public void OnTick(params Tick[] ticks)
{
//Update the current market.
foreach (Tick t in ticks)
{
if (!currentOffers.ContainsKey(t.Symbol))
{
currentOffers.Add(t.Symbol, t);
}
else
{
currentOffers[t.Symbol] = t;
}
}
//-----------------------------------------------------------
// On each tick, we must check for stop and limit order hits.
//-----------------------------------------------------------
foreach (Tick t in ticks)
{
//------------------------------------------------------
// Stop Order Check
//------------------------------------------------------
if (_outStandingStopOrders.ContainsKey(t.Symbol))
{
StopOrder stopOrder = _outStandingStopOrders[t.Symbol];
//If trailing, need to relcalculate trigger price.
if (stopOrder.Trailing)
{
stopOrder.RecalculateTrail(t);
}
//Trigger stop if price drops -below- Buy Stop Trigger
if (stopOrder.IsBuyStop())
{
//net stop to close all
if (t.BidLow <= stopOrder.TriggerPrice)
{
CloseStopOrder(t, stopOrder);
}
}
//Trigger stop if price rises -above- Sell Stop Trigger
else if (stopOrder.IsSellStop())
{
if (t.AskHigh >= stopOrder.TriggerPrice)
{
CloseStopOrder(t, stopOrder);
}
}
}
//------------------------------------------------------
// Limit Order Check
//------------------------------------------------------
if (_outStandingLimitOrders.ContainsKey(t.Symbol))
{
LimitOrder limitOrder = _outStandingLimitOrders[t.Symbol];
//If trailing, need to relcalculate trigger price.
if (limitOrder.Trailing)
{
limitOrder.RecalculateTrail(t);
}
//Trigger limit if price goes -above- Buy Limit Trigger
if (limitOrder.IsBuyLimit())
{
//net limit to close all
if (t.BidClose >= limitOrder.TriggerPrice)
{
CloseLimitOrder(t, limitOrder);
}
}
//Trigger limit if price drops -below- Limit Stop Trigger
else if (limitOrder.IsSellLimit())
{
if (t.AskClose <= limitOrder.TriggerPrice)
{
CloseLimitOrder(t, limitOrder);
}
}
}
}
//-----------------------------------------------------------
// Adjust portfolio equity/margin
//-----------------------------------------------------------
_portfolio.AdjustPortfolioEquityAndMargin(ticks);
}
