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;
}
internal void PositionsMasterOpenNewAdd(Position positionOpening) {
if (positionOpening.EntryFilledBarIndex == -1) {
string msg = "ENTRY_BAR_NEGATIVE_CAN_NOT_STORE_POSITION_IN_PositionsMasterByEntryBar"
+ " Strategy[" + this.executor.Strategy.ToString() + "] EntryBar=-1 for position[" + positionOpening + "]";
#if DEBUG
Debugger.Break();
#endif
//throw new Exception(msg);
this.executor.PopupException(msg);
return;
}
//if (positionOpening.EntryFilledBarIndex < 10) { int a = 1; }
lock (this.PositionsMasterByEntryBarLock) {
//if (PositionsMasterContainsIdenticalPosition(position)) return;
//position.SernoInMasterList = this.PositionsMaster.Count;
List<Position> sameBarPositions = null;
if (this.PositionsMasterByEntryBar.ContainsKey(positionOpening.EntryFilledBarIndex) == false) {
sameBarPositions = new List<Position>();
this.PositionsMasterByEntryBar.Add(positionOpening.EntryFilledBarIndex, sameBarPositions);
} else {
sameBarPositions = this.PositionsMasterByEntryBar[positionOpening.EntryFilledBarIndex];
//foreach (Position each in sameBarPositions) {
// if (position == each) {int a = 1;}
// if (position.Equals(each)) { int b = 2; }
//}
bool brokerDupe = sameBarPositions.Contains(positionOpening); // see Position.Equals()
if (brokerDupe) {
string msg = "positionOpening already added everywhere; create a dupe-filtering! " + positionOpening;
this.executor.PopupException(msg);
return;
}
}
positionOpening.SernoAbs = ++this.positionSernoAbs;
sameBarPositions.Add(positionOpening);
if (this.PositionsMaster.Contains(positionOpening)) {
string msg = "position is already in PositionsMaster, won't add a dupe; create a dupe-filtering!";
this.executor.PopupException(msg);
} else {
this.PositionsMaster.Add(positionOpening);
}
if (this.PositionsOpenedAfterExec.Contains(positionOpening)) {
string msg = "position is already in PositionsOpenedAfterExec, won't add a dupe; create a dupe-filtering!";
this.executor.PopupException(msg);
} else {
this.PositionsOpenedAfterExec.Add(positionOpening);
}
if (this.PositionsOpenNow.Contains(positionOpening)) {
string msg = "position is already in PositionsOpenNow, won't add a dupe; create a dupe-filtering!";
this.executor.PopupException(msg);
} else {
this.PositionsOpenNow.Add(positionOpening);
}
}
}
public List<Alert> CreateStopLossAndTakeProfitAlertsFromPositionPrototype(Position position) {
if (position.IsEntryFilled == false) {
string msg = "I can not place SL and TP for an unopened position; alert[" + position.EntryAlert + "]";
throw new Exception(msg);
}
Alert SlPlaced = this.CreateStopLossFromPositionPrototype(position);
Alert TpPlaced = this.CreateTakeProfitFromPositionPrototype(position);
return new List<Alert>() { SlPlaced, TpPlaced };
}
private void checkThrowPositionToCloseIsValid(Position position) {
if (position == null) {
string msg = "position=null, can't close it!";
throw new Exception(msg);
}
if (position.NoExitBarOrStreaming == false) {
string msg = "position.Active=false, can't close it!";
throw new Exception(msg);
}
}
private bool checkPendingEntryPositionAlreadyPlaced(Position entryPosition) {
if (entryPosition.EntryAlert == null) return false;
foreach (Alert alert in executor.ExecutionDataSnapshot.AlertsPending) {
Position pos = alert.PositionAffected;
if (pos == null) continue;
if (pos.EntryAlert == null) continue;
if (pos.EntryAlert == entryPosition.EntryAlert) return true;
if (pos.EntryAlert.IsIdenticalForOrdersPending(entryPosition.EntryAlert)) return true;
}
return false;
}
public override void SelectPosition(Position position) {
this.ActivateParentForm();
if (position == null) {
string msg = "DONT_PASS_NULL_POSITION_TO_CHART_SHADOW ChartControl.SelectPosition()";
