/// <summary>
/// Estimate number of shares, given a kind of operation.
/// </summary>
/// <param name="symbol">The symbol to operate.</param>
/// <param name="order">The kind of order.</param>
/// <returns>The signed number of shares given the operation.</returns>
public decimal PositionShares(Symbol symbol, BaseStrategy strategy)
{
decimal quantity = 0;
int operationQuantity;
decimal targetSize = GetBetSize(symbol, strategy);
if (targetSize <= 10)
{
targetSize = 0;
strategy.ActualSignal = OrderSignal.doNothing;
}
switch (strategy.ActualSignal)
{
case OrderSignal.goLongLimit:
case OrderSignal.goLong:
//operationQuantity = CalculateOrderQuantity(symbol, targetSize); // let the algo decide on order quantity
//operationQuantity = (int)targetSize;
quantity = Math.Min(maxOperationQuantity, targetSize);
break;
case OrderSignal.goShortLimit:
case OrderSignal.goShort:
//operationQuantity = CalculateOrderQuantity(symbol, targetSize); // let the algo decide on order quantity
operationQuantity = (int)targetSize;
quantity = -Math.Min(maxOperationQuantity, targetSize);
break;
case OrderSignal.closeLong:
case OrderSignal.closeShort:
if (Portfolio[symbol].Quantity != 0)
quantity = -Portfolio[symbol].Quantity;
break;
case OrderSignal.revertToLong:
case OrderSignal.revertToShort:
if (Portfolio[symbol].Quantity != 0)
quantity = -2 * Portfolio[symbol].Quantity;
break;
default:
quantity = 0;
break;
}
return quantity;
}
/// <summary>
/// Executes the ITrend strategy orders.
/// </summary>
/// <param name="symbol">The symbol to be traded.</param>
/// <param name="strategy">The actual arder to be execute.</param>
/// <param name="data">The actual TradeBar data.</param>
private void ExecuteStrategy(Symbol symbol, BaseStrategy strategy, KeyValuePair<Symbol, TradeBar> data)
{
decimal limitPrice = 0m;
int shares = Convert.ToInt32(PositionShares(symbol, strategy));
if (shares == 0)
{
return;
}
ILimitPriceCalculator priceCalculator = new InstantTrendLimitPriceCalculator();
OrderTicket ticket;
if (shares == 0)
strategy.ActualSignal = OrderSignal.doNothing;
switch (strategy.ActualSignal)
{
case OrderSignal.goLongLimit:
// Define the limit price.
limitPrice = priceCalculator.Calculate(data.Value, strategy.ActualSignal, RngFac);
//ticket = MarketOrder(symbol, shares, false, strategy.Id.ToString(CultureInfo.InvariantCulture));
ticket = LimitOrder(symbol, shares, limitPrice);
break;
case OrderSignal.goShortLimit:
limitPrice = priceCalculator.Calculate(data.Value, strategy.ActualSignal, RngFac);
//ticket = MarketOrder(symbol, shares, false);
ticket = LimitOrder(symbol, shares, limitPrice);
break;
case OrderSignal.goLong:
case OrderSignal.goShort:
case OrderSignal.closeLong:
case OrderSignal.closeShort:
case OrderSignal.revertToLong:
case OrderSignal.revertToShort:
ticket = MarketOrder(symbol, shares);
//_ticketsQueue.Add(ticket);
break;
default: break;
}
}
private decimal GetBetSize(Symbol symbol, BaseStrategy strategy)
{
decimal currentPrice = Portfolio[symbol].Price;
decimal betsize = Portfolio[symbol].Invested
? Math.Abs(Portfolio[symbol].Quantity)
: Math.Abs((15m / 26m) * Portfolio.Cash / currentPrice);
if (betsize <= 10)
{
betsize = 0;
strategy.ActualSignal = OrderSignal.doNothing;
}
return betsize;
}
/// <summary>
/// Handles the case where an order is partially filled.
/// </summary>
/// <param name="data">The current data</param>
/// <param name="strategy"></param>
private void HandlePartiallyFilled(KeyValuePair<Symbol, TradeBar> data, BaseStrategy strategy)
{
IEnumerable<OrderTicket> livetickets =
Transactions.GetOrderTickets(
t => t.Symbol == data.Key && (t.Status == OrderStatus.Submitted || t.Status == OrderStatus.PartiallyFilled));
if (livetickets != null)
{
foreach (OrderTicket liveticket in livetickets)
{
if (strategy.TradeAttempts++ > 3)
{
liveticket.Cancel();
//Log(string.Format("Order {0} cancellation sent. Trade attempts > 3.", liveticket.OrderId));
}
}
}
}