/// <summary>
/// this must be called once per position tracker, for each position update.
/// if you are using your own position tracker with this trailing stop(eg from offset tracker, or somewhere else)
/// you MUST call TrailTrackers Adjust and NOT call your position tracker's adjust
/// </summary>
/// <param name="fill"></param>
public void Adjust(Trade fill)
{
// get index for symbol
int idx = symidx(fill.FullSymbol);
// only do following if we're tracking trail for this symbol
if (idx != NOSYM)
{
// get current position size
int psize = _pt[fill.FullSymbol].UnsignedSize;
// get trailing information
OffsetInfo trail = _trail[idx];
// get actual position size after change
int asize = psize - fill.UnsignedSize;
// if expected and actual match, mark pending as false
if (esize[fill.FullSymbol] == asize)
{
D(fill.FullSymbol + " trailing stop completely filled with: " + fill.ToString());
_pendingfill[idx] = false;
}
else
v(fill.FullSymbol + " trail partial fill: " + fill.ToString() + " e: " + esize[fill.FullSymbol] + " != a: " + asize);
}
else
v(fill.FullSymbol + " fill: " + fill.ToString() + " ignored while trail disabled.");
_pt.Adjust(fill);
// if we're flat now, make sure ref price is reset
if (_pt[fill.FullSymbol].isFlat)
{
_ref[idx] = 0;
v(fill.FullSymbol + " flat, reset trail reference price.");
}
}
public void GotFill(Trade f)
{
if (f.Id == 0)
{
Debug(" fill id is empty: " + f.ToString());
return;
}
if (!IsTracked(f.Id))
{
Debug(" fill id not tracked: " + f.Id);
return;
}
// add to fills
_fills[f.Id] += f.TradeSize;
Debug(f.FullSymbol + " filled size: " + _fills[f.Id] + " ; on trade detail: " + f.ToString());
}
// these are for calculating closed pl
// they do not adjust positions themselves
/// <summary>
/// Gets the closed PL on a per-share basis, ignoring how many shares are held.
/// </summary>
/// <param name="existing">The existing position.</param>
/// <param name="closing">The portion of the position that's being closed/changed.</param>
/// <returns></returns>
public static decimal ClosePT(Position existing, Trade adjust)
{
if (!existing.isValid || !adjust.IsValid)
{
throw new Exception("Invalid position provided. (existing:" + existing.ToString() + " adjustment:" + adjust.ToString());
}
if (existing.isFlat)
{
return(0); // nothing to close
}
if (existing.isLong == adjust.Side)
{
return(0); // if we're adding, nothing to close
}
return(existing.isLong ? adjust.TradePrice - existing.AvgPrice : existing.AvgPrice - adjust.TradePrice);
}
public void GotFill(Trade f)
{
if (f.Id == 0)
{
Debug(" fill id is empty: " + f.ToString());
return;
}
if (!IsTracked(f.Id))
{
Debug(" fill id not tracked: " + f.Id);
return;
}
// add to fills
_fills[f.Id] += f.TradeSize;
Debug(f.FullSymbol + " filled size: " + _fills[f.Id] + " ; on trade detail: " + f.ToString());
}
// these are for calculating closed pl
// they do not adjust positions themselves
/// <summary>
/// Gets the closed PL on a per-share basis, ignoring how many shares are held.
/// </summary>
/// <param name="existing">The existing position.</param>
/// <param name="closing">The portion of the position that's being closed/changed.</param>
/// <returns></returns>
public static decimal ClosePT(Position existing, Trade adjust)
{
if (!existing.isValid || !adjust.IsValid)
throw new Exception("Invalid position provided. (existing:" + existing.ToString() + " adjustment:" + adjust.ToString());
if (existing.isFlat) return 0; // nothing to close
if (existing.isLong == adjust.Side) return 0; // if we're adding, nothing to close
return existing.isLong ? adjust.TradePrice - existing.AvgPrice : existing.AvgPrice - adjust.TradePrice;
}