Assembler.PopupException(msg);
#if DEBUG
Debugger.Break();
#endif
return;
}
int bar = (position.ExitAlert != null)
? position.ExitAlert.PlacedBar.ParentBarsIndex
: position.EntryAlert.PlacedBar.ParentBarsIndex;
this.scrollToBarSafely(bar);
}
public Alert CreateStopLossFromPositionPrototype(Position position) {
//if (this.executor.checkPrototypeAlreadyPlaced(position)) return;
PositionPrototype proto = position.Prototype;
if (proto.StopLossNegativeOffset == 0) {
string msg = "What should Activator do with proto.StopLossNegativeOffset=0?";
throw new Exception(msg);
}
if (proto.StopLossNegativeOffset == 0) {
string msg = this.ReasonWhyNewStopLossOffsetDoesntMakeSense(position, proto.StopLossNegativeOffset);
if (String.IsNullOrEmpty(msg) == false) {
string msg2 = "What should Activator do with sense-less proto.StopLossNegativeOffset[" + proto.StopLossNegativeOffset + "], ";
throw new Exception(msg2, new Exception(msg));
}
}
MarketLimitStop simpleStopIfActivationZero = (proto.StopLossActivationNegativeOffset == 0) ? MarketLimitStop.Stop : MarketLimitStop.StopLimit;
Alert alertStopLoss = executor.SellOrCoverAlertCreateDontRegister (
executor.Bars.BarStreaming,
position, proto.PriceStopLoss,
"protoStopLossExit:" + proto.StopLossActivationNegativeOffset
+ "@" + proto.StopLossNegativeOffset + " for " + position.EntrySignal,
MarketConverter.ExitDirectionFromLongShort(proto.LongShort),
simpleStopIfActivationZero);
if (alertStopLoss == null) {
string msg = "alertStopLoss should NOT be null";
throw new Exception(msg);
}
alertStopLoss.PriceStopLimitActivation = 0;
if (proto.StopLossActivationNegativeOffset < 0) alertStopLoss.PriceStopLimitActivation = proto.PriceStopLossActivation;
if (proto.StopLossAlertForAnnihilation != null && this.executor.Backtester.IsBacktestingNow == false) {
string msg = "CLEANUP: I was trying to catch MoveStopLoss::if(proto.StopLossAlertForAnnihilation==null)"
+ " so I thought there is a new prototype assigned to a position,"
+ " since we never put null directly proto.StopLossAlertForAnnihilation";
throw new Exception(msg);
}
proto.StopLossAlertForAnnihilation = alertStopLoss;
return alertStopLoss;
}
public override void OnPositionOpenedPrototypeSlTpPlacedCallback(Position positionOpenedProto) {
PositionPrototype proto = positionOpenedProto.Prototype;
if (proto == null) return;
double currentStopLossNegativeOffset = proto.StopLossNegativeOffset;
double newStopLossNegativeOffset = currentStopLossNegativeOffset - 20;
//string msg = base.Executor.PositionPrototypeActivator.ReasonWhyNewStopLossOffsetDoesntMakeSense(positionOpenedProto, newStopLossNegativeOffset);
//if (String.IsNullOrEmpty(msg)) {
base.Executor.PositionPrototypeActivator.StopLossNewNegativeOffsetUpdateActivate(positionOpenedProto, newStopLossNegativeOffset);
//} else {
// base.Executor.PopupException(new Exception("WONT_UPDATE_STOPLOSS: " + msg));
//}
double newTakeProfitPositiveOffset = proto.TakeProfitPositiveOffset + 50;
//msg = base.Executor.PositionPrototypeActivator.ReasonWhyNewTakeProfitOffsetDoesntMakeSense(positionOpenedProto, newTakeProfitPositiveOffset);
//if (String.IsNullOrEmpty(msg)) {
base.Executor.PositionPrototypeActivator.TakeProfitNewPositiveOffsetUpdateActivate(positionOpenedProto, newTakeProfitPositiveOffset);
//} else {
// base.Executor.PopupException(new Exception("WONT_UPDATE_TAKEPROFIT: " + msg));
//}
}
public AlertArrow(Position position, bool arrowIsForPositionEntry) {
this.Position = position;
this.ArrowIsForPositionEntry = arrowIsForPositionEntry;
this.Ytransient = 0;
this.XBarMiddle = 99;
//this.Location = new Point(0, 0);
}
public Alert SellAtLimit(Bar bar, Position position, double limitPrice, string signalName = "SOLD_AT_LIMIT") {
