public Alert ExitAlertCreate(Bar exitBar, Position position, double stopOrLimitPrice, string signalName,
Direction direction, MarketLimitStop exitMarketLimitStop)
{
this.checkThrowEntryBarIsValid(exitBar);
this.checkThrowPositionToCloseIsValid(position);
double priceScriptOrStreaming = stopOrLimitPrice;
OrderSpreadSide orderSpreadSide = OrderSpreadSide.Unknown;
if (exitMarketLimitStop == MarketLimitStop.Market)
{
priceScriptOrStreaming = this.getStreamingPriceForMarketOrder(exitMarketLimitStop, direction, out orderSpreadSide);
}
PositionLongShort longShortFromDirection = MarketConverter.LongShortFromDirection(direction);
double exitPriceScript = exitBar.ParentBars.SymbolInfo.RoundAlertPriceToPriceLevel(
priceScriptOrStreaming, true, longShortFromDirection, exitMarketLimitStop);
Alert alert = new Alert(exitBar, position.Shares, exitPriceScript, signalName,
direction, exitMarketLimitStop, orderSpreadSide,
//this.executor.Script,
this.executor.Strategy);
alert.AbsorbFromExecutor(executor);
alert.PositionAffected = position;
// moved to CallbackAlertFilled - we can exit by TP or SL - and position has no clue which Alert was filled!!!
//position.ExitCopyFromAlert(alert);
alert.PositionAffected.ExitAlertAttach(alert);
return(alert);
}
public Alert CreateTakeProfitFromPositionPrototype(Position position)
{
PositionPrototype proto = position.Prototype;
if (proto.TakeProfitPositiveOffset == 0)
{
string msg = "What should Activator do with proto.StopLossNegativeOffset=0?";
throw new Exception(msg);
}
Alert alertTakeProfit = executor.SellOrCoverAlertCreateDontRegister(
executor.Bars.BarStreaming,
position, proto.PriceTakeProfit,
"protoTakeProfitExit:" + proto.TakeProfitPositiveOffset
+ "@" + proto.PriceTakeProfit + " for " + position.EntrySignal,
MarketConverter.ExitDirectionFromLongShort(position.Prototype.LongShort),
MarketLimitStop.Limit);
if (alertTakeProfit == null)
{
string msg = "alertTakeProfit should NOT be null";
throw new Exception(msg);
}
proto.TakeProfitAlertForAnnihilation = alertTakeProfit;
return(alertTakeProfit);
}
public Alert EntryAlertCreate(Bar entryBar, double stopOrLimitPrice, string entrySignalName,
Direction direction, MarketLimitStop entryMarketLimitStop)
{
this.checkThrowEntryBarIsValid(entryBar);
double priceScriptOrStreaming = stopOrLimitPrice;
OrderSpreadSide orderSpreadSide = OrderSpreadSide.Unknown;
if (entryMarketLimitStop == MarketLimitStop.Market)
{
priceScriptOrStreaming = this.getStreamingPriceForMarketOrder(entryMarketLimitStop, direction, out orderSpreadSide);
}
PositionLongShort longShortFromDirection = MarketConverter.LongShortFromDirection(direction);
// ALREADY_ALIGNED_AFTER GetAlignedBidOrAskForTidalOrCrossMarketFromStreaming
double entryPriceScript = entryBar.ParentBars.SymbolInfo.RoundAlertPriceToPriceLevel(
priceScriptOrStreaming, true, longShortFromDirection, entryMarketLimitStop);
double shares = this.executor.PositionSizeCalculate(entryBar, entryPriceScript);
Alert alert = new Alert(entryBar, shares, entryPriceScript, entrySignalName,
direction, entryMarketLimitStop, orderSpreadSide,
//this.executor.Script,
this.executor.Strategy);
alert.AbsorbFromExecutor(executor);
return(alert);
}
public string ReasonWhyNewTakeProfitOffsetDoesntMakeSense(Position position, double newTakeProfitPositiveOffset, bool internalCallee = false)
{
PositionPrototype proto = position.Prototype;
if (position.Symbol != proto.Symbol)
{
string msg1 = "NotYetImplemented: your script changes TakeProfitOffset for a proto.Symbol[" + proto.Symbol + "]!=position.Symbol[" + position.Symbol + "]";
throw new Exception(msg1);
}
Direction dir = MarketConverter.EntryDirectionFromLongShort(proto.LongShort);
if (position.EntryAlert.Direction != dir)
{
string msg1 = "NotYetImplemented: Crazy check here";
throw new Exception(msg1);
}
Quote quote = executor.DataSource.StreamingProvider.StreamingDataSnapshot.LastQuoteGetForSymbol(proto.Symbol);
double priceBestBidAsk = executor.DataSource.StreamingProvider.StreamingDataSnapshot.BidOrAskFor(proto.Symbol, proto.LongShort);
double newTakeProfitPrice = proto.OffsetToPrice(newTakeProfitPositiveOffset);
