public SingleSpread(MarketPosition leg1, int _units, string strratio, NinjaTrader.NinjaScript.StrategyBase _strategybase)
{
mleg1 = leg1;
strategybase = _strategybase;
units = _units;
Zweistein.FractionString f = new Zweistein.FractionString(strratio, ':');
lots1 = (int)f.Nominator * units;
lots2 = (int)f.Denominator * units;
if (lots1 == 0 || lots2 == 0)
{
throw new ArgumentNullException("SingleSpread , incomplete spread defintion: lots1 or lots2 == 0");
}
SetBaseCurrency(_strategybase.Account.Denomination);
entry = new HandledOrder[] { new HandledOrder(strategybase), new HandledOrder(strategybase) };
exit = new HandledOrder[] { new HandledOrder(strategybase), new HandledOrder(strategybase) };
}
public SingleSpread(ref Queue <SingleSpread> transferfrom, NinjaTrader.Cbi.Currency currency)
{
int tmpunits = 0;
Zweistein.FractionString f = null;
SetBaseCurrency(currency);
List <SingleSpread> toremove = new List <SingleSpread>();
foreach (SingleSpread s in transferfrom)
{
if (s.exit[0].Order != null || s.exit[1].Order != null)
{
continue;
}
if (s.mleg1 == NinjaTrader.Cbi.MarketPosition.Long)
{
if (s.positionX != s.lots1)
{
continue;
}
if (-1 * s.positionY != s.lots2)
{
continue;
}
}
if (s.mleg1 == NinjaTrader.Cbi.MarketPosition.Short)
{
if (-1 * s.positionX != s.lots1)
{
continue;
}
if (s.positionY != s.lots2)
{
continue;
}
}
if (s.mleg1 == NinjaTrader.Cbi.MarketPosition.Flat)
{
continue;
}
if (s.MarketPosition == NinjaTrader.Cbi.MarketPosition.Long)
{
tmpunits += s.NUnits;
}
if (s.MarketPosition == NinjaTrader.Cbi.MarketPosition.Short)
{
tmpunits -= s.NUnits;
}
totalprice0 += (double)Zweistein.CurrencyConversion.Cube.Convert((decimal)s.totalprice0, Zweistein.CurrencyConversion.ISO(s.BaseCurrency), Zweistein.CurrencyConversion.ISO(basecurrency));
totalprice1 += (double)Zweistein.CurrencyConversion.Cube.Convert((decimal)s.totalprice1, Zweistein.CurrencyConversion.ISO(s.BaseCurrency), Zweistein.CurrencyConversion.ISO(basecurrency));
positionX += s.positionX;
positionY += s.positionY;
if (s.units > 0)
{
int k1 = s.lots1 / s.units;
int k2 = s.lots2 / s.units;
if (f == null)
{
f = new Zweistein.FractionString(k1.ToString() + ":" + k2.ToString(), ':');
strategybase = s.strategybase;
}
}
toremove.Add(s);
}
if (f == null)
{
throw new ArgumentNullException("SingleSpread(ref Queue<SingleSpread> spreads) , spreads is empty collection");
}
if (tmpunits > 0)
{
this.mleg1 = NinjaTrader.Cbi.MarketPosition.Long;
}
else
{
if (tmpunits < 0)
{
this.mleg1 = NinjaTrader.Cbi.MarketPosition.Short;
}
}
if (tmpunits == 0)
{
throw new ArgumentNullException("SingleSpread(ref Queue<SingleSpread> spreads) , tmpunits == 0");
}
units = Math.Abs(tmpunits);
lots1 = (int)f.Nominator * units;
lots2 = (int)f.Denominator * units;
if (lots1 == 0 || lots2 == 0)
{
throw new ArgumentNullException("SingleSpread , incomplete spread defintion: lots1 or lots2 == 0");
}
foreach (SingleSpread r in toremove)
{
for (int i = 0; i < transferfrom.Count; i++)
{
SingleSpread q = transferfrom.Dequeue();
if (q == r)
{
break;
}
transferfrom.Enqueue(q);
}
}
}
