/// <summary>
///
/// </summary>
/// <param name="bar"></param>
protected override void HandleBarOpen(Bar bar)
{
if (IsItTimeToTrigger(bar, false))
{
if (stopPrice.HasValue)
{
double lastClosePrice = bar.Close;
if (StopPriceManager.IsEntryStopPriceMet(lastClosePrice, stopPrice.Value, OrderSide))
{
LoggingUtility.LogCurrentBarArrival(LoggingConfig, bar);
PriceCalculator priceCalc = new PriceCalculator(LoggingConfig);
double targetPrice = priceCalc.CalculateSlippageAdjustedPrice(new PriceCalculatorInput()
{
AllowedSlippage = AllowedSlippage,
Atr = GetAtrValue(Instrument, AtrPeriod, triggerTime.Value),
CurrentBar = bar,
PreviousBar = GetPreviousBar(Instrument, bar, PeriodConstants.PERIOD_MINUTE),
OrderSide = OrderSide
});
double targetQuantity = new QuantityCalculator(LoggingConfig).Calculate(new QuantityCalculatorInput()
{
MaxPortfolioRisk = MaxPortfolioRisk,
MaxPositionRisk = MaxPositionRisk,
NumberOfPositions = NumberOfPositions,
PortfolioAmt = PortfolioAmount,
PortfolioAllocationPercentage = PortfolioAllocationPercentage,
PositionSizePercentage = PositionSizePercentage,
RoundLots = RoundLots,
StopPercentage = StopPercentage,
TargetPrice = targetPrice
});
targetPrice = priceCalc.RoundPrice(targetPrice, Instrument);
if (targetPrice <= 0 || targetQuantity <= 0)
throw new ApplicationException(string.Format("Invalid price of quantity calculated. Price {0:c}, Qty {1}", targetPrice, targetQuantity));
string orderName = GetAutoPlacedOrderName(OrderSide, string.Format("Auto-Open Stop Order @ {0:c}", stopPrice.Value), Instrument.Symbol);
strategyOrder = CreateOrder(OrderSide, targetQuantity, orderName, targetPrice);
LoggingUtility.LogOrder(LoggingConfig, orderName, OrderSide, targetQuantity, targetPrice, retryCount);
if (AutoSubmit)
strategyOrder.Send();
}
}
}
}
protected override void HandleBarOpen(Bar bar)
{
if (IsItTimeToTrigger(bar, false))
{
if (stopPrice.HasValue)
{
double lastClosePrice = bar.Close;
OrderSide? orderSide = null;
PositionSide? positionSide = null;
double targetPrice = lastClosePrice;
double targetQuantity = 0;
if (longPositionQuantity.HasValue && longPositionQuantity.Value > 0)
{
orderSide = OrderSide.Sell;
positionSide = PositionSide.Long;
}
if (shortPositionQuantity.HasValue && shortPositionQuantity.Value > 0)
{
orderSide = OrderSide.Buy;
positionSide = PositionSide.Short;
}
if (StopPriceManager.IsExitStopPriceMet(lastClosePrice, stopPrice.Value, positionSide.Value))
{
LoggingUtility.LogCurrentBarArrival(LoggingConfig, bar);
PriceCalculator priceCalc = new PriceCalculator(LoggingConfig);
QuantityCalculator qtyCalc = new QuantityCalculator(LoggingConfig);
if (positionSide.Value == PositionSide.Long)
{
targetPrice = priceCalc.CalculateSlippageAdjustedPrice(
new PriceCalculatorInput()
{
AllowedSlippage = AllowedSlippage,
Atr = GetAtrValue(Instrument, AtrPeriod, triggerTime.Value),
CurrentBar = bar,
OrderSide = orderSide.Value,
PreviousBar = GetPreviousBar(Instrument, bar, PeriodConstants.PERIOD_MINUTE)
});
targetQuantity = qtyCalc.CalculatePositionSizedQuantity(
longPositionQuantity.Value,
new QuantityCalculatorInput()
{
PositionSizePercentage = PositionSizePercentage,
RoundLots = RoundLots
});
}
if (positionSide.Value == PositionSide.Short)
{
targetPrice = priceCalc.CalculateSlippageAdjustedPrice(
new PriceCalculatorInput()
{
AllowedSlippage = AllowedSlippage,
Atr = GetAtrValue(Instrument, AtrPeriod, triggerTime.Value),
CurrentBar = bar,
OrderSide = orderSide.Value,
PreviousBar = GetPreviousBar(Instrument, bar, PeriodConstants.PERIOD_MINUTE)
});
targetQuantity = qtyCalc.CalculatePositionSizedQuantity(
shortPositionQuantity.Value,
new QuantityCalculatorInput()
{
PositionSizePercentage = PositionSizePercentage,
RoundLots = RoundLots
});
}
targetPrice = priceCalc.RoundPrice(targetPrice, Instrument);
if (targetPrice <= 0 || targetQuantity <= 0)
throw new ApplicationException(string.Format("Invalid price of quantity calculated. Price {0:c}, Qty {1}", targetPrice, targetQuantity));
string orderName = GetAutoPlacedOrderName(orderSide.Value, string.Format("Auto-Close Stop Order @ {0:c}", stopPrice.Value), Instrument.Symbol);
strategyOrder = CreateOrder(orderSide.Value, targetQuantity, orderName, targetPrice);
LoggingUtility.LogOrder(LoggingConfig, orderName, orderSide.Value, targetQuantity, targetPrice, retryCount);
if (AutoSubmit)
strategyOrder.Send();
}
}
}
}