return this.Executor.SellOrCoverAlertCreateRegister(bar, position, limitPrice, signalName, Direction.Sell, MarketLimitStop.Limit);
}
public Alert ExitAtMarket(Bar bar, Position position, string signalName = "EXITED_AT_MARKET") {
if (position.PositionLongShort == PositionLongShort.Long) {
return this.SellAtMarket(bar, position, signalName);
} else {
return this.CoverAtMarket(bar, position, signalName);
}
}
public string ReasonWhyNewTakeProfitOffsetDoesntMakeSense(Position position, double newTakeProfitPositiveOffset, bool internalCallee = false) {
PositionPrototype proto = position.Prototype;
if (position.Symbol != proto.Symbol) {
string msg1 = "NotYetImplemented: your script changes TakeProfitOffset for a proto.Symbol[" + proto.Symbol + "]!=position.Symbol[" + position.Symbol + "]";
throw new Exception(msg1);
}
Direction dir = MarketConverter.EntryDirectionFromLongShort(proto.LongShort);
if (position.EntryAlert.Direction != dir) {
string msg1 = "NotYetImplemented: Crazy check here";
throw new Exception(msg1);
}
Quote quote = executor.DataSource.StreamingProvider.StreamingDataSnapshot.LastQuoteGetForSymbol(proto.Symbol);
double priceBestBidAsk = executor.DataSource.StreamingProvider.StreamingDataSnapshot.BidOrAskFor(proto.Symbol, proto.LongShort);
double newTakeProfitPrice = proto.OffsetToPrice(newTakeProfitPositiveOffset);
bool willBeExecutedImmediately = false;
string ident = "TakeProfit{old[" + proto.PriceTakeProfit + "]:new[" + newTakeProfitPrice + "]}";
string msg = "";
switch (dir) {
case Direction.Buy:
if (newTakeProfitPrice < priceBestBidAsk) {
willBeExecutedImmediately = true;
msg = "will be filled immediately: newLongTakeProfitPrice[" + newTakeProfitPrice + "] < Ask[" + priceBestBidAsk + "] "
+ ident + " //position[" + position + "]";
}
break;
case Direction.Short:
if (newTakeProfitPrice > priceBestBidAsk) {
willBeExecutedImmediately = true;
msg = "will be filled immediately: newShortTakeProfitPrice[" + newTakeProfitPrice + "] > Bid[" + priceBestBidAsk + "] "
+ ident + " //position[" + position + "]";
}
break;
default:
msg = "I refuse to change TakeProfit when position.EntryAlert.Direction=["
+ position.EntryAlert.Direction + "] - must be Buy or Sell only!!!";
break;
}
if (internalCallee == true) {
msg += " (Script is strongly recommented to check TP price first so we don't pass unexpected position closures to the Market)";
}
return msg;
}
public Alert ExitAtClose(Bar bar, Position position, string signalName = "EXITED_AT_CLOSE") {
if (position.PositionLongShort == PositionLongShort.Long) {
return this.SellAtClose(bar, position, signalName);
} else {
return this.CoverAtClose(bar, position, signalName);
}
}
public List<Alert> PositionCloseImmediately(Position position, string signalName) {
this.ExitAtMarket(this.Bars.BarStreaming, position, signalName);
// BETTER WOULD BE KILL PREVIOUS PENDING ALERT FROM A CALBACK AFTER MARKET EXIT ORDER GETS FILLED, IT'S UNRELIABLE EXIT IF WE KILL IT HERE
// LOOK AT EMERGENCY CLASSES, SOLUTION MIGHT BE THERE ALREADY
return this.PositionKillExitAlert(position, signalName);
}
public string ReasonWhyNewStopLossOffsetDoesntMakeSense(Position position, double newStopLossNegativeOffset, bool internalCallee = false) {
PositionPrototype proto = position.Prototype;
if (position.Symbol != proto.Symbol) {
string msg1 = "NotYetImplemented: your script changes StopLossOffset for a proto.Symbol[" + proto.Symbol + "]!=position.Symbol[" + position.Symbol + "]";
throw new Exception(msg1);
}
Direction dir = MarketConverter.EntryDirectionFromLongShort(proto.LongShort);
if (position.EntryAlert.Direction != dir) {
string msg1 = "NotYetImplemented: Crazy check here";
throw new Exception(msg1);
}
string msg = "";
double priceBestBidAsk = executor.DataSource.StreamingProvider.StreamingDataSnapshot.BidOrAskFor(proto.Symbol, proto.LongShort);
