protected override void OnPositionUpdate(Cbi.Position position, double averagePrice, int quantity, Cbi.MarketPosition marketPosition)
{
//Reset
if (position.MarketPosition == MarketPosition.Flat)
{
SetStopLoss("StartOrder", CalculationMode.Pips, 90, true);
CollectOrder = null;
//SetStopLoss("StartOrder", CalculationMode.Pips, 90, true);
_status = "";
}
// if (MyAllOrders != null && !_status.IsNullOrEmpty() && CollectionMIT != null && _status.Equals("Collection") && CollectionMIT.OrderState == OrderState.Filled)
// {
// //position.BreakEven(MyAllOrders);
// Draw.Dot(this, @"MyCustomStrategy" + CurrentBars[0].ToString(), false, 0, Close[0], Brushes.Red);
// }
//Recover
if (_status.Equals("Recover"))
{
SetProfitTarget("Recover1", CalculationMode.Price, Position.AveragePrice + 1 * TickSize, true);
SetProfitTarget("StartOrder", CalculationMode.Price, Position.AveragePrice + 1 * TickSize, true);
SetProfitTarget("Recover2", CalculationMode.Price, Position.AveragePrice + 1 * TickSize, true);
SetProfitTarget("Recover3", CalculationMode.Price, Position.AveragePrice + 1 * TickSize, true);
}
}
public void UpdateCurPos(Cbi.Position position, double averagePrice,
int quantity, Cbi.MarketPosition marketPosition)
{
PosAvgPrice = averagePrice;
PosQuantity = quantity;
MktPosition = marketPosition;
PosUnrealizedPnL = position.GetUnrealizedProfitLoss(PerformanceUnit.Currency, InstStrategy.Close[0]);
}
protected override void OnPositionUpdate(Cbi.PositionEventArgs positionUpdate)
{
if (positionUpdate.Position.Account.Name == AccountName && positionUpdate.Position.Instrument == Instrument)
{
position = (positionUpdate.Operation == Cbi.Operation.Remove ? null : positionUpdate.Position);
CurrentValue = (position == null ? 0 : position.GetUnrealizedProfitLoss(Cbi.PerformanceUnit.Currency));
}
}
// WARNING!!!! Market position is not order position
protected override void OnPositionUpdate(Cbi.Position position, double averagePrice,
int quantity, Cbi.MarketPosition marketPosition)
{
if (position.MarketPosition == MarketPosition.Flat)
{
}
if (position.MarketPosition == MarketPosition.Long)
{
}
if (position.MarketPosition == MarketPosition.Short)
{
}
}
protected override void OnConnectionStatusUpdate(Cbi.ConnectionStatusEventArgs connectionStatusUpdate)
{
BackColor = null; // reset color
CurrentValue = 0;
Cbi.Account account = null;
Cbi.Position position = null;
lock (Cbi.Account.All)
account = Cbi.Account.All.FirstOrDefault(o => o.Name == AccountName);
if (account != null)
{
lock (account.Positions)
position = account.Positions.FirstOrDefault(o => o.Instrument.FullName == Instrument.FullName);
}
if (position != null)
{
CurrentValue = (position.MarketPosition == Cbi.MarketPosition.Long ? 1 : -1) * position.Quantity;
}
}
/// <summary>
/// Called on connection status change
/// </summary>
/// <param name="e"></param>
protected override void OnConnectionStatus(ConnectionStatusEventArgs e)
{
Value = 0;
BackColor = Color.Empty; // reset color
lock (Cbi.Globals.Connections)
foreach (Connection connection in Cbi.Globals.Connections)
{
if (connection.Status == ConnectionStatus.Connected || connection.Status == ConnectionStatus.ConnectionLost)
{
lock (connection.Accounts)
foreach (Account account in connection.Accounts)
{
if (account.Name == AccountName && account.Positions.FindByInstrument(Instrument) != null)
{
Cbi.Position position = account.Positions.FindByInstrument(Instrument);
