コード例 #1
0
        /// <summary>
        /// This function is called prior to calling the GetOrderSignals to check to see if a ticket was filled
        /// If the ticket did not fill within one bar, cancel it and assume the market moved away from the limit order
        ///
        /// </summary>

        private List <ProformaOrderTicket> HandleTickets()
        {
            List <ProformaOrderTicket> proformaOrderTickets = new List <ProformaOrderTicket>();

            foreach (OrderTicket queuedTicket in _ticketsQueue)
            {
                ProformaOrderTicket proformaLiveTicket = new ProformaOrderTicket();

                // Check the ticket against the Transactions version of the ticket
                OrderTicket liveticket = Transactions.GetOrderTickets(t => t.OrderId == queuedTicket.OrderId).FirstOrDefault();

                if (liveticket != null)
                {
                    proformaLiveTicket.Status          = liveticket.Status;
                    proformaLiveTicket.OrderId         = liveticket.OrderId;
                    proformaLiveTicket.Symbol          = liveticket.Symbol;
                    proformaLiveTicket.Source          = liveticket.Tag;
                    proformaLiveTicket.TicketTime      = liveticket.Time;
                    proformaLiveTicket.Security_Type   = liveticket.SecurityType;
                    proformaLiveTicket.Tag             = liveticket.Tag;
                    proformaLiveTicket.TicketOrderType = liveticket.OrderType;

                    if (liveticket.Status == OrderStatus.Submitted)
                    {
                        liveticket.Cancel();
                        proformaLiveTicket.Status           = OrderStatus.Canceled;
                        proformaLiveTicket.QuantityFilled   = 0; // they are probably already 0
                        proformaLiveTicket.AverageFillPrice = 0;
                    }
                    // ToDo:  Handle partial tickets
                    if (liveticket.Status == OrderStatus.Filled)
                    {
                        proformaLiveTicket.Direction        = liveticket.Quantity > 0 ? OrderDirection.Buy : OrderDirection.Sell;
                        proformaLiveTicket.Status           = OrderStatus.Filled;
                        proformaLiveTicket.QuantityFilled   = (int)liveticket.QuantityFilled;
                        proformaLiveTicket.AverageFillPrice = liveticket.AverageFillPrice;
                    }
                }
                else
                {
                    proformaLiveTicket.ErrorMessage =
                        string.Format("Ticket with Id {0} could not be found in Transactions.", queuedTicket.OrderId);
                }
                proformaOrderTickets.Add(proformaLiveTicket);
            }
            return(proformaOrderTickets);
        }
コード例 #2
0
ファイル: MultiITAlgorithm.cs プロジェクト: sprgn/LeanITrend
        /// <summary>
        /// Executes the ITrend strategy orders.
        /// </summary>
        /// <param name="symbol">The symbol to be traded.</param>
        /// <param name="actualOrder">The actual arder to be execute.</param>
        /// <param name="data">The actual TradeBar data.</param>
        private void ExecuteStrategy(string symbol, decimal entryPrice, OrderSignal actualOrder, TradeBars data)
        {
            int     shares;
            decimal limitPrice = 0m;

            switch (actualOrder)
            {
            case OrderSignal.goLong:
                shares = PositionShares(symbol, actualOrder);
                Tickets[symbol].Add(MarketOrder(symbol, shares));
                Strategy[symbol].Position    = StockState.shortPosition;
                Strategy[symbol].nEntryPrice = entryPrice;
                LastOrderSent[symbol]        = actualOrder;
                break;

            case OrderSignal.goShort:
                shares = PositionShares(symbol, actualOrder);
                Tickets[symbol].Add(MarketOrder(symbol, shares));
                Strategy[symbol].Position    = StockState.longPosition;
                Strategy[symbol].nEntryPrice = entryPrice;
                LastOrderSent[symbol]        = actualOrder;
                break;

            case OrderSignal.goLongLimit:

                shares = PositionShares(symbol, actualOrder);

                // Define the limit price.
                //limitPrice = Math.Max(data[symbol].Low, (data[symbol].Close - (data[symbol].High - data[symbol].Low) * RngFac));
                limitPrice = Math.Round(Math.Max(data[symbol].Low, (data[symbol].Close - (data[symbol].High - data[symbol].Low) * RngFac)), 2, MidpointRounding.ToEven);

                // Send the order.
                Tickets[symbol].Add(LimitOrder(symbol, shares, limitPrice));
                // Update the LastOrderSent dictionary.
                LastOrderSent[symbol] = actualOrder;
                break;

            case OrderSignal.goShortLimit:
                // Define the operation size.
                shares = PositionShares(symbol, actualOrder);

                // Define the limit price.
                //limitPrice = Math.Min(data[symbol].High, (data[symbol].Close + (data[symbol].High - data[symbol].Low) * RngFac));
                limitPrice = Math.Round(Math.Min(data[symbol].High, (data[symbol].Close + (data[symbol].High - data[symbol].Low) * RngFac)), 2, MidpointRounding.ToEven);

                // Send the order.
                var security          = Securities[symbol];
                ProformaOrderTicket x = _brokerSimulator.LimitOrder(symbol, shares, limitPrice);