double newStopLossPrice = proto.OffsetToPrice(newStopLossNegativeOffset);
switch (proto.StopLossAlertForAnnihilation.MarketLimitStop) {
#region StopLimits are considered NYI; mess v1 implementation
case MarketLimitStop.StopLimit:
double newActivationOffset = proto.CalcActivationOffsetForNewClosing(newStopLossNegativeOffset);
//double lastPrice = executor.DataSource.StreamingProvider.StreamingDataSnapshot.LastQuoteGetPriceForMarketOrder(proto.Symbol);
//Quote quote = executor.DataSource.StreamingProvider.StreamingDataSnapshot.LastQuoteGetForSymbol(proto.Symbol);
double newActivationPrice = proto.OffsetToPrice(newActivationOffset);
bool willBeExecutedImmediately = false;
string ident = "StopLoss{old[" + proto.PriceStopLoss + "]:new[" + newStopLossPrice + "]}"
+ " Activation{old[" + proto.PriceStopLossActivation + "]:new[" + newActivationPrice + "]}";
switch (dir) {
case Direction.Buy:
if (newActivationPrice > priceBestBidAsk) {
willBeExecutedImmediately = true;
msg = "newActivationPrice[" + newActivationPrice + "] > Bid[" + priceBestBidAsk + "] " + ident
+ " your SLactivation goes above current price so the StopLoss will be activated/filled immediately..."
+ " //position[" + position + "]";
}
break;
case Direction.Short:
if (newActivationPrice < priceBestBidAsk) {
willBeExecutedImmediately = true;
msg = "newActivationPrice[" + newActivationPrice + "] < Ask[" + priceBestBidAsk + "] " + ident
+ " your SLactivation goes below current price so the StopLoss will be activated/filled immediately..."
+ " //position[" + position + "]";
}
break;
default:
msg = "I refuse to change StopLoss when position.EntryAlert.Direction=["
+ position.EntryAlert.Direction + "] - must be Buy or Short only!!!";
break;
}
break;
#endregion
case MarketLimitStop.Stop:
string ident2 = "PureStopLoss{old[" + proto.PriceStopLoss + "]:new[" + newStopLossPrice + "]}";
switch (proto.StopLossAlertForAnnihilation.Direction) {
case Direction.Sell:
double ask = executor.DataSource.StreamingProvider.StreamingDataSnapshot.BestAskGetForMarketOrder(proto.Symbol);
if (newStopLossPrice > ask) {
msg = "NEW_STOP_PRICE_BELOW_ASK_WILL_BE_REJECTED_BY_MARKET"
+ " newStopLossPrice[" + newStopLossPrice + "] < Ask[" + ask + "] " + ident2
+ " //position[" + position + "]";
}
break;
case Direction.Cover:
double bid = executor.DataSource.StreamingProvider.StreamingDataSnapshot.BestBidGetForMarketOrder(proto.Symbol);
if (newStopLossPrice > bid) {
msg = "NEW_STOP_PRICE_ABOVE_BID_WILL_BE_REJECTED_BY_MARKET"
+ " newStopLossPrice[" + newStopLossPrice + "] > Bid[" + bid + "] " + ident2
+ " //position[" + position + "]";
}
break;
default:
msg = "PROTOTYPE_BASED_STOP_LOSS_MODIFICATION_REFUSED_MUSTBE_SELL_OR_COVER"
+ "; position.ExitA.Direction=[" + position.ExitAlert.Direction + "]";
break;
}
break;
default:
msg = "STOP_LOSS_ALERT_TYPE_NOT_SUPPORTED [" + proto.StopLossAlertForAnnihilation.MarketLimitStop + "]";
throw new Exception(msg);
}
if (internalCallee == true) {
msg += " (Script is strongly recommented to check SL price first so we don't pass unexpected position closures to the Market)";
}
return msg;
}
public override void OnPositionClosedCallback(Position positionClosed) {
//Debugger.Break();
}
public Alert CoverAtClose(Bar bar, Position position, string signalName = "COVERED_AT_CLOSE") {
return this.Executor.SellOrCoverAlertCreateRegister(bar, position, 0, signalName, Direction.Cover, MarketLimitStop.AtClose);
}
public bool AnnihilateCounterpartyForClosedPosition(Position position) {
bool killed = false;
if (position.IsExitFilled == false) {
string msg = "I refuse to AnnihilateCounterpartyForClosedPosition: position.IsExitFilled=false for position=[" + position + "]";
