private void placePrototypeOncePositionClosed(Bar bar)
{
bool isBacktesting = this.Executor.Backtester.IsBacktestingNow;
//WHATS_THE_DIFFERENCE? if (isBacktesting) return;
if (bar.ParentBarsIndex == 138)
{
//Debugger.Break();
}
if (base.HasPositionsOpenNow)
{
return;
}
if (base.HasAlertsPending)
{
// only kill pending entries, but leave activated SL & TP for an open position UNTOUCHED !!!!
ExecutionDataSnapshot snap = this.Executor.ExecutionDataSnapshot;
List <Alert> pendings = snap.AlertsPendingSafeCopy;
if (pendings.Count > 0)
{
string msg = pendings.Count + " last AlertsPending[" + snap.AlertsPending[pendings.Count - 1] + "]";
//PrintDebug(msg);
foreach (Alert alert in pendings)
{
int wasntFilledDuringPastNbars = bar.ParentBarsIndex - alert.PlacedBarIndex;
if (wasntFilledDuringPastNbars >= 30)
{
//if (alert.PositionAffected.Prototype != null) {}
//base.Executor.CallbackAlertKilledInvokeScript(alert);
base.AlertKillPending(alert);
}
}
}
return;
}
double protoPlacementOffsetPct = 1;
double TPpct = 2;
double SLpct = -1;
double SLApct = -0.8;
double protoPlacement = bar.Close + bar.Close * protoPlacementOffsetPct / 100;
double TP = bar.Close * TPpct / 100;
double SL = bar.Close * SLpct / 100;
double SLactivation = bar.Close * SLApct / 100;
SLactivation = 0; // when SLactivation == 0 Prototype generates Stop alert instead of StopLoss
PositionPrototype protoLong = new PositionPrototype(this.Bars.Symbol, PositionLongShort.Long, protoPlacement, TP, SL, SLactivation);
PositionPrototype protoShort = new PositionPrototype(this.Bars.Symbol, PositionLongShort.Short, -protoPlacement, TP, SL, SLactivation);
//PositionPrototype protoFixed = new PositionPrototype(this.Bars.Symbol, PositionLongShort.Long, 158000, +150.0, -50.0, -40.0);
//PositionPrototype proto = barNewStaticArrived.Close < 158000 ? protoLong : protoShort;
PositionPrototype proto = protoLong;
base.Executor.PositionPrototypeActivator.PlaceOnce(proto);
}
public void ConsumeQuoteOfStreamingBar(Quote quote)
{
//Bar barLastFormed = quoteToReach.ParentStreamingBar;
ExecutionDataSnapshot snap = this.backtester.Executor.ExecutionDataSnapshot;
foreach (Indicator indicator in snap.Indicators.Values)
{
try {
indicator.OnNewStreamingQuote(quote);
} catch (Exception ex) {
Debugger.Break();
}
}
if (snap.AlertsPending.Count > 0)
{
var dumped = snap.DumpPendingAlertsIntoPendingHistoryByBar();
if (dumped > 0)
{
//string msg = "here is at least one reason why dumping on fresh quoteToReach makes sense"
// + " if we never reach this breakpoint the remove dump() from here"
// + " but I don't see a need to invoke it since we dumped pendings already after OnNewBarCallback";
string msg = "DUMPED_BEFORE_SCRIPT_EXECUTION_ON_NEW_BAR_OR_QUOTE";
}
int pendingCountPre = this.backtester.Executor.ExecutionDataSnapshot.AlertsPending.Count;
int pendingFilled = this.backtester.Executor.MarketSimStreaming.SimulatePendingFill(quote);
int pendingCountNow = this.backtester.Executor.ExecutionDataSnapshot.AlertsPending.Count;
if (pendingCountNow != pendingCountPre - pendingFilled)
{
string msg = "NOT_ONLY it looks like AnnihilateCounterparty worked out!";
}
if (pendingCountNow > 0)
{
string msg = "pending=[" + pendingCountNow + "], it must be prototype-induced 2 closing TP & SL";
}
}
//this.backtester.Executor.Script.OnNewQuoteCallback(quoteToReach);
ReporterPokeUnit pokeUnit = this.backtester.Executor.ExecuteOnNewBarOrNewQuote(quote);
}
public void ConsumeBarLastStraticJustFormedWhileStreamingBarWithOneQuoteAlreadyAppended(Bar barLastFormed)
{
if (barLastFormed == null)
{
string msg = "Backtester starts generating quotes => first StreamingBar is added; for first four Quotes there's no static barsFormed yet!! Isi";
return;
}
//INVOCATION_WONT_DO_ANY_JOB this.simulatePendingFillPreExecuteEveryTick(null);
