MarketPosition.Long && MktPosition2 != MarketPosition.Short)
{
EnterShort(0, quant1, giSpdRs.SignalName_EntryShortLeg1);
EnterLong(1, quant2, giSpdRs.SignalName_EntryLongLeg2);
}
}
else if (TrendDirection.Up.ToString().Equals(ctxps.TrendDirection) &&
PositionInBand.Upper.ToString().Equals(ctxps.PositionInBand) &&
sig == giSpdRs.SignalName_BelowStdDev)
{
if (MktPosition1 != MarketPosition.Short && MktPosition2 != MarketPosition.Long)
{
EnterLong(0, quant1, giSpdRs.SignalName_EntryLongLeg1);
EnterShort(1, quant2, giSpdRs.SignalName_EntryShortLeg2);
}
}
}
// if(MktPosition1 == MarketPosition.Long) {
// EnterLong(0, quant1, giSpdRs.SignalName_EntryLongLeg1);
// } else if(MktPosition1 == MarketPosition.Short) {
// EnterShort(0, quant1, giSpdRs.SignalName_EntryShortLeg1);
// }
// if(MktPosition2 == MarketPosition.Long) {
// EnterLong(1, quant2, giSpdRs.SignalName_EntryLongLeg2);
// } else if(MktPosition2 == MarketPosition.Short) {
// EnterShort(1, quant2, giSpdRs.SignalName_EntryShortLeg2);
// }
}
}