//
//
//
//***********************************************************
// **** PnLCheck() ****
//***********************************************************
//
//
/// <summary>
/// Aggregate total PnL across all legs of the strategy, and ensure we aren't below
/// our allowed loss
/// </summary>
/// <returns>true if we are below our maximum allowed loss</returns>
protected virtual bool PnLCheck()
{
if (!m_SingleLegExecutor.m_IsLegSetUpComplete)
{
return(false);
}
m_PnL = 0; // reset PnL to 0
double midPrice = (m_ExecutionContainer.m_Markets[m_SingleLegExecutor.m_InstrumentDetails.InstrumentName].Price[UV.Lib.Utilities.QTMath.BidSide][0] +
m_ExecutionContainer.m_Markets[m_SingleLegExecutor.m_InstrumentDetails.InstrumentName].Price[UV.Lib.Utilities.QTMath.AskSide][0]) / 2;
m_PnL = m_IOrderEngine.GetFillBook().m_RealizedGain + m_IOrderEngine.GetFillBook().UnrealizedDollarGains(midPrice);
if (m_PnL < m_MaxLossPnL)
{
m_Log.NewEntry(LogLevel.Error, "Max Loss PnL Has Been Exceeded: Current PnL = {0} MaxLossPnL = {1}", m_PnL, m_MaxLossPnL);
return(true);
}
else
{
return(false);
}
}
