/// <summary>
/// must pass ticks as received to this function, in order to have trailing stops executed at proper time.
/// </summary>
/// <param name="k"></param>
public void GotTick(Tick k)
{
// see if we're turned on
if (!isValid) return;
// see if we can exit when trail is broken
if (SendOrder == null) return;
// see if we have anything to trail against
if (_pt[k.symbol].isFlat) return;
// only care about trades
if (!k.isTrade) return;
// get index for symbol
int idx = symidx(k.symbol);
// setup parameters
OffsetInfo trail = null;
decimal refp = 0;
// see if we trail this symbol
if ((idx == NOSYM) && _trailbydefault)
{
// get parameters
idx = _trail.Count;
refp = k.trade;
trail = new OffsetInfo(_defaulttrail);
// save them
_symidx.Add(k.symbol, idx);
_ref.Add(refp);
_pendingfill.Add(false);
// just in case user is modifying on seperate thread
lock (_trail)
{
_trail.Add(trail);
}
D("trail tracking: " + k.symbol + " " + trail.ToString());
}
else if ((idx == NOSYM) && !_trailbydefault)
return;
else
{
// get parameters
refp = _ref[idx];
// just in case user tries to modify on seperate thread
lock (_trail)
{
trail = _trail[idx];
}
}
// see if we need to update ref price
if ((refp == 0)
|| (_pt[k.symbol].isLong && (refp < k.trade))
|| (_pt[k.symbol].isShort && (refp > k.trade)))
{
// update
refp = k.trade;
// save it
_ref[idx] = refp;
}
// see if we broke our trail
if (!_pendingfill[idx] && (trail.StopDist!=0) && (Math.Abs(refp - k.trade) > trail.StopDist))
{
// notify
D("hit trailing stop at: " + k.trade.ToString("n2"));
// mark pending order
_pendingfill[idx] = true;
// get order
Order flat = new MarketOrderFlat(_pt[k.symbol], trail.StopPercent, trail.NormalizeSize, trail.MinimumLotSize);
// get order id
flat.id = _id.AssignId;
// send flat order
SendOrder(flat);
// notify
D("enforcing trail with: " + flat.ToString());
}
}
/// <summary>
/// must pass ticks as received to this function, in order to have trailing stops executed at proper time.
/// </summary>
/// <param name="k"></param>
public void GotTick(Tick k)
{
// see if we're turned on
if (!isValid)
{
return;
}
// see if we can exit when trail is broken
if (SendOrder == null)
{
return;
}
// see if we have anything to trail against
if (_pt[k.symbol].isFlat)
{
return;
}
// only care about trades
if (!k.isTrade)
{
return;
}
// get index for symbol
int idx = symidx(k.symbol);
// setup parameters
OffsetInfo trail = null;
decimal refp = 0;
// see if we trail this symbol
if ((idx == NOSYM) && _trailbydefault)
{
// get parameters
idx = _trail.Count;
refp = k.trade;
trail = new OffsetInfo(_defaulttrail);
// save them
_symidx.Add(k.symbol, idx);
_ref.Add(refp);
_pendingfill.Add(false);
// just in case user is modifying on seperate thread
lock (_trail)
{
_trail.Add(trail);
}
D("trail tracking: " + k.symbol + " " + trail.ToString());
}
else if ((idx == NOSYM) && !_trailbydefault)
{
return;
}
else
{
// get parameters
refp = _ref[idx];
// just in case user tries to modify on seperate thread
lock (_trail)
{
trail = _trail[idx];
}
}
// see if we need to update ref price
if ((refp == 0) ||
(_pt[k.symbol].isLong && (refp < k.trade)) ||
(_pt[k.symbol].isShort && (refp > k.trade)))
{
// update
refp = k.trade;
// save it
_ref[idx] = refp;
}
// see if we broke our trail
if (!_pendingfill[idx] && (trail.StopDist != 0) && (Math.Abs(refp - k.trade) > trail.StopDist))
{
// notify
D("hit trailing stop at: " + k.trade.ToString("n2"));
// mark pending order
_pendingfill[idx] = true;
// get order
Order flat = new MarketOrderFlat(_pt[k.symbol], trail.StopPercent, trail.NormalizeSize, trail.MinimumLotSize);
// get order id
flat.id = _id.AssignId;
// send flat order
SendOrder(flat);
// notify
D("enforcing trail with: " + flat.ToString());
}
}
/// <summary>
/// pass arbitrary price to use for trail reference price
/// </summary>
/// <param name="symbol"></param>
/// <param name="p"></param>
public void newPoint(string symbol, decimal p)
{
// get index for symbol
int idx = symidx(symbol);
// setup parameters
OffsetInfo trail = null;
decimal refp = 0;
// see if we trail this symbol
if ((idx == NOSYM) && _trailbydefault)
{
// get parameters
idx = _trail.Count;
refp = p;
trail = new OffsetInfo(_defaulttrail);
// save them
_symidx.Add(symbol, idx);
_ref.Add(refp);
_pendingfill.Add(false);
// just in case user is modifying on seperate thread
lock (_trail)
{
_trail.Add(trail);
}
D("trail tracking: " + symbol + " " + trail.ToString());
}
else if ((idx == NOSYM) && !_trailbydefault)
{
return;
}
else
{
// get parameters
refp = _ref[idx];
// in case tracker started after trail stop should have been broken.
