private static Order Deviation(Order order,
OrderDeviationMode mode, int threshold,
OrderDeviationMethod method,
OrderPriceAdjustMethod adjustMethod,
byte slippage, byte maxTry)
{
var info = GetOrderInfo(order);
if (mode == OrderDeviationMode.Disabled)
{
info.DeviationMode = mode;
}
else
{
switch (info.DeviationMode)
{
case OrderDeviationMode.QuoteAndTrade:
case OrderDeviationMode.Trade:
case OrderDeviationMode.Time:
info.DeviationMode |= mode;
break;
default:
info.DeviationMode = mode;
break;
}
}
info.DeviationInfo.Threshold = threshold;
info.DeviationInfo.Method = method;
info.DeviationInfo.PriceAdjustMethod = adjustMethod;
info.DeviationInfo.Slippage = slippage;
info.DeviationInfo.MaxTry = maxTry;
return(order);
}
public static Order OpenShort(this Strategy strategy, Instrument instrument, double qty,
OrderPriceAdjustMethod method = OrderPriceAdjustMethod.MatchPrice)
{
double price = GetOrderPrice(instrument, OrderSide.Sell, method);
return(OpenShort(strategy, instrument, qty, price));
}
public static Order Market2Limit(this Order order, OrderPriceAdjustMethod method, byte slippage = 1)
{
var info = GetOrderInfo(order);
info.Market2Limit.PriceAdjustMethod = method;
info.Market2Limit.Slippage = slippage;
return(order);
}
public void LoadForm(BinaryReader reader)
{
PriceAdjustMethod = (OrderPriceAdjustMethod)reader.ReadByte();
Method = (OrderDeviationMethod)reader.ReadByte();
Slippage = reader.ReadByte();
MaxTry = reader.ReadByte();
TryCount = reader.ReadByte();
Threshold = reader.ReadInt32();
}
private static double GetOrderPrice(Instrument instrument, OrderSide side, OrderPriceAdjustMethod method)
{
var rules = instrument.GetTradingRules();
double price;
if (rules.HasMarketOrder)
{
price = Double.NaN;
}
else
{
if (side == OrderSide.Buy)
{
price = method == OrderPriceAdjustMethod.MatchPrice ? instrument.Ask.Price : instrument.GetUpperLimitPrice();
}
else
{
price = method == OrderPriceAdjustMethod.MatchPrice ? instrument.Bid.Price : instrument.GetLowerLimitPrice();
}
}
return(price);
}
public static Order TradeDeviation(this Order order, byte priceOffset,
OrderPriceAdjustMethod adjustMethod = OrderPriceAdjustMethod.MatchPrice, byte slippage = 1, byte maxTry = 3)
{
return(PriceDeviation(order, priceOffset, OrderDeviationMode.Trade, adjustMethod, slippage, maxTry));
}
public static Order TimeDeviation(this Order order, int timeout,
OrderPriceAdjustMethod adjustMethod = OrderPriceAdjustMethod.MatchPrice, byte slippage = 1, byte maxTry = 3)
{
return(Deviation(order, OrderDeviationMode.Time, timeout, OrderDeviationMethod.PriceAdjust, adjustMethod, slippage, maxTry));
}
private static Order PriceDeviation(Order order, byte priceOffset, OrderDeviationMode mode,
OrderPriceAdjustMethod adjustMethod = OrderPriceAdjustMethod.MatchPrice, byte slippage = 1, byte maxTry = 3)
{
return(Deviation(order, mode, priceOffset, OrderDeviationMethod.PriceAdjust, adjustMethod, slippage, maxTry));
}
public static OrderList CloseShort(this Strategy strategy, Instrument instrument, double qty,
OrderPriceAdjustMethod method = OrderPriceAdjustMethod.MatchPrice)
{
return(CloseShort(strategy, instrument, qty, GetOrderPrice(instrument, OrderSide.Buy, method)));
}
public static OrderList CloseShort(this InstrumentStrategy strategy, double qty,
OrderPriceAdjustMethod method = OrderPriceAdjustMethod.MatchPrice)
{
return(CloseShort(strategy, strategy.Instrument, qty, method));
}
public static Order OpenLong(this InstrumentStrategy strategy, double qty, OrderPriceAdjustMethod method = OrderPriceAdjustMethod.MatchPrice)
{
return(OpenLong(strategy, strategy.Instrument, qty, method));
}
public OrderAgent DefaultMarket2Limit(OrderPriceAdjustMethod method, byte slippage = 0)
{
Info.Market2Limit.PriceAdjustMethod = method;
Info.Market2Limit.Slippage = slippage;
return(this);
}
