/// <summary>
/// OnOrderUpdate->OnExecutionUpdate->OnPositionUpdate
/// OnPositionUpdate: check new trade, change position for curTrade, no order update;
/// OnExecutionUpdate: check filled order, update the new entry order and liquidate order;
/// OnOrderUpdate: deal with working order, rejected/cancelled orders;
/// </summary>
/// <param name="order"></param>
/// <param name="limitPrice"></param>
/// <param name="stopPrice"></param>
/// <param name="quantity"></param>
/// <param name="filled"></param>
/// <param name="averageFillPrice"></param>
/// <param name="orderState"></param>
/// <param name="time"></param>
/// <param name="error"></param>
/// <param name="comment"></param>
protected override void OnOrderUpdate(Cbi.Order order, double limitPrice, double stopPrice,
int quantity, int filled, double averageFillPrice,
Cbi.OrderState orderState, DateTime time, Cbi.ErrorCode error, string comment)
{
//if(BarsInProgress !=0) return;
IndicatorProxy.Log2Disk = true;
if (PrintOut > 1 && !IsInStrategyAnalyzer)
{
IndicatorProxy.PrintLog(true, IsLiveTrading(),
CurrentBars[BarsInProgress] + "[" + BarsInProgress + "]:OnOrderUpdate IsUnmanaged=" + IsUnmanaged);
}
//The logic is implemented in the method below
CurrentTrade.OnCurOrderUpdate(order, limitPrice, stopPrice, quantity, filled, averageFillPrice,
orderState, time, error, comment);
return;
//The order execution is implemented in the method below
if (IsUnmanaged)
{
OnOrderUpdateUM(order, limitPrice, stopPrice, quantity, filled,
averageFillPrice, orderState, time, error, comment);
}
else
{
OnOrderUpdateMG(order, limitPrice, stopPrice, quantity, filled,
averageFillPrice, orderState, time, error, comment);
}
}
/// <summary>
/// Constructor. </summary>
/// <param name="orders"> the orders to be recorded (cannot be empty) </param>
public TradingRecord(params Order[] orders) : this(orders[0].OrderType)
{
foreach (var o in orders)
{
var newOrderWillBeAnEntry = CurrentTrade.New;
if (newOrderWillBeAnEntry && !o.OrderType.Equals(_startingType))
{
// Special case for entry/exit types reversal
// E.g.: BUY, SELL,
// BUY, SELL,
// SELL, BUY,
// BUY, SELL
CurrentTrade = new Trade(o.OrderType);
}
var newOrder = CurrentTrade.Operate(o.Index, o.Price, o.Amount);
RecordOrder(newOrder, newOrderWillBeAnEntry);
}
}
void HandleTradeRequest(CallbackMsg msg)
{
var details = msg as SteamTrading.TradeRequestCallback;
string name = SteamFriends.GetFriendPersonaName(details.Other);
string log = String.Format("Trade request to {0} status: {1}",
name, details.Status.ToString());
Logger.WriteLine(log);
ResetPendingTrade();
if (details.Status != EEconTradeResponse.Accepted)
{
return;
}
CurrentTrade = details.Trade;
CurrentTrade.Initialize();
}
protected override void OnExecutionUpdate(Execution execution, string executionId, double price, int quantity, MarketPosition marketPosition,
string orderId, DateTime time)
{
if (BarsInProgress != 0)
{
return;
}
IndicatorProxy.Log2Disk = true;
if (PrintOut > 1 && !IsInStrategyAnalyzer)
{
IndicatorProxy.PrintLog(true, IsLiveTrading(),
CurrentBar + ":OnExecutionUpdate"
+ ";IsUnmanaged=" + IsUnmanaged
+ ";IsLiveTrading=" + IsLiveTrading()
+ ";IsInitialEntry=" + execution.IsInitialEntry
+ ";IsEntry=" + execution.IsEntry
+ ";IsExit=" + execution.IsExit
+ ";IsLastExit=" + execution.IsLastExit
+ ";GetMarketPosition=" + GetMarketPosition()
+ ";marketPosition=" + marketPosition
+ ";quantity=" + quantity
+ ";HasPosition=" + HasPosition()
+ ";GetAvgPrice=" + GetAvgPrice()
+ ";price=" + price);
}
CurrentTrade.OnCurExecutionUpdate(execution, executionId, price, quantity, marketPosition, orderId, time);
return;
if (IsUnmanaged)
{
OnExecutionUpdateUM(execution, executionId, price, quantity, marketPosition, orderId, time);
}
else
{
OnExecutionUpdateMG(execution, executionId, price, quantity, marketPosition, orderId, time);
}
}
protected override void OnPositionUpdate(Cbi.Position position, double averagePrice,
int quantity, Cbi.MarketPosition marketPosition)
{
IndicatorProxy.Log2Disk = true;
int bsx = BarsSinceExitExecution(0, "", 0);
int bse = BarsSinceEntryExecution(0, "", 0);
if (PrintOut > 1 && !IsInStrategyAnalyzer)
{
IndicatorProxy.PrintLog(true, IsLiveTrading(),
CurrentBar + ":OnPositionUpdate, CurrentTrade not updated -- "
+ ";BarsSinceExit, BarsSinceEntry="
+ bsx + "," + bse
+ ";IsUnmanaged=" + IsUnmanaged
+ ";IsLiveTrading=" + IsLiveTrading()
+ ";GetMarketPosition=" + GetMarketPosition()
+ ";marketPosition=" + marketPosition
+ ";HasPosition=" + HasPosition()
+ ";CurrentTrade.PosQuantity=" + CurrentTrade.PosQuantity
+ ";CurrentTrade.MktPosition=" + CurrentTrade.MktPosition
+ ";quantity=" + quantity
+ ";GetAvgPrice=" + GetAvgPrice()
+ ";averagePrice=" + averagePrice);
}
//Print(position.ToString() + "--MarketPosition=" + position.MarketPosition);
CurrentTrade.OnCurPositionUpdate(position, averagePrice, quantity, marketPosition);
if (CurrentTrade.MktPosition != null && CurrentTrade.PosAvgPrice != null &&
CurrentTrade.PosQuantity != null && CurrentTrade.PosUnrealizedPnL != null)
{
if (PrintOut > 1 && !IsInStrategyAnalyzer)
{
IndicatorProxy.PrintLog(true, IsLiveTrading(),
String.Format("{0}: OnPositionUpdate, CurrentTrade updated -- CurrentTrade.PosAvgPrice: {1}, CurrentTrade.PosQuantit={2}, CurrentTrade.MktPosition={3}, PnL={4}",
CurrentBar, CurrentTrade.PosAvgPrice, CurrentTrade.PosQuantity, CurrentTrade.MktPosition, CurrentTrade.PosUnrealizedPnL));
}
}
}
