public override IEnumerable <Instruction> AdjustPositions()
{
var codes = Context.GetAllPositionCodes().ToArray();
var instructions = new List <Instruction>();
foreach (var code in codes)
{
var positions = Context.GetPositionDetails(code);
if (positions.Count() != 1)
{
continue;
}
var position = positions.First();
if (position.LastedPeriodCount != 0)
{
continue;
}
var tradingObject = Context.GetTradingObject(code);
var todayBar = Context.GetBarOfTradingObjectForCurrentPeriod(tradingObject);
var dropPercentage = (todayBar.OpenPrice - todayBar.ClosePrice) / todayBar.OpenPrice * 100.0;
if (dropPercentage > 0 && dropPercentage <= MaxDropPercentage)
{
var instruction = new OpenInstruction(CurrentPeriod, tradingObject, new TradingPrice(TradingPricePeriod.CurrentPeriod, TradingPriceOption.ClosePrice, 0.0))
{
Comments = string.Format("Adjust: first day drop percentage {0:0.000}%", dropPercentage),
Volume = position.Volume,
StopLossGapForBuying = 0.0,
StopLossPriceForBuying = position.StopLossPrice
};
instructions.Add(instruction);
}
}
return(instructions);
}
public void NotifyTransactionStatus(Transaction transaction)
{
Instruction instruction;
if (!_activeInstructions.TryGetValue(transaction.InstructionId, out instruction))
{
throw new InvalidOperationException(
string.Format("can't find instruction {0} associated with the transaction.", transaction.InstructionId));
}
if (transaction.Action == TradingAction.OpenLong)
{
if (transaction.Succeeded)
{
// update the stop loss and risk for new positions
var code = transaction.Code;
if (!_context.ExistsPosition(code))
{
throw new InvalidOperationException(
string.Format("There is no position for {0} when calling this function", code));
}
var positions = _context.GetPositionDetails(code);
if (!positions.Any())
{
throw new InvalidProgramException("Logic error");
}
OpenInstruction openInstruction = instruction as OpenInstruction;
// set stop loss and initial risk for all new positions
if (positions.Count() == 1)
{
var position = positions.Last();
if (!position.IsStopLossPriceInitialized())
{
position.SetStopLossPrice(openInstruction.StopLossPriceForBuying);
_context.Log(
string.Format(
"Set stop loss for position {0}/{1} as {2:0.000}",
position.Id,
position.Code,
openInstruction.StopLossPriceForBuying));
}
}
else
{
// set stop loss for positions created by PositionAdjusting component
if (Math.Abs(openInstruction.StopLossPriceForBuying) > 1e-6)
{
var lastPosition = positions.Last();
var newStopLossPrice = openInstruction.StopLossPriceForBuying;
// now set the new stop loss price for all positions
foreach (var position in positions)
{
if (!position.IsStopLossPriceInitialized() ||
position.StopLossPrice < newStopLossPrice)
{
position.SetStopLossPrice(newStopLossPrice);
_context.Log(
string.Format(
"PositionAdjusting:IncreaseStopLoss: Set stop loss for position {0}/{1} as {2:0.000}",
position.Id,
position.Code,
newStopLossPrice));
}
}
}
}
}
}
// remove the instruction from active instruction collection.
_activeInstructions.Remove(instruction.Id);
}
public void EstimateStoplossAndSizeForNewPosition(Instruction instruction, double price, int totalNumberOfObjectsToBeEstimated)
{
OpenInstruction openInstruction = instruction as OpenInstruction;
if (openInstruction == null)
{
return;
}
if (Math.Abs(openInstruction.StopLossPriceForBuying) > 1e-6)
{
return;
}
else if (Math.Abs(openInstruction.StopLossGapForBuying) > 1e-6)
{
openInstruction.StopLossPriceForBuying = price + openInstruction.StopLossGapForBuying;
return;
}
else
{
foreach (var filter in _buyPriceFilters)
{
var filterResult = filter.IsPriceAcceptable(instruction.TradingObject, price);
if (!filterResult.IsPriceAcceptable)
{
openInstruction.Comments = string.Join(" ", instruction.Comments, filterResult.Comments);
openInstruction.Volume = 0;
openInstruction.StopLossGapForBuying = 0.0;
openInstruction.StopLossPriceForBuying = price;
return;
}
else
{
price = filterResult.AcceptablePrice;
}
}
var stopLossResult = _stopLoss.EstimateStopLossGap(instruction.TradingObject, price);
if (stopLossResult.StopLossGap > 0.0)
{
throw new InvalidProgramException("the stop loss gap returned by the stop loss component is greater than zero");
}
var stopLossGap = stopLossResult.StopLossGap;
var positionSizingResult = _positionSizing.EstimatePositionSize(instruction.TradingObject, price, stopLossGap, totalNumberOfObjectsToBeEstimated);
var volume = positionSizingResult.PositionSize;
// adjust volume to ensure it fit the trading object's constraint
volume -= volume % instruction.TradingObject.VolumePerBuyingUnit;
openInstruction.Comments = string.Join(" ", instruction.Comments, stopLossResult.Comments);
openInstruction.Comments = string.Join(" ", instruction.Comments, positionSizingResult.Comments);
openInstruction.Volume = volume;
openInstruction.StopLossGapForBuying = stopLossGap;
openInstruction.StopLossPriceForBuying = price + stopLossGap;
}
}