public List <IOrder> ProcessSignal(List <ISignal> signalList, IPortfolio targetPortfolio)
{
if (targetPortfolio == null || signalList == null || signalList.Count == 0)
{
return(null);
}
var ol = new List <IOrder>();
signalList.ForEach(s =>
{
if (TargetSignalName == s.Name && s.ResultType == SignalType.Trade &&
(string.IsNullOrEmpty(TargetInstrumentTicker) || TargetInstrumentTicker == s.Ticker))
{
if (Threshold < CommonProc.EPSILON ||
(s.IsPositive && s.Value >= Threshold) ||
(!s.IsPositive && s.Value <= Threshold))
{
if (PercentLimit < CommonProc.EPSILON)
{
var o = targetPortfolio.GenerateOrder(s.Ticker, s.Price, Order.MinOperationShares, TargetOrderType);
if (o != null)
{
o.OrderTime = s.Time;
ol.Add(o);
}
}
else if (MaxOrderTimes > 0 && CurrentOrderTimes < MaxOrderTimes)
{
var p = PercentLimit / (MaxOrderTimes - CurrentOrderTimes);
var o = targetPortfolio.GenerateOrderByPercent(s.Ticker, s.Price, p, TargetOrderType);
if (o != null)
{
o.OrderTime = s.Time;
ol.Add(o);
CurrentOrderTimes++;
}
}
}
}
});
return(ol);
}
