public Alert ExitAlertCreate(Bar exitBar, Position position, double stopOrLimitPrice, string signalName,
Direction direction, MarketLimitStop exitMarketLimitStop) {
this.checkThrowEntryBarIsValid(exitBar);
this.checkThrowPositionToCloseIsValid(position);
double priceScriptOrStreaming = stopOrLimitPrice;
OrderSpreadSide orderSpreadSide = OrderSpreadSide.Unknown;
if (exitMarketLimitStop == MarketLimitStop.Market) {
priceScriptOrStreaming = this.getStreamingPriceForMarketOrder(exitMarketLimitStop, direction, out orderSpreadSide);
}
PositionLongShort longShortFromDirection = MarketConverter.LongShortFromDirection(direction);
double exitPriceScript = exitBar.ParentBars.SymbolInfo.RoundAlertPriceToPriceLevel(
priceScriptOrStreaming, true, longShortFromDirection, exitMarketLimitStop);
Alert alert = new Alert(exitBar, position.Shares, exitPriceScript, signalName,
direction, exitMarketLimitStop, orderSpreadSide,
//this.executor.Script,
this.executor.Strategy);
alert.AbsorbFromExecutor(executor);
alert.PositionAffected = position;
// moved to CallbackAlertFilled - we can exit by TP or SL - and position has no clue which Alert was filled!!!
//position.ExitCopyFromAlert(alert);
alert.PositionAffected.ExitAlertAttach(alert);
return alert;
}
public Alert EntryAlertCreate(Bar entryBar, double stopOrLimitPrice, string entrySignalName,
Direction direction, MarketLimitStop entryMarketLimitStop) {
this.checkThrowEntryBarIsValid(entryBar);
double priceScriptOrStreaming = stopOrLimitPrice;
OrderSpreadSide orderSpreadSide = OrderSpreadSide.Unknown;
if (entryMarketLimitStop == MarketLimitStop.Market) {
priceScriptOrStreaming = this.getStreamingPriceForMarketOrder(entryMarketLimitStop, direction, out orderSpreadSide);
}
PositionLongShort longShortFromDirection = MarketConverter.LongShortFromDirection(direction);
// ALREADY_ALIGNED_AFTER GetAlignedBidOrAskForTidalOrCrossMarketFromStreaming
double entryPriceScript = entryBar.ParentBars.SymbolInfo.RoundAlertPriceToPriceLevel(
priceScriptOrStreaming, true, longShortFromDirection, entryMarketLimitStop);
double shares = this.executor.PositionSizeCalculate(entryBar, entryPriceScript);
Alert alert = new Alert(entryBar, shares, entryPriceScript, entrySignalName,
direction, entryMarketLimitStop, orderSpreadSide,
//this.executor.Script,
this.executor.Strategy);
alert.AbsorbFromExecutor(executor);
return alert;
}
public Alert ExitAlertCreate(Bar exitBar, Position position, double stopOrLimitPrice, string signalName,
Direction direction, MarketLimitStop exitMarketLimitStop) {
if (position == null) {
string msg = "do not SellOrCover(position = null) please";
throw new Exception(msg);
return null;
}
if (position.NoExitBarOrStreaming == false) return null;
//Bars bars = position.Bars;
// backtest substitutes StrategyExecutor.Bars, so exit(bar+1) should point on StreamingBar, not backtested!
