public void ConsumeQuoteOfStreamingBar(Quote quote) {
//Bar barLastFormed = quoteToReach.ParentStreamingBar;
ExecutionDataSnapshot snap = this.backtester.Executor.ExecutionDataSnapshot;
foreach (Indicator indicator in snap.Indicators.Values) {
try {
indicator.OnNewStreamingQuote(quote);
} catch (Exception ex) {
Debugger.Break();
}
}
if (snap.AlertsPending.Count > 0) {
var dumped = snap.DumpPendingAlertsIntoPendingHistoryByBar();
if (dumped > 0) {
//string msg = "here is at least one reason why dumping on fresh quoteToReach makes sense"
// + " if we never reach this breakpoint the remove dump() from here"
// + " but I don't see a need to invoke it since we dumped pendings already after OnNewBarCallback";
string msg = "DUMPED_BEFORE_SCRIPT_EXECUTION_ON_NEW_BAR_OR_QUOTE";
}
int pendingCountPre = this.backtester.Executor.ExecutionDataSnapshot.AlertsPending.Count;
int pendingFilled = this.backtester.Executor.MarketSimStreaming.SimulatePendingFill(quote);
int pendingCountNow = this.backtester.Executor.ExecutionDataSnapshot.AlertsPending.Count;
if (pendingCountNow != pendingCountPre - pendingFilled) {
string msg = "NOT_ONLY it looks like AnnihilateCounterparty worked out!";
}
if (pendingCountNow > 0) {
string msg = "pending=[" + pendingCountNow + "], it must be prototype-induced 2 closing TP & SL";
}
}
//this.backtester.Executor.Script.OnNewQuoteCallback(quoteToReach);
ReporterPokeUnit pokeUnit = this.backtester.Executor.ExecuteOnNewBarOrNewQuote(quote);
}
public virtual int InjectQuotesToFillPendingAlerts(Quote quoteToReach) {
int quotesInjected = 0;
int pendingsToFillInitially = this.backtester.Executor.ExecutionDataSnapshot.AlertsPending.Count;
if (pendingsToFillInitially == 0) return quotesInjected;
int iterationsLimit = 5;
// hard to debug but I hate while(){} loops
//for (Quote closestOnOurWay = this.generateClosestQuoteForEachPendingAlertOnOurWayTo(quoteToReach);
// closestOnOurWay != null;
// closestOnOurWay = this.generateClosestQuoteForEachPendingAlertOnOurWayTo(quoteToReach)) {
Quote closestOnOurWay = this.generateClosestQuoteForEachPendingAlertOnOurWayTo(quoteToReach);
while (closestOnOurWay != null) {
quotesInjected++;
closestOnOurWay.IntraBarSerno += quotesInjected;
this.backtester.BacktestDataSource.BacktestStreamingProvider.PushQuoteReceived(closestOnOurWay);
int pendingAfterInjected = this.backtester.Executor.ExecutionDataSnapshot.AlertsPending.Count;
if (pendingsToFillInitially != pendingAfterInjected) {
string msg = "it looks like the quoteInjected triggered something";
//Debugger.Break();
}
if (quotesInjected > iterationsLimit) {
string msg = "InjectQuotesToFillPendingAlerts(): quotesInjected["
+ quotesInjected + "] > iterationsLimit[" + iterationsLimit + "]"
+ " pendingNow[" + this.backtester.Executor.ExecutionDataSnapshot.AlertsPending.Count + "]"
+ " quoteToReach[" + quoteToReach + "]";
//throw new Exception(msg);
break;
}
if (this.backtester.BacktestAborted.WaitOne(0)) break;
if (this.backtester.RequestingBacktestAbort.WaitOne(0)) break;
closestOnOurWay = this.generateClosestQuoteForEachPendingAlertOnOurWayTo(quoteToReach);
}
return quotesInjected;
}
protected void LastQuoteUpdate(Quote quote) {
if (this.LastQuotesReceived[quote.Symbol] == quote) {
string msg = "How come you update twice to the same quote?";
return;
}
this.LastQuotesReceived[quote.Symbol] = quote;
}
public void GeneratedQuoteEnrichSymmetricallyAndPush(Quote quote) {
if (this.SpreadModeler == null) {
string msg = "Don't leave quoteToReach.Bid and quoteToReach.Ask uninitialized!!!";
throw new Exception(msg);
}
this.SpreadModeler.GenerateFillBidAskSymmetricallyFromLastPrice(quote);
base.PushQuoteReceived(quote);
}
public virtual void UpdateLastBidAskSnapFromQuote(Quote quote) {
this.LastQuoteUpdate(quote);
if (double.IsNaN(quote.Bid) || double.IsNaN(quote.Ask)) {
if (false) throw new Exception("You seem to process Bars.LastBar with Partials=NaN");
return;
}
if (quote.Bid != 0 && quote.Ask != 0) {
this.BestBidAskPutForSymbol(quote.Symbol, quote.Bid, quote.Ask);
}
}
public Quote DeriveIdenticalButFresh() {
Quote identicalButFresh = new Quote();
identicalButFresh.Symbol = this.Symbol;
identicalButFresh.SymbolClass = this.SymbolClass;
identicalButFresh.Source = this.Source;
identicalButFresh.ServerTime = this.ServerTime.AddMilliseconds(911);
identicalButFresh.LocalTimeCreatedMillis = this.LocalTimeCreatedMillis.AddMilliseconds(911);
identicalButFresh.PriceLastDeal = this.PriceLastDeal;
identicalButFresh.Bid = this.Bid;
identicalButFresh.Ask = this.Ask;
identicalButFresh.Size = this.Size;
identicalButFresh.IntraBarSerno = this.IntraBarSerno + Quote.IntraBarSernoShiftForGeneratedTowardsPendingFill;
identicalButFresh.ParentStreamingBar = this.ParentStreamingBar;
return identicalButFresh;
}
protected Quote generateNewQuoteChildrenHelper(int intraBarSerno, string source, string symbol, DateTime serverTime, double price, int volume) {
Quote quote = new Quote();
quote.Absno = ++this.QuoteAbsno;
quote.ServerTime = serverTime;
quote.IntraBarSerno = intraBarSerno;
quote.Source = source;
quote.Symbol = symbol;
quote.SymbolClass = this.backtester.BarsOriginal.SymbolInfo.SymbolClass;
quote.Size = volume;
quote.PriceLastDeal = price;
// moved to BacktestQuoteModeler
//quote.Bid = quote.PriceLastDeal - 10;
//quote.Ask = quote.PriceLastDeal + 10;
return quote;
}
public Quote BindStreamingBarForQuote(Quote quoteSernoEnrichedWithStreamingBarUnattached) {
if (consumer.ConsumerBarsToAppendInto == null) {
// StreamingSolidifier will attach the Bar itself
return quoteSernoEnrichedWithStreamingBarUnattached;
}
// if (consumer.ConsumerBarsToAppendInto.BarStreaming != null) {
// // first four quotes there is no BarStreaming?.../
// return quoteSernoEnrichedWithStreamingBarUnattached;
// }
//v1 consumer.ConsumerBarsToAppendInto.OverrideStreamingDOHLCVwith(quoteSernoEnrichedWithStreamingBarUnattached.ParentStreamingBar);
consumer.ConsumerBarsToAppendInto.CreateNewOrAbsorbIntoStreaming(quoteSernoEnrichedWithStreamingBarUnattached.ParentStreamingBar);
Quote quoteAttached = quoteSernoEnrichedWithStreamingBarUnattached.Clone();
quoteAttached.SetParentBar(consumer.ConsumerBarsToAppendInto.BarStreaming);
return quoteAttached;
}
public virtual Quote EnrichQuoteWithSernoUpdateStreamingBarCreateNewBar(Quote quoteClone) {
if (quoteClone.PriceLastDeal == 0) {
string msg = "quote.PriceLastDeal[" + quoteClone.PriceLastDeal + "] == 0;"
+ "what kind of quote is that?... (" + quoteClone + ")";
throw new Exception(msg);
//return;
}
if (StreamingBar.Symbol != quoteClone.Symbol) {
string msg = "StreamingBar.Symbol=[" + StreamingBar.Symbol + "]!=quote.Symbol["
+ quoteClone.Symbol + "] (" + quoteClone + ")";
throw new Exception(msg);
//return;
}
// included in if (quoteClone.ServerTime >= StreamingBar.DateTimeNextBarOpenUnconditional) !!!
