/// <summary>
/// this must be called once per position tracker, for each position update.
/// if you are using your own position tracker with this trailing stop(eg from offset tracker, or somewhere else)
/// you only need to adjust it once, so if you adjust it directly you don't need to call again here.
/// </summary>
/// <param name="fill"></param>
public void Adjust(Trade fill)
{
// get index for symbol
int idx = symidx(fill.symbol);
// only do following if we're tracking trail for this symbol
if (idx != NOSYM)
{
// get current position size
int psize = _pt[fill.symbol].UnsignedSize;
// get trailing information
OffsetInfo trail = _trail[idx];
// get expected position size
int esize = psize - Calc.Norm2Min(psize * trail.StopPercent, trail.MinimumLotSize);
// get actual position size after change
int asize = psize - fill.UnsignedSize;
// if expected and actual match, mark pending as false
if (esize == asize)
{
D("filled trailing stop for: " + fill.symbol);
_pendingfill[idx] = false;
}
}
_pt.Adjust(fill);
// if we're flat now, make sure ref price is reset
if (_pt[fill.symbol].isFlat)
{
_ref[idx] = 0;
}
}
/// <summary>
/// track and correct oversells (either by splitting into two orders, or dropping oversell)
/// </summary>
/// <param name="o"></param>
public void sendorder(Order o)
{
// get original size
int osize = o.size;
int uosize = o.UnsignedSize;
// get existing size
int size = _pt[o.symbol].Size;
int upsize = _pt[o.symbol].UnsignedSize;
// check for overfill/overbuy
bool over = (o.size * size < -1) && (o.UnsignedSize > Math.Abs(size)) && (upsize >= MinLotSize);
// detect
if (over)
{
// determine correct size
int oksize = _pt[o.symbol].FlatSize;
// adjust
o.size = Calc.Norm2Min(oksize, MinLotSize);
// send
sonow(o);
// count
osa++;
// notify
debug(o.symbol + " oversell detected on pos: " + size + " order adjustment: " + osize + "->" + size + " " + o.ToString());
// see if we're splitting
if (Split)
{
// calculate new size
int nsize = Calc.Norm2Min(Math.Abs(uosize - Math.Abs(oksize)), MinLotSize);
// adjust side
nsize *= (o.side ? 1 : -1);
// create order
Order newo = new OrderImpl(o);
newo.size = nsize;
newo.id = _idt.AssignId;
if (_orgid2splitid.ContainsKey(o.id))
{
_orgid2splitid[o.id] = newo.id;
}
else
{
_orgid2splitid.Add(o.id, newo.id);
}
// send
if (nsize != 0)
{
sonow(newo);
}
// notify
debug(o.symbol + " splitting oversell/overcover: " + o.ToString() + " to 2nd order: " + newo);
}
}
else
{
sonow(o);
}
}
/// <summary>
/// flat specified % of a position.
/// if the position is an odd-lot, optionally normalize to a standard lot size (if normalizeSize = true)
/// if normalizing, specify lot size
/// </summary>
/// <param name="current"></param>
/// <param name="percent"></param>
/// <param name="normalizeSize"></param>
/// <param name="MinimumLotSize"></param>
public MarketOrderFlat(Position current, decimal percent, bool normalizeSize, int MinimumLotSize) : base(current.Symbol, normalizeSize ? Calc.Norm2Min((decimal)percent * current.FlatSize, MinimumLotSize) : (int)(percent * current.FlatSize))
{
}
