public void RemovePendingExitAlertPastDueClosePosition(Alert alert) {
string msig = "RemovePendingEntryCloneToExitAlertClosePosition(): ";
this.RemovePendingExitAlert(alert, msig);
//bool checkPositionOpenNow = true;
//if (this.checkPositionCanBeClosed(alert, msig, checkPositionOpenNow) == false) return;
//"Excuse me, what bar is it now?" I'm just guessing! does BrokerProvider knows to pass Bar here?...
Bar barFill = (this.IsStreaming) ? alert.Bars.BarStreamingCloneReadonly : alert.Bars.BarStaticLast;
alert.FillPositionAffectedEntryOrExitRespectively(barFill, barFill.ParentBarsIndex, barFill.Close, alert.Qty, 0, 0);
alert.SignalName += " RemovePendingExitAlertClosePosition Forced";
// REFACTORED_POSITION_HAS_AN_ALERT_AFTER_ALERTS_CONSTRUCTOR we can exit by TP or SL - position doesn't have an ExitAlert assigned until Position.EntryAlert was filled!!!
//alert.PositionAffected.ExitAlertAttach(alert);
bool absenseInPositionsOpenNowIsAnError = true;
this.ExecutionDataSnapshot.MovePositionOpenToClosed(alert.PositionAffected, absenseInPositionsOpenNowIsAnError);
}
public void RemovePendingEntry(Alert alert) {
string msig = "RemovePendingEntry(): ";
//"Excuse me, what bar is it now?" I'm just guessing! does BrokerProvider knows to pass Bar here?...
Bar barFill = (this.IsStreaming) ? alert.Bars.BarStreamingCloneReadonly : alert.Bars.BarStaticLast;
alert.FillPositionAffectedEntryOrExitRespectively(barFill, barFill.ParentBarsIndex, barFill.Close, alert.Qty, 0, 0);
alert.SignalName += " RemovePendingEntryAlertClosePosition Forced";
}
public void CallbackAlertFilledMoveAroundInvokeScript(Alert alertFilled, Quote quote,
int barFillRelno, double priceFill, double qtyFill, double slippageFill, double commissionFill) {
string msig = " CallbackAlertFilledMoveAroundInvokeScript(" + alertFilled + ", " + quote + ")";
List<Alert> alertsNewAfterAlertFilled = new List<Alert>();
List<Position> positionsOpenedAfterAlertFilled = new List<Position>();
List<Position> positionsClosedAfterAlertFilled = new List<Position>();
//"Excuse me, what bar is it now?" I'm just guessing! does BrokerProvider knows to pass Bar here?...
Bar barFill = (this.IsStreaming) ? alertFilled.Bars.BarStreamingCloneReadonly : alertFilled.Bars.BarStaticLast;
if (barFillRelno != barFill.ParentBarsIndex) {
string msg = "barFillRelno[" + barFillRelno + "] != barFill.ParentBarsIndex["
+ barFill.ParentBarsIndex + "]; barFill=[" + barFill + "]";
Assembler.PopupException(msg);
}
if (priceFill == -1) {
string msg = "won't set priceFill=-1 for alert [" + alertFilled + "]";
throw new Exception(msg);
}
if (alertFilled.PositionAffected == null) {
string msg = "CallbackAlertFilled can't do its job: alert.PositionAffected=null for alert [" + alertFilled + "]";
throw new Exception(msg);
}
if (alertFilled.IsEntryAlert) {
if (alertFilled.PositionAffected.EntryFilledBarIndex != -1) {
string msg = "DUPE: CallbackAlertFilled can't do its job: alert.PositionAffected.EntryBar!=-1 for alert [" + alertFilled + "]";
throw new Exception(msg);
} else {
string msg = "initializing EntryBar=[" + barFill + "] on AlertFilled";
}
} else {
if (alertFilled.PositionAffected.ExitFilledBarIndex != -1) {
string msg = "DUPE: CallbackAlertFilled can't do its job: alert.PositionAffected.ExitBar!=-1 for alert [" + alertFilled + "]";
