/// <summary>
/// Generates profit taking order for a given position, at a specified per-share profit target.
/// </summary>
/// <param name="p">your position</param>
/// <param name="offset">target price, per share/contract</param>
/// <param name="percent">percent of the position to close with this order</param>
/// <param name="normalizesize">whether to normalize order to be an even-lot trade</param>
/// <param name="MINSIZE">size of an even lot</param>
/// <returns></returns>
public static Order PositionProfit(Position p, decimal offset, decimal percent, bool normalizesize, int MINSIZE)
{
Order o = new OrderImpl();
if (!p.isValid || p.isFlat)
{
return(o);
}
decimal price = OffsetPrice(p, Math.Abs(offset));
int size = !normalizesize ? (int)(p.FlatSize * percent) : Norm2Min(p.FlatSize * percent, MINSIZE);
o = new LimitOrder(p.Symbol, !p.isLong, size, price);
return(o);
}
public void NamedIds()
{
IdTracker idt = new IdTracker();
idt.SendDebugEvent+=new TradeLink.API.DebugDelegate(Console.WriteLine);
idt.isMagicIdOnMaxName = false;
const string sym = "TST";
// get an id
string id1 = "my market entry";
string id2 = "my limit entry";
string id3 = "my exit";
var entry = new MarketOrder(sym, 100, idt[id1]);
var lmt = new LimitOrder(sym, 100, 11, idt[id2]);
var exit = new StopOrder(sym, 100, 9, idt[id3]);
// verify they are unique
Assert.AreNotEqual(entry.id, lmt.id, "entry market and limit should not match");
Assert.AreNotEqual(exit.id, lmt.id, "exit and entry limit should not match");
// make sure they always return the same value
var c1 = idt[id1];
var c2 = idt[id2];
var c3 = idt[id3];
Assert.AreEqual(c1, entry.id, id1 + " id changed");
Assert.AreEqual(c2, lmt.id, id2 + " id changed");
Assert.AreEqual(c3, exit.id, id3+" id changed");
// test resetting
idt[id3] = 0;
var newc3 = idt[id3];
Assert.AreNotEqual(newc3, c3, id3 + " did not change after a reset");
// request it again, should be same
var newc3compare = idt[id3];
Assert.AreEqual(newc3, newc3compare, id3 + " changed after a read request");
}
public void IdentityLimits()
{
string sym = "SPY";
bool side = false;
int size = -256;
decimal Limit = 134.40m;
string comment = "Hello, World!"; // not checked for
long id = 8675309; // not checked for
Order orig = new LimitOrder(sym, side, size, Limit);
Order comp;
comp = new LimitOrder(sym, size, Limit, id);
Assert.AreEqual(orig.symbol, comp.symbol, "Symbol, SignedLimit");
Assert.AreEqual(orig.side, comp.side, "Side, SignedLimit");
Assert.AreEqual(orig.size, comp.size, "Size, SignedLimit");
Assert.AreEqual(orig.stopp, comp.stopp, "Stop SignedLimit");
Assert.AreEqual(orig.price, comp.price, "Price, SignedLimit");
comp = new LimitOrder(sym, side, size, Limit, id);
Assert.AreEqual(orig.symbol, comp.symbol, "Symbol, LimitID");
Assert.AreEqual(orig.side, comp.side, "Side, LimitID");
Assert.AreEqual(orig.size, comp.size, "Size, LimitID");
Assert.AreEqual(orig.stopp, comp.stopp, "Stop LimitID");
Assert.AreEqual(orig.price, comp.price, "Price, LimitID");
comp = new LimitOrder(sym, side, size, Limit, comment);
Assert.AreEqual(orig.symbol, comp.symbol, "Symbol, LimitComment");
Assert.AreEqual(orig.side, comp.side, "Side, LimitComment");
Assert.AreEqual(orig.size, comp.size, "Size, LimitComment");
Assert.AreEqual(orig.stopp, comp.stopp, "Stop LimitComment");
Assert.AreEqual(orig.price, comp.price, "Price, LimitComment");
comp = new SellLimit(sym, size, Limit);
Assert.AreEqual(orig.symbol, comp.symbol, "Symbol, SellLimit");
Assert.AreEqual(orig.side, comp.side, "Side, SellLimit");
Assert.AreEqual(orig.size, comp.size, "Size, SellLimit");
Assert.AreEqual(orig.stopp, comp.stopp, "Stop SellLimit");
Assert.AreEqual(orig.price, comp.price, "Price, SellLimit");
comp = new SellLimit(sym, size, Limit, id);
Assert.AreEqual(orig.symbol, comp.symbol, "Symbol, SellLimitID");
Assert.AreEqual(orig.side, comp.side, "Side, SellLimitID");
Assert.AreEqual(orig.size, comp.size, "Size, SellLimitID");
