private void OnFill_A(String product, String key, String BS, int qty, int price, String time)
{
// When fill is received in A (ES), enter market order in B (NQ).
// This method will run on the RTD thread.
FillPrice_A = price;
if (Pos_A == Position.FLAT)
{
// This is an openning trade. Place trade in Instrument_B (NQ)
// in the opposite direction.
if (BS == "B")
{
Pos_A = Position.LONG;
BuyOrderBook.Remove(key);
bool m_Bool = _Instr_B.EnterMarketOrder("S", 2, "OPEN");
}
else
{
Pos_A = Position.SHORT;
SellOrderBook.Remove(key);
bool m_Bool = _Instr_B.EnterMarketOrder("B", 2, "OPEN");
}
}
else
{
// this is a closing trade.
Pos_A = Position.FLAT;
}
// Update form on Main thread.
OnFillUpdate(product, key, BS, qty, price, time);
}
private void OnInstrUpdate()
{
// Get latest Bid/Ask data.
Bid_A = _Instr_A.Bid;
Ask_A = _Instr_A.Ask;
Bid_B = _Instr_B.Bid;
Ask_B = _Instr_B.Ask;
// Calculate the spread Bid/Ask for 1x2 and add it to the list.
SpreadPrice = -1 * Bid_A + 2 * Ask_B;
_PriceList.Add(SpreadPrice);
// Calculate the normalized price.
NormPrice = NormCalc.CalcNormalizedPrice(_PriceList);
if (Go)
{
// Have we hit a stop or have we hit our target? If so, close positions.
if (SpreadPos == Position.LONG && (SpreadPrice <= StopPrice || NormPrice > 0))
{
bool m_Bool = _Instr_A.EnterMarketOrder("B", 1, "CLOSE");
m_Bool = _Instr_B.EnterMarketOrder("S", 2, "CLOSE");
}
if (SpreadPos == Position.SHORT && (SpreadPrice >= StopPrice || NormPrice < 0))
{
bool m_Bool = _Instr_A.EnterMarketOrder("S", 1, "CLOSE");
m_Bool = _Instr_B.EnterMarketOrder("B", 2, "CLOSE");
}
// If the reason for buying or selling the spread no longer exists,
// cancel the working order. i.e. if we missed the trade, cancel it.
if (NormPrice < 2 && BuyOrderBook.Count > 0)
{
// Cancel buy order and remove from order book.
_Instr_A.CancelOrder(((Order)(BuyOrderBook.GetByIndex(0))).Key);
BuyOrderBook.RemoveAt(0);
}
if (NormPrice > -2 && SellOrderBook.Count > 0)
{
// Cancel sell order and remove from order book.
_Instr_A.CancelOrder(((Order)(SellOrderBook.GetByIndex(0))).Key);
SellOrderBook.RemoveAt(0);
}
// Make a decision as to whether or not to enter a trade.
// Make a long trade in A if normalized price > 2 and we are
// flat and not already working an order.
// Enter order method calls run on the Strategy thread.
if (NormPrice > 2 && Pos_A == Position.FLAT && BuyOrderBook.Count == 0)
{
// Try to buy 1 on the bid.
Order m_Order = _Instr_A.EnterLimitOrder("B", 1, Bid_A, "OPEN");
BuyOrderBook.Add(m_Order.Key, m_Order);
}
// Make a short in A if normalized price < -2 and we are flat and not already working an order.
if (NormPrice < -2 && Pos_A == Position.FLAT && SellOrderBook.Count == 0)
{
// Try to sell 1 on the ask.
Order m_Order = _Instr_A.EnterLimitOrder("S", 1, Ask_A, "OPEN");
SellOrderBook.Add(m_Order.Key, m_Order);
}
}
// Update the form on the main thread.
OnPriceUpdate();
}
