/// <summary>
/// This function is called prior to calling the GetOrderSignals to check to see if a ticket was filled
/// If the ticket did not fill within one bar, cancel it and assume the market moved away from the limit order
///
/// </summary>
private List <ProformaOrderTicket> HandleTickets()
{
List <ProformaOrderTicket> proformaOrderTickets = new List <ProformaOrderTicket>();
foreach (OrderTicket queuedTicket in _ticketsQueue)
{
ProformaOrderTicket proformaLiveTicket = new ProformaOrderTicket();
// Check the ticket against the Transactions version of the ticket
OrderTicket liveticket = Transactions.GetOrderTickets(t => t.OrderId == queuedTicket.OrderId).FirstOrDefault();
if (liveticket != null)
{
proformaLiveTicket.Status = liveticket.Status;
proformaLiveTicket.OrderId = liveticket.OrderId;
proformaLiveTicket.Symbol = liveticket.Symbol;
proformaLiveTicket.Source = liveticket.Tag;
proformaLiveTicket.TicketTime = liveticket.Time;
proformaLiveTicket.Security_Type = liveticket.SecurityType;
proformaLiveTicket.Tag = liveticket.Tag;
proformaLiveTicket.TicketOrderType = liveticket.OrderType;
if (liveticket.Status == OrderStatus.Submitted)
{
liveticket.Cancel();
proformaLiveTicket.Status = OrderStatus.Canceled;
proformaLiveTicket.QuantityFilled = 0; // they are probably already 0
proformaLiveTicket.AverageFillPrice = 0;
}
// ToDo: Handle partial tickets
if (liveticket.Status == OrderStatus.Filled)
{
proformaLiveTicket.Direction = liveticket.Quantity > 0 ? OrderDirection.Buy : OrderDirection.Sell;
proformaLiveTicket.Status = OrderStatus.Filled;
proformaLiveTicket.QuantityFilled = (int)liveticket.QuantityFilled;
proformaLiveTicket.AverageFillPrice = liveticket.AverageFillPrice;
}
}
else
{
proformaLiveTicket.ErrorMessage =
string.Format("Ticket with Id {0} could not be found in Transactions.", queuedTicket.OrderId);
}
proformaOrderTickets.Add(proformaLiveTicket);
}
return(proformaOrderTickets);
}
/// <summary>
/// Executes the ITrend strategy orders.
/// </summary>
/// <param name="symbol">The symbol to be traded.</param>
/// <param name="actualOrder">The actual arder to be execute.</param>
/// <param name="data">The actual TradeBar data.</param>
private void ExecuteStrategy(string symbol, decimal entryPrice, OrderSignal actualOrder, TradeBars data)
{
int shares;
decimal limitPrice = 0m;
switch (actualOrder)
{
case OrderSignal.goLong:
shares = PositionShares(symbol, actualOrder);
Tickets[symbol].Add(MarketOrder(symbol, shares));
Strategy[symbol].Position = StockState.shortPosition;
Strategy[symbol].nEntryPrice = entryPrice;
LastOrderSent[symbol] = actualOrder;
break;
case OrderSignal.goShort:
shares = PositionShares(symbol, actualOrder);
Tickets[symbol].Add(MarketOrder(symbol, shares));
Strategy[symbol].Position = StockState.longPosition;
Strategy[symbol].nEntryPrice = entryPrice;
LastOrderSent[symbol] = actualOrder;
break;
case OrderSignal.goLongLimit:
shares = PositionShares(symbol, actualOrder);
// Define the limit price.
//limitPrice = Math.Max(data[symbol].Low, (data[symbol].Close - (data[symbol].High - data[symbol].Low) * RngFac));
limitPrice = Math.Round(Math.Max(data[symbol].Low, (data[symbol].Close - (data[symbol].High - data[symbol].Low) * RngFac)), 2, MidpointRounding.ToEven);
// Send the order.
Tickets[symbol].Add(LimitOrder(symbol, shares, limitPrice));
// Update the LastOrderSent dictionary.
LastOrderSent[symbol] = actualOrder;
break;
case OrderSignal.goShortLimit:
// Define the operation size.
shares = PositionShares(symbol, actualOrder);
// Define the limit price.
//limitPrice = Math.Min(data[symbol].High, (data[symbol].Close + (data[symbol].High - data[symbol].Low) * RngFac));
limitPrice = Math.Round(Math.Min(data[symbol].High, (data[symbol].Close + (data[symbol].High - data[symbol].Low) * RngFac)), 2, MidpointRounding.ToEven);
// Send the order.
var security = Securities[symbol];
ProformaOrderTicket x = _brokerSimulator.LimitOrder(symbol, shares, limitPrice);
Tickets[symbol].Add(LimitOrder(symbol, shares, limitPrice));
// Update the LastOrderSent dictionary.