Assert.AreEqual(orig.stopp, comp.stopp, "Stop SellLimitID");
Assert.AreEqual(orig.price, comp.price, "Price, SellLimitID");
comp = new SellLimit(sym, size, Limit, comment);
Assert.AreEqual(orig.symbol, comp.symbol, "Symbol, SellLimitComment");
Assert.AreEqual(orig.side, comp.side, "Side, SellLimitComment");
Assert.AreEqual(orig.size, comp.size, "Size, SellLimitComment");
Assert.AreEqual(orig.stopp, comp.stopp, "Stop SellLimitComment");
Assert.AreEqual(orig.price, comp.price, "Price, SellLimitComment");
side = true;
orig = new LimitOrder(sym, side, size, Limit);
comp = new BuyLimit(sym, size, Limit);
Assert.AreEqual(orig.symbol, comp.symbol, "Symbol, BuyLimit");
Assert.AreEqual(orig.side, comp.side, "Side, BuyLimit");
Assert.AreEqual(orig.size, comp.size, "Size, BuyLimit");
Assert.AreEqual(orig.stopp, comp.stopp, "Stop BuyLimit");
Assert.AreEqual(orig.price, comp.price, "Price, BuyLimit");
comp = new BuyLimit(sym, size, Limit, id);
Assert.AreEqual(orig.symbol, comp.symbol, "Symbol, BuyLimitID");
Assert.AreEqual(orig.side, comp.side, "Side, BuyLimitID");
Assert.AreEqual(orig.size, comp.size, "Size, BuyLimitID");
Assert.AreEqual(orig.stopp, comp.stopp, "Stop BuyLimitID");
Assert.AreEqual(orig.price, comp.price, "Price, BuyLimitID");
comp = new BuyLimit(sym, size, Limit, comment);
Assert.AreEqual(orig.symbol, comp.symbol, "Symbol, BuyLimitComment");
Assert.AreEqual(orig.side, comp.side, "Side, BuyLimitComment");
Assert.AreEqual(orig.size, comp.size, "Size, BuyLimitComment");
Assert.AreEqual(orig.stopp, comp.stopp, "Stop BuyLimitComment");
Assert.AreEqual(orig.price, comp.price, "Price, BuyLimitComment");
}
/// <summary>
/// Generates profit taking order for a given position, at a specified per-share profit target.
/// </summary>
/// <param name="p">your position</param>
/// <param name="offset">target price, per share/contract</param>
/// <param name="percent">percent of the position to close with this order</param>
/// <param name="normalizesize">whether to normalize order to be an even-lot trade</param>
/// <param name="MINSIZE">size of an even lot</param>
/// <returns></returns>
public static Order PositionProfit(Position p, decimal offset, decimal percent, bool normalizesize, int MINSIZE)
{
Order o = new OrderImpl();
if (!p.isValid || p.isFlat) return o;
decimal price = OffsetPrice(p,Math.Abs(offset));
int size = !normalizesize ? (int)(p.FlatSize * percent) : Norm2Min(p.FlatSize*percent,MINSIZE);
o = new LimitOrder(p.Symbol, !p.isLong, size, price);
return o;
}
public void Fill_HighLiquidity()
{
Broker broker = new Broker();
broker.UseHighLiquidityFillsEOD = true;
const string s = "SPY";
OrderImpl limitBuy = new LimitOrder(s, true, 1, 133m);
OrderImpl limitSell = new LimitOrder(s, false, 2, 133.5m);
OrderImpl stopBuy = new StopOrder(s, true, 3, 135.70m);
OrderImpl stopSell = new StopOrder(s, false, 4, 135.75m);
broker.SendOrderStatus(limitBuy);
broker.SendOrderStatus(limitSell);
broker.SendOrderStatus(stopBuy);
broker.SendOrderStatus(stopSell);
// OHLC for 6/21/2012 on SPY
TickImpl openingTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(9, 30, 00), 135.67m, 10670270, "NYS");
TickImpl endMornTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(12, 00, 00), 135.78m, 10670270, "NYS");
TickImpl endLunchTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(14, 15, 00), 132.33m, 10670270, "NYS");
TickImpl closingTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(16, 00, 00), 132.44m, 10670270, "NYS");
broker.Execute(openingTick);
broker.Execute(endMornTick);
broker.Execute(endLunchTick);
broker.Execute(closingTick);
List<Trade> trades = broker.GetTradeList();
Assert.IsTrue(trades.Count == 4);
foreach (Trade trade in trades)
{
if (trade.xsize == 1)
Assert.AreEqual(133m, trade.xprice);
else if (trade.xsize == 2)
Assert.AreEqual(133.5m, trade.xprice);
else if (trade.xsize == 3)
Assert.AreEqual(135.7m, trade.xprice);
else if (trade.xsize == 4)
Assert.AreEqual(135.75m, trade.xprice);
}
}