//On each data event, buy a few of each one:
public void OnData(TradeBars data)
{
Debug("REALTIME: " + DateTime.Now.ToString("o") + " DATATIME: " + data.Time.ToString("o") + " REALTIME DELTA: " + (DateTime.Now - data.Time).TotalSeconds.ToString("0.000") + "sec COUNT: " + data.Count + " FILLFORWARD: " + data.Count(x => x.Value.IsFillForward));
foreach (var symbol in AllSymbols)
{
if (!Portfolio.ContainsKey(symbol))
{
continue;
}
if (!Portfolio[symbol].Invested)
{
//Not invested, get invested:
Order(symbol, 10);
}
else
{
if (Time.Second % 15 == 0)
{
var holdings = Portfolio[symbol].Quantity;
Order(symbol, holdings * -2);
}
}
}
//Log timer:
if (Time.Second % 15 == 0)
{
Log("Time: " + Time.ToShortTimeString());
}
}
/// <summary>
/// Submit a new order for quantity of symbol using type order.
/// </summary>
/// <param name="type">Buy/Sell Limit or Market Order Type.</param>
/// <param name="symbol">Symbol of the MarketType Required.</param>
/// <param name="quantity">Number of shares to request.</param>
public int Order(string symbol, int quantity, OrderType type = OrderType.Market)
{
//Add an order to the transacion manager class:
int orderId = -1;
decimal price = 0;
string orderRejected = "Order Rejected at " + Time.ToShortDateString() + " " + Time.ToShortTimeString() + ": ";
//Internals use upper case symbols.
symbol = symbol.ToUpper();
//Ordering 0 is useless.
if (quantity == 0)
{
return(orderId);
}
if (type != OrderType.Market)
{
Debug(orderRejected + "Currently only market orders supported.");
}
//If we're not tracking this symbol: throw error:
if (!Securities.ContainsKey(symbol))
{
Debug(orderRejected + "You haven't requested " + symbol + " data. Add this with AddSecurity() in the Initialize() Method.");
}
//Set a temporary price for validating order for market orders:
if (type == OrderType.Market)
{
price = Securities[symbol].Price;
}
try
{
orderId = Transacions.AddOrder(new Order(symbol, quantity, type, Time, price), Portfolio);
if (orderId < 0)
{
//Order failed validaity checks and was rejected:
Debug(orderRejected + OrderErrors.ErrorTypes[orderId]);
}
}
catch (Exception err) {
Error("Algorithm.Order(): Error sending order. " + err.Message);
}
return(orderId);
}