Value = (position.MarketPosition == MarketPosition.Long ? 1 : -1) * position.Quantity;
}
}
}
}
}
protected override void OnAccountItemUpdate(Cbi.AccountItemEventArgs accountItemUpdate)
{
if (AccountName != Account.SimulationAccountName || accountItemUpdate.Account.Name != AccountName || accountItemUpdate.AccountItem != AccountItem.UnrealizedProfitLoss)
{
return;
}
lock (accountItemUpdate.Account.Positions)
position = accountItemUpdate.Account.Positions.FirstOrDefault(o => o.Instrument.FullName == Instrument.FullName);
executions.Clear();
foreach (Cbi.Execution execution in accountItemUpdate.Account.Executions)
{
if (execution.Instrument == Instrument)
{
executions.Add(execution);
}
}
realizedPL = Cbi.SystemPerformance.Calculate(executions).AllTrades.TradesPerformance.Currency.CumProfit;
CurrentValue = realizedPL + (position == null ? 0 : position.GetUnrealizedProfitLoss(Cbi.PerformanceUnit.Currency));
}
protected override void OnConnectionStatusUpdate(Cbi.ConnectionStatusEventArgs connectionStatusUpdate)
{
if (connectionStatusUpdate.Status == Cbi.ConnectionStatus.Connected && connectionStatusUpdate.PreviousStatus == Cbi.ConnectionStatus.Connecting)
{
Cbi.Account account = null;
lock (connectionStatusUpdate.Connection.Accounts)
account = connectionStatusUpdate.Connection.Accounts.FirstOrDefault(o => o.Name == AccountName);
if (account != null)
{
lock (account.Positions)
position = account.Positions.FirstOrDefault(o => o.Instrument.FullName == Instrument.FullName);
}
}
else if (connectionStatusUpdate.Status == Cbi.ConnectionStatus.Disconnected && connectionStatusUpdate.PreviousStatus == Cbi.ConnectionStatus.Disconnecting)
{
if (position != null && position.Account.Connection == connectionStatusUpdate.Connection)
{
CurrentValue = 0;
position = null;
}
}
}
protected override void OnConnectionStatusUpdate(Cbi.ConnectionStatusEventArgs connectionStatusUpdate)
{
if (connectionStatusUpdate.Status == Cbi.ConnectionStatus.Connected || connectionStatusUpdate.PreviousStatus == Cbi.ConnectionStatus.Connecting)
{
Cbi.Account account;
lock (connectionStatusUpdate.Connection.Accounts)
account = connectionStatusUpdate.Connection.Accounts.FirstOrDefault(o => o.Name == AccountName);
if (account != null)
{
lock (account.Positions)
position = account.Positions.FirstOrDefault(o => o.Instrument.FullName == Instrument.FullName);
accountDenomination = account.Denomination;
executions.Clear();
foreach (Cbi.Execution execution in account.Executions)
{
if (execution.Instrument == Instrument)
{
executions.Add(execution);
}
}
realizedPL = Cbi.SystemPerformance.Calculate(executions).AllTrades.TradesPerformance.Currency.CumProfit;
}
}
else if (connectionStatusUpdate.Status == Cbi.ConnectionStatus.Disconnected && connectionStatusUpdate.PreviousStatus == Cbi.ConnectionStatus.Disconnecting)
{
if (position != null && position.Account.Connection == connectionStatusUpdate.Connection)
{
CurrentValue = 0;
position = null;
realizedPL = 0;
}
}
CurrentValue = realizedPL + (position == null ? 0 : position.GetUnrealizedProfitLoss(Cbi.PerformanceUnit.Currency));
}
protected override void OnPositionUpdate(Cbi.Position position, double averagePrice,
int quantity, Cbi.MarketPosition marketPosition)
{
IndicatorProxy.Log2Disk = true;
int bsx = BarsSinceExitExecution(0, "", 0);
int bse = BarsSinceEntryExecution(0, "", 0);
if (PrintOut > 1 && !IsInStrategyAnalyzer)
{