//Bars backtestingOrStreamingBars = this.executor.Bars;
Direction posDirection = MarketConverter.ExitDirectionFromLongShort(position.PositionLongShort);
if (posDirection != direction) {
string msg = "here is the case when you Sell a Short once again or Cover a Long, what's the matter with you?";
throw new Exception(msg);
}
PositionLongShort positionDirection = PositionLongShort.Long;
switch (direction) {
case Direction.Sell:
positionDirection = PositionLongShort.Long;
break;
case Direction.Cover:
positionDirection = PositionLongShort.Short;
break;
default:
throw new Exception("NYI direction[" + direction + "]");
}
if (positionDirection != position.PositionLongShort) {
string msg = "pass positionDirection to AlignAlertPriceToPriceLevel!!! you should close with an opposite alignment";
throw new Exception(msg);
}
double exitPriceScript = stopOrLimitPrice;
int barSmallestAllowed = 0;
OrderSpreadSide orderSpreadSide = OrderSpreadSide.Unknown;
switch (exitMarketLimitStop) {
case MarketLimitStop.Market:
//if (exitBar >= this.executor.Bars.Count) { //bar+1
if (exitBar.IsBarStreaming) { //bar+1
if (this.executor.IsStreaming) {
//basisPrice = 0;
this.executor.DataSource.StreamingProvider.StreamingDataSnapshot.GetAlignedBidOrAskForTidalOrCrossMarketFromStreaming(
this.executor.Bars.Symbol, posDirection, out exitPriceScript, out orderSpreadSide, false);
} else {
//basisPrice = this.executor.Bars[bar].Open;
//basisPrice = this.executor.Bars.LastBar.Close;
//if (bar > this.executor.Bars.Count) { //bar+2
// exitPriceScript = this.executor.Bars[exitBar - 1].Close;
// string msg = "[" + direction + "]At[" + exitMarketLimitStop + "](bar=[" + exitBar + "])"
// + " when LastBar[" + (this.executor.Bars.Count - 1) + "]; No way I can bring you"
// + " price from the future, even by executing your order right now"
// + "; can't do inequivalent repacement to LastBar.Open";
// log.Fatal(msg, new Exception(msg));
string msg = "[" + direction + "]At[" + exitMarketLimitStop + "](bar=[" + exitBar + "])";
throw new Exception("UNABLE_TO_REFACTOR#2 " + msg);
//}
}
} else {
//exitPriceScript = this.executor.Bars[exitBar].Open;
exitPriceScript = exitBar.Open;
}
barSmallestAllowed = 1;
break;
case MarketLimitStop.AtClose:
//if (exitBar >= this.executor.Bars.Count) { //bar+1
if (exitBar.IsBarStreaming) { //bar+1
exitPriceScript = 0;
string msg = "[" + direction + "]At[" + exitMarketLimitStop + "](bar=[" + exitBar + "])"
+ " when LastBar[" + this.executor.Bars.BarStaticLast + "]; No way I can bring you price from the future,"
+ " even by executing your order right now"
+ "; can't do inequivalent repacement to LastBar.Close";
log.Fatal(msg, new Exception(msg));
} else {
//exitPriceScript = this.executor.Bars[exitBar].Close;
exitPriceScript = exitBar.Close;
}
barSmallestAllowed = 0;
break;
case MarketLimitStop.Stop:
break;
case MarketLimitStop.Limit:
break;
case MarketLimitStop.StopLimit:
break;
default:
throw new Exception("no handler for exitMarketLimitStop.[" + exitMarketLimitStop + "]");
}
//BAR_NOT_NULL_CHECKED_UPSTACK_IN_ScriptExecutor.SellOrCoverAlertCreateRegister() this.executor._throwWhenBarOutsideInterval(exitBar, barSmallestAllowed, this.executor.Bars.Count, this.executor.Bars);
//if (exitBar < this.executor.Bars.Count) {
if (exitBar.IsBarStreaming == false) {
this.basisPriceZeroCheckThrow(exitPriceScript);
}
//if (position == Position.AllPositions) {
// bool result = false;
// int num = this.executor.ExecutionDataSnapshot.PositionsOpenNow.Count;
// for (int i = this.executor.ExecutionDataSnapshot.PositionsMaster.Count - 1; i >= 0; i--) {
// if (num == 0) return result;
// bool soldOrCovered = SellOrCover(exitBar, this.executor.ExecutionDataSnapshot.PositionsMaster[i],
// stopOrLimitPrice, signalName, direction, exitMarketLimitStop);
// if (this.executor.ExecutionDataSnapshot.PositionsMaster[i].NoExitBarOrStreaming && soldOrCovered) { result = true; num--; }
// }
// return result;
//}
//if (exitBar < this.executor.Bars.Count) {
if (exitBar.IsBarStreaming == false) {
//BAR_NOT_NULL_CHECKED_UPSTACK_IN_ScriptExecutor.SellOrCoverAlertCreateRegister() this.executor._throwWhenBarOutsideInterval(exitBar, position.EntryBarIndex, position.Bars.Count, position.Bars);
//switch (direction) {
// case Direction.Sell:
// if (this.executor._IsDayLimitedDownWithBarsBy(position.Bars, exitBar) == false) return null;
// if (position.PositionLongShort != PositionLongShort.Long) return null;
// break;
// case Direction.Cover:
// if (this.executor._IsDayLimitedUpWithBarsBy(position.Bars, exitBar) == false) return null;
// if (position.PositionLongShort != PositionLongShort.Short) return null;
// break;
// default:
// throw new Exception("NYI direction[" + direction + "]");
//}
}
PositionLongShort longShortFromDirection = MarketConverter.LongShortFromDirection(direction);
exitPriceScript = this.executor.AlignAlertPriceToPriceLevel(this.executor.Bars, exitPriceScript, true, longShortFromDirection, exitMarketLimitStop);
Alert alert = new Alert(exitBar, position.Shares, exitPriceScript, signalName,
direction, exitMarketLimitStop, orderSpreadSide,
//this.executor.Script,
this.executor.Strategy);
alert.AbsorbFromExecutor(executor);
alert.PositionAffected = position;
// moved to CallbackAlertFilled - we can exit by TP or SL - and position has no clue which Alert was filled!!!
