/// <summary>
/// NewTrade: Setup EnOrder
/// EndTrade: Clean up En, SL, PT orders
/// </summary>
/// <param name="execution"></param>
/// <param name="executionId"></param>
/// <param name="price"></param>
/// <param name="quantity"></param>
/// <param name="marketPosition"></param>
/// <param name="orderId"></param>
/// <param name="time"></param>
public virtual void OnCurExecutionUpdate(Execution execution, string executionId,
double price, int quantity, MarketPosition marketPosition, string orderId, DateTime time)
{
try {
if (!this.InstStrategy.IsInStrategyAnalyzer && InstStrategy.PrintOut > 1)
{
InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(),
InstStrategy.CurrentBar + ":OnCurExecutionUpdate"
+ ";executionId=" + executionId
+ ";orderId=" + orderId
+ ";execution.Order.Name=" + execution.Order.Name
+ ";marketPosition=" + marketPosition
+ ";quantity=" + quantity
+ ";price=" + price
);
}
PositionStatus ps = InstStrategy.GetPositionStatus(PosQuantity);
switch (ps)
{
case PositionStatus.NewEstablished: //New position created, setup SL/PT
if (!this.InstStrategy.IsInStrategyAnalyzer && InstStrategy.PrintOut > 1)
{
InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(),
String.Format("{0}:OnCurExecutionUpdate PositionStatus.NewEstablished, MktPos={1}, PosQuantity={2}, marketPosition={3}, quantity={4}",
InstStrategy.CurrentBar, MktPosition, PosQuantity, marketPosition, quantity));
}
break;
case PositionStatus.Liquidate: //Positions were closed, trade is done, init a new trade;
if (!this.InstStrategy.IsInStrategyAnalyzer && InstStrategy.PrintOut > 1)
{
InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(),
String.Format("{0}:OnCurExecutionUpdate PositionStatus.Liquidate, MktPos={1}, PosQuantity={2}, marketPosition={3}, quantity={4}",
InstStrategy.CurrentBar, MktPosition, PosQuantity, marketPosition, quantity));
}
//InitNewTrade();
break;
case PositionStatus.Hold:
break;
case PositionStatus.Flat:
break;
case PositionStatus.ScaledIn:
break;
case PositionStatus.ScaledOut:
break;
case PositionStatus.UnKnown:
break;
}
} catch (Exception ex) {
InstStrategy.Print("Exception=" + ex.StackTrace);
}
}
/// <summary>
///
/// </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>
public virtual void OnCurOrderUpdate(Cbi.Order order, double limitPrice, double stopPrice,
int quantity, int filled, double averageFillPrice,
Cbi.OrderState orderState, DateTime time, Cbi.ErrorCode error, string comment)
{
if (!this.InstStrategy.IsInStrategyAnalyzer && InstStrategy.PrintOut > 1)
{
InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(),
String.Format("{0}:OnCurOrderUpdate, limitPrice={1}, stopPrice={2}, quantity={3},\t\n filled={4}, averageFillPrice={5}, orderState={6}",
InstStrategy.CurrentBar, limitPrice, stopPrice, quantity, filled, averageFillPrice, orderState));
}
try {
// if (order.Name == "myEntryOrder" && orderState != OrderState.Filled)
// entryOrder = order;
// if (entryOrder != null && entryOrder == order)
// {
// Print(order.ToString());
// if (order.OrderState == OrderState.Filled)
// entryOrder = null;
// }
//GetBracketOrderSubType(order);
//InstStrategy.IndicatorProxy.TraceMessage(this.Name, 1);
if (BracketOrder.EntryOrder != null && BracketOrder.EntryOrder == order)
{
if (orderState == OrderState.Cancelled ||
//order.OrderState == OrderState.Filled ||
orderState == OrderState.Rejected ||
orderState == OrderState.Unknown)
{
barsSinceEnOrd = 0;
BracketOrder.EntryOrder = null;
}
}
//InstStrategy.IndicatorProxy.TraceMessage(this.Name, 1);
if (BracketOrder.TrailingSLOrder.EntryOrder != null && BracketOrder.TrailingSLOrder.EntryOrder == order)
{
if (orderState == OrderState.Cancelled ||
orderState == OrderState.Rejected ||
orderState == OrderState.Unknown)
{
barsSinceEnOrd = 0;
BracketOrder.TrailingSLOrder.EntryOrder = null;
}
}
} catch (Exception ex) {
InstStrategy.Print("Exception=" + ex.StackTrace);
}
}
/// <summary>
/// New position created: update position, setup SL/PT orders(the same bar);