// on very first quote StreamingBar.DateTimeNextBarOpenUnconditional = DateTime.MinValue
//SEE_BELOW if (StreamingBar.DateTimeOpen == DateTime.MinValue)
//SEE_BELOW this.initStreamingBarResetIntraBarSerno(quoteClone.ServerTime, quoteClone.PriceLastDeal, quoteClone.Size);
//SEE_BELOW }
if (quoteClone.ServerTime >= StreamingBar.DateTimeNextBarOpenUnconditional) {
LastBarFormedUnattached = StreamingBar.Clone(); //beware! on very first quote LastBarFormed.DateTimeOpen == DateTime.MinValue
initStreamingBarResetIntraBarSerno(quoteClone.ServerTime, quoteClone.PriceLastDeal, quoteClone.Size);
} else {
if (Double.IsNaN(StreamingBar.Open) || StreamingBar.Open == 0.0) {
throw new Exception("nonsense! we should've had StreamingBar already initialized with first quote of a bar");
//log.Warn("Initializing OHL as quote.PriceLastDeal[" + quoteClone.PriceLastDeal + "];"
// + " following previous InitWithStreamingBarInsteadOfEmpty message"
// + " (if absent then never initialized)");
//StreamingBar.Open = quoteClone.PriceLastDeal;
//StreamingBar.High = quoteClone.PriceLastDeal;
//StreamingBar.Low = quoteClone.PriceLastDeal;
}
if (quoteClone.PriceLastDeal > StreamingBar.High) StreamingBar.High = quoteClone.PriceLastDeal;
if (quoteClone.PriceLastDeal < StreamingBar.Low) StreamingBar.Low = quoteClone.PriceLastDeal;
StreamingBar.Close = quoteClone.PriceLastDeal;
StreamingBar.Volume += quoteClone.Size;
IntraBarSerno++;
}
quoteClone.IntraBarSerno = IntraBarSerno;
quoteClone.SetParentBar(StreamingBar);
return quoteClone;
}
public override void OnNewQuoteOfStreamingBarCallback(Quote quote) {
//double slowStreaming = this.MAslow.BarClosesProxied.StreamingValue;
double slowStatic = this.MAslow.ClosesProxyEffective.LastStaticValue;
DateTime slowStaticDate = this.MAslow.ClosesProxyEffective.LastStaticDate;
if (this.Executor.Backtester.IsBacktestingNow == false) {
Bar bar = quote.ParentStreamingBar;
int barNo = bar.ParentBarsIndex;
if (barNo == -1) return;
DateTime lastStaticBarDateTime = bar.ParentBars.BarStaticLast.DateTimeOpen;
DateTime streamingBarDateTime = bar.DateTimeOpen;
Bar barNormalizedDateTimes = new Bar(bar.Symbol, bar.ScaleInterval, quote.ServerTime);
DateTime thisBarDateTimeOpen = barNormalizedDateTimes.DateTimeOpen;
int a = 1;
}
//log("OnNewQuoteCallback(): [" + quote.ToString() + "]");
string msg = "OnNewQuoteCallback(): [" + quote.ToString() + "]";
log("EnterEveryBar.cs now=[" + DateTime.Now.ToString("ddd dd-MMM-yyyy HH:mm:ss.fff" + "]: " + msg));
if (quote.IntraBarSerno == 0) {
return;
}
}
public void PrintQuoteTimestampsOnStreamingButtonBeforeExecution(Quote quote) {
if (quote == null) return;
if (InvokeRequired) {
base.BeginInvoke((MethodInvoker)delegate { this.PrintQuoteTimestampsOnStreamingButtonBeforeExecution(quote); });
return;
}
StringBuilder sb = new StringBuilder(
"StreamingOn #" + quote.IntraBarSerno.ToString("000") + " "
+ quote.ServerTime.ToString("HH:mm:ss.fff"));
bool quoteTimesDifferMoreThanOneMicroSecond = quote.ServerTime.ToString("HH:mm:ss.f") != quote.LocalTimeCreatedMillis.ToString("HH:mm:ss.f");
if (quoteTimesDifferMoreThanOneMicroSecond) {
sb.Append(" :: " + quote.LocalTimeCreatedMillis.ToString("HH:mm:ss.fff"));
}
if (quote.HasParentBar) {
TimeSpan timeLeft = (quote.ParentStreamingBar.DateTimeNextBarOpenUnconditional > quote.ServerTime)
? quote.ParentStreamingBar.DateTimeNextBarOpenUnconditional.Subtract(quote.ServerTime)
: quote.ServerTime.Subtract(quote.ParentStreamingBar.DateTimeNextBarOpenUnconditional);
string format = ":ss";
if (timeLeft.Minutes > 0) format = "mm:ss";
if (timeLeft.Hours > 0) format = "HH:mm:ss";
sb.Append(" " + new DateTime(timeLeft.Ticks).ToString(format));
}
this.btnStreaming.Text = sb.ToString();
}
public void PushQuoteToConsumers(Quote quote2bClonedForEachConsumer) {
if (String.IsNullOrEmpty(quote2bClonedForEachConsumer.Symbol)) {
Assembler.PopupException("quote.Symbol[" + quote2bClonedForEachConsumer.Symbol + "] is null or empty, returning");
return;
}
if (quote2bClonedForEachConsumer.Symbol != this.Symbol) {
Assembler.PopupException("quote.Symbol[" + quote2bClonedForEachConsumer.Symbol + "] != this.Symbol[" + this.Symbol + "], returning");
return;
}
Quote quoteSernoEnrichedWithUnboundStreamingBar = StreamingBarFactoryUnattached.