throw new Exception(msg);
}
if (position.Prototype == null) {
string msg = "I refuse to AnnihilateCounterpartyForClosedPosition: position.Prototype=null";
throw new Exception(msg);
}
if (position.IsExitFilledByPrototypedTakeProfit) {
if (position.Prototype.StopLossAlertForAnnihilation == null) {
string msg = "FAILED_ANNIHILATE_STOPLOSS Prototype.StopLossAlertForAnnihilation=null for position[" + position + "]";
throw new Exception(msg);
}
killed = executor.AnnihilateCounterpartyAlertDispatched(position.Prototype.StopLossAlertForAnnihilation);
if (executor.Backtester.IsBacktestingNow == false) {
string msg = "killed[" + killed + "] counterParty [" + position.Prototype.StopLossAlertForAnnihilation + "]";
this.appendMessageToTakeProfitOrder(position, msg);
}
if (killed == false) {
string msg = "position.ClosedByTakeProfit but StopLoss wasn't annihilated"
+ " or DUPE annihilation of a previously annihilated StopLoss";
throw new Exception(msg);
}
}
if (position.IsExitFilledByPrototypedStopLoss) {
if (position.Prototype.TakeProfitAlertForAnnihilation == null) {
string msg = "FAILED_ANNIHILATE_TAKEPROFIT Prototype.TakeProfitAlertForAnnihilation=null for position[" + position + "]";
throw new Exception(msg);
}
killed = executor.AnnihilateCounterpartyAlertDispatched(position.Prototype.TakeProfitAlertForAnnihilation);
if (executor.Backtester.IsBacktestingNow == false) {
string msg = "killed[" + killed + "] counterParty [" + position.Prototype.TakeProfitAlertForAnnihilation + "]";
this.appendMessageToStopLossOrder(position, msg);
}
if (killed == false) {
string msg = "position.ClosedByStopLoss but TakeProfit wasn't annihilated"
+ " or DUPE annihilation of a previously annihilated TakeProfit";
throw new Exception(msg);
}
}
return killed;
}
void appendMessageToTakeProfitOrder(Position position, string msgOrder) {
if (position.Prototype.TakeProfitAlertForAnnihilation == null) {
string msg = "Can't AppendMessageToTakeProfitOrder: position.Prototype.TakeProfitAlertForAnnihilation=null";
throw new Exception(msg);
}
if (position.Prototype.TakeProfitAlertForAnnihilation.OrderFollowed == null) {
string msg = "Can't AppendMessageToTakeProfitOrder: position.Prototype.TakeProfitAlertForAnnihilation.OrderFollowed=null";
throw new Exception(msg);
}
position.Prototype.TakeProfitAlertForAnnihilation.OrderFollowed.AppendMessage(msgOrder);
}
public Alert CreateTakeProfitFromPositionPrototype(Position position) {
PositionPrototype proto = position.Prototype;
if (proto.TakeProfitPositiveOffset == 0) {
string msg = "What should Activator do with proto.StopLossNegativeOffset=0?";
throw new Exception(msg);
}
Alert alertTakeProfit = executor.SellOrCoverAlertCreateDontRegister (
executor.Bars.BarStreaming,
position, proto.PriceTakeProfit,
"protoTakeProfitExit:" + proto.TakeProfitPositiveOffset
+ "@" + proto.PriceTakeProfit + " for " + position.EntrySignal,
MarketConverter.ExitDirectionFromLongShort(position.Prototype.LongShort),
MarketLimitStop.Limit);
if (alertTakeProfit == null) {
string msg = "alertTakeProfit should NOT be null";
throw new Exception(msg);
}
proto.TakeProfitAlertForAnnihilation = alertTakeProfit;
return alertTakeProfit;
}
public bool Equals(Position otherPosition) {
bool headerIsTheSame = this.PositionLongShort == otherPosition.PositionLongShort
&& this.Symbol == otherPosition.Symbol
&& this.Shares == otherPosition.Shares;
if (headerIsTheSame == false) return false;
bool entryIsTheSame = this.EntryMarketLimitStop == otherPosition.EntryMarketLimitStop
&& this.EntryFilledBarIndex == otherPosition.EntryFilledBarIndex
&& this.EntryFilledPrice == otherPosition.EntryFilledPrice
&& this.EntrySignal == otherPosition.EntrySignal;
if (entryIsTheSame == false) return false;
// what did I want to say by this??