IndicatorProxy.PrintLog(true, IsLiveTrading(),
CurrentBar + ":OnPositionUpdate, CurrentTrade not updated -- "
+ ";BarsSinceExit, BarsSinceEntry="
+ bsx + "," + bse
+ ";IsUnmanaged=" + IsUnmanaged
+ ";IsLiveTrading=" + IsLiveTrading()
+ ";GetMarketPosition=" + GetMarketPosition()
+ ";marketPosition=" + marketPosition
+ ";HasPosition=" + HasPosition()
+ ";CurrentTrade.PosQuantity=" + CurrentTrade.PosQuantity
+ ";CurrentTrade.MktPosition=" + CurrentTrade.MktPosition
+ ";quantity=" + quantity
+ ";GetAvgPrice=" + GetAvgPrice()
+ ";averagePrice=" + averagePrice);
}
//Print(position.ToString() + "--MarketPosition=" + position.MarketPosition);
CurrentTrade.OnCurPositionUpdate(position, averagePrice, quantity, marketPosition);
if (CurrentTrade.MktPosition != null && CurrentTrade.PosAvgPrice != null &&
CurrentTrade.PosQuantity != null && CurrentTrade.PosUnrealizedPnL != null)
{
if (PrintOut > 1 && !IsInStrategyAnalyzer)
{
IndicatorProxy.PrintLog(true, IsLiveTrading(),
String.Format("{0}: OnPositionUpdate, CurrentTrade updated -- CurrentTrade.PosAvgPrice: {1}, CurrentTrade.PosQuantit={2}, CurrentTrade.MktPosition={3}, PnL={4}",
CurrentBar, CurrentTrade.PosAvgPrice, CurrentTrade.PosQuantity, CurrentTrade.MktPosition, CurrentTrade.PosUnrealizedPnL));
}
}
}
/// <summary>
/// New position created: update position, setup SL/PT orders(the same bar);
/// Old position closed: Start a new trade;
/// Position is being held: check performane to adjust SL/PT orders;
/// All flat: wait for Command/TradeSignal, or detect new position created;
///
/// </summary>
/// <param name="position"></param>
/// <param name="averagePrice"></param>
/// <param name="quantity">always>0</param>
/// <param name="marketPosition">flat/long/short</param>
public virtual void OnCurPositionUpdate(Cbi.Position position, double averagePrice,
int quantity, Cbi.MarketPosition marketPosition)
{
try {
if (!this.InstStrategy.IsInStrategyAnalyzer && InstStrategy.PrintOut > 1)
{
InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(),
String.Format("{0}:OnCurPositionUpdate - AvgPrc: {1}, Quant={2}, MktPos={3}, marketPosition={4}, PnL={5}",
InstStrategy.CurrentBar, PosAvgPrice, PosQuantity, MktPosition, marketPosition, PosUnrealizedPnL));
}
//Position pos = position.MemberwiseClone();
PositionStatus ps = InstStrategy.GetPositionStatus(PosQuantity);
switch (ps)
{
case PositionStatus.NewEstablished: //New position created, setup SL/PT(the same bar)
if (!this.InstStrategy.IsInStrategyAnalyzer && InstStrategy.PrintOut > 1)
{
InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(),
String.Format("{0}:PositionStatus.NewEstablished, MktPos={1}, PosQuantity={2}, marketPosition={3}, quantity={4}",
InstStrategy.CurrentBar, MktPosition, PosQuantity, marketPosition, quantity));
}
UpdateCurPos(position, averagePrice, quantity, marketPosition);
/*InstStrategy.CheckExitSignals();
* InstStrategy.SetExitTradeAction();
* InstStrategy.TakeTradeAction();*/
break;
case PositionStatus.Liquidate: //Positions were closed, trade is done, init a new trade;
if (!this.InstStrategy.IsInStrategyAnalyzer && InstStrategy.PrintOut > 1)
{
InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(),
String.Format("{0}:PositionStatus.Liquidate, MktPos={1}, PosQuantity={2}, marketPosition={3}, quantity={4}",
InstStrategy.CurrentBar, MktPosition, PosQuantity, marketPosition, quantity));
}
InitNewTrade();
break;