/// Old position closed: Start a new trade;
/// Position is being held: check performane to adjust SL/PT orders;
/// All flat: wait for Command/TradeSignal, or detect new position created;
///
/// </summary>
/// <param name="position"></param>
/// <param name="averagePrice"></param>
/// <param name="quantity">always>0</param>
/// <param name="marketPosition">flat/long/short</param>
public virtual void OnCurPositionUpdate(Cbi.Position position, double averagePrice,
int quantity, Cbi.MarketPosition marketPosition)
{
try {
if (!this.InstStrategy.IsInStrategyAnalyzer && InstStrategy.PrintOut > 1)
{
InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(),
String.Format("{0}:OnCurPositionUpdate - AvgPrc: {1}, Quant={2}, MktPos={3}, marketPosition={4}, PnL={5}",
InstStrategy.CurrentBar, PosAvgPrice, PosQuantity, MktPosition, marketPosition, PosUnrealizedPnL));
}
//Position pos = position.MemberwiseClone();
PositionStatus ps = InstStrategy.GetPositionStatus(PosQuantity);
switch (ps)
{
case PositionStatus.NewEstablished: //New position created, setup SL/PT(the same bar)
if (!this.InstStrategy.IsInStrategyAnalyzer && InstStrategy.PrintOut > 1)
{
InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(),
String.Format("{0}:PositionStatus.NewEstablished, MktPos={1}, PosQuantity={2}, marketPosition={3}, quantity={4}",
InstStrategy.CurrentBar, MktPosition, PosQuantity, marketPosition, quantity));
}
UpdateCurPos(position, averagePrice, quantity, marketPosition);
/*InstStrategy.CheckExitSignals();
* InstStrategy.SetExitTradeAction();
* InstStrategy.TakeTradeAction();*/
break;
case PositionStatus.Liquidate: //Positions were closed, trade is done, init a new trade;
if (!this.InstStrategy.IsInStrategyAnalyzer && InstStrategy.PrintOut > 1)
{
InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(),
String.Format("{0}:PositionStatus.Liquidate, MktPos={1}, PosQuantity={2}, marketPosition={3}, quantity={4}",
InstStrategy.CurrentBar, MktPosition, PosQuantity, marketPosition, quantity));
}
InitNewTrade();
break;
case PositionStatus.Hold: //Position is held, change SL/PT by rule/performance, scale in/out occured;
//=> this case is replaced by CheckPerformance() from OnBarUpdate, it won't happen here, only scale in/out will happen
if (!this.InstStrategy.IsInStrategyAnalyzer && InstStrategy.PrintOut > 1)
{
InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(),
String.Format("{0}:Position is Held, MktPos={1}, marketPosition={2}, PosQuant={3}, Quant={4}",
InstStrategy.CurrentBar, MktPosition, marketPosition, PosQuantity, quantity));
}
// InstStrategy.CalProfitTargetAmt(PosAvgPrice, InstStrategy.MM_ProfitFactor);
// InstStrategy.CalExitOcoPrice(PosAvgPrice, InstStrategy.MM_ProfitFactor);
// InstStrategy.SetSimpleExitOCO(TradeAction.EntrySignal.SignalName);
break;
case PositionStatus.Flat:
break;
case PositionStatus.ScaledIn:
if (!this.InstStrategy.IsInStrategyAnalyzer && InstStrategy.PrintOut > 1)
{
InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(),
String.Format("{0}:PositionStatus.ScaledIn, MktPos={1}, marketPosition={2}, PosQuant={3}, Quant={4}",
InstStrategy.CurrentBar, MktPosition, marketPosition, PosQuantity, quantity));
}
break;
case PositionStatus.ScaledOut:
if (!this.InstStrategy.IsInStrategyAnalyzer && InstStrategy.PrintOut > 1)
{
InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(),
String.Format("{0}:PositionStatus.ScaledOut, MktPos={1}, marketPosition={2}, PosQuant={3}, Quant={4}",
InstStrategy.CurrentBar, MktPosition, marketPosition, PosQuantity, quantity));
}
break;
case PositionStatus.UnKnown:
break;
}
/*
* if (MktPosition == MarketPosition.Flat)
* {
* if(marketPosition == MarketPosition.Flat) {
* InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(),
* String.Format("{0}:NoChangeOnPosition, MktPos={1}, marketPosition={2}",
* InstStrategy.CurrentBar, MktPosition, marketPosition));
* } else { //New position created, setup SL/PT
* InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(),
