/// <summary>
/// Determintes how to process the order (i.e. MOC, MOO, etc).
/// </summary>
private void fillOrder(TradeBar tradeBar, Order order)
{
//Makes sure we are supposed to be here
if (order.Status != OrderStatus.New && order.Status != OrderStatus.Pending)
{
return;
}
//Put MOO orders in the QUEUE and exit the method. We will process them tommorow.
if (order.OrderType == OrderType.MOO && order.Status == OrderStatus.New)
{
order.Status = OrderStatus.Pending;
PendingOrderQueue.Add(order);
return;
}
//Which price to use for fill?
if (order.OrderType == OrderType.MOO)
{
//Use the current opening price of the tradebar
order.FillPrice = tradeBar.Open;
}
else
{
//Use the current closing price of the tradebar
order.FillPrice = tradeBar.Close;
}
//VALIDATION REQUIRED - make sure we can afford to buy the stock
if (validateOrder(order) == false)
{
return;
}
//Update porfolio
order.OrderType = OrderType.Market; // Convert all order to market orders
order.FillDate = tradeBar.Day;
order.Status = OrderStatus.Filled;
updateHoldings(order);
//Throw event
if (OnOrder != null)
{
OnOrder(order, e);
}
}
/// <summary>
/// Processing order sitting in the queue when a new trade bar comes in (i.e. MOO orders)
/// and updates the current value of stocks on our portfolio.
/// Called from base algo.
/// </summary>
public void ProcessNewTradebar(TradeBar tradeBar)
{
//Pick up pending MOO orders placed yesterday
for (int i = 0; i < PendingOrderQueue.Count; i++)
{
Order order = PendingOrderQueue[i];
if (order.OrderType == OrderType.MOO && order.Status == OrderStatus.Pending)
{
fillOrder(tradeBar, order);
PendingOrderQueue.RemoveAt(i);
}
}
//Update current stock price of stocks in the portfolio
if (IsHoldingStock(tradeBar.Symbol))
{
StockPortfolio.Find(p => p.Symbol == tradeBar.Symbol).CurrentPrice = tradeBar.Close;
}
//Update equity over time
EquityOverTime.Add(tradeBar.Day, TotalEquity);
}