EnrichQuoteWithSernoUpdateStreamingBarCreateNewBar(quote2bClonedForEachConsumer);
if (quoteSernoEnrichedWithUnboundStreamingBar.IntraBarSerno == 0) {
if (StreamingBarFactoryUnattached.LastBarFormedUnattached != null
//&& Double.IsNaN(StreamingBarFactoryUnattached.LastBarFormedUnattached.Close) == true
&& StreamingBarFactoryUnattached.LastBarFormedUnattached.DateTimeOpen != DateTime.MinValue
) {
lock (lockConsumersBar) {
//try {
this.bindNewStreamingBarAppendPokeConsumersStaticFormed();
//} catch (Exception e) {
// string msg = "is this why barsSimulated.Count=6 while barOriginal=31/50??";
// throw new Exception(msg);
//}
}
} else {
string msg = "I won't push LastStaticBar(DateTime.MinValue, NaN*5) on first quote2bClonedForEachConsumer[" + quote2bClonedForEachConsumer + "]"
+ " because it has initialized LastStaticBar=StreamingBar.Clone()"
+ " for " + StreamingBarFactoryUnattached;
//Assembler.PopupException(msg);
}
}
lock (lockConsumersQuote) {
this.bindStreamingBarForQuoteAndPushQuoteToConsumers(quoteSernoEnrichedWithUnboundStreamingBar.Clone());
}
}
public virtual void OnNewQuoteOfStreamingBarCallback(Quote quoteNewArrived) {
}
void IStreamingConsumer.ConsumeQuoteOfStreamingBar(Sq1.Core.DataTypes.Quote quote)
{
}
public virtual Quote EnrichQuoteWithSernoUpdateStreamingBarCreateNewBar(Quote quoteClone) {
if (quoteClone.PriceLastDeal == 0) {
string msg = "quote.PriceLastDeal[" + quoteClone.PriceLastDeal + "] == 0;"
+ "what kind of quote is that?... (" + quoteClone + ")";
throw new Exception(msg);
//return;
}
if (this.StreamingBarUnattached.Symbol != quoteClone.Symbol) {
string msg = "StreamingBar.Symbol=[" + this.StreamingBarUnattached.Symbol + "]!=quote.Symbol["
+ quoteClone.Symbol + "] (" + quoteClone + ")";
throw new Exception(msg);
//return;
}
// included in if (quoteClone.ServerTime >= StreamingBar.DateTimeNextBarOpenUnconditional) !!!
// on very first quote StreamingBar.DateTimeNextBarOpenUnconditional = DateTime.MinValue
//SEE_BELOW if (StreamingBar.DateTimeOpen == DateTime.MinValue)
//SEE_BELOW this.initStreamingBarResetIntraBarSerno(quoteClone.ServerTime, quoteClone.PriceLastDeal, quoteClone.Size);
//SEE_BELOW }
if (quoteClone.ServerTime >= this.StreamingBarUnattached.DateTimeNextBarOpenUnconditional) {
this.LastBarFormedUnattached = this.StreamingBarUnattached.Clone(); //beware! on very first quote LastBarFormed.DateTimeOpen == DateTime.MinValue
this.initStreamingBarResetIntraBarSerno(quoteClone.ServerTime, quoteClone.PriceLastDeal, quoteClone.Size);
// quoteClone.IntraBarSerno doesn't feel new Bar; can contain 100004 for generatedQuotes;
// I only want to reset to 0 when it's attributed to a new Bar; it's unlikely to face a new bar here for generatedQuotes;
if (this.IntraBarSerno != 0) {
string msg = "STREAMING_JUST_INITED_TO_ZERO WHY_NOW_IT_IS_NOT?";
Debugger.Break();
}
if (quoteClone.IntraBarSerno != 0) {
if (quoteClone.IntraBarSerno >= Quote.IntraBarSernoShiftForGeneratedTowardsPendingFill) {
string msg = "GENERATED_QUOTES_ARENT_SUPPOSED_TO_GO_TO_NEXT_BAR";
Debugger.Break();
}
quoteClone.IntraBarSerno = this.IntraBarSerno;
}
if (this.IntraBarSerno >= Quote.IntraBarSernoShiftForGeneratedTowardsPendingFill) {
string msg = "BAR_FACTORY_INTRABAR_SERNO_NEVER_GOES_TO_SYNTHETIC_ZONE";
Debugger.Break();
}
} else {
if (Double.IsNaN(this.StreamingBarUnattached.Open) || this.StreamingBarUnattached.Open == 0.0) {
throw new Exception("nonsense! we should've had StreamingBar already initialized with first quote of a bar");
//log.Warn("Initializing OHL as quote.PriceLastDeal[" + quoteClone.PriceLastDeal + "];"
// + " following previous InitWithStreamingBarInsteadOfEmpty message"
// + " (if absent then never initialized)");
//StreamingBar.Open = quoteClone.PriceLastDeal;
//StreamingBar.High = quoteClone.PriceLastDeal;
//StreamingBar.Low = quoteClone.PriceLastDeal;
}
this.StreamingBarUnattached.MergeExpandHLCVforStreamingBarUnattached(quoteClone);
this.IntraBarSerno++;
}
if (quoteClone.ParentStreamingBar != null) {
string msg = "QUOTE_ALREADY_ENRICHED_WITH_PARENT_STREAMING_BAR; I think it's a pre- bindStreamingBarForQueue() atavism";
//Assembler.PopupException(msg);
} else {
quoteClone.SetParentBar(this.StreamingBarUnattached);
}
return quoteClone;
}
public override void GenerateFillAskBasedOnBid(Quote quote, double bidPrice) {
quote.Ask = bidPrice + this.constant;
quote.Bid = bidPrice;
}
public Quote generateClosestQuoteForEachPendingAlertOnOurWayTo(Quote quoteToReach) {
if (this.backtester.Executor.ExecutionDataSnapshot.AlertsPending.Count == 0) {
string msg = "it looks like no Pending alerts are left anymore";
return null;
}