throw new Exception(msg);
return;
} else {
string msg = "initializing ExitBar=[" + barFill + "] on AlertFilled";
}
}
if (quote == null) {
quote = this.DataSource.StreamingProvider.StreamingDataSnapshot.LastQuoteGetForSymbol(alertFilled.Symbol);
// TODO: here quote will have NO_PARENT_BARS, since StreamingDataSnapshot contains anonymous quote;
// I should keep per-timeframe / per-distributionChannel LastQuote to have ParentBar= different StreamingBar 's
// bindStreamingBarForQuoteAndPushQuoteToConsumers(quoteSernoEnrichedWithUnboundStreamingBar.Clone());
}
alertFilled.QuoteLastWhenThisAlertFilled = quote;
try {
alertFilled.FillPositionAffectedEntryOrExitRespectively(barFill, barFillRelno, priceFill, qtyFill, slippageFill, commissionFill);
} catch (Exception ex) {
string msg = "REMOVE_FILLED_FROM_PENDING? DONT_USE_Bar.ContainsPrice()?";
Assembler.PopupException(msg + msig, ex);
//Debugger.Break();
}
bool removed = this.ExecutionDataSnapshot.AlertsPendingRemove(alertFilled);
if (removed == false) {
Debugger.Break();
}
if (alertFilled.IsEntryAlert) {
// position has its parent alert in Position.ctor()
//// REFACTORED_POSITION_HAS_AN_ALERT_AFTER_ALERTS_CONSTRUCTOR
//alert.PositionAffected.EntryCopyFromAlert(alert);
this.ExecutionDataSnapshot.PositionsMasterOpenNewAdd(alertFilled.PositionAffected);
positionsOpenedAfterAlertFilled.Add(alertFilled.PositionAffected);
} else {
//// REFACTORED_POSITION_HAS_AN_ALERT_AFTER_ALERTS_CONSTRUCTOR we can exit by TP or SL - position doesn't have an ExitAlert assigned until Alert was filled!!!
//alertFilled.PositionAffected.ExitAlertAttach(alertFilled);
this.ExecutionDataSnapshot.MovePositionOpenToClosed(alertFilled.PositionAffected);
positionsClosedAfterAlertFilled.Add(alertFilled.PositionAffected);
}
bool willPlace = this.Backtester.IsBacktestingNow == false && this.OrderProcessor != null && this.IsAutoSubmitting;
bool setStatusSubmitting = this.IsStreaming && this.IsAutoSubmitting;
PositionPrototype proto = alertFilled.PositionAffected.Prototype;
if (proto != null) {
// 0. once again, set ExitAlert to What was actually filled, because prototypeEntry created SL & TP, which were both written into ExitAlert;
// so if we caught the Loss and SL was executed, position.ExitAlert will still contain TP if we don't set it here
bool exitIsDifferent = alertFilled.PositionAffected.ExitAlert != null && alertFilled.PositionAffected.ExitAlert != alertFilled;
if (alertFilled.IsExitAlert && exitIsDifferent) {
alertFilled.PositionAffected.ExitAlertAttach(alertFilled);
}
// 1. alert.PositionAffected.Prototype.StopLossAlertForAnnihilation and TP will get assigned
alertsNewAfterAlertFilled = this.PositionPrototypeActivator.AlertFilledCreateSlTpOrAnnihilateCounterparty(alertFilled);
// quick check: there must be {SL+TP} OR Annihilator
//this.BacktesterFacade.IsBacktestingNow == false &&
if (alertFilled.IsEntryAlert) {
if (proto.StopLossAlertForAnnihilation == null) {
string msg = "NONSENSE@Entry: proto.StopLossAlert is NULL???..";
throw new Exception(msg);
}
if (proto.TakeProfitAlertForAnnihilation == null) {
string msg = "NONSENSE@Entry: proto.TakeProfitAlert is NULL???..";
throw new Exception(msg);
}
if (alertsNewAfterAlertFilled.Count == 0) {
string msg = "NONSENSE@Entry: alertsNewSlAndTp.Count=0"