bool willBeExecutedImmediately = false;
string ident = "TakeProfit{old[" + proto.PriceTakeProfit + "]:new[" + newTakeProfitPrice + "]}";
string msg = "";
switch (dir)
{
case Direction.Buy:
if (newTakeProfitPrice < priceBestBidAsk)
{
willBeExecutedImmediately = true;
msg = "will be filled immediately: newLongTakeProfitPrice[" + newTakeProfitPrice + "] < Ask[" + priceBestBidAsk + "] "
+ ident + " //position[" + position + "]";
}
break;
case Direction.Short:
if (newTakeProfitPrice > priceBestBidAsk)
{
willBeExecutedImmediately = true;
msg = "will be filled immediately: newShortTakeProfitPrice[" + newTakeProfitPrice + "] > Bid[" + priceBestBidAsk + "] "
+ ident + " //position[" + position + "]";
}
break;
default:
msg = "I refuse to change TakeProfit when position.EntryAlert.Direction=["
+ position.EntryAlert.Direction + "] - must be Buy or Sell only!!!";
break;
}
if (internalCallee == true)
{
msg += " (Script is strongly recommented to check TP price first so we don't pass unexpected position closures to the Market)";
}
return(msg);
}
public Alert CreateStopLossFromPositionPrototype(Position position)
{
//if (this.executor.checkPrototypeAlreadyPlaced(position)) return;
PositionPrototype proto = position.Prototype;
if (proto.StopLossNegativeOffset == 0)
{
string msg = "What should Activator do with proto.StopLossNegativeOffset=0?";
throw new Exception(msg);
}
if (proto.StopLossNegativeOffset == 0)
{
string msg = this.ReasonWhyNewStopLossOffsetDoesntMakeSense(position, proto.StopLossNegativeOffset);
if (String.IsNullOrEmpty(msg) == false)
{
string msg2 = "What should Activator do with sense-less proto.StopLossNegativeOffset[" + proto.StopLossNegativeOffset + "], ";
throw new Exception(msg2, new Exception(msg));
}
}
MarketLimitStop simpleStopIfActivationZero = (proto.StopLossActivationNegativeOffset == 0) ? MarketLimitStop.Stop : MarketLimitStop.StopLimit;
Alert alertStopLoss = executor.SellOrCoverAlertCreateDontRegister(
executor.Bars.BarStreaming,
position, proto.PriceStopLoss,
"protoStopLossExit:" + proto.StopLossActivationNegativeOffset
+ "@" + proto.StopLossNegativeOffset + " for " + position.EntrySignal,
MarketConverter.ExitDirectionFromLongShort(proto.LongShort),
simpleStopIfActivationZero);
if (alertStopLoss == null)
{
string msg = "alertStopLoss should NOT be null";
throw new Exception(msg);
}
alertStopLoss.PriceStopLimitActivation = 0;
if (proto.StopLossActivationNegativeOffset < 0)
{
alertStopLoss.PriceStopLimitActivation = proto.PriceStopLossActivation;
}
if (proto.StopLossAlertForAnnihilation != null && this.executor.Backtester.IsBacktestingNow == false)
{
string msg = "CLEANUP: I was trying to catch MoveStopLoss::if(proto.StopLossAlertForAnnihilation==null)"
+ " so I thought there is a new prototype assigned to a position,"
+ " since we never put null directly proto.StopLossAlertForAnnihilation";
throw new Exception(msg);
}
proto.StopLossAlertForAnnihilation = alertStopLoss;
return(alertStopLoss);
}
public string ReasonWhyPlacingProtoDoesntMakeSense(PositionPrototype proto, bool internalCallee = false)
{
double lastPrice = executor.DataSource.StreamingProvider.StreamingDataSnapshot.LastQuoteGetPriceForMarketOrder(proto.Symbol);
Quote quote = executor.DataSource.StreamingProvider.StreamingDataSnapshot.LastQuoteGetForSymbol(proto.Symbol);
double priceBestBidAsk = executor.DataSource.StreamingProvider.StreamingDataSnapshot.BidOrAskFor(proto.Symbol, proto.LongShort);
bool willBeExecutedImmediately = false;
MarketLimitStop planningEntryUsing = MarketConverter.EntryMarketLimitStopFromDirection(
executor.Bars.BarStreamingCloneReadonly.Close, proto.PriceEntry, proto.LongShort);
string msg = "";
Direction dir = MarketConverter.EntryDirectionFromLongShort(proto.LongShort);
switch (dir)
{
case Direction.Buy:
if (proto.PriceEntry > priceBestBidAsk)
{
willBeExecutedImmediately = true;
msg = "proto.PriceEntry[" + proto.PriceEntry + "] > Bid[" + priceBestBidAsk + "]"
+ " your Alert.EntryPrice goes above current price"
+ " so the planningEntryUsing[" + planningEntryUsing + "] will be activated/filled immediately..."
