/// <summary>
/// Processes the orders for today.
/// </summary>
/// <param name="currentPriceData">The current price data.</param>
public void ProcessOrdersForToday(PriceData currentPriceData)
{
// First, cancel expired orders.
this.queuedOrders.RemoveAll(order => order.GoodUntil < currentPriceData.IntervalOpenTime);
// Next, process the pending market orders at the open price for the day.
var marketOrders = this.queuedOrders.Where(order => order.Type == Order.Types.Market).ToList();
this.ProcessMarketOrders(marketOrders, currentPriceData.Open);
// Next, procecess the stop orders based on the high/low for the day.
var stopOrders = this.queuedOrders.Where(order => order.Type == Order.Types.StopMarket).ToList();
this.ProcessStopOrders(stopOrders, currentPriceData.Low, currentPriceData.High);
//// Update the Highest/Lowest account balance metrics.
if (this.CurrentBalance > this.HighestBalance)
{
this.HighestBalance = this.CurrentBalance;
}
if (this.CurrentBalance < this.LowestBalance)
{
this.LowestBalance = this.CurrentBalance;
}
// Remove all orders that have been processes.
this.queuedOrders.RemoveAll(order => !order.IsPending);
}
/// <summary>
/// Calculates the daily direction of the stock price.
/// </summary>
/// <param name="current">The current day's price data.</param>
/// <param name="previousDayIndex">Index of the previous day. This allows the method to be used recursively.</param>
/// <returns>
/// The daily price direction.
/// </returns>
private PriceDirections CalculateDailyDirection(PriceData current, int previousDayIndex)
{
var previous = this.priceHistory[previousDayIndex];
if (previous.Direction == PriceDirections.Inside)
{
// Inside days cannot be used for this calculation...skip to the next prior day using a recursive call.
return this.CalculateDailyDirection(current, previousDayIndex - 1);
}
// UP days are days with a higher high and a higher low.
if (current.High > previous.High && current.Low > previous.Low)
{
return PriceDirections.Up;
}
// DOWN days are days with a lower high and a lower low.
if (current.High < previous.High && current.Low < previous.Low)
{
return PriceDirections.Down;
}
// INSIDE days are inconclusive days with lower highs and higher lows.
// These days will be omitted from most price comparisons.
if (current.High <= previous.High && current.Low >= previous.Low)
{
return PriceDirections.Inside;
}
// OUTSIDE days are inconclusive days with higher highs and lower lows.
// Unlike INSIDE days, these days are not entirely inconslusive...
// ...they just require an additional day of data to determine their true direction.
if (current.High >= previous.High && current.Low <= previous.Low)
{
return PriceDirections.Outside;
}
// Exception case
return PriceDirections.Uncalculated;
}