//if (this.ExitBar == -1) return true;
//if (otherPosition.ExitBar == -1) return true;
bool bothNaNs = double.IsNaN(this.ExitFilledPrice) && double.IsNaN(otherPosition.ExitFilledPrice);
if (bothNaNs) {
bool exitIsTheSameNaNs = this.EntryMarketLimitStop == otherPosition.EntryMarketLimitStop
&& this.ExitFilledBarIndex == otherPosition.ExitFilledBarIndex
&& this.ExitSignal == otherPosition.ExitSignal;
return exitIsTheSameNaNs;
}
bool exitIsTheSame = this.EntryMarketLimitStop == otherPosition.EntryMarketLimitStop
&& this.ExitFilledBarIndex == otherPosition.ExitFilledBarIndex
&& this.ExitFilledPrice == otherPosition.ExitFilledPrice
&& this.ExitSignal == otherPosition.ExitSignal;
//bool alwaysDifferent = this.SernoInMasterList == position.SernoInMasterList;
return exitIsTheSame;
}
public List<Alert> PositionKillExitAlert(Position position, string signalName) {
List<Alert> alertsSubmittedToKill = new List<Alert>();
if (position.IsEntryFilled == false) {
Debugger.Break();
return alertsSubmittedToKill;
}
if (null == position.ExitAlert) { // for prototyped position, position.ExitAlert contains TakeProfit
Debugger.Break();
return alertsSubmittedToKill;
}
if (string.IsNullOrEmpty(signalName)) signalName = "PositionCloseImmediately()";
if (position.Prototype != null) {
alertsSubmittedToKill = this.PositionPrototypeKillWhateverIsPending(position.Prototype, signalName);
return alertsSubmittedToKill;
}
this.AlertKillPending(position.ExitAlert);
alertsSubmittedToKill.Add(position.ExitAlert);
return alertsSubmittedToKill;
}
public override void OnPositionOpenedCallback(Position positionOpened) {
// NEVER_INVOKED_SINCE_I_USE_POSITION_PROTOTYPES_ONLY no direct BuyAt* or SellAt*
Debugger.Break();
}
public Alert SellAtStop(Bar bar, Position position, double stopPrice, string signalName = "SOLD_AT_STOP") {
return this.Executor.SellOrCoverAlertCreateRegister(bar, position, stopPrice, signalName, Direction.Sell, MarketLimitStop.Stop);
}
public void TakeProfitNewPositiveOffsetUpdateActivate(Position position, double newTakeProfitPositiveOffset) {
PositionPrototype proto = position.Prototype;
if (proto == null) {
string msg = "TakeProfitNewPositiveOffsetUpdateActivate() can't update TakeProfit for a position.Prototype=null: position=[" + position + "]";
throw new Exception(msg);
}
this.checkThrowNewTakeProfitOffsetMakesSense(position, newTakeProfitPositiveOffset);
//proto.checkOffsetsThrowBeforeAbsorbing(newTakeProfitPositiveOffset, proto.StopLossNegativeOffset, proto.StopLossActivationNegativeOffset);
if (executor.Backtester.IsBacktestingNow) {
// NOPE!!! I WANT ALL ALERTS TO STAY IN HISTORY!!! just move TP in Alert, change Prices immediately; no orderKill/newOrder for TakeProfit (Alerts don't have OrdersFollowed)
// PositionPrototypeActivator.checkThrowNewPriceMakesSense() made sure Alert!=null
// TP_WILL_BE_KILLED proto.TakeProfitAlertForAnnihilation.PriceScript = proto.OffsetToPrice(newTakeProfitPositiveOffset);
proto.SetNewTakeProfitOffset(newTakeProfitPositiveOffset);
// TODO: don't forget about backtesting and MarketSim (implement OppMover for offline)
executor.MarketSimStreaming.SimulateTakeProfitMoved(proto.TakeProfitAlertForAnnihilation);
} else {
executor.DataSource.BrokerProvider.MoveTakeProfitOrderProcessorInvoker(proto, newTakeProfitPositiveOffset);
}
}
public Alert ExitAtStop(Bar bar, Position position, double price, string signalName = "EXITED_AT_STOP") {