+ " //proto[" + proto + "]";
}
break;
case Direction.Short:
if (proto.PriceEntry < priceBestBidAsk)
{
willBeExecutedImmediately = true;
msg = "proto.PriceEntry[" + proto.PriceEntry + "] < Ask[" + priceBestBidAsk + "]"
+ " your Alert.EntryPrice goes below current price"
+ " so the planningEntryUsing[" + planningEntryUsing + "] will be activated/filled immediately..."
+ " //proto[" + proto + "]";
}
break;
default:
msg = "I refuse to PlaceOnce(proto) for.Direction=[" + dir + "] - must be Buy or Sell only!!!";
break;
}
if (internalCallee == true)
{
msg += " (Script is strongly recommented to check proto.EntryPrice first so we don't pass unexpected position entries to the Market)";
}
return(msg);
}
public Market GetMarketInformation(long marketId)
{
GetMarketInformationRequest request = new GetMarketInformationRequest();
request.MarketIds = new long[] { marketId };
GetMarketInformationResponse response = _proxy.GetMarketInformation(request);
if (response.ReturnStatus.Code != 0)
{
throw new Exception(response.ReturnStatus.Description);
}
// Since only receive one marketId as param then can assume will always be just one market returned.
Market[] marketToReturn = MarketConverter.ConvertMarketTypeCollection(response.Markets);
return(marketToReturn[0]);
}
public Market GetPrices(long marketId)
{
GetPricesRequest request = new GetPricesRequest();
request.MarketIds = new long[] { marketId };
request.NumberAgainstPricesRequired = 3;
request.NumberForPricesRequired = 3;
GetPricesResponse response = _proxy.GetPrices(request);
if (response.ReturnStatus.Code != 0)
{
throw new Exception(response.ReturnStatus.Description);
}
// Since only receive one marketId as param then can assume will always be just one market returned.
Market[] marketToReturn = MarketConverter.ConvertMarketTypeWithPricesCollection(response.MarketPrices);
return(marketToReturn[0]);
}
public void PlaceOnce(PositionPrototype proto)
{
if (proto.PriceEntry == 0)
{
string msg = "market orders can't be found in OrdersPending";
}
if (this.checkPrototypeAlreadyPlaced(proto))
{
return;
}
//this.checkThrowPlacingProtoMakesSense(proto);
proto.checkTPOffsetThrowBeforeAbsorbing(proto.TakeProfitPositiveOffset);
proto.checkSLOffsetsThrowBeforeAbsorbing(proto.StopLossNegativeOffset, proto.StopLossActivationNegativeOffset);
//bool a = this.executor.BacktesterFacade.IsBacktestingNow;
Position posWithAlert = executor.BuyOrShortAlertCreateRegister(
executor.Bars.BarStreaming,
proto.PriceEntry, "protoEntry@" + proto.PriceEntry,
MarketConverter.EntryDirectionFromLongShort(proto.LongShort),
MarketConverter.EntryMarketLimitStopFromDirection(
executor.Bars.BarStreamingCloneReadonly.Close, proto.PriceEntry, proto.LongShort)
);
if (posWithAlert == null)
{
string msg = "man I don't understand this null; out-of-bar limit should still leave a pending Alert.PositionAffected";
throw new Exception(msg);
}
if (posWithAlert.Prototype != null)
{
string msg = "CLEANUP: I was trying to catch MoveStopLoss::if(proto.StopLossAlertForAnnihilation==null)"
+ " so I thought there is a new prototype assigned to a position,"
+ " since we never put null directly proto.StopLossAlertForAnnihilation";
throw new Exception(msg);
}
posWithAlert.Prototype = proto;
}
public string ReasonWhyNewStopLossOffsetDoesntMakeSense(Position position, double newStopLossNegativeOffset, bool internalCallee = false)
{
PositionPrototype proto = position.Prototype;
if (position.Symbol != proto.Symbol)
{
string msg1 = "NotYetImplemented: your script changes StopLossOffset for a proto.Symbol[" + proto.Symbol + "]!=position.Symbol[" + position.Symbol + "]";