case PositionStatus.Hold: //Position is held, change SL/PT by rule/performance, scale in/out occured;
//=> this case is replaced by CheckPerformance() from OnBarUpdate, it won't happen here, only scale in/out will happen
if (!this.InstStrategy.IsInStrategyAnalyzer && InstStrategy.PrintOut > 1)
{
InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(),
String.Format("{0}:Position is Held, MktPos={1}, marketPosition={2}, PosQuant={3}, Quant={4}",
InstStrategy.CurrentBar, MktPosition, marketPosition, PosQuantity, quantity));
}
// InstStrategy.CalProfitTargetAmt(PosAvgPrice, InstStrategy.MM_ProfitFactor);
// InstStrategy.CalExitOcoPrice(PosAvgPrice, InstStrategy.MM_ProfitFactor);
// InstStrategy.SetSimpleExitOCO(TradeAction.EntrySignal.SignalName);
break;
case PositionStatus.Flat:
break;
case PositionStatus.ScaledIn:
if (!this.InstStrategy.IsInStrategyAnalyzer && InstStrategy.PrintOut > 1)
{
InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(),
String.Format("{0}:PositionStatus.ScaledIn, MktPos={1}, marketPosition={2}, PosQuant={3}, Quant={4}",
InstStrategy.CurrentBar, MktPosition, marketPosition, PosQuantity, quantity));
}
break;
case PositionStatus.ScaledOut:
if (!this.InstStrategy.IsInStrategyAnalyzer && InstStrategy.PrintOut > 1)
{
InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(),
String.Format("{0}:PositionStatus.ScaledOut, MktPos={1}, marketPosition={2}, PosQuant={3}, Quant={4}",
InstStrategy.CurrentBar, MktPosition, marketPosition, PosQuantity, quantity));
}
break;
case PositionStatus.UnKnown:
break;
}
/*
* if (MktPosition == MarketPosition.Flat)
* {
* if(marketPosition == MarketPosition.Flat) {
* InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(),
* String.Format("{0}:NoChangeOnPosition, MktPos={1}, marketPosition={2}",
* InstStrategy.CurrentBar, MktPosition, marketPosition));
* } else { //New position created, setup SL/PT
* InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(),
* String.Format("{0}:NewOnPosition, MktPos={1}, marketPosition={2}",
* InstStrategy.CurrentBar, MktPosition, marketPosition));
* }
* //TradeAction.TrailingProfitTargetTics = InstStrategy.GetTicksByCurrency(TradeAction.profitTargetAmt);
* //trailingSLTic = GetTicksByCurrency(CurrentTrade.stopLossAmt);
* }
* else if (marketPosition == MarketPosition.Flat) { //Positions were closed, trade is done, init a new trade;
* InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(), "InitNewTrade called");
* InitNewTrade();
* }
* else //Position is held, change SL/PT by rule/performance, scale in/out occured;
* {
* InstStrategy.IndicatorProxy.PrintLog(true, InstStrategy.IsLiveTrading(),
* String.Format("{0}:Position is Held, MktPos={1}, marketPosition={2}, PosQuant={3}, Quant={4}",
* InstStrategy.CurrentBar, MktPosition, marketPosition, PosQuantity, quantity));
* InstStrategy.CalProfitTargetAmt(PosAvgPrice, InstStrategy.MM_ProfitFactor);
* InstStrategy.CalExitOcoPrice(PosAvgPrice, InstStrategy.MM_ProfitFactor);
* InstStrategy.SetSimpleExitOCO(TradeAction.EntrySignal.SignalName);
* // SetBracketOrder.OCOOrder.ProfitTargetOrder(OrderSignalName.EntryShort.ToString());
* // SetBracketOrder.OCOOrder.StopLossOrder(OrderSignalName.EntryShort.ToString());
* }
*/
} catch (Exception ex) {
InstStrategy.Print("Exception=" + ex.StackTrace);
}
}
protected override void OnPositionUpdate(Cbi.Position position, double averagePrice,
int quantity, Cbi.MarketPosition marketPosition)
{
}