//position.ExitCopyFromAlert(alert);
return alert;
}
public Alert EntryAlertCreate(Bar entryBar, double stopOrLimitPrice, string entrySignalName,
Direction direction, MarketLimitStop entryMarketLimitStop) {
//if (direction == Direction.Buy
// && this.executor._BarsLimitedUpBy(entryBar) == false) return null;
//if (direction == Direction.Short
// && this.executor._BarsLimitedDownBy(entryBar) == false) return null;
double entryPriceScript = stopOrLimitPrice;
int barSmallestAllowed = 0;
OrderSpreadSide orderSpreadSide = OrderSpreadSide.Unknown;
switch (entryMarketLimitStop) {
case MarketLimitStop.Market:
//if (entryBar >= this.executor.Bars.Count) {
if (entryBar.IsBarStreaming) {
if (this.executor.IsStreaming) {
//basisPrice = 0;
this.executor.DataSource.StreamingProvider.StreamingDataSnapshot.GetAlignedBidOrAskForTidalOrCrossMarketFromStreaming(
this.executor.Bars.Symbol, direction, out entryPriceScript, out orderSpreadSide, false);
} else {
//basisPrice = this.executor.Bars.LastBar.Open;
//if (bar > this.executor.Bars.Count) {
// throw new Exception("got LastBar.Open while MarketOrder is placed few bars further from LastBar");
//}
// entryPriceScript = this.executor.Bars[entryBar - 1].Close;
// string msg = "[" + direction + "]At[" + entryMarketLimitStop + "](bar=[" + entryBar + "])"
// + " when LastBar[" + (this.executor.Bars.Count - 1) + "]; No way I can bring you price from the future, even by executing your order right now"
// + "; can't do inequivalent repacement to LastBar.Open";
// log.Fatal(msg, new Exception(msg));
string msg = "[" + direction + "]At[" + entryMarketLimitStop + "](bar=[" + entryBar + "])";
throw new Exception("UNABLE_TO_REFACTOR#1 " + msg);
}
} else {
//entryPriceScript = this.executor.Bars[entryBar].Open;
entryPriceScript = entryBar.Open;
}
barSmallestAllowed = 1;
break;
case MarketLimitStop.AtClose:
//basisPrice = this.executor.Bars[bar - 1].Close;
//if (entryBar >= this.executor.Bars.Count) { //bar+1
if (entryBar.IsBarStreaming) {
entryPriceScript = 0;
string msg = "[" + direction + "]At[" + entryMarketLimitStop + "](bar=[" + entryBar + "])"
+ " when LastBar[" + (this.executor.Bars.Count - 1) + "]; No way I can bring you a future price,"
+ " even by executing your order right now"
+ "; can't do inequivalent repacement to LastBar.Close";
log.Fatal(msg, new Exception(msg));
} else {
//entryPriceScript = this.executor.Bars[entryBar].Close;
entryPriceScript = entryBar.Close;
}
barSmallestAllowed = 0;
break;
case MarketLimitStop.Stop:
break;
case MarketLimitStop.Limit:
break;
default:
throw new Exception("no handler for Direction.[" + direction + "]");
}
//BAR_NOT_NULL_CHECKED_UPSTACK_IN_ScriptExecutor.BuyOrShortAlertCreateRegister() this.executor._throwWhenBarOutsideInterval(entryBar, barSmallestAllowed, this.executor.Bars.Count, this.executor.Bars);
//if (entryBar < this.executor.Bars.Count) {
this.basisPriceZeroCheckThrow(entryPriceScript);
//}
PositionLongShort longShortFromDirection = MarketConverter.LongShortFromDirection(direction);
entryPriceScript = this.executor.AlignAlertPriceToPriceLevel(this.executor.Bars, entryPriceScript, true, longShortFromDirection, entryMarketLimitStop);
if (entryPriceScript == 0) {
int a = 1;
}
double shares = this.executor.PositionSizeCalculator.CalcPositionSize(entryBar,
entryPriceScript, longShortFromDirection, this.executor.ScriptExecutorConfig.RiskStopLevel, true);
Alert alert = new Alert(entryBar, shares, entryPriceScript, entrySignalName,
direction, entryMarketLimitStop, orderSpreadSide,
//this.executor.Script,
this.executor.Strategy);
alert.AbsorbFromExecutor(executor);
return alert;
}
