/// <summary>
/// track and correct oversells (either by splitting into two orders, or dropping oversell)
/// </summary>
/// <param name="o"></param>
public void sendorder(Order o)
{
// get original size
int osize = o.OrderSize;
int uosize = o.UnsignedSize;
// get existing size
int size = _pt[o.FullSymbol].Size;
int upsize = _pt[o.FullSymbol].UnsignedSize;
// check for overfill/overbuy
bool over = (o.OrderSize * size < -1) && (o.UnsignedSize > Math.Abs(size)) && (upsize >= MinLotSize);
// detect
if (over)
{
// determine correct size
int oksize = _pt[o.FullSymbol].FlatSize;
// adjust
o.OrderSize = Calc.Norm2Min(oksize, MinLotSize);
// send
sonow(o);
// count
osa++;
// notify
debug(o.FullSymbol + " oversell detected on pos: " + size + " order adjustment: " + osize + "->" + size + " " + o.ToString());
// see if we're splitting
if (Split)
{
// calculate new size
int nsize = Calc.Norm2Min(Math.Abs(uosize - Math.Abs(oksize)), MinLotSize);
// adjust side
nsize *= (o.Side ? 1 : -1);
// create order
Order newo = new Order(o);
newo.OrderSize = nsize;
newo.Id = _idt.NextOrderId;
if (_orgid2splitid.ContainsKey(o.Id))
{
_orgid2splitid[o.Id] = newo.Id;
}
else
{
_orgid2splitid.Add(o.Id, newo.Id);
}
// send
if (nsize != 0)
{
sonow(newo);
}
// notify
debug(o.FullSymbol + " splitting oversell/overcover: " + o.ToString() + " to 2nd order: " + newo);
}
}
else
{
sonow(o);
}
}
/// <summary>
/// Generate a stop order for a position, at a specified per-share/contract price
/// </summary>
/// <param name="p">your position</param>
/// <param name="offset">how far away stop is</param>
/// <param name="percent">what percent of position to close</param>
/// <param name="normalizesize">whether to normalize size to even-lots</param>
/// <param name="MINSIZE">size of an even lot</param>
/// <returns></returns>
public static Order PositionStop(Position p, decimal offset, decimal percent, bool normalizesize, int MINSIZE)
{
Order o = new Order();
if (!p.isValid || p.isFlat)
{
return(o);
}
decimal price = Calc.OffsetPrice(p, offset * -1);
int size = percent == 0 ? 0 : (!normalizesize ? (int)(p.FlatSize * percent) : Calc.Norm2Min(p.FlatSize * percent, MINSIZE));
o = new StopOrder(p.FullSymbol, p.isLong ? -size : size, price);
return(o);
}
public MarketOrderFlat(Position p, decimal percent, bool normalizeSize, int MinimumLotSize, long id) :
base(p.FullSymbol, normalizeSize ? Calc.Norm2Min((decimal)percent * p.FlatSize, MinimumLotSize) : (int)(percent * p.FlatSize), id)
{
}
