public void PlaceOrder(OrderParams order, AccountInfo account)
{
if (account == null || string.IsNullOrEmpty(order.UserID) || string.IsNullOrEmpty(order.Symbol))
{
return;
}
if (order.OrderType != OrderType.Market && order.Price <= 0M)
{
return;
}
switch (_signal.State)
{
case SignalState.Running:
string origin = null;
if (_signal.StrategyParameters != null && _signal.StrategyParameters.StrategyID > 0)
{
origin = _signal.StrategyParameters.StrategyID + "/" + _signal.ShortName;
}
_connector.PlaceOrder(new Order(order.UserID, order.Symbol)
{
Quantity = order.Quantity,
SignalID = order.SignalId,
OrderType = order.OrderType,
OrderSide = order.OrderSide,
ServerSide = order.ServerSide,
Price = order.Price,
SLOffset = order.SLOffset,
TPOffset = order.TPOffset,
TimeInForce = order.TimeInForce,
Origin = origin,
BrokerName = account.BrokerName,
AccountId = account.ID
}, account, _username);
break;
case SignalState.RunningSimulated:
_signal.Alert($"PLACE ORDER: {order}, {_signal.Name} signal "
+ $"(broker: {account.BrokerName}, account: {account.UserName})");
break;
}
}
public static void Execute(List <TradeSignal> signals, SignalBase signalBase, ExecuteTradesParam execTradeParam)
{
decimal actualPrice = 0;
decimal priceOffset = 0;
var tradeSignals = signals;
var stopLoss = execTradeParam.SL;
var takeProfit = execTradeParam.TP;
foreach (var _account in signalBase.BrokerAccounts)
{
//check if the account can trade this symbol...
if (execTradeParam.DataFeed.AvailableDataFeeds.Contains(_account.DataFeedName))
{
foreach (var item in tradeSignals)
{ // trade only if the symbol has correct trade slot and it was not the first iteration (first iteration can)
if (execTradeParam.TradeableSymbols.Contains(item.Instrument.Symbol) && execTradeParam.EvalCount > 1)
{
if (execTradeParam.OrderType == TradeType.Limit || execTradeParam.OrderType == TradeType.Stop)
{
Tick tick = null;
try
{
tick = execTradeParam.DataFeed.GetLastTick(_account.DataFeedName, item.Instrument.Symbol);
}
catch (Exception e)
{
signalBase.Alert($"Failed to retrieve tick for {item.Instrument}: {e.Message}");
}
if (tick != null)
{
if (item.Side == Side.Buy && tick.Ask > 0)
{
actualPrice = tick.Ask;
if (execTradeParam.OrderType == TradeType.Limit)
{
priceOffset = execTradeParam.BuyPriceOffset / -100000;
}
if (execTradeParam.OrderType == TradeType.Stop)
{
priceOffset = execTradeParam.BuyPriceOffset / 100000;
}
}
else if (item.Side == Side.Sell && tick.Bid > 0)
{
actualPrice = tick.Bid;
if (execTradeParam.OrderType == TradeType.Limit)
{
priceOffset = execTradeParam.SellPriceOffset / 100000;
}
if (execTradeParam.OrderType == TradeType.Stop)
{
priceOffset = execTradeParam.SellPriceOffset / -100000;
}
}
}
}
if (execTradeParam.HideSL == true)
{
stopLoss = null;
}
if (execTradeParam.HideTP == true)
{
takeProfit = null;
}
signalBase.PlaceOrder(new OrderParams(DateTime.UtcNow.Ticks.ToString(), item.Instrument.Symbol)
{
TimeInForce = execTradeParam.TIF,
SLOffset = stopLoss,
TPOffset = takeProfit,
Quantity = execTradeParam.OrderQuantity,
OrderSide = item.Side,