if (refp == 0 && _pt[symbol].isValid)
{
refp = _pt[symbol].AvgPrice;
}
// just in case user tries to modify on seperate thread
lock (_trail)
{
trail = _trail[idx];
}
}
// see if we need to update ref price
if ((refp == 0) ||
(_pt[symbol].isLong && (refp < p)) ||
(_pt[symbol].isShort && (refp > p)))
{
// update
refp = p;
// save it
_ref[idx] = refp;
}
// see if we broke our trail
if (!_pendingfill[idx] && (trail.StopDist != 0) && (Math.Abs(refp - p) > trail.StopDist))
{
// notify
D("hit trailing stop at: " + p.ToString("F2"));
// mark pending order
_pendingfill[idx] = true;
// get order
Order flat = new MarketOrderFlat(_pt[symbol], trail.StopPercent, trail.NormalizeSize, trail.MinimumLotSize);
// get order id
flat.id = _id.AssignId;
// send flat order
SendOrder(flat);
// notify
D("enforcing trail with: " + flat.ToString());
if (HitOffset != null)
{
HitOffset(symbol, flat.id, p);
}
}
}
/// <summary>
/// pass arbitrary price to use for trail reference price
/// </summary>
/// <param name="symbol"></param>
/// <param name="p"></param>
public void newPoint(string symbol, decimal p)
{
// get index for symbol
int idx = symidx(symbol);
// setup parameters
OffsetInfo trail = null;
decimal refp = 0;
// see if we trail this symbol
if ((idx == NOSYM) && _trailbydefault)
{
// get parameters
idx = _trail.Count;
refp = p;
trail = new OffsetInfo(_defaulttrail);
// save them
_symidx.Add(symbol, idx);
_ref.Add(refp);
_pendingfill.Add(false);
firecount.addindex(symbol, 0);
esize.addindex(symbol,pt[symbol].UnsignedSize);
// just in case user is modifying on seperate thread
lock (_trail)
{
_trail.Add(trail);
}
D(symbol+" trail tracking modified: "+trail.ToString());
}
else if ((idx == NOSYM) && !_trailbydefault)
{
return;
}
else
{
// get parameters
refp = _ref[idx];
// in case tracker started after trail stop should have been broken.
if (refp == 0 && _pt[symbol].isValid)
{
refp = _pt[symbol].AvgPrice;
}
// just in case user tries to modify on seperate thread
lock (_trail)
{
trail = _trail[idx];
}
}
// see if we need to update ref price
if ((refp == 0)
|| (_pt[symbol].isLong && (refp < p))
|| (_pt[symbol].isShort && (refp > p)))
{
// update
refp = p;
// save it
_ref[idx] = refp;
// notify
v(symbol + " new reference price: " + p);
}
// see if we broke our trail
var testdist = Math.Abs(refp - p);
var trailtest = testdist> trail.StopDist;
if (!_pendingfill[idx] && (trail.StopDist!=0) && trailtest && (MaxFireCount>firecount[idx]))
{
// notify
D(symbol+" hit trailing stop at: " + p.ToString("F2"));
// mark pending order
_pendingfill[idx] = true;
// get order
Order flat = new MarketOrderFlat(_pt[symbol], trail.StopPercent, trail.NormalizeSize, trail.MinimumLotSize);
// get order id
flat.id = _id.AssignId;
// adjust expectation
esize[idx] -= flat.UnsignedSize;
// count fire
firecount[idx]++;
// send flat order
SendOrder(flat);
// notify
D(symbol+" enforcing trail with: " + flat.ToString()+" esize: "+esize[idx]+" count: "+firecount[idx]);
if (HitOffset != null)
HitOffset(symbol, flat.id,p);
}
else if (!_noverb)
{
if (_pendingfill[idx])
v(symbol + " waiting for trail fill.");
else if (trail.StopDist == 0)
v(symbol + " trail has been disabled.");
else if (!trailtest)
{
v(symbol + " trail not hit, current dist: " + testdist + " trailamt: " + trail.StopDist);
}
else if (MaxFireCount > firecount[idx])
{
v(symbol + " trail max fire reached at: " + firecount[idx] + " max: " + MaxFireCount);
}
}
}
/// <summary>
/// pass arbitrary price to use for trail reference price
/// </summary>
/// <param name="symbol"></param>
/// <param name="p"></param>
public void newPoint(string symbol, decimal p)
{
// get index for symbol
int idx = symidx(symbol);
// setup parameters
OffsetInfo trail = null;
decimal refp = 0;
// see if we trail this symbol
if ((idx == NOSYM) && _trailbydefault)
{
// get parameters
idx = _trail.Count;
refp = p;
trail = new OffsetInfo(_defaulttrail);
// save them
_symidx.Add(symbol, idx);
_ref.Add(refp);
_pendingfill.Add(false);
firecount.addindex(symbol, 0);
esize.addindex(symbol, pt[symbol].UnsignedSize);
// just in case user is modifying on seperate thread
lock (_trail)
{
_trail.Add(trail);
}
D(symbol + " trail tracking modified: " + trail.ToString());
}
else if ((idx == NOSYM) && !_trailbydefault)
{
return;
}
else
{
// get parameters
refp = _ref[idx];
// in case tracker started after trail stop should have been broken.