Quote quotePrev = this.backtester.BacktestDataSource.BacktestStreamingProvider.StreamingDataSnapshot
.LastQuoteGetForSymbol(quoteToReach.Symbol);
// assuming both quotes generated using same SpreadModeler and their spreads are equal
//v1 if (quoteToReach.Bid == quotePrev.Bid || quoteToReach.Ask == quotePrev.Ask) {
if (quoteToReach.SameBidAsk(quotePrev)) {
string msg = "WE_REACHED_QUOTE_TO_REACH_SAME_BIDASK_NOTHING_ELSE_TO_GENERATE";
return null;
}
if (quotePrev.ServerTime >= quoteToReach.ServerTime) {
string msg = "WE_REACHED_QUOTE_TO_REACH_SAME_SERVERTIME_NOTHING_ELSE_TO_GENERATE";
return null;
}
bool scanningDown = quoteToReach.Bid < quotePrev.Bid;
Quote quoteClosest = null;
List<Alert> alertsPendingSafeCopy = new List<Alert>(this.backtester.Executor.ExecutionDataSnapshot.AlertsPending);
foreach (Alert alert in alertsPendingSafeCopy) {
// DONT_EXPECT_THEM_TO_BE_FILLED_YOU_SHOULD_FILL_ALL_RELEVANT_NOW
//if (scanningDown) {
// // while GEN'ing down, all BUY/COVER STOPs pending were already triggered & executed
// bool executedAtAsk = alert.Direction == Direction.Buy || alert.Direction == Direction.Cover;
// if (executedAtAsk && alert.MarketLimitStop == MarketLimitStop.Stop) continue;
//} else {
// // while GEN'ing up, all SHORT/SELL STOPs pending were already triggered & executed
// bool executedAtBid = alert.Direction == Direction.Short || alert.Direction == Direction.Sell;
// if (executedAtBid && alert.MarketLimitStop == MarketLimitStop.Stop) continue;
//}
Quote quoteThatWillFillAlert = this.modelQuoteThatCouldFillAlert(alert);
if (quoteThatWillFillAlert == null) continue;
if (scanningDown) {
if (quoteThatWillFillAlert.Bid > quotePrev.Bid) {
string msg = "IGNORING_QUOTE_HIGHER_THAN_PREVIOUS_WHILE_SCANNING_DOWN";
continue;
}
if (quoteThatWillFillAlert.Bid < quoteToReach.Bid) {
string msg = "IGNORING_QUOTE_LOWER_THAN_TARGET_WHILE_SCANNING_DOWN";
continue;
}
} else {
if (quoteThatWillFillAlert.Ask < quotePrev.Ask) {
string msg = "IGNORING_QUOTE_LOWER_THAN_PREVIOUS_WHILE_SCANNING_UP";
continue;
}
if (quoteThatWillFillAlert.Ask > quoteToReach.Ask) {
string msg = "IGNORING_QUOTE_HIGHER_THAN_TARGET_WHILE_SCANNING_UP";
continue;
}
}
if (quoteClosest == null) {
quoteClosest = quoteThatWillFillAlert;
} else {
if (scanningDown) {
// while GEN'ing closest to the top, pick the highest possible
// while scanning down, I'm looking for the quote with highest Ask that will trigger the closest pending
if (quoteThatWillFillAlert.Bid < quoteClosest.Bid) continue;
quoteClosest = quoteThatWillFillAlert;
} else {
// while GEN'ing closest to the bottom, pick the lowest possible
if (quoteThatWillFillAlert.Ask > quoteClosest.Ask) continue;
quoteClosest = quoteThatWillFillAlert;
}
}
}
if (quoteClosest == null) return quoteClosest;
if (scanningDown) {
if (quoteClosest.Bid > quotePrev.Bid) {
string msg = "WHILE_SCANNING_DOWN_RETURNING_QUOTE_HIGHER_THAN_PREVIOUS_IS_WRONG";
}
if (quoteClosest.Bid < quoteToReach.Bid) {
string msg = "WHILE_SCANNING_DOWN_RETURNING_QUOTE_LOWER_THAN_TARGET_IS_WRONG";
}
} else {
if (quoteClosest.Ask < quotePrev.Ask) {
string msg = "WHILE_SCANNING_UP_RETURNING_QUOTE_LOWER_THAN_PREVIOUS_IS_WRONG";
}
if (quoteClosest.Ask > quoteToReach.Ask) {
string msg = "WHILE_SCANNING_UP_RETURNING_QUOTE_HIGHER_THAN_TARGET_IS_WRONG";
}
}
//if (quotePrev.ParentStreamingBar.ParentBarsIndex == 185) {
if (this.backtester.Executor.Bars.Count == 185) {
//Debugger.Break();
int q = 1;
}
//I_WILL_SPOIL_STREAMING_BAR_IF_I_ATTACH_LIKE_THIS Quote quoteNextAttached = this.backtester.BacktestDataSource.BacktestStreamingProvider.(quoteToReach.Clone());
Quote ret = quotePrev.DeriveIdenticalButFresh();
ret.Bid = quoteClosest.Bid;
ret.Ask = quoteClosest.Ask;
ret.Size = quoteClosest.Size;
ret.Source = quoteClosest.Source;
return ret;
}
public bool CheckEntryAlertWillBeFilledByQuote(Alert entryAlert, Quote quote, out double entryPriceOut, out double entrySlippageOutNotUsed) {
// if entry is triggered, call position.EnterFinalize(entryPrice, entrySlippage, entryCommission);
entryPriceOut = this.executor.AlignAlertPriceToPriceLevel(entryAlert.Bars, entryAlert.PriceScript, true,
entryAlert.PositionLongShortFromDirection, entryAlert.MarketLimitStop);
entrySlippageOutNotUsed = 0;
//Direction directionPositionClose = MarketConverter.ExitDirectionFromLongShort(alert.PositionLongShortFromDirection);
//double slippageLimit = this.executor.getSlippage(
// alert.PriceScript, alert.Direction, 0, this.executor.IsStreaming, true);
//double slippageNonLimit = this.executor.getSlippage(
// alert.PriceScript, alert.Direction, 0, this.executor.IsStreaming, false);
//double slippageMarketForClosingPosition = this.executor.getSlippage(