OrderType = execTradeParam.OrderType,
DataServerSide = execTradeParam.HideOrder,
Price = actualPrice + priceOffset,
}, _account);
signalBase.Alert($"Trade: {execTradeParam.OrderType}, {item.Instrument.Symbol}, {item.Side}, {execTradeParam.OrderQuantity}, {execTradeParam.TP}, {execTradeParam.SL}");
}
}
}
}
}
public static List <TradeSignal> BacktestPriceSegmentProcessor(SignalBase signalBase, Dictionary <Selection, IEnumerable <Bar> > marketData,
Auxiliaries.ExecuteTradesParam tradeParams,
PriceConstants btBarSegment, Func <Dictionary <Selection, IEnumerable <Bar> >, List <TradeSignal> > detectSignals,
Dictionary <Selection, IEnumerable <Bar> > trigInstrData = null,
IEnumerable <Tick> queuedTicks = null)
{
var modMarketData = marketData.ToDictionary(k => k.Key, v => v.Value.Select(b => new Bar(b)).ToList().AsEnumerable());
var origLast = marketData.Last().Value.Last();
var modLast = modMarketData.Last().Value.Last();
List <TradeSignal> trades = null;
switch (btBarSegment)
{
case PriceConstants.OPEN:
modLast.HighAsk = origLast.OpenAsk;
modLast.HighBid = origLast.OpenBid;
modLast.LowAsk = origLast.OpenAsk;
modLast.LowBid = origLast.OpenBid;
modLast.CloseAsk = origLast.OpenAsk;
modLast.CloseBid = origLast.OpenBid;
modLast.HighAsk = origLast.OpenAsk;
trigInstrData = modMarketData;
trades = detectSignals(modMarketData);
break;
case PriceConstants.HIGH:
modLast.LowAsk = origLast.HighAsk;
modLast.LowBid = origLast.HighBid;
modLast.CloseAsk = origLast.HighAsk;
modLast.CloseBid = origLast.HighBid;
trigInstrData = modMarketData;
trades = detectSignals(modMarketData);
break;
case PriceConstants.LOW:
modLast.CloseAsk = origLast.LowAsk;
modLast.CloseBid = origLast.LowBid;
trigInstrData = modMarketData;
trades = detectSignals(modMarketData);
break;
case PriceConstants.CLOSE:
trigInstrData = modMarketData;
trades = detectSignals(modMarketData);
break;
case PriceConstants.OHLC:
signalBase.Alert($"origin openAsk: {origLast.OpenAsk}");
signalBase.Alert($"origin openBid: {origLast.OpenBid}");
signalBase.Alert($"origin mean: {origLast.MeanOpen}");
signalBase.Alert($"origin highAsk: {origLast.HighAsk}");
signalBase.Alert($"origin highBid: {origLast.HighBid}");
signalBase.Alert($"origin mean: {origLast.MeanHigh}");
signalBase.Alert($"origin lowAsk: {origLast.LowAsk}");
signalBase.Alert($"origin lowBid: {origLast.LowBid}");
signalBase.Alert($"origin mean: {origLast.MeanLow}");
signalBase.Alert($"origin closeAsk: {origLast.CloseAsk}");
signalBase.Alert($"origin closeBid: {origLast.CloseBid}");
signalBase.Alert($"origin mean: {origLast.MeanClose}");
modLast.HighAsk = origLast.OpenAsk;
modLast.HighBid = origLast.OpenBid;
modLast.LowAsk = origLast.OpenAsk;
modLast.LowBid = origLast.OpenBid;
modLast.CloseAsk = origLast.OpenAsk;
modLast.CloseBid = origLast.OpenBid;
trigInstrData = modMarketData;
signalBase.Alert($"mod openAsk: {modLast.OpenAsk}");
signalBase.Alert($"mod openBid: {modLast.OpenBid}");
signalBase.Alert($"mod mean: {modLast.MeanOpen}");
signalBase.Alert($"mod highAsk: {modLast.HighAsk}");