if (position.PositionLongShort == PositionLongShort.Long) {
return this.SellAtStop(bar, position, price, signalName);
} else {
return this.CoverAtStop(bar, position, price, signalName);
}
}
public PositionEventArgs(Execution.Position position) {
this.Position = position;
}
void checkThrowNewTakeProfitOffsetMakesSense(Position position, double newTakeProfitPositiveOffset) {
string msg = this.ReasonWhyNewTakeProfitOffsetDoesntMakeSense(position, newTakeProfitPositiveOffset);
if (String.IsNullOrEmpty(msg) == false) throw new Exception(msg);
}
public void StopLossNewNegativeOffsetUpdateActivate(Position position, double newStopLossNegativeOffset) {
string msig = " StopLossNewNegativeOffsetUpdateActivate(position[" + position + "], newStopLossNegativeOffset[" + newStopLossNegativeOffset + "])";
PositionPrototype proto = position.Prototype;
if (proto == null) {
string msg = "StopLossNewNegativeOffsetUpdateActivate() can't update StopLoss for a position.Prototype=null: position=[" + position + "]";
throw new Exception(msg);
}
this.checkThrowNewStopLossOffsetMakesSense(position, newStopLossNegativeOffset);
double newActivationOffset = proto.CalcActivationOffsetForNewClosing(newStopLossNegativeOffset);
switch (proto.StopLossAlertForAnnihilation.MarketLimitStop) {
case MarketLimitStop.StopLimit:
#region StopLimit are considered NYI in Backtester.QuoteGenerator; switched to Stops since they do SL job perfectly;
//proto.checkOffsetsThrowBeforeAbsorbing(proto.TakeProfitPositiveOffset, newStopLossNegativeOffset, newActivationOffset);
if (executor.Backtester.IsBacktestingNow) {
// NOPE!!! I WANT ALL ALERTS TO STAY IN HISTORY!!! just move SL in Alert, change Prices immediately; no orderKill/newOrder for StopLoss (Alerts don't have OrdersFollowed)
// PositionPrototypeActivator.checkThrowNewPriceMakesSense() made sure Alert!=null
// SL_WILL_BE_KILLED proto.StopLossAlertForAnnihilation.PriceScript = proto.OffsetToPrice(newStopLossNegativeOffset);
// SL_WILL_BE_KILLED proto.StopLossAlertForAnnihilation.PriceStopLimitActivation = proto.OffsetToPrice(newActivationOffset);
proto.SetNewStopLossOffsets(newStopLossNegativeOffset, newActivationOffset);
// TODO: don't forget about backtesting and MarketSim (implement OppMover for offline)
executor.MarketSimStreaming.SimulateStopLossMoved(proto.StopLossAlertForAnnihilation);
} else {
executor.DataSource.BrokerProvider.MoveStopLossOrderProcessorInvoker(proto, newActivationOffset, newStopLossNegativeOffset);
}
break;
#endregion
case MarketLimitStop.Stop:
if (executor.Backtester.IsBacktestingNow) {
proto.SetNewStopLossOffsets(newStopLossNegativeOffset, 0);
// TODO: don't forget about backtesting and MarketSim (implement OppMover for offline)
executor.MarketSimStreaming.SimulateStopLossMoved(proto.StopLossAlertForAnnihilation);
} else {
executor.DataSource.BrokerProvider.MoveStopLossOrderProcessorInvoker(proto, 0, newStopLossNegativeOffset);
}
break;
default:
string msg = "UNSUPPORTED_STOP_LOSS_CANT_MOVE [" + proto.StopLossAlertForAnnihilation.MarketLimitStop + "] must be Stop or StopLimit(weak support now, almost NYI)";
throw new Exception(msg + msig);
}
}
public Alert SellAtMarket(Bar bar, Position position, string signalName = "SOLD_AT_MARKET") {
return this.Executor.SellOrCoverAlertCreateRegister(bar, position, 0, signalName, Direction.Sell, MarketLimitStop.Market);
}