// alert.PriceScript, directionPositionClose, 0, this.executor.IsStreaming, false);
int barIndexTested = entryAlert.Bars.Count - 1;
switch (entryAlert.MarketLimitStop) {
case MarketLimitStop.Limit:
switch (entryAlert.Direction) {
case Direction.Buy:
//dont check if (slippage >= 0) throw new Exception("BuyAtLimit: slippage[" + slippage + "] should be negative -");
//if (priceScriptAligned + slippageLimit < quoteToReach.Bid) return false;
if (entryPriceOut < quote.Bid) return false;
break;
case Direction.Short:
//dont check if (slippage <= 0) throw new Exception("ShortAtLimit: slippage[" + slippage + "] should be positive +");
//if (priceScriptAligned + slippageLimit > quoteToReach.Ask) return false;
if (entryPriceOut > quote.Ask) return false;
break;
default:
throw new Exception("NYI: direction[" + entryAlert.Direction + "] is not Long or Short");
}
break;
case MarketLimitStop.Stop:
switch (entryAlert.Direction) {
case Direction.Buy:
if (entryPriceOut > quote.Ask) return false;
//entrySlippageOutNotUsed = slippageNonLimit;
//priceScriptAligned += entrySlippageOutNotUsed;
break;
case Direction.Short:
if (entryPriceOut < quote.Bid) return false;
//entrySlippageOutNotUsed = -slippageNonLimit;
//priceScriptAligned += entrySlippageOutNotUsed;
break;
default:
throw new Exception("NYI: direction[" + entryAlert.Direction + "] is not Long or Short");
}
entryPriceOut = this.executor.AlignAlertPriceToPriceLevel(entryAlert.Bars, entryPriceOut, true,
entryAlert.PositionLongShortFromDirection, entryAlert.MarketLimitStop);
break;
case MarketLimitStop.Market:
case MarketLimitStop.AtClose:
switch (entryAlert.Direction) {
case Direction.Buy:
if (entryPriceOut > quote.Ask) {
entryPriceOut = quote.Ask;
string msg = "BuyAtMarket/BuyAtClose(bar[" + barIndexTested
+ "], signalName[" + entryAlert.PositionAffected.EntrySignal + "]) "
+ "entryPrice[" + entryPriceOut + "] > := quoteToReach.Ask["
+ barIndexTested + "]=[" + quote.Ask + "]"
+ " while basisPrice=[" + entryAlert.PositionAffected.LastQuoteForMarketOrStopLimitImplicitPrice + "]";
}
//entrySlippageOutNotUsed = slippageNonLimit;
//priceScriptAligned += entrySlippageOutNotUsed;
break;
case Direction.Short:
if (entryAlert.PriceScript < quote.Bid) {
entryPriceOut = quote.Bid;
string msg = "ShortAtMarket/ShortAtClose(bar[" + barIndexTested
+ "], signalName[" + entryAlert.PositionAffected.EntrySignal + "]) "
+ "entryPrice[" + entryPriceOut + "] < := quoteToReach.Bid["
+ barIndexTested + "]=[" + quote.Bid + "]"
+ " while basisPrice=[" + entryAlert.PositionAffected.LastQuoteForMarketOrStopLimitImplicitPrice + "]";
}
//entrySlippageOutNotUsed = -slippageNonLimit;
//priceScriptAligned += entrySlippageOutNotUsed;
break;
default:
throw new Exception("CheckEntry() NYI direction[" + entryAlert.Direction + "] for [" + entryAlert + "]");
}
break;
default:
throw new Exception("NYI: marketLimitStop[" + entryAlert.MarketLimitStop + "] is not Limit or Stop");
}
entryPriceOut = this.executor.AlignAlertPriceToPriceLevel(entryAlert.Bars, entryPriceOut, true,
entryAlert.PositionLongShortFromDirection, entryAlert.MarketLimitStop);
if (entryPriceOut <= 0) {
string msg = "entryPrice[" + entryPriceOut + "]<=0 what do you mean??? get Bars.LastBar.Close for Market...";
throw new Exception(msg);
}
// v1 BarStreaming with 1 quoteToReach (=> 0px height) won't contain any price you may check here;
// v1 REMOVED because MarketLimitStop.Market haven't been filled immediately and behaved like stop/limit entries/exits;
// v1 for Stop/Limit you already hit "return false" above; market should get whatever crazy bid/ask and get the fill at first attempt now
//if (alert.Bars.BarStreaming.ContainsPrice(priceScriptAligned) == false) { // earlier version of same checkup as Position.FillEntryWith()
// string msg = "QUOTE_UNFILLABLE_ON_BAR_STREAMING quoteToReach[" + quoteToReach + "] => priceScriptAligned["
// + priceScriptAligned + "] at alert.Bars.BarStreaming[" + alert.Bars.BarStreaming + "]";
// //throw new Exception(msg);
// return false;
//}
// /v1
return true;
}
public ReporterPokeUnit ExecuteOnNewBarOrNewQuote(Quote quote) {
if (this.Strategy.Script == null) return null;
ReporterPokeUnit pokeUnit = new ReporterPokeUnit(quote);
this.ExecutionDataSnapshot.PreExecutionClear();
int alertsDumpedForStreamingBar = -1;
if (quote != null) {
try {
this.Strategy.Script.OnNewQuoteOfStreamingBarCallback(quote);
//alertsDumpedForStreamingBar = this.ExecutionDataSnapshot.DumpPendingAlertsIntoPendingHistoryByBar();
//if (alertsDumpedForStreamingBar > 0) {
// string msg = "ITS OK HERE since prev quote has created prototype-based alerts"
// + "I WANT DUMP TO BE VALID ONLY IN onNewBar case only!!!"