LastOrderSent[symbol] = actualOrder;
break;
case OrderSignal.closeLong:
case OrderSignal.closeShort:
// Define the operation size.
shares = PositionShares(symbol, actualOrder);
// Send the order.
Tickets[symbol].Add(MarketOrder(symbol, shares));
// Because the order is an synchronously market order, they'll fill
// immediately. So, update the ITrend strategy and the LastOrder Dictionary.
Strategy[symbol].Position = StockState.noInvested;
Strategy[symbol].nEntryPrice = entryPrice;
LastOrderSent[symbol] = OrderSignal.doNothing;
break;
case OrderSignal.revertToLong:
case OrderSignal.revertToShort:
// Define the operation size.
shares = PositionShares(symbol, actualOrder);
// Send the order.
Tickets[symbol].Add(MarketOrder(symbol, shares));
// Beacuse the order is an synchronously market order, they'll fill
// immediately. So, update the ITrend strategy and the LastOrder Dictionary.
if (actualOrder == OrderSignal.revertToLong)
{
Strategy[symbol].Position = StockState.longPosition;
}
else if (actualOrder == OrderSignal.revertToShort)
{
Strategy[symbol].Position = StockState.shortPosition;
}
Strategy[symbol].nEntryPrice = Tickets[symbol].Last().AverageFillPrice;
LastOrderSent[symbol] = actualOrder;
break;
default: break;
}
}
/// <summary>
/// This function is called prior to calling the GetOrderSignals to check to see if a ticket was filled
/// If the ticket did not fill within one bar, cancel it and assume the market moved away from the limit order
///
/// </summary>
private List<ProformaOrderTicket> HandleTickets()
{
List<ProformaOrderTicket> proformaOrderTickets = new List<ProformaOrderTicket>();
foreach (OrderTicket queuedTicket in _ticketsQueue)
{
ProformaOrderTicket proformaLiveTicket = new ProformaOrderTicket();
// Check the ticket against the Transactions version of the ticket
OrderTicket liveticket = Transactions.GetOrderTickets(t => t.OrderId == queuedTicket.OrderId).FirstOrDefault();
if (liveticket != null)
{
proformaLiveTicket.Status = liveticket.Status;
proformaLiveTicket.OrderId = liveticket.OrderId;
proformaLiveTicket.Symbol = liveticket.Symbol;
proformaLiveTicket.Source = liveticket.Tag;
proformaLiveTicket.TicketTime = liveticket.Time;
proformaLiveTicket.Security_Type = liveticket.SecurityType;
proformaLiveTicket.Tag = liveticket.Tag;
proformaLiveTicket.TicketOrderType = liveticket.OrderType;
if (liveticket.Status == OrderStatus.Submitted)
{
liveticket.Cancel();
proformaLiveTicket.Status = OrderStatus.Canceled;
proformaLiveTicket.QuantityFilled = 0; // they are probably already 0
proformaLiveTicket.AverageFillPrice = 0;
}
// ToDo: Handle partial tickets
if (liveticket.Status == OrderStatus.Filled)
{
proformaLiveTicket.Direction = liveticket.Quantity > 0 ? OrderDirection.Buy : OrderDirection.Sell;
proformaLiveTicket.Status = OrderStatus.Filled;
proformaLiveTicket.QuantityFilled = (int)liveticket.QuantityFilled;
proformaLiveTicket.AverageFillPrice = liveticket.AverageFillPrice;
}
}
else
{
proformaLiveTicket.ErrorMessage =
string.Format("Ticket with Id {0} could not be found in Transactions.", queuedTicket.OrderId);
}
proformaOrderTickets.Add(proformaLiveTicket);
}
return proformaOrderTickets;
}
/// <summary>
/// This function is called prior to calling the GetOrderSignals to check to see if a ticket was filled
/// If the ticket did not fill within one bar, cancel it and assume the market moved away from the limit order
///
/// It re
/// </summary>
private List<ProformaOrderTicket> HandleTickets()
{
List<ProformaOrderTicket> proformaOrderTickets = new List<ProformaOrderTicket>();
//if (maketrade)
//{
// process a real order
foreach (OrderTicket queuedTicket in _ticketsQueue)
{
ProformaOrderTicket proformaLiveTicket = new ProformaOrderTicket();
// Check the ticket against the Transactions version of the ticket
IEnumerable<OrderTicket> livetickets = Transactions.GetOrderTickets(t => t.OrderId == queuedTicket.OrderId);
if (livetickets != null)
{
foreach (OrderTicket liveticket in livetickets)
{
proformaLiveTicket.Status = liveticket.Status;
proformaLiveTicket.OrderId = liveticket.OrderId;