signalBase.Alert($"mod highBid: {modLast.HighBid}");
signalBase.Alert($"mod mean: {modLast.MeanHigh}");
signalBase.Alert($"mod lowAsk: {modLast.LowAsk}");
signalBase.Alert($"mod lowBid: {modLast.LowBid}");
signalBase.Alert($"mod mean: {modLast.MeanLow}");
signalBase.Alert($"mod closeAsk: {modLast.CloseAsk}");
signalBase.Alert($"mod closeBid: {modLast.CloseBid}");
signalBase.Alert($"mod mean: {modLast.MeanClose}");
var trades1 = detectSignals(modMarketData);
trades = trades1;
//signalBase.Alert($"origin openAsk: {origLast.OpenAsk}");
//signalBase.Alert($"origin openBid: {origLast.OpenBid}");
//signalBase.Alert($"origin mean: {origLast.MeanOpen}");
//signalBase.Alert($"origin highAsk: {origLast.HighAsk}");
//signalBase.Alert($"origin highBid: {origLast.HighBid}");
//signalBase.Alert($"origin mean: {origLast.MeanHigh}");
//signalBase.Alert($"origin lowAsk: {origLast.LowAsk}");
//signalBase.Alert($"origin lowBid: {origLast.LowBid}");
//signalBase.Alert($"origin mean: {origLast.MeanLow}");
//signalBase.Alert($"origin closeAsk: {origLast.CloseAsk}");
//signalBase.Alert($"origin closeBid: {origLast.CloseBid}");
//signalBase.Alert($"origin mean: {origLast.MeanClose}");
modLast.HighAsk = origLast.HighAsk;
modLast.HighBid = origLast.HighBid;
modLast.LowAsk = origLast.HighAsk;
modLast.LowBid = origLast.HighBid;
modLast.CloseAsk = origLast.HighAsk;
modLast.CloseBid = origLast.HighBid;
trigInstrData = modMarketData;
//signalBase.Alert($"mod openAsk: {modLast.OpenAsk}");
//signalBase.Alert($"mod openBid: {modLast.OpenBid}");
//signalBase.Alert($"mod mean: {modLast.MeanOpen}");
//signalBase.Alert($"mod highAsk: {modLast.HighAsk}");
//signalBase.Alert($"mod highBid: {modLast.HighBid}");
//signalBase.Alert($"mod mean: {modLast.MeanHigh}");
//signalBase.Alert($"mod lowAsk: {modLast.LowAsk}");
//signalBase.Alert($"mod lowBid: {modLast.LowBid}");
//signalBase.Alert($"mod mean: {modLast.MeanLow}");
//signalBase.Alert($"mod closeAsk: {modLast.CloseAsk}");
//signalBase.Alert($"mod closeBid: {modLast.CloseBid}");
//signalBase.Alert($"mod mean: {modLast.MeanClose}");
var trades2 = detectSignals(modMarketData);
trades.AddRange(trades2);
//signalBase.Alert($"origin openAsk: {origLast.OpenAsk}");
//signalBase.Alert($"origin openBid: {origLast.OpenBid}");
//signalBase.Alert($"origin mean: {origLast.MeanOpen}");
//signalBase.Alert($"origin highAsk: {origLast.HighAsk}");
//signalBase.Alert($"origin highBid: {origLast.HighBid}");
//signalBase.Alert($"origin mean: {origLast.MeanHigh}");
//signalBase.Alert($"origin lowAsk: {origLast.LowAsk}");
//signalBase.Alert($"origin lowBid: {origLast.LowBid}");
//signalBase.Alert($"origin mean: {origLast.MeanLow}");
//signalBase.Alert($"origin closeAsk: {origLast.CloseAsk}");
//signalBase.Alert($"origin closeBid: {origLast.CloseBid}");
//signalBase.Alert($"origin mean: {origLast.MeanClose}");
modLast.LowAsk = origLast.LowAsk;
modLast.LowBid = origLast.LowBid;
modLast.CloseAsk = origLast.LowAsk;
modLast.CloseBid = origLast.LowBid;
trigInstrData = modMarketData;
//signalBase.Alert($"mod openAsk: {modLast.OpenAsk}");
