/// <summary>Called when new data is received</summary>
public override void Step()
{
base.Step();
Dump();
EMA0.Add(Instrument.LatestPrice.Mid);
var position = Positions.FirstOrDefault();
var buy = PendingOrders.FirstOrDefault(x => x.TradeType == TradeType.Buy);
var sel = PendingOrders.FirstOrDefault(x => x.TradeType == TradeType.Sell);
// If a pending order is triggered cancel the other one
if (position != null)
{
if (buy != null)
{
Broker.CancelPendingOrder(buy);
}
if (sel != null)
{
Broker.CancelPendingOrder(sel);
}
buy = null;
sel = null;
if (position.NetProfit > Broker.Balance * 0.001)
{
Broker.ModifyOrder(Instrument, position, sl: position.EntryPrice + position.Sign() * 2.0 * Instrument.Spread);
}
}
// Update the pending orders with each tick
else if (buy != null && sel != null)
{
var buy_ = new Trade(Instrument, buy);
var sel_ = new Trade(Instrument, sel);
MakeSpanningTrades(buy_, sel_);
Broker.ModifyPendingOrder(buy, buy_);
Broker.ModifyPendingOrder(sel, sel_);
}
// If there are no positions or pending orders, create them
else if (position == null && buy == null && sel == null)
{
var buy_ = new Trade(Instrument, TradeType.Buy, Label, 0, null, null, 0);
var sel_ = new Trade(Instrument, TradeType.Sell, Label, 0, null, null, 0);
MakeSpanningTrades(buy_, sel_);
Broker.CreatePendingOrder(buy_);
Broker.CreatePendingOrder(sel_);
}
}
/// <summary>Watch for position closed</summary>
protected override void OnPositionClosed(Position position)
{
EMA0.Reset(EMA0.WindowSize);
EMA0.Add(Instrument.LatestPrice.Mid);
Dump();
}
