/// <summary>
/// Processes a sell order.
/// </summary>
/// <param name="order">The order.</param>
/// <param name="price">The price.</param>
private void ProcessSellOrder(Order order, float price)
{
var proceeds = order.Quantity * price;
this.CurrentBalance += proceeds;
this.CurrentBalance -= BrokerageFee;
this.CurrentPositionSize -= order.Quantity;
this.NumTrades++;
if (order.Position == Order.Positions.Short)
{
this.NumShortPositions++;
this.NetProfitsFromShortPositions += proceeds;
}
else
{
this.NetProfitsFromLongPositions += proceeds;
}
if (order.ConditionalOrder != null)
{
// This order has been successfully processed.
// So, queue the conditional order.
this.QueueOrder(order.ConditionalOrder);
}
}
/// <summary>
/// Processes a buy order.
/// </summary>
/// <param name="order">The order.</param>
/// <param name="price">The price.</param>
private void ProcessBuyOrder(Order order, float price)
{
var cost = order.Quantity * price;
if (cost > this.CurrentBalance)
{
// Stop processing this order...it will be canceled.
return;
}
this.CurrentBalance -= cost;
this.CurrentBalance -= BrokerageFee;
this.CurrentPositionSize += order.Quantity;
this.NumTrades++;
if (order.Position == Order.Positions.Long)
{
this.NumLongPositions++;
this.NetProfitsFromLongPositions -= cost;
}
else
{
this.NetProfitsFromShortPositions -= cost;
}
if (order.ConditionalOrder != null)
{
// This order has been successfully processed.
// So, queue the conditional order.
this.QueueOrder(order.ConditionalOrder);
}
}
/// <summary>
/// Queues an order for processing.
/// </summary>
/// <param name="order">
/// The order to queue.
/// </param>
public void QueueOrder(Order order)
{
order.IsPending = true;
this.queuedOrders.Add(order);
if (order.IsReplacementOrder)
{
// Cancel the order that this order is intended to replace.
this.CancelOrder(order.ReplacementId);
}
}
/// <summary>
/// Updates the short stop order.
/// </summary>
/// <param name="stopPrice">The stop price.</param>
private void UpdateShortStopOrder(float stopPrice)
{
var order = new Order
{
Id = this.broker.GetNextOrderId(),
Action = Order.Actions.Buy,
ActivationPrice = stopPrice,
GoodUntil = DateTime.Today + TimeSpan.FromDays(365),
Position = Order.Positions.Short,
Quantity = Math.Abs(this.broker.CurrentPositionSize),
Type = Order.Types.StopMarket,
IsReplacementOrder = true,
ReplacementId = this.GetCurrentStopOrderId()
};
this.broker.QueueOrder(order);
this.currentStopPrice = stopPrice;
}
/// <summary>
/// Places an order for a short position.
/// </summary>
/// <param name="quantity">The quantity.</param>
/// <param name="replaceCurrentStop">if set to <c>true</c> replace the current stop order.</param>
private void PlaceOrderForShortPosition(int quantity, bool replaceCurrentStop)
{
var stopOrder = new Order
{
Id = this.broker.GetNextOrderId(),
Action = Order.Actions.Buy,
ActivationPrice = this.CalculateStopPriceForShortPosition(),
GoodUntil = DateTime.Today + TimeSpan.FromDays(365),
Position = Order.Positions.Short,
Quantity = quantity + Math.Abs(this.broker.CurrentPositionSize),
Type = Order.Types.StopMarket
};
var order = new Order
{
Id = this.broker.GetNextOrderId(),
Action = Order.Actions.Sell,
GoodUntil = DateTime.Today + TimeSpan.FromDays(1),
Position = Order.Positions.Short,
Quantity = quantity,
Type = Order.Types.Market,
ConditionalOrder = stopOrder
};
if (replaceCurrentStop)
{
stopOrder.IsReplacementOrder = true;
stopOrder.ReplacementId = this.GetCurrentStopOrderId();
}
this.currentStopPrice = stopOrder.ActivationPrice;
this.broker.QueueOrder(order);
}
/// <summary>
/// Places a stop market order for a long position.
/// </summary>
/// <param name="quantity">The quantity.</param>
/// <param name="replaceCurrentStop">if set to <c>true</c> replace the current stop order.</param>
private void PlaceStopMarketOrderForLongPosition(int quantity, bool replaceCurrentStop)
{
var stopOrder = new Order
{
Id = this.broker.GetNextOrderId(),
Action = Order.Actions.Sell,
ActivationPrice = this.Today.Low,
GoodUntil = this.Today.IntervalOpenTime + TimeSpan.FromDays(365),
Position = Order.Positions.Long,
Quantity = quantity + Math.Abs(this.broker.CurrentPositionSize),
Type = Order.Types.StopMarket
};
var order = new Order
{
Id = this.broker.GetNextOrderId(),
Action = Order.Actions.Buy,
ActivationPrice = this.Today.High * 1.015f,
GoodUntil = this.Today.IntervalOpenTime + TimeSpan.FromDays(1),
Position = Order.Positions.Long,
Quantity = quantity,
Type = Order.Types.StopMarket,
ConditionalOrder = stopOrder
};
if (replaceCurrentStop)
{
stopOrder.IsReplacementOrder = true;
stopOrder.ReplacementId = this.GetCurrentStopOrderId();
}
this.currentStopPrice = stopOrder.ActivationPrice;
this.broker.QueueOrder(order);
}