ExecutionDataSnapshot snap = this.backtester.Executor.ExecutionDataSnapshot;
foreach (Indicator indicator in snap.Indicators.Values)
{
if (indicator.NotOnChartBarsKey == null)
{
indicator.OnNewStaticBarFormed(barLastFormed);
}
else
{
string msg = "Generate quotes for the Non-Chart-Bars and feed them into your indicators!";
}
}
this.backtester.Executor.Strategy.Script.OnBarStaticLastFormedWhileStreamingBarWithOneQuoteAlreadyAppendedCallback(barLastFormed);
}
public override void OnBarStaticLastFormedWhileStreamingBarWithOneQuoteAlreadyAppendedCallback(Bar barStaticFormed)
{
Bar barStreaming = base.Bars.BarStreaming;
if (this.Executor.Backtester.IsBacktestingNow == false)
{
Debugger.Break();
}
if (barStaticFormed.ParentBarsIndex <= 2)
{
return;
}
if (barStaticFormed.IsBarStreaming)
{
string msg = "SHOULD_NEVER_HAPPEN [email protected][" + barStaticFormed + "] while Streaming[" + barStreaming + "]";
Debugger.Break();
}
Position lastPos = base.LastPosition;
bool isLastPositionNotClosedYet = base.IsLastPositionNotClosedYet;
if (isLastPositionNotClosedYet)
{
if (lastPos.EntryFilledBarIndex > barStaticFormed.ParentBarsIndex)
{
string msg1 = "prev bar you placed on streaming, now that streaming is static and positionEntry is still in the future but you have it filled?...";
Debugger.Break();
}
if (lastPos.ExitAlert != null)
{
string msg1 = "you want to avoid POSITION_ALREADY_HAS_AN_EXIT_ALERT_REPLACE_INSTEAD_OF_ADDING_SECOND"
+ " ExitAtMarket by throwing [can't have two closing alerts for one positionExit] Strategy[" + this.Strategy.ToString() + "]";
Debugger.Break();
return;
}
if (barStaticFormed.ParentBarsIndex == 163)
{
Debugger.Break();
StreamingDataSnapshot streaming = this.Executor.DataSource.StreamingProvider.StreamingDataSnapshot;
Quote lastQuote = streaming.LastQuoteGetForSymbol(barStaticFormed.Symbol);
double priceForMarketOrder = streaming.LastQuoteGetPriceForMarketOrder(barStaticFormed.Symbol);
}
string msg = "ExitAtMarket@" + barStaticFormed.ParentBarsIdent;
Alert exitPlaced = ExitAtMarket(barStreaming, lastPos, msg);
log("Execute(): " + msg);
}
ExecutionDataSnapshot snap = base.Executor.ExecutionDataSnapshot;
int alertsPendingCount = snap.AlertsPending.Count;
int positionsOpenNowCount = snap.PositionsOpenNow.Count;
bool hasAlertsPendingOrPositionsOpenNow = base.HasAlertsPendingOrPositionsOpenNow;
if (hasAlertsPendingOrPositionsOpenNow)
{
if (alertsPendingCount > 0)
{
if (snap.AlertsPending[0] == lastPos.EntryAlert)
{
string msg = "EXPECTED: I don't have open positions but I have an unfilled alert from lastPosition.EntryAlert=alertsPending[0]";
}
else if (snap.AlertsPending[0] == lastPos.ExitAlert)
{
string msg = "EXPECTED: I have and open lastPosition with .ExitAlert=alertsPending[0]";
}
else
{
string msg = "UNEXPECTED: pending alert doesn't relate to lastPosition; who is here?";
}
}
if (positionsOpenNowCount > 1)
{
string msg = "EXPECTED: I got multiple positions[" + positionsOpenNowCount + "]";
if (snap.PositionsOpenNow[0] == lastPos)
{
msg += "50/50: positionsMaster.Last = positionsOpenNow.First";
}
}
return;
}
if (barStaticFormed.ParentBarsIndex == 30)
{
Debugger.Break();
StreamingDataSnapshot streaming = this.Executor.DataSource.StreamingProvider.StreamingDataSnapshot;
Quote lastQuote = streaming.LastQuoteGetForSymbol(barStaticFormed.Symbol);
double priceForMarketOrder = streaming.LastQuoteGetPriceForMarketOrder(barStaticFormed.Symbol);
}
if (barStaticFormed.Close > barStaticFormed.Open)
{
string msg = "BuyAtMarket@" + barStaticFormed.ParentBarsIdent;
Position buyPlaced = BuyAtMarket(barStreaming, msg);
//Debugger.Break();
}
else
{
string msg = "ShortAtMarket@" + barStaticFormed.ParentBarsIdent;
Position shortPlaced = ShortAtMarket(barStreaming, msg);
//Debugger.Break();
}
//base.Executor.ChartShadow.LineDrawModify(...);
}