proformaLiveTicket.Symbol = liveticket.Symbol;
proformaLiveTicket.Source = liveticket.Tag;
proformaLiveTicket.TicketTime = liveticket.Time;
proformaLiveTicket.Security_Type = liveticket.SecurityType;
proformaLiveTicket.Tag = liveticket.Tag;
proformaLiveTicket.TicketOrderType = liveticket.OrderType;
switch (liveticket.Status)
{
case OrderStatus.Canceled:
case OrderStatus.New:
case OrderStatus.None:
break;
case OrderStatus.Invalid:
proformaLiveTicket.ErrorMessage = liveticket.GetMostRecentOrderResponse().ErrorMessage;
break;
case OrderStatus.Submitted:
liveticket.Cancel();
proformaLiveTicket.Status = OrderStatus.Canceled;
proformaLiveTicket.QuantityFilled = 0; // they are probably already 0
proformaLiveTicket.AverageFillPrice = 0;
break;
case OrderStatus.Filled:
case OrderStatus.PartiallyFilled:
#region logging
if (Portfolio[symbol].Invested)
{
nEntryPrice = Portfolio[symbol].IsLong ? liveticket.AverageFillPrice : liveticket.AverageFillPrice * -1;
nExitPrice = 0;
}
else
{
nExitPrice = nEntryPrice != 0 ? liveticket.AverageFillPrice : liveticket.AverageFillPrice * -1;
nEntryPrice = 0;
}
#endregion
proformaLiveTicket.Direction = liveticket.Quantity > 0 ? OrderDirection.Buy : OrderDirection.Sell;
proformaLiveTicket.Status = OrderStatus.Filled;
proformaLiveTicket.QuantityFilled = (int)liveticket.QuantityFilled;
proformaLiveTicket.AverageFillPrice = liveticket.AverageFillPrice;
break;
}
}
}
else
{
proformaLiveTicket.ErrorMessage =
string.Format("Ticket with Id {0} could not be found in Transactions.", queuedTicket.OrderId);
}
proformaOrderTickets.Add(proformaLiveTicket);
}
return proformaOrderTickets;
}
/// <summary>
/// This function is called prior to calling the GetOrderSignals to check to see if a ticket was filled
/// If the ticket did not fill within one bar, cancel it and assume the market moved away from the limit order
///
/// It re
/// </summary>
private List <ProformaOrderTicket> HandleTickets()
{
List <ProformaOrderTicket> proformaOrderTickets = new List <ProformaOrderTicket>();
//if (maketrade)
//{
// process a real order
foreach (OrderTicket queuedTicket in _ticketsQueue)
{
ProformaOrderTicket proformaLiveTicket = new ProformaOrderTicket();
// Check the ticket against the Transactions version of the ticket
IEnumerable <OrderTicket> livetickets = Transactions.GetOrderTickets(t => t.OrderId == queuedTicket.OrderId);
if (livetickets != null)
{
foreach (OrderTicket liveticket in livetickets)
{
proformaLiveTicket.Status = liveticket.Status;
proformaLiveTicket.OrderId = liveticket.OrderId;
proformaLiveTicket.Symbol = liveticket.Symbol;
proformaLiveTicket.Source = liveticket.Tag;
proformaLiveTicket.TicketTime = liveticket.Time;
proformaLiveTicket.Security_Type = liveticket.SecurityType;
proformaLiveTicket.Tag = liveticket.Tag;
proformaLiveTicket.TicketOrderType = liveticket.OrderType;
switch (liveticket.Status)
{
case OrderStatus.Canceled:
case OrderStatus.New:
case OrderStatus.None:
break;
case OrderStatus.Invalid:
proformaLiveTicket.ErrorMessage = liveticket.GetMostRecentOrderResponse().ErrorMessage;
break;
case OrderStatus.Submitted:
liveticket.Cancel();
proformaLiveTicket.Status = OrderStatus.Canceled;
proformaLiveTicket.QuantityFilled = 0; // they are probably already 0
proformaLiveTicket.AverageFillPrice = 0;
break;
case OrderStatus.Filled:
case OrderStatus.PartiallyFilled:
#region logging
if (Portfolio[symbol].Invested)
{
nEntryPrice = Portfolio[symbol].IsLong ? liveticket.AverageFillPrice : liveticket.AverageFillPrice * -1;
nExitPrice = 0;
}
else
{
nExitPrice = nEntryPrice != 0 ? liveticket.AverageFillPrice : liveticket.AverageFillPrice * -1;
nEntryPrice = 0;
}
#endregion
proformaLiveTicket.Direction = liveticket.Quantity > 0 ? OrderDirection.Buy : OrderDirection.Sell;
proformaLiveTicket.Status = OrderStatus.Filled;
proformaLiveTicket.QuantityFilled = (int)liveticket.QuantityFilled;
proformaLiveTicket.AverageFillPrice = liveticket.AverageFillPrice;
break;
}
}
}
else
{
proformaLiveTicket.ErrorMessage =
string.Format("Ticket with Id {0} could not be found in Transactions.", queuedTicket.OrderId);