* String.Format("{0}:NewOnPosition, MktPos={1}, marketPosition={2}",
* InstStrategy.CurrentBar, MktPosition, marketPosition));
* }
* //TradeAction.TrailingProfitTargetTics = InstStrategy.GetTicksByCurrency(TradeAction.profitTargetAmt);
* //trailingSLTic = GetTicksByCurrency(CurrentTrade.stopLossAmt);
* }
* else if (marketPosition == MarketPosition.Flat) { //Positions were closed, trade is done, init a new trade;
* InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(), "InitNewTrade called");
* InitNewTrade();
* }
* else //Position is held, change SL/PT by rule/performance, scale in/out occured;
* {
* InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(),
* String.Format("{0}:Position is Held, MktPos={1}, marketPosition={2}, PosQuant={3}, Quant={4}",
* InstStrategy.CurrentBar, MktPosition, marketPosition, PosQuantity, quantity));
* InstStrategy.CalProfitTargetAmt(PosAvgPrice, InstStrategy.MM_ProfitFactor);
* InstStrategy.CalExitOcoPrice(PosAvgPrice, InstStrategy.MM_ProfitFactor);
* InstStrategy.SetSimpleExitOCO(TradeAction.EntrySignal.SignalName);
* // SetBracketOrder.OCOOrder.ProfitTargetOrder(OrderSignalName.EntryShort.ToString());
* // SetBracketOrder.OCOOrder.StopLossOrder(OrderSignalName.EntryShort.ToString());
* }
*/
} catch (Exception ex) {
InstStrategy.Print("Exception=" + ex.StackTrace);
}
}
public int barsSinceEnOrd = 0; //Bar count since the en order issued
#endregion
#region Money Mgmt variables
// public double profitTargetAmt = 350;//36 Default(450-650 USD) setting for MM_ProfitTargetAmt
// public int profitTargetTic = 36;//Ticks of profit target
// public int profitTgtIncTic = 6;//8 Default tick Amt for ProfitTarget increase Amt
// public int profitLockMinTic = 16;//24 Default ticks Amt for Min Profit locking
// public int profitLockMaxTic = 30;//80 Default ticks Amt for Max Profit locking
// public double stopLossAmt = 200;//16 ticks Default setting for stopLossAmt
// public int stopLossTic = 16;//16 Default setting for stopLossTic
// public int stopLossIncTic = 4;//4 Default tick Amt for StopLoss increase Amt
// public double breakEvenAmt = 150;//150 the profits amount to trigger setting breakeven order
// public double trailingSLAmt = 100;//300 Default setting for trailing Stop Loss Amt
// public int trailingSLTic = 4;//Ticks for trailing stop loss order
// public double traillingSLPercent = 1;//Percent for trailing stop loss order
// public bool slTrailing = false;//Trailing stop loss
// public bool ptTrailing = false;//Trailing profit target
/// <summary>
/// Use price for the internal unified CalculationMode
/// since the stop loss over breakeven will be negative,
/// and it is easy to find conflict with SL/PT/TLSL price in OCO order;
/// SL, PT Amt and Tic are non-changable after tradeObj is init for new trade,
/// the price is changable to ajust during the exit OCO lifecycle;
/// </summary>
// public CalculationMode PTCalculationMode = CalculationMode.Currency;//Profit target CalMode
// public CalculationMode SLCalculationMode = CalculationMode.Currency;//Stoploss CalMode
// public CalculationMode BECalculationMode = CalculationMode.Currency;//Breakeven CalMode
// public CalculationMode TLSLCalculationMode = CalculationMode.Ticks;//Trailing SL CalMode
// public double DailyLossLmt = -200;//-300 the daily loss limit amount
// public double ProfitFactor = 0.5;//PT/SL ratio
//public int MaxOpenPosition = 1; //Quantity of the total contracts allowed to trade for the strategy
// public double profitTargetPrice = 0;//Runtime var. For trailing PT using the price to set OCO order
// public double stopLossPrice = 0;//Runtime var; Using price to set OCO order, since Amt could be negative
// public double trailingSLPrice = 0;//Runtime var. Price for trailing stoploss price
// public int trailingPTTic = 16;//Runtime var. Ticks for trailing ProfitTarget, using ticks to record current PT
#endregion
#region Trade Methods
private string GetNewTradeID()
{
return("TD-" + InstStrategy.GetBarTimestampStr(0));
}
