public void DispatchOrders(Tick tick, out List<Order> orders, out List<Position> positions, out List<Position> trades)
{
for (int i = 0; i < _orders.Count; i++)
{
Order order = _orders[i];
switch (order.State)
{
case OrderState.Completed:
break;
case OrderState.Filled:
DispatchPositions(order, tick, i);
break;
case OrderState.Initialized:
break;
case OrderState.Working:
_isStop = order.Type == OrderType.Stop;
_isBuy = order.Operation == Operation.Buy;
_isSell = order.Operation == Operation.Sell;
_isTime = order.Time < tick.Time;
if (_isStop && _isBuy && _isHighOverPrice && _isTime)
DispatchPositions(order, tick, i);
else if (_isStop && _isSell && _isPriceOverLow && _isTime)
DispatchPositions(order, tick, i);
break;
case OrderState.Undefined:
break;
}
}
orders = _orders;
positions = _positions;
trades = _trades;
foreach (Position t in _positions)
t.Last = tick.Close;
}
public int DispatchPositions(Order order, Tick tick, int j)
{
for (int i = _positions.Count - 1; i >= 0; i--)
{
Position position = _positions[i];
if (position.Operation != order.Operation)
{
if (position.Size <= order.Size)
{
order -= position.Size;
_trades.Add(position);
ClosePosition(i, position.Size, tick, order.Id, order.AddInfo, order.Comment);
if (order == 0) break;
}
else
{
_trades.Add(position);
ClosePosition(i, order.Size, tick, order.Id, order.AddInfo, order.Comment);
order.Size = 0;
break;
}
}
}
if (order.Size > 0)
{
_positions.Add(new Position(order.Account, order.Symbol, order.Id, tick.Time, order.Operation, order.Size, order.Price, tick.Close, order.Comment, order.AddInfo, false));
int size = order.Size;
_orders.RemoveAt(j);
return size;
}
_orders.RemoveAt(j);
return 0;
}
private void ClosePosition(int j, int size, Tick tick, int orderId, string orderAdditionalInfo, string orderComment)
{
if (_positions[j].Size <= size)
{
Position pos = _positions[j];
pos.TimeClose = tick.Time;
pos.Last = tick.Close;
pos.CloseOrderId = orderId;
//if (OrderComment != "CloseByTrLf")
// pos.Comment = "ClbyRevSig";
//else
pos.Comment = orderComment;
pos.AddInfo += " " + orderAdditionalInfo;
_positions.Remove(pos);
}
else
{
Position pos = _positions[j];
pos -= size;
_positions[j] = pos;
}
}
private void CreateOrder(Operation operation, Tick tick, bool isReverse, int size)
{
_lastOrderOperation = operation;
if (isReverse && size == 1)
{
Log("{0} - fixed price {1} - bar close {2} = {3} REVERSE", tick.Time, _fixedPrice, tick.Close, Math.Round(_fixedPrice - tick.Close, 2));
//if (operation == Operation.Buy)
//{
// _fixedPrice += _step2;
//}
//else if (operation == Operation.Sell)
//{
// _fixedPrice -= _step2;
//}
}
else
if (size == 1)
{
Log("{0} - fixed price {1} - bar close {2} = {3}", tick.Time, _fixedPrice, tick.Close, Math.Round(_fixedPrice - tick.Close, 2));
if (operation == Operation.Buy)
{
_fixedPrice += Math.Round(_step1, 2);
}
else if (operation == Operation.Sell)
{
_fixedPrice -= Math.Round(_step1, 2);
}
}
//_fixedPrice = bar.Close;
order_id++;
if (operation == Operation.Buy)
{
_positionsNumber++;
}
else
{
_positionsNumber--;
}
orders.Add(new Order(parameters.Account, parameters.Symbol, order_id, tick.Time, operation,
OrderType.Market, size, tick.Close, "", ""));
_lastOrderPrice = tick.Close;
Log("{4} - order id {0} added op {1} at price {2} with posNumber {3}, range {5}", order_id, operation, tick.Close, _positionsNumber, tick.Time, tick.Close - _fixedPrice);
}
private void AddEndDayPnl(int isExistDayTrade, double summaryChangedProfit, double lastOrderPriceChange, double dayChangedPrice, Tick tick)
{
DateTime temp = new DateTime(tick.Time.Year, tick.Time.Month, tick.Time.Day, 17, 0, 0);
if (temp > tick.Time) temp = temp.AddDays(-1);
Position endDayPNL = new Position(parameters.Account, parameters.Symbol, -1, temp,
Operation.PNL, 1, _startPrice, tick.Close, "", "", true);
double _dailyCommision = -isExistDayTrade * _commission * _contractSize * _ZIM;
endDayPNL.TimeClose = tick.Time;
endDayPNL.Trades = summaryChangedProfit; //Trades
endDayPNL.Commission = _dailyCommision;
endDayPNL.PosPNL = dayChangedPrice;
endDayPNL.ClosePNL = lastOrderPriceChange;
trades.Add(endDayPNL);
/*
*
* _lastOrderPriceChange = (Math.Pow(bar.Close - _lastOrderPrice, 2)*_contractSize*_multiplier*
_pointValue)/2;
}
_summaryChangedProfit = _dayChangedPrice + _lastOrderPriceChange;
* */
Log("{0} - Was added summary profit - summary profit {1} = summarySqrValue ( {4} + {5}) - commission {3}", tick.Time, Math.Round(endDayPNL.Trades, 2), Math.Round(summaryChangedProfit, 2), Math.Round(endDayPNL.Commission, 2), dayChangedPrice, lastOrderPriceChange);
}
public override void Trade(ref List<Position> _positions, Tick tick)
{
for (int i = 0; i < _positions.Count; i++)
{
Position _position = _positions[i];
order_id++;
_position.Comment = "Closed for Exit";
if (_positionsNumber > 0)
{
_positionsNumber--;
}
else if (_positionsNumber<0)
{
_positionsNumber++;
}
Log("{0} - position closed by order id {4} with price {1} last positions are {2} with fpl {3}", tick.Time, _position.Price, _positionsNumber, Math.Round(-_position.Trades * _ZIM * _contractSize, 2), order_id, _position.TimeOpen);
_position.TimeClose = tick.Time;
_position.Last = tick.Close;
_position.CloseOrderId = order_id;
trades.Add(_position);
}
}
protected virtual void DispatchOrders(Tick tick)
{
if(backtest == null)
backtest = new Backtest(orders, positions, trades);
backtest.DispatchOrders(tick, out orders, out positions, out trades);
}
public virtual void Trade(ref List<Position> positions, Tick tick)
{
//foreach (Position _position in _positions)
for (int i = 0; i < positions.Count; i++)
{
Position _position = positions[i];
order_id++;
_position.Comment = "Closed for Exit";
_position.TimeClose = tick.Time;
_position.Last = tick.Close;
_position.CloseOrderId = order_id;
trades.Add(_position);
}
}