throw new Exception(msg1);
}
Direction dir = MarketConverter.EntryDirectionFromLongShort(proto.LongShort);
if (position.EntryAlert.Direction != dir)
{
string msg1 = "NotYetImplemented: Crazy check here";
throw new Exception(msg1);
}
string msg = "";
double priceBestBidAsk = executor.DataSource.StreamingProvider.StreamingDataSnapshot.BidOrAskFor(proto.Symbol, proto.LongShort);
double newStopLossPrice = proto.OffsetToPrice(newStopLossNegativeOffset);
switch (proto.StopLossAlertForAnnihilation.MarketLimitStop)
{
#region StopLimits are considered NYI; mess v1 implementation
case MarketLimitStop.StopLimit:
double newActivationOffset = proto.CalcActivationOffsetForNewClosing(newStopLossNegativeOffset);
//double lastPrice = executor.DataSource.StreamingProvider.StreamingDataSnapshot.LastQuoteGetPriceForMarketOrder(proto.Symbol);
//Quote quote = executor.DataSource.StreamingProvider.StreamingDataSnapshot.LastQuoteGetForSymbol(proto.Symbol);
double newActivationPrice = proto.OffsetToPrice(newActivationOffset);
bool willBeExecutedImmediately = false;
string ident = "StopLoss{old[" + proto.PriceStopLoss + "]:new[" + newStopLossPrice + "]}"
+ " Activation{old[" + proto.PriceStopLossActivation + "]:new[" + newActivationPrice + "]}";
switch (dir)
{
case Direction.Buy:
if (newActivationPrice > priceBestBidAsk)
{
willBeExecutedImmediately = true;
msg = "newActivationPrice[" + newActivationPrice + "] > Bid[" + priceBestBidAsk + "] " + ident
+ " your SLactivation goes above current price so the StopLoss will be activated/filled immediately..."
+ " //position[" + position + "]";
}
break;
case Direction.Short:
if (newActivationPrice < priceBestBidAsk)
{
willBeExecutedImmediately = true;
msg = "newActivationPrice[" + newActivationPrice + "] < Ask[" + priceBestBidAsk + "] " + ident
+ " your SLactivation goes below current price so the StopLoss will be activated/filled immediately..."
+ " //position[" + position + "]";
}
break;
default:
msg = "I refuse to change StopLoss when position.EntryAlert.Direction=["
+ position.EntryAlert.Direction + "] - must be Buy or Short only!!!";
break;
}
break;
#endregion
case MarketLimitStop.Stop:
string ident2 = "PureStopLoss{old[" + proto.PriceStopLoss + "]:new[" + newStopLossPrice + "]}";
switch (proto.StopLossAlertForAnnihilation.Direction)
{
case Direction.Sell:
double ask = executor.DataSource.StreamingProvider.StreamingDataSnapshot.BestAskGetForMarketOrder(proto.Symbol);
if (newStopLossPrice > ask)
{
msg = "NEW_STOP_PRICE_BELOW_ASK_WILL_BE_REJECTED_BY_MARKET"
+ " newStopLossPrice[" + newStopLossPrice + "] < Ask[" + ask + "] " + ident2
+ " //position[" + position + "]";
}
break;
case Direction.Cover:
double bid = executor.DataSource.StreamingProvider.StreamingDataSnapshot.BestBidGetForMarketOrder(proto.Symbol);
if (newStopLossPrice > bid)
{
msg = "NEW_STOP_PRICE_ABOVE_BID_WILL_BE_REJECTED_BY_MARKET"
+ " newStopLossPrice[" + newStopLossPrice + "] > Bid[" + bid + "] " + ident2
+ " //position[" + position + "]";
}
break;
default:
msg = "PROTOTYPE_BASED_STOP_LOSS_MODIFICATION_REFUSED_MUSTBE_SELL_OR_COVER"
+ "; position.ExitA.Direction=[" + position.ExitAlert.Direction + "]";
break;
}
break;
default:
msg = "STOP_LOSS_ALERT_TYPE_NOT_SUPPORTED [" + proto.StopLossAlertForAnnihilation.MarketLimitStop + "]";
throw new Exception(msg);
}
if (internalCallee == true)
{
msg += " (Script is strongly recommented to check SL price first so we don't pass unexpected position closures to the Market)";
}
return(msg);
}
