public void setStrategyBase(NinjaTrader.NinjaScript.StrategyBase s)
{
strategybase = s;
SetBaseCurrency(s.Account.Denomination);
if (!string.IsNullOrEmpty(iehdata))
{
try
{
BinaryFormatter bf = new BinaryFormatter();
MemoryStream memstr = new MemoryStream(Convert.FromBase64String(iehdata), true);
iexithandling = ibKastl.Helper.BinaryFormatterHelper.Read <IExitHandling>(memstr, Assembly.GetExecutingAssembly());
Zweistein.NinjaTraderLog.Process("SingleSpread.setStrategyBase:", iexithandling.ToString(), NinjaTrader.Cbi.LogLevel.Warning, NinjaTrader.Cbi.LogCategories.Strategy);
}
catch (Exception e) {
Zweistein.NinjaTraderLog.Process("SingleSpread.setStrategyBase:", e.Message, NinjaTrader.Cbi.LogLevel.Warning, NinjaTrader.Cbi.LogCategories.Strategy);
if (strategybase.TraceOrders)
{
strategybase.Print(e.Message + " SOURCE:" + e.Source);
}
}
}
string tmp = "iexithandling=";
if (iexithandling == null)
{
Zweistein.NinjaTraderLog.Process("SingleSpread.setStrategyBase:", "iexithandling==null", NinjaTrader.Cbi.LogLevel.Warning, NinjaTrader.Cbi.LogCategories.Strategy);
tmp += "null";
}
else
{
tmp += iexithandling.ToString();
}
if (strategybase.TraceOrders)
{
strategybase.Print(tmp);
}
entry[0].setStrategyBase(s);
entry[1].setStrategyBase(s);
exit[0].setStrategyBase(s);
exit[1].setStrategyBase(s);
}
public void Zero()
{
if (strategybase.TraceOrders)
{
string tmp = "";
if (iorder != null)
{
tmp += iorder.Name + ":";
}
tmp += "iorder==null";
strategybase.Print(tmp);
}
iorder = null;
checkinflight = false;
}
public void OnExecution(NinjaTrader.Cbi.Execution execution)
{
if (execution == null)
{
return;
}
if (execution.Order == null)
{
return;
}
int sign = (execution.MarketPosition == MarketPosition.Long) ? 1 : -1;
if (entry[0].Order != null && execution.Order.OrderId == entry[0].Order.OrderId)
{
if (entry[0].Inflight(execution))
{
inflight.Add(execution);
// we assume that an inflight execution will never come as a collection of
// partial executions. Only the first partial will stay inflight, a second
// partial would be cancelled
return;
}
positionX += sign * execution.Quantity;
totalprice0 += (double)convfactor0 * execution.Price * sign * execution.Quantity * strategybase.Instruments[0].MasterInstrument.PointValue;
var commission = (double)convfactor0 * execution.Commission;
totalprice0 += commission;
int lsign = (mleg1 == MarketPosition.Long)?+1:-1;
if (strategybase.State == State.Realtime)
{
CollectTokens(execution);
}
if (lots1 * lsign == positionX)
{
entry[0].Zero();
}
}
if (entry[1].Order != null && execution.Order.OrderId == entry[1].Order.OrderId)
{
if (entry[1].Inflight(execution))
{
inflight.Add(execution);
return;
}
positionY += sign * execution.Quantity;
totalprice1 += (double)convfactor1 * execution.Price * sign * execution.Quantity * strategybase.Instruments[1].MasterInstrument.PointValue;
var commission = (double)convfactor1 * execution.Commission;
totalprice1 += commission;
int lsign = (mleg1 == MarketPosition.Short)?+1:-1;
if (strategybase.State == State.Realtime)
{
CollectTokens(execution);
}
if (lots2 * lsign == positionY)
{
entry[1].Zero();
}
}
if (exit[0].Order != null && execution.Order.OrderId == exit[0].Order.OrderId)
{
if (exit[0].Inflight(execution))
{
inflight.Add(execution);
return;
}
positionX += sign * execution.Quantity;
totalprice0 += (double)convfactor0 * execution.Price * sign * execution.Quantity * strategybase.Instruments[0].MasterInstrument.PointValue;
var commission = (double)convfactor0 * execution.Commission;
totalprice0 += commission;
_exitedX += sign * execution.Quantity;
if (strategybase.State == State.Realtime)
{
CollectTokens(execution);
}
}
if (exit[1].Order != null && execution.Order.OrderId == exit[1].Order.OrderId)
{
exitinprogress = false;
if (exit[1].Inflight(execution))
{
inflight.Add(execution);
return;
}
positionY += sign * execution.Quantity;
totalprice1 += (double)convfactor1 * execution.Price * sign * execution.Quantity * strategybase.Instruments[1].MasterInstrument.PointValue;
var commission = (double)convfactor1 * execution.Commission;
totalprice1 += commission;
_exitedY += sign * execution.Quantity;
if (strategybase.State == State.Realtime)
{
CollectTokens(execution);
}
}
if (exit[0].Order != null && execution.Order.OrderId == exit[0].Order.OrderId)
{
if (_exitedX == -1 * _toexitX)
{
exit[0].Zero();
}
}
if (exit[1].Order != null && execution.Order.OrderId == exit[1].Order.OrderId)
{
if (_exitedY == -1 * _toexitY)
{
exit[1].Zero();
}
}
if (exit[0].Order == null && exit[1].Order == null)
{
exitinprogress = false;
}
if (strategybase.TraceOrders)
{
//strategybase.Print(execution.ToString());
string tmp = "Spread.OnExecution: Leg1(" + positionX.ToString() + "),Leg2(" + positionY.ToString() + ")";
strategybase.Print(tmp);
Zweistein.NinjaTraderLog.Process(tmp, "", LogLevel.Information, LogCategories.Strategy);
}
}