// + " " + alertsDumpedForStreamingBar + " alerts Dumped for " + quote;
//}
} catch (Exception ex) {
string msig = " Script[" + this.Strategy.Script.GetType().Name + "].OnNewQuoteCallback(" + quote + "): ";
this.PopupException(ex.Message + msig, ex);
}
} else {
try {
this.Strategy.Script.OnBarStaticLastFormedWhileStreamingBarWithOneQuoteAlreadyAppendedCallback(this.Bars.BarStaticLast);
} catch (Exception ex) {
string msig = " Script[" + this.Strategy.Script.GetType().Name + "].OnNewBarCallback(" + quote + "): ";
this.PopupException(ex.Message + msig, ex);
}
}
string msg = "DONT_REMOVE_ALERT_SHOULD_LEAVE_ITS_TRAIL_DURING_LIFETIME_TO_PUT_UNFILLED_DOTS_ON_CHART";
alertsDumpedForStreamingBar = this.ExecutionDataSnapshot.DumpPendingAlertsIntoPendingHistoryByBar();
if (alertsDumpedForStreamingBar > 0) {
msg += " DUMPED_AFTER_SCRIPT_EXECUTION_ON_NEW_BAR_OR_QUOTE";
}
// what's updated after Exec: non-volatile, kept un-reset until executor.Initialize():
//this.ExecutionDataSnapshot.PositionsMasterByEntryBar (unique)
//this.ExecutionDataSnapshot.PositionsMaster
//this.PositionsOnlyActive
//this.AlertsMaster
//this.AlertsNewAfterExec
// what's new for this iteration: volatile, cleared before next Exec):
//this.AlertsNewAfterExec
//this.ExecutionDataSnapshot.PositionsOpenedAfterExec
//this.ExecutionDataSnapshot.PositionsClosedAfterExec
bool willPlace = this.Backtester.IsBacktestingNow == false && this.OrderProcessor != null && this.IsAutoSubmitting;
bool setStatusSubmitting = this.IsStreaming && this.IsAutoSubmitting;
List<Alert> alertsNewAfterExecCopy = this.ExecutionDataSnapshot.AlertsNewAfterExecSafeCopy;
if (alertsNewAfterExecCopy.Count > 0) {
this.enrichAlertsWithQuoteCreated(alertsNewAfterExecCopy, quote);
if (willPlace) {
this.OrderProcessor.CreateOrdersSubmitToBrokerProviderInNewThreadGroups(alertsNewAfterExecCopy, setStatusSubmitting, true);
}
}
if (this.Backtester.IsBacktestingNow && this.Backtester.WasBacktestAborted) return null;
pokeUnit.AlertsNew = alertsNewAfterExecCopy;
pokeUnit.PositionsOpened = this.ExecutionDataSnapshot.PositionsOpenedAfterExecSafeCopy;
pokeUnit.PositionsClosed = this.ExecutionDataSnapshot.PositionsClosedAfterExecSafeCopy;
return pokeUnit;
}
void enrichAlertsWithQuoteCreated(List<Alert> alertsAfterStrategy, Quote quote) {
if (quote == null) return;
foreach (Alert alert in alertsAfterStrategy) {
if (alert.PlacedBarIndex != this.Bars.Count - 1) {
string msg = "skipping enriching: alertsNewAfterExec should contain only lastBar alerts"
+ "; got alertAfterStrategy.BarRelnoPlaced[" + alert.PlacedBarIndex + "]"
+ "!= this.Bars.Count[" + this.Bars.Count + "] for alert[" + alert + "]";
this.PopupException(msg);
continue;
}
//log.Debug("quote!=null => setting for TradeHistory:" +
// " 1) alert.BrokerQuoteDateTime=quote.ServerTime[" + quote.ServerTime + "]" +
// " 2) alert.PriceDeposited=[" + priceDeposited + "] quote.DepositBuy[" + quote.FortsDepositBuy + "] quote.DepositSell[" + quote.FortsDepositSell + "] ");
//if (alertAfterStrategy.DataRange == null) alertAfterStrategy.DataRange = this.BarDataRange;
//alertAfterStrategy.PositionSize = this.PositionSize;
alert.QuoteCreatedThisAlertServerTime = quote.ServerTime;
alert.QuoteCreatedThisAlert = quote;
}
}
public override void GenerateFillBidAskSymmetrically(Quote quote, double medianPrice) {
if (quote == null) return;
quote.Ask = medianPrice + this.constant / 2;
quote.Bid = medianPrice - this.constant / 2;
}
public override void GenerateFillBidBasedOnAsk(Quote quote, double askPrice) {
quote.Ask = askPrice;
quote.Bid = askPrice - this.constant;
}
public void ConsumeQuoteOfStreamingBar(Quote quote) {
this.msigForNpExceptions = "ConsumeFreshQuote(): ";
var barsSafe = this.Bars;
var streamingSafe = this.StreamingProvider;
var chartFormSafe = this.ChartForm;
var executorSafe = this.Executor;
//var rendererSafe = this.Renderer;
try {
streamingSafe.InitializeStreamingOHLCVfromStreamingProvider(ConsumerBarsToAppendInto);
} catch (Exception e) {
Assembler.PopupException("didn't merge with Partial, continuing", e);
}
//this.ChartForm.Chart.UpdatePartialAndHorizontalScrollMaximum(qd.BarFactory.CurrentBar);
if (quote.ParentStreamingBar.ParentBarsIndex > quote.ParentStreamingBar.ParentBars.Count) {
string msg = "should I add a bar into Chart.Bars?... NO !!! already added";
}
//if (this.NewQuote != null) this.NewQuote(this, new QuoteEventArgs(quote));
//this.chartFormsManager.Executor.onNewQuoteEnqueueExecuteStrategyInNewThread(this, new QuoteEventArgs(quote));
// launch update in GUI thread
chartFormSafe.PrintQuoteTimestampsOnStreamingButtonBeforeExecution(quote);
// execute strategy in the thread of a StreamingProvider (DDE server for MockQuickProvider)
executorSafe.ExecuteOnNewBarOrNewQuote(quote);
// trigger GUI to repaint the chart with new positions and bid/ask lines
chartFormSafe.ChartControl.InvalidateAllPanelsFolding();
//rendererSafe.DrawBidAskLines = true;
}
public override void OnNewQuoteOfStreamingBarCallback(Quote quoteNewArrived) {
this.placePrototypeOncePositionClosed(quoteNewArrived.ParentStreamingBar);
}
public abstract void GenerateFillBidAskSymmetrically(Quote quote, double medianPrice);
Quote modelQuoteThatCouldFillAlert(Alert alert) {
string err;
Quote quoteModel = new Quote();
quoteModel.Source = "GENERATED_TO_FILL_" + alert.ToString();
quoteModel.Size = alert.Qty;
double priceScriptAligned = this.backtester.Executor.AlignAlertPriceToPriceLevel(alert.Bars, alert.PriceScript, true,
alert.PositionLongShortFromDirection, alert.MarketLimitStop);
Quote quotePrev = this.backtester.BacktestDataSource.BacktestStreamingProvider.StreamingDataSnapshot
.LastQuoteGetForSymbol(alert.Symbol);
switch (alert.MarketLimitStop) {
case MarketLimitStop.Limit:
switch (alert.Direction) {
case Direction.Buy:
case Direction.Cover:
if (priceScriptAligned > quotePrev.Ask) {
err = "INVALID_PRICESCRIPT_FOR_LIMIT_BUY_MUST_NOT_BE_ABOVE_CURRENT_ASK";
return null;
}
this.backtester.BacktestDataSource.BacktestStreamingProvider.SpreadModeler
.GenerateFillBidBasedOnAsk(quoteModel, priceScriptAligned);
break;
case Direction.Short:
case Direction.Sell:
if (priceScriptAligned < quotePrev.Bid) {
err = "INVALID_PRICESCRIPT_FOR_LIMIT_SELL_MUST_NOT_BE_BELOW_CURRENT_BID";
return null;
}
this.backtester.BacktestDataSource.BacktestStreamingProvider.SpreadModeler
.GenerateFillAskBasedOnBid(quoteModel, priceScriptAligned);
break;
default:
throw new Exception("ALERT_LIMIT_DIRECTION_UNKNOWN direction[" + alert.Direction + "] is not Buy/Cover/Short/Sell modelQuoteThatCouldFillAlert()");
}
break;
case MarketLimitStop.Stop:
switch (alert.Direction) {
case Direction.Buy:
case Direction.Cover:
if (priceScriptAligned < quotePrev.Ask) {
err = "INVALID_PRICESCRIPT_FOR_STOP_BUY_MUST_NOT_BE_BELOW_CURRENT_ASK";
return null;
}
this.backtester.BacktestDataSource.BacktestStreamingProvider.SpreadModeler
.GenerateFillBidBasedOnAsk(quoteModel, priceScriptAligned);
break;
case Direction.Short:
case Direction.Sell:
if (priceScriptAligned > quotePrev.Bid) {
err = "INVALID_PRICESCRIPT_FOR_STOP_SELL_MUST_NOT_BE_ABOVE_CURRENT_BID";
return null;
}
this.backtester.BacktestDataSource.BacktestStreamingProvider.SpreadModeler
.GenerateFillAskBasedOnBid(quoteModel, priceScriptAligned);
break;
default:
throw new Exception("ALERT_STOP_DIRECTION_UNKNOWN direction[" + alert.Direction + "] is not Buy/Cover/Short/Sell modelQuoteThatCouldFillAlert()");
}
break;
case MarketLimitStop.Market:
switch (alert.Direction) {
case Direction.Buy:
case Direction.Cover:
quoteModel.Ask = quotePrev.Ask;
this.backtester.BacktestDataSource.BacktestStreamingProvider.SpreadModeler
.GenerateFillBidBasedOnAsk(quoteModel, quotePrev.Ask);
break;
case Direction.Short:
case Direction.Sell:
quoteModel.Bid = quotePrev.Bid;
this.backtester.BacktestDataSource.BacktestStreamingProvider.SpreadModeler
.GenerateFillAskBasedOnBid(quoteModel, quotePrev.Bid);
break;
default:
throw new Exception("ALERT_MARKET_DIRECTION_UNKNOWN direction[" + alert.Direction + "] is not Buy/Cover/Short/Sell modelQuoteThatCouldFillAlert()");
}
break;
case MarketLimitStop.StopLimit: // HACK one quote might satisfy SLactivation, the other one might fill it; time to introduce state of SL into Alert???
