public override void OnBar(ISymbol symbol, int index)
{
if (_fastMa.Data[index] > _slowMa.Data[index])
{
Trade.CloseAllMarketOrders(TradeType.Sell);
if (_fastMa.Data[index - 1] <= _slowMa.Data[index - 1] && !Trade.Orders.Any(iOrder => iOrder.OrderType == OrderType.Market && iOrder.TradeType == TradeType.Buy))
{
var marketOrderParameters = new MarketOrderParameters(symbol)
{
Volume = Volume,
TradeType = TradeType.Buy,
};
Trade.Execute(marketOrderParameters);
}
}
else if (_fastMa.Data[index] < _slowMa.Data[index])
{
Trade.CloseAllMarketOrders(TradeType.Buy);
if (_fastMa.Data[index - 1] >= _slowMa.Data[index - 1] && !Trade.Orders.Any(iOrder => iOrder.OrderType == OrderType.Market && iOrder.TradeType == TradeType.Sell))
{
var marketOrderParameters = new MarketOrderParameters(symbol)
{
Volume = Volume,
TradeType = TradeType.Sell,
};
Trade.Execute(marketOrderParameters);
}
}
}
public void ExecuteTest()
{
var orderParameters = new MarketOrderParameters(_symbol)
{
Volume = 1000,
TradeType = TradeType.Buy,
StopLossInTicks = 5,
TakeProfitInTicks = 5,
};
var result = _tradeEngine.Execute(orderParameters);
Assert.IsTrue(result.IsSuccessful);
}
private TradeResult ExecuteMarketOrder(MarketOrderParameters parameters)
{
var marginRequired = (parameters.Volume * parameters.Symbol.VolumeUnitValue) / Account.Leverage;
if (marginRequired >= Account.FreeMargin)
{
return(new TradeResult(OrderErrorCode.NotEnoughMargin));
}
else
{
var symbolPrice = parameters.Symbol.GetPrice(parameters.TradeType);
var symbolSlippageInPrice = parameters.Symbol.Slippage * parameters.Symbol.TickSize;
double entryPrice;
if (parameters.TradeType == TradeType.Buy)
{
entryPrice = symbolPrice + symbolSlippageInPrice;
}
else
{
entryPrice = symbolPrice - symbolSlippageInPrice;
}
var order = new MarketOrder(entryPrice, parameters, Server.CurrentTime)
{
Commission = parameters.Symbol.Commission * 2,
MarginUsed = marginRequired,
};
if (parameters.StopLossInTicks.HasValue)
{
var stopLossInSymbolTicks = parameters.StopLossInTicks * parameters.Symbol.TickSize;
order.StopLossPrice = order.TradeType == TradeType.Buy ? entryPrice - stopLossInSymbolTicks : entryPrice + stopLossInSymbolTicks;
}
if (parameters.TakeProfitInTicks.HasValue)
{
var takeProfitInSymbolTicks = parameters.TakeProfitInTicks * parameters.Symbol.TickSize;
order.StopLossPrice = order.TradeType == TradeType.Buy ? entryPrice + takeProfitInSymbolTicks : entryPrice - takeProfitInSymbolTicks;
}
AddOrder(order);
Account.ChangeMargin(marginRequired, Server.CurrentTime, string.Empty, AccountChangeType.Trading);
return(new TradeResult(order));
}
}
public void CloseMarketOrderTest()
{
var orderParameters = new MarketOrderParameters(_symbol)
{
Volume = 1000,
TradeType = TradeType.Buy,
StopLossInTicks = 5,
TakeProfitInTicks = 5,
};
var result = _tradeEngine.Execute(orderParameters);
Assert.IsTrue(result.IsSuccessful);
Assert.IsTrue(_tradeEngine.Orders.Contains(result.Order));
_tradeEngine.CloseMarketOrder(result.Order as MarketOrder);
Assert.IsTrue(!_tradeEngine.Orders.Contains(result.Order));
}
protected virtual void TriggerPendingOrder(PendingOrder order)
{
if (_orders.Contains(order))
{
_orders.Remove(order);
}
var marketOrderParameters = new MarketOrderParameters(order.Symbol)
{
Volume = order.Volume,
TradeType = order.TradeType,
StopLossInTicks = order.StopLossPrice.HasValue ? (double?)Math.Abs(order.TargetPrice - order.StopLossPrice.Value) : null,
TakeProfitInTicks = order.TakeProfitPrice.HasValue ? (double?)Math.Abs(order.TargetPrice - order.TakeProfitPrice.Value) : null,
Comment = order.Comment,
};
var tradingEvent = new TradingEvent(Server.CurrentTime, TradingEventType.PendingOrderFilled, order, string.Empty);
_journal.Add(tradingEvent);
Execute(marketOrderParameters);
}
public void UpdateSymbolOrdersTest()
{
(_symbol as OhlcSymbol).PublishBar(new Bar(DateTimeOffset.Now, 0.9, 1, 1, 0.95, 1000));
var orderParameters = new MarketOrderParameters(_symbol)
{
Volume = 1000,
TradeType = TradeType.Buy,
StopLossInTicks = 5,
TakeProfitInTicks = 5,
};
var result = _tradeEngine.Execute(orderParameters);
Assert.IsTrue(result.IsSuccessful);
Assert.IsTrue(_tradeEngine.Orders.Contains(result.Order));
(_symbol as OhlcSymbol).PublishBar(new Bar(DateTimeOffset.Now, 0.95, 1, 0.8, 0.87, 1000));
_tradeEngine.UpdateSymbolOrders(_symbol);
Assert.IsTrue(!_tradeEngine.Orders.Contains(result.Order));
}