}
proformaOrderTickets.Add(proformaLiveTicket);
}
return(proformaOrderTickets);
}
/// <summary>
/// This function is called prior to calling the GetOrderSignals to check to see if a ticket was filled
/// If the ticket did not fill within one bar, cancel it and assume the market moved away from the limit order
///
/// It re
/// </summary>
private List <ProformaOrderTicket> HandleTickets()
{
List <ProformaOrderTicket> proformaOrderTickets = new List <ProformaOrderTicket>();
//if (maketrade)
//{
// process a real order
foreach (OrderTicket queuedTicket in _ticketsQueue)
{
ProformaOrderTicket proformaLiveTicket = new ProformaOrderTicket();
// Check the ticket against the Transactions version of the ticket
OrderTicket liveticket = Transactions.GetOrderTickets(t => t.OrderId == queuedTicket.OrderId).FirstOrDefault();
if (liveticket != null)
{
proformaLiveTicket.Status = liveticket.Status;
proformaLiveTicket.OrderId = liveticket.OrderId;
proformaLiveTicket.Symbol = liveticket.Symbol;
proformaLiveTicket.Source = liveticket.Tag;
proformaLiveTicket.TicketTime = liveticket.Time;
proformaLiveTicket.Security_Type = liveticket.SecurityType;
proformaLiveTicket.Tag = liveticket.Tag;
proformaLiveTicket.TicketOrderType = liveticket.OrderType;
proformaLiveTicket.Direction = liveticket.Quantity > 0
? OrderDirection.Buy
: OrderDirection.Sell;
if (liveticket.Status == OrderStatus.Submitted)
{
liveticket.Cancel();
proformaLiveTicket.Status = OrderStatus.Canceled;
proformaLiveTicket.QuantityFilled = 0; // they are probably already 0
proformaLiveTicket.AverageFillPrice = 0;
}
// ToDo: Handle partial tickets
if (liveticket.Status == OrderStatus.Filled)
{
proformaLiveTicket.Direction = liveticket.Quantity > 0 ? OrderDirection.Buy : OrderDirection.Sell;
proformaLiveTicket.Status = OrderStatus.Filled;
proformaLiveTicket.QuantityFilled = (int)liveticket.QuantityFilled;
proformaLiveTicket.AverageFillPrice = liveticket.AverageFillPrice;
#region logging
if (Portfolio[symbol].Invested)
{
nEntryPrice = Portfolio[symbol].IsLong ? liveticket.AverageFillPrice : liveticket.AverageFillPrice * -1;
nExitPrice = 0;
}
else
{
nExitPrice = nEntryPrice != 0 ? liveticket.AverageFillPrice : liveticket.AverageFillPrice * -1;
nEntryPrice = 0;
}
#endregion
}
}
else
{
proformaLiveTicket.ErrorMessage =
string.Format("Ticket with Id {0} could not be found in Transactions.", queuedTicket.OrderId);
}
proformaOrderTickets.Add(proformaLiveTicket);
}
return(proformaOrderTickets);
//}
//else
//{
// // Process a sumulated order
// var tickets = _ticketsSubmitted.Where(t => System.Convert.ToInt32(t.Source) == sigId);
// foreach (var ticket in tickets)
// {
// var simticket = sim._orderTickets.FirstOrDefault(s => s.Value.OrderId == ticket.OrderId).Value;
// if (simticket.Status == OrderStatus.Submitted)
// {
// // Todo: do something with the cancelled ticket such as save it to a file or collection for later analysis
// if (sim.TryCancelTicket(simticket))
// {
// // remove the cancelled ticket from the simulator
// var cancelledTicket = sim.RemoveCancelledTicket(simticket);
// // remove the cancelled ticket from the _ticketsSubmitted collection
// _ticketsSubmitted.Remove(ticket);
// // it was cancelled so the ticket did not fill
// orderfilled = false;
// return cancelledTicket;
// }
// return null;
// }
// if (simticket.Status == OrderStatus.Filled)
// {
// // Create a transaction and add it to the OrderProcessor
// OrderTransactionFactory fac = new OrderTransactionFactory(this);
// OrderTransaction transaction = fac.Create(sim, simticket);
// if (simticket.OrderId == 27)
// comment = "";
// _proformatransactions.Add(transaction);
// _proformaProcessor.ProcessTransaction(transaction);
// ProformaOrderTicket filledTicket = sim.RemoveTicket(simticket);
// _ticketsSubmitted.Remove(ticket);
// // orderfilled = true; // no need to change the filled
// return filledTicket;
// }
// orderfilled = false;
// _ticketsSubmitted.Remove(ticket);
// return simticket;
// // ToDo: Partial fills
// }
//}
return(null);
}