+ "; this.PositionPrototypeActivator.AlertFilledCreateSlTpOrAnnihilateCounterparty(alertFilled)"
+ " should return 2 alerts; I don't want to create new list from {proto.SL, proto.TP}";
throw new Exception(msg);
}
}
if (alertFilled.IsExitAlert) {
if (alertsNewAfterAlertFilled.Count > 0) {
string msg = "NONSENSE@Exit: there must be no alerts (got " + alertsNewAfterAlertFilled.Count + "): killer works silently";
throw new Exception(msg);
}
}
if (alertsNewAfterAlertFilled.Count > 0 && willPlace) {
this.OrderProcessor.CreateOrdersSubmitToBrokerProviderInNewThreadGroups(alertsNewAfterAlertFilled, setStatusSubmitting, true);
// 3. Script using proto might move SL and TP which require ORDERS to be moved, not NULLs
int twoMinutes = 120000;
if (alertFilled.IsEntryAlert) {
// there must be SL.OrderFollowed!=null and TP.OrderFollowed!=null
if (proto.StopLossAlertForAnnihilation.OrderFollowed == null) {
string msg = "StopLossAlert.OrderFollowed is NULL!!! engaging ManualResetEvent.WaitOne()";
this.PopupException(msg);
Stopwatch waitedForStopLossOrder = new Stopwatch();
waitedForStopLossOrder.Start();
proto.StopLossAlertForAnnihilation.MreOrderFollowedIsNotNull.WaitOne(twoMinutes);
waitedForStopLossOrder.Stop();
msg = "waited " + waitedForStopLossOrder.ElapsedMilliseconds + "ms for StopLossAlert.OrderFollowed";
if (proto.StopLossAlertForAnnihilation.OrderFollowed == null) {
msg += ": NO_SUCCESS still null!!!";
this.PopupException(msg);
} else {
proto.StopLossAlertForAnnihilation.OrderFollowed.AppendMessage(msg);
this.PopupException(msg);
}
} else {
string msg = "you are definitely crazy, StopLossAlert.OrderFollowed is a single-threaded assignment";
//this.ThrowPopup(new Exception(msg));
}
if (proto.TakeProfitAlertForAnnihilation.OrderFollowed == null) {
string msg = "TakeProfitAlert.OrderFollowed is NULL!!! engaging ManualResetEvent.WaitOne()";
this.PopupException(msg);
Stopwatch waitedForTakeProfitOrder = new Stopwatch();
waitedForTakeProfitOrder.Start();
proto.TakeProfitAlertForAnnihilation.MreOrderFollowedIsNotNull.WaitOne();
waitedForTakeProfitOrder.Stop();
msg = "waited " + waitedForTakeProfitOrder.ElapsedMilliseconds + "ms for TakeProfitAlert.OrderFollowed";
if (proto.TakeProfitAlertForAnnihilation.OrderFollowed == null) {
msg += ": NO_SUCCESS still null!!!";
this.PopupException(msg);
} else {
proto.TakeProfitAlertForAnnihilation.OrderFollowed.AppendMessage(msg);
this.PopupException(msg);
}
} else {
string msg = "you are definitely crazy, TakeProfitAlert.OrderFollowed is a single-threaded assignment";
//this.ThrowPopup(new Exception(msg));
}
}
}
}
if (this.Backtester.IsBacktestingNow == false) {
ReporterPokeUnit pokeUnit = new ReporterPokeUnit(quote);
pokeUnit.AlertsNew = alertsNewAfterAlertFilled;
pokeUnit.PositionsOpened = positionsOpenedAfterAlertFilled;
pokeUnit.PositionsClosed = positionsClosedAfterAlertFilled;
this.PushPositionsOpenedClosedToReportersAsyncUnsafe(pokeUnit);
}
// 4. Script event will generate a StopLossMove PostponedHook
this.invokeScriptEvents(alertFilled);
// reasons for (alertsNewAfterExec.Count > 0) include:
// 2.1. PrototypeActivator::AlertFilledPlaceSlTpOrAnnihilateCounterparty
// 2.2. Script.OnAlertFilledCallback(alert)
// 2.3. Script.OnPositionOpenedPrototypeSlTpPlacedCallback(alert.PositionAffected)
// 2.4. Script.OnPositionClosedCallback(alert.PositionAffected)
}
