public override bool ModifyOrderToFill(IBrokerage brokerage, Order order, decimal lastMarketPrice)
{
// limit orders will process even if they go beyond the market price
var symbolProperties = SPDB.GetSymbolProperties(order.Symbol.ID.Market, order.Symbol, order.SecurityType, order.PriceCurrency);
var roundOffPlaces = GetDecimalPlaces(symbolProperties.MinimumPriceVariation);
var limit = (LimitOrder)order;
if (order.Quantity > 0)
{
// for limit buys we need to increase the limit price
limit.LimitPrice = Math.Round(lastMarketPrice * 1.02m, roundOffPlaces);
}
else
{
// for limit sells we need to decrease the limit price
limit.LimitPrice = Math.Round(lastMarketPrice / 1.02m, roundOffPlaces);
}
return(true);
}
public override bool ModifyOrderToFill(IBrokerage brokerage, Order order, decimal lastMarketPrice)
{
var symbolProperties = SPDB.GetSymbolProperties(order.Symbol.ID.Market, order.Symbol, order.SecurityType, order.PriceCurrency);
var roundOffPlaces = GetDecimalPlaces(symbolProperties.MinimumPriceVariation);
var stop = (StopLimitOrder)order;
var previousStop = stop.StopPrice;
if (order.Quantity > 0)
{
// for stop buys we need to decrease the stop price
stop.StopPrice = Math.Min(stop.StopPrice, Math.Max(stop.StopPrice / 2, Math.Round(lastMarketPrice, roundOffPlaces, MidpointRounding.AwayFromZero)));
}
else
{
// for stop sells we need to increase the stop price
stop.StopPrice = Math.Max(stop.StopPrice, Math.Min(stop.StopPrice * 2, Math.Round(lastMarketPrice, roundOffPlaces, MidpointRounding.AwayFromZero)));
}
stop.LimitPrice = stop.StopPrice;
return(stop.StopPrice != previousStop);
}