string msg = "STOP_LIMIT_QUOTE_FILLING_GENERATION_REQUIRES_TWO_STEPS_NYI"
+ "; pass SLActivation=0 to PositionPrototypeActivator so that it generates STOP instead of STOPLOSS which I can't generate yet";
//Debugger.Break();
break;
case MarketLimitStop.AtClose:
default:
throw new Exception("ALERT_TYPE_UNKNOWN MarketLimitStop[" + alert.MarketLimitStop + "] is not Market/Limit/Stop modelQuoteThatCouldFillAlert()");
}
return quoteModel;
}
public abstract void GenerateFillAskBasedOnBid(Quote quote, double bidPrice);
public abstract void GenerateFillBidBasedOnAsk(Quote quote, double askPrice);
public void GenerateFillBidAskSymmetricallyFromLastPrice(Quote quote) {
if (quote == null) return;
this.GenerateFillBidAskSymmetrically(quote, quote.PriceLastDeal);
}
public DateTime getThisDayClose(Quote quote) {
return new DateTime(quote.ServerTime.Date.Year, quote.ServerTime.Date.Month, quote.ServerTime.Date.Day,
this.MarketCloseServerTime.Hour, this.MarketCloseServerTime.Minute, this.MarketCloseServerTime.Second);
}
public void CallbackAlertFilledMoveAroundInvokeScript(Alert alertFilled, Quote quote,
int barFillRelno, double priceFill, double qtyFill, double slippageFill, double commissionFill) {
string msig = " CallbackAlertFilledMoveAroundInvokeScript(" + alertFilled + ", " + quote + ")";
List<Alert> alertsNewAfterAlertFilled = new List<Alert>();
List<Position> positionsOpenedAfterAlertFilled = new List<Position>();
List<Position> positionsClosedAfterAlertFilled = new List<Position>();
//"Excuse me, what bar is it now?" I'm just guessing! does BrokerProvider knows to pass Bar here?...
Bar barFill = (this.IsStreaming) ? alertFilled.Bars.BarStreamingCloneReadonly : alertFilled.Bars.BarStaticLast;
if (barFillRelno != barFill.ParentBarsIndex) {
string msg = "barFillRelno[" + barFillRelno + "] != barFill.ParentBarsIndex["
+ barFill.ParentBarsIndex + "]; barFill=[" + barFill + "]";
Assembler.PopupException(msg);
}
if (priceFill == -1) {
string msg = "won't set priceFill=-1 for alert [" + alertFilled + "]";
throw new Exception(msg);
}
if (alertFilled.PositionAffected == null) {
string msg = "CallbackAlertFilled can't do its job: alert.PositionAffected=null for alert [" + alertFilled + "]";
throw new Exception(msg);
}
if (alertFilled.IsEntryAlert) {
if (alertFilled.PositionAffected.EntryFilledBarIndex != -1) {
string msg = "DUPE: CallbackAlertFilled can't do its job: alert.PositionAffected.EntryBar!=-1 for alert [" + alertFilled + "]";
throw new Exception(msg);
} else {
string msg = "initializing EntryBar=[" + barFill + "] on AlertFilled";
}
} else {
if (alertFilled.PositionAffected.ExitFilledBarIndex != -1) {
string msg = "DUPE: CallbackAlertFilled can't do its job: alert.PositionAffected.ExitBar!=-1 for alert [" + alertFilled + "]";
throw new Exception(msg);
return;
} else {
string msg = "initializing ExitBar=[" + barFill + "] on AlertFilled";
}
}
if (quote == null) {
quote = this.DataSource.StreamingProvider.StreamingDataSnapshot.LastQuoteGetForSymbol(alertFilled.Symbol);
// TODO: here quote will have NO_PARENT_BARS, since StreamingDataSnapshot contains anonymous quote;
// I should keep per-timeframe / per-distributionChannel LastQuote to have ParentBar= different StreamingBar 's
// bindStreamingBarForQuoteAndPushQuoteToConsumers(quoteSernoEnrichedWithUnboundStreamingBar.Clone());
}
alertFilled.QuoteLastWhenThisAlertFilled = quote;
try {
alertFilled.FillPositionAffectedEntryOrExitRespectively(barFill, barFillRelno, priceFill, qtyFill, slippageFill, commissionFill);
} catch (Exception ex) {
string msg = "REMOVE_FILLED_FROM_PENDING? DONT_USE_Bar.ContainsPrice()?";
Assembler.PopupException(msg + msig, ex);
//Debugger.Break();
}
bool removed = this.ExecutionDataSnapshot.AlertsPendingRemove(alertFilled);
if (removed == false) {
Debugger.Break();
}
if (alertFilled.IsEntryAlert) {
// position has its parent alert in Position.ctor()
//// REFACTORED_POSITION_HAS_AN_ALERT_AFTER_ALERTS_CONSTRUCTOR
//alert.PositionAffected.EntryCopyFromAlert(alert);
this.ExecutionDataSnapshot.PositionsMasterOpenNewAdd(alertFilled.PositionAffected);
positionsOpenedAfterAlertFilled.Add(alertFilled.PositionAffected);
} else {
//// REFACTORED_POSITION_HAS_AN_ALERT_AFTER_ALERTS_CONSTRUCTOR we can exit by TP or SL - position doesn't have an ExitAlert assigned until Alert was filled!!!