if (refp == 0 && _pt[symbol].isValid)
{
refp = _pt[symbol].AvgPrice;
}
// just in case user tries to modify on seperate thread
lock (_trail)
{
trail = _trail[idx];
}
}
// see if we need to update ref price
if ((refp == 0) ||
(_pt[symbol].isLong && (refp < p)) ||
(_pt[symbol].isShort && (refp > p)))
{
// update
refp = p;
// save it
_ref[idx] = refp;
// notify
v(symbol + " new reference price: " + p);
}
// see if we broke our trail
var testdist = Math.Abs(refp - p);
var trailtest = testdist > trail.StopDist;
if (!_pendingfill[idx] && (trail.StopDist != 0) && trailtest && (MaxFireCount > firecount[idx]))
{
// notify
D(symbol + " hit trailing stop at: " + p.ToString("F2"));
// mark pending order
_pendingfill[idx] = true;
// get order
Order flat = new MarketOrderFlat(_pt[symbol], trail.StopPercent, trail.NormalizeSize, trail.MinimumLotSize);
// get order id
flat.id = _id.AssignId;
// adjust expectation
esize[idx] -= flat.UnsignedSize;
// count fire
firecount[idx]++;
// send flat order
SendOrder(flat);
// notify
D(symbol + " enforcing trail with: " + flat.ToString() + " esize: " + esize[idx] + " count: " + firecount[idx]);
if (HitOffset != null)
{
HitOffset(symbol, flat.id, p);
}
}
else if (!_noverb)
{
if (_pendingfill[idx])
{
v(symbol + " waiting for trail fill.");
}
else if (trail.StopDist == 0)
{
v(symbol + " trail has been disabled.");
}
else if (!trailtest)
{
v(symbol + " trail not hit, current dist: " + testdist + " trailamt: " + trail.StopDist);
}
else if (MaxFireCount > firecount[idx])
{
v(symbol + " trail max fire reached at: " + firecount[idx] + " max: " + MaxFireCount);
}
}
}
/// <summary>
/// pass arbitrary price to use for trail reference price
/// </summary>
/// <param name="symbol"></param>
/// <param name="p"></param>
public void newPoint(string symbol, decimal p)
{
// get index for symbol
int idx = symidx(symbol);
// setup parameters
OffsetInfo trail = null;
decimal refp = 0;
// see if we trail this symbol
if ((idx == NOSYM) && _trailbydefault)
{
// get parameters
idx = _trail.Count;
refp = p;
trail = new OffsetInfo(_defaulttrail);
// save them
_symidx.Add(symbol, idx);
_ref.Add(refp);
_pendingfill.Add(false);
// just in case user is modifying on seperate thread
lock (_trail)
{
_trail.Add(trail);
}
D("trail tracking: " + symbol + " " + trail.ToString());
}
else if ((idx == NOSYM) && !_trailbydefault)
return;
else
{
// get parameters
refp = _ref[idx];
// in case tracker started after trail stop should have been broken.
if (refp == 0 && _pt[symbol].isValid)
{
refp = _pt[symbol].AvgPrice;
}
// just in case user tries to modify on seperate thread
lock (_trail)
{
trail = _trail[idx];
}
}
// see if we need to update ref price
if ((refp == 0)
|| (_pt[symbol].isLong && (refp < p))
|| (_pt[symbol].isShort && (refp > p)))
{
// update
refp = p;
// save it
_ref[idx] = refp;
}
// see if we broke our trail
if (!_pendingfill[idx] && (trail.StopDist!=0) && (Math.Abs(refp - p) > trail.StopDist))
{
// notify
D("hit trailing stop at: " + p.ToString("F2"));
// mark pending order
_pendingfill[idx] = true;
// get order
Order flat = new MarketOrderFlat(_pt[symbol], trail.StopPercent, trail.NormalizeSize, trail.MinimumLotSize);
// get order id
flat.id = _id.AssignId;
// send flat order
SendOrder(flat);
// notify
D("enforcing trail with: " + flat.ToString());
if (HitOffset != null)
HitOffset(symbol, flat.id,p);
}
}