protected void checkExitOrderCompleted(Series <DateTime, MarketDataElement> series)
{
if (!execution.isPositionOnSignalOnClose())
{
return;
}
immediatePnLAfterPositionClose = 0;
int index = execution.getIndexClosedAppOrder();
log.Info("[Strategy] : Exit Strategy Executed!!!");
if (index == 1)
{
log.Info("Executed Rule = " + execution.PendingOrder1.TriggerRule);
log.Info("Executed Rule Remark = " + execution.PendingOrder1.Remark);
}
else
{
log.Info("Executed Rule = " + execution.PendingOrder2.TriggerRule);
log.Info("Executed Rule Remark = " + execution.PendingOrder2.Remark);
}
log.Info("******************************************************************");
lastExecutePrice = execution.getFilledPrice();
lastSignalPrice = execution.getSignalPriceForExecution();
execution.completePendingSignal();
stgHelper.cancelPendingTrades();
execution.flushCompletSignal();
if (execution.CurrentMarketPosition == 0)
{
immediatePnLAfterPositionClose = execution.PnL;
execution.PnL = 0;
}
immediateOrderExit = true;
}
private void checkExitOrderCompleted(Series <DateTime, MarketDataElement> series)
{
if (!execution.isPositionOnSignalOnClose())
{
return;
}
int index = execution.getIndexClosedAppOrder();
log.Info("[Strategy] : Exit Strategy Executed!!!");
if (index == 1)
{
log.Info("Take Profit Executed!!!");
}
else
{
log.Info("Cutloss Executed!!!");
}
log.Info("******************************************************************");
lastExecutePrice = execution.getFilledPrice();
lastSignalPrice = execution.getSignalPriceForExecution();
execution.completePendingSignal();
stgHelper.cancelPendingTrades();
execution.flushCompletSignal();
}
public void test_GetFilled_Price()
{
ISignalContext context = new SignalContext();
context.setPendingSignal1(AppConstant.BUY_SIGNAL, 20000, createOrder_Buy1Contract_1Complete(), "Buy Order");
context.setPendingSignal2(AppConstant.SELL_SIGNAL, 22000, createOrder_Sell1Contract_0Complete(), "Sell Order");
Assert.AreEqual(20010, context.getFilledPrice());
context = new SignalContext();
context.setPendingSignal1(AppConstant.BUY_SIGNAL, 20000, createOrder_Buy1Contract_0Complete(), "Buy Order");
context.setPendingSignal2(AppConstant.SELL_SIGNAL, 22000, createOrder_Sell1Contract_1Complete(), "Sell Order");
Assert.AreEqual(22010, context.getFilledPrice());
context = new SignalContext();
double filledPrice = (20010.0d * 1 + 20009 * 4 + 20008 * 5) / 10;
context.setPendingSignal1(AppConstant.SELL_SIGNAL, 22000, createOrder_Sell1Contract_0Complete(), "Sell Order");
context.setPendingSignal2(AppConstant.BUY_SIGNAL, 20000, createOrder_10Contract_10Complete(), "Buy Order");
Assert.AreEqual(filledPrice, context.getFilledPrice());
}