//alertFilled.PositionAffected.ExitAlertAttach(alertFilled);
this.ExecutionDataSnapshot.MovePositionOpenToClosed(alertFilled.PositionAffected);
positionsClosedAfterAlertFilled.Add(alertFilled.PositionAffected);
}
bool willPlace = this.Backtester.IsBacktestingNow == false && this.OrderProcessor != null && this.IsAutoSubmitting;
bool setStatusSubmitting = this.IsStreaming && this.IsAutoSubmitting;
PositionPrototype proto = alertFilled.PositionAffected.Prototype;
if (proto != null) {
// 0. once again, set ExitAlert to What was actually filled, because prototypeEntry created SL & TP, which were both written into ExitAlert;
// so if we caught the Loss and SL was executed, position.ExitAlert will still contain TP if we don't set it here
bool exitIsDifferent = alertFilled.PositionAffected.ExitAlert != null && alertFilled.PositionAffected.ExitAlert != alertFilled;
if (alertFilled.IsExitAlert && exitIsDifferent) {
alertFilled.PositionAffected.ExitAlertAttach(alertFilled);
}
// 1. alert.PositionAffected.Prototype.StopLossAlertForAnnihilation and TP will get assigned
alertsNewAfterAlertFilled = this.PositionPrototypeActivator.AlertFilledCreateSlTpOrAnnihilateCounterparty(alertFilled);
// quick check: there must be {SL+TP} OR Annihilator
//this.BacktesterFacade.IsBacktestingNow == false &&
if (alertFilled.IsEntryAlert) {
if (proto.StopLossAlertForAnnihilation == null) {
string msg = "NONSENSE@Entry: proto.StopLossAlert is NULL???..";
throw new Exception(msg);
}
if (proto.TakeProfitAlertForAnnihilation == null) {
string msg = "NONSENSE@Entry: proto.TakeProfitAlert is NULL???..";
throw new Exception(msg);
}
if (alertsNewAfterAlertFilled.Count == 0) {
string msg = "NONSENSE@Entry: alertsNewSlAndTp.Count=0"
+ "; this.PositionPrototypeActivator.AlertFilledCreateSlTpOrAnnihilateCounterparty(alertFilled)"
+ " should return 2 alerts; I don't want to create new list from {proto.SL, proto.TP}";
throw new Exception(msg);
}
}
if (alertFilled.IsExitAlert) {
if (alertsNewAfterAlertFilled.Count > 0) {
string msg = "NONSENSE@Exit: there must be no alerts (got " + alertsNewAfterAlertFilled.Count + "): killer works silently";
throw new Exception(msg);
}
}
if (alertsNewAfterAlertFilled.Count > 0 && willPlace) {
this.OrderProcessor.CreateOrdersSubmitToBrokerProviderInNewThreadGroups(alertsNewAfterAlertFilled, setStatusSubmitting, true);
// 3. Script using proto might move SL and TP which require ORDERS to be moved, not NULLs
int twoMinutes = 120000;
if (alertFilled.IsEntryAlert) {
// there must be SL.OrderFollowed!=null and TP.OrderFollowed!=null
if (proto.StopLossAlertForAnnihilation.OrderFollowed == null) {
string msg = "StopLossAlert.OrderFollowed is NULL!!! engaging ManualResetEvent.WaitOne()";
this.PopupException(msg);
Stopwatch waitedForStopLossOrder = new Stopwatch();
waitedForStopLossOrder.Start();
proto.StopLossAlertForAnnihilation.MreOrderFollowedIsNotNull.WaitOne(twoMinutes);
waitedForStopLossOrder.Stop();
msg = "waited " + waitedForStopLossOrder.ElapsedMilliseconds + "ms for StopLossAlert.OrderFollowed";
if (proto.StopLossAlertForAnnihilation.OrderFollowed == null) {
msg += ": NO_SUCCESS still null!!!";
this.PopupException(msg);
} else {
proto.StopLossAlertForAnnihilation.OrderFollowed.AppendMessage(msg);
this.PopupException(msg);
}
} else {
string msg = "you are definitely crazy, StopLossAlert.OrderFollowed is a single-threaded assignment";
//this.ThrowPopup(new Exception(msg));
}
if (proto.TakeProfitAlertForAnnihilation.OrderFollowed == null) {
string msg = "TakeProfitAlert.OrderFollowed is NULL!!! engaging ManualResetEvent.WaitOne()";
this.PopupException(msg);
Stopwatch waitedForTakeProfitOrder = new Stopwatch();
waitedForTakeProfitOrder.Start();
proto.TakeProfitAlertForAnnihilation.MreOrderFollowedIsNotNull.WaitOne();
waitedForTakeProfitOrder.Stop();
msg = "waited " + waitedForTakeProfitOrder.ElapsedMilliseconds + "ms for TakeProfitAlert.OrderFollowed";
if (proto.TakeProfitAlertForAnnihilation.OrderFollowed == null) {
msg += ": NO_SUCCESS still null!!!";
this.PopupException(msg);
} else {
proto.TakeProfitAlertForAnnihilation.OrderFollowed.AppendMessage(msg);
this.PopupException(msg);
}
} else {
string msg = "you are definitely crazy, TakeProfitAlert.OrderFollowed is a single-threaded assignment";
//this.ThrowPopup(new Exception(msg));
}
}
}
}
if (this.Backtester.IsBacktestingNow == false) {
ReporterPokeUnit pokeUnit = new ReporterPokeUnit(quote);
pokeUnit.AlertsNew = alertsNewAfterAlertFilled;
pokeUnit.PositionsOpened = positionsOpenedAfterAlertFilled;
pokeUnit.PositionsClosed = positionsClosedAfterAlertFilled;
this.PushPositionsOpenedClosedToReportersAsyncUnsafe(pokeUnit);
}
// 4. Script event will generate a StopLossMove PostponedHook
this.invokeScriptEvents(alertFilled);
// reasons for (alertsNewAfterExec.Count > 0) include:
// 2.1. PrototypeActivator::AlertFilledPlaceSlTpOrAnnihilateCounterparty
// 2.2. Script.OnAlertFilledCallback(alert)
// 2.3. Script.OnPositionOpenedPrototypeSlTpPlacedCallback(alert.PositionAffected)
// 2.4. Script.OnPositionClosedCallback(alert.PositionAffected)
}