//signalBase.Alert($"mod openBid: {modLast.OpenBid}");
//signalBase.Alert($"mod mean: {modLast.MeanOpen}");
//signalBase.Alert($"mod highAsk: {modLast.HighAsk}");
//signalBase.Alert($"mod highBid: {modLast.HighBid}");
//signalBase.Alert($"mod mean: {modLast.MeanHigh}");
//signalBase.Alert($"mod lowAsk: {modLast.LowAsk}");
//signalBase.Alert($"mod lowBid: {modLast.LowBid}");
//signalBase.Alert($"mod mean: {modLast.MeanLow}");
//signalBase.Alert($"mod closeAsk: {modLast.CloseAsk}");
//signalBase.Alert($"mod closeBid: {modLast.CloseBid}");
//signalBase.Alert($"mod mean: {modLast.MeanClose}");
var trades3 = detectSignals(modMarketData);
trades.AddRange(trades3);
modLast.CloseAsk = origLast.CloseAsk;
modLast.CloseBid = origLast.CloseBid;
modMarketData = marketData;
trigInstrData = modMarketData;
signalBase.Alert($"origin openAsk: {origLast.OpenAsk}");
signalBase.Alert($"origin openBid: {origLast.OpenBid}");
signalBase.Alert($"origin mean: {origLast.MeanOpen}");
signalBase.Alert($"origin highAsk: {origLast.HighAsk}");
signalBase.Alert($"origin highBid: {origLast.HighBid}");
signalBase.Alert($"origin mean: {origLast.MeanHigh}");
signalBase.Alert($"origin lowAsk: {origLast.LowAsk}");
signalBase.Alert($"origin lowBid: {origLast.LowBid}");
signalBase.Alert($"origin mean: {origLast.MeanLow}");
signalBase.Alert($"origin closeAsk: {origLast.CloseAsk}");
signalBase.Alert($"origin closeBid: {origLast.CloseBid}");
signalBase.Alert($"origin mean: {origLast.MeanClose}");
signalBase.Alert($"mod openAsk: {modLast.OpenAsk}");
signalBase.Alert($"mod openBid: {modLast.OpenBid}");
signalBase.Alert($"mod mean: {modLast.MeanOpen}");
signalBase.Alert($"mod highAsk: {modLast.HighAsk}");
signalBase.Alert($"mod highBid: {modLast.HighBid}");
signalBase.Alert($"mod mean: {modLast.MeanHigh}");
signalBase.Alert($"mod lowAsk: {modLast.LowAsk}");
signalBase.Alert($"mod lowBid: {modLast.LowBid}");
signalBase.Alert($"mod mean: {modLast.MeanLow}");
signalBase.Alert($"mod closeAsk: {modLast.CloseAsk}");
signalBase.Alert($"mod closeBid: {modLast.CloseBid}");
signalBase.Alert($"mod mean: {modLast.MeanClose}");
var trades4 = detectSignals(modMarketData);
trades.AddRange(trades4);
break;
case PriceConstants.OLHC:
modLast.HighAsk = origLast.OpenAsk;
modLast.HighBid = origLast.OpenBid;
modLast.LowAsk = origLast.OpenAsk;
modLast.LowBid = origLast.OpenBid;
modLast.CloseAsk = origLast.OpenAsk;
modLast.CloseBid = origLast.OpenBid;
trigInstrData = modMarketData;
trades1 = detectSignals(modMarketData);
trades = trades1;
modLast.HighAsk = origLast.LowAsk;
modLast.HighBid = origLast.LowBid;
modLast.CloseAsk = origLast.LowAsk;
modLast.CloseBid = origLast.LowBid;
trigInstrData = modMarketData;
trades3 = detectSignals(modMarketData);
trades.AddRange(trades3);
modLast.CloseAsk = origLast.HighAsk;
modLast.CloseBid = origLast.HighBid;
trigInstrData = modMarketData;
trades2 = detectSignals(modMarketData);
trades.AddRange(trades2);
trigInstrData = modMarketData;
trades4 = detectSignals(modMarketData);
trades.AddRange(trades4);
break;
}
return(trades);
}