                Tickets[symbol].Add(LimitOrder(symbol, shares, limitPrice));
                // Update the LastOrderSent dictionary.
                LastOrderSent[symbol] = actualOrder;
                break;

            case OrderSignal.closeLong:
            case OrderSignal.closeShort:
                // Define the operation size.
                shares = PositionShares(symbol, actualOrder);
                // Send the order.
                Tickets[symbol].Add(MarketOrder(symbol, shares));
                // Because the order is an synchronously market order, they'll fill
                // immediately. So, update the ITrend strategy and the LastOrder Dictionary.
                Strategy[symbol].Position    = StockState.noInvested;
                Strategy[symbol].nEntryPrice = entryPrice;
                LastOrderSent[symbol]        = OrderSignal.doNothing;
                break;

            case OrderSignal.revertToLong:
            case OrderSignal.revertToShort:
                // Define the operation size.
                shares = PositionShares(symbol, actualOrder);
                // Send the order.
                Tickets[symbol].Add(MarketOrder(symbol, shares));
                // Beacuse the order is an synchronously market order, they'll fill
                // immediately. So, update the ITrend strategy and the LastOrder Dictionary.
                if (actualOrder == OrderSignal.revertToLong)
                {
                    Strategy[symbol].Position = StockState.longPosition;
                }
                else if (actualOrder == OrderSignal.revertToShort)
                {
                    Strategy[symbol].Position = StockState.shortPosition;
                }
                Strategy[symbol].nEntryPrice = Tickets[symbol].Last().AverageFillPrice;
                LastOrderSent[symbol]        = actualOrder;
                break;

            default: break;
            }
        }
コード例 #3
0
        /// <summary>
        /// This function is called prior to calling the GetOrderSignals to check to see if a ticket was filled
        /// If the ticket did not fill within one bar, cancel it and assume the market moved away from the limit order
        /// 
        /// </summary>
        private List<ProformaOrderTicket> HandleTickets()
        {
            List<ProformaOrderTicket> proformaOrderTickets = new List<ProformaOrderTicket>();

            foreach (OrderTicket queuedTicket in _ticketsQueue)
            {
                ProformaOrderTicket proformaLiveTicket = new ProformaOrderTicket();

                // Check the ticket against the Transactions version of the ticket
                OrderTicket liveticket = Transactions.GetOrderTickets(t => t.OrderId == queuedTicket.OrderId).FirstOrDefault();

                if (liveticket != null)
                {
                    proformaLiveTicket.Status = liveticket.Status;
                    proformaLiveTicket.OrderId = liveticket.OrderId;
                    proformaLiveTicket.Symbol = liveticket.Symbol;
                    proformaLiveTicket.Source = liveticket.Tag;
                    proformaLiveTicket.TicketTime = liveticket.Time;
                    proformaLiveTicket.Security_Type = liveticket.SecurityType;
                    proformaLiveTicket.Tag = liveticket.Tag;
                    proformaLiveTicket.TicketOrderType = liveticket.OrderType;

                    if (liveticket.Status == OrderStatus.Submitted)
                    {
                        liveticket.Cancel();
                        proformaLiveTicket.Status = OrderStatus.Canceled;
                        proformaLiveTicket.QuantityFilled = 0; // they are probably already 0
                        proformaLiveTicket.AverageFillPrice = 0;
                    }
                    // ToDo:  Handle partial tickets
                    if (liveticket.Status == OrderStatus.Filled)
                    {
                        proformaLiveTicket.Direction = liveticket.Quantity > 0 ? OrderDirection.Buy : OrderDirection.Sell;
                        proformaLiveTicket.Status = OrderStatus.Filled;
                        proformaLiveTicket.QuantityFilled = (int)liveticket.QuantityFilled;
                        proformaLiveTicket.AverageFillPrice = liveticket.AverageFillPrice;
                    }
                }
                else
                {
                    proformaLiveTicket.ErrorMessage =
                        string.Format("Ticket with Id {0} could not be found in Transactions.", queuedTicket.OrderId);

                }
                proformaOrderTickets.Add(proformaLiveTicket);
            }
            return proformaOrderTickets;
        }
コード例 #4
0
        /// <summary>
        /// This function is called prior to calling the GetOrderSignals to check to see if a ticket was filled
        /// If the ticket did not fill within one bar, cancel it and assume the market moved away from the limit order
        /// 
        /// It re
        /// </summary>
        private List<ProformaOrderTicket> HandleTickets()
        {
            List<ProformaOrderTicket> proformaOrderTickets = new List<ProformaOrderTicket>();
            //if (maketrade)
            //{
            // process a real order
            foreach (OrderTicket queuedTicket in _ticketsQueue)
            {
                ProformaOrderTicket proformaLiveTicket = new ProformaOrderTicket();

                // Check the ticket against the Transactions version of the ticket
                IEnumerable<OrderTicket> livetickets = Transactions.GetOrderTickets(t => t.OrderId == queuedTicket.OrderId);

                if (livetickets != null)
                {
                    foreach (OrderTicket liveticket in livetickets)
                    {
                        proformaLiveTicket.Status = liveticket.Status;
                        proformaLiveTicket.OrderId = liveticket.OrderId;
                        proformaLiveTicket.Symbol = liveticket.Symbol;
                        proformaLiveTicket.Source = liveticket.Tag;
                        proformaLiveTicket.TicketTime = liveticket.Time;
                        proformaLiveTicket.Security_Type = liveticket.SecurityType;
                        proformaLiveTicket.Tag = liveticket.Tag;
                        proformaLiveTicket.TicketOrderType = liveticket.OrderType;

                        switch (liveticket.Status)
                        {
                            case OrderStatus.Canceled:
                            case OrderStatus.New:
                            case OrderStatus.None:
                                break;
                            case OrderStatus.Invalid:
                                proformaLiveTicket.ErrorMessage = liveticket.GetMostRecentOrderResponse().ErrorMessage;
                                break;
                            case OrderStatus.Submitted:
                                liveticket.Cancel();
                                proformaLiveTicket.Status = OrderStatus.Canceled;
                                proformaLiveTicket.QuantityFilled = 0; // they are probably already 0
                                proformaLiveTicket.AverageFillPrice = 0;
                                break;
                            case OrderStatus.Filled:
                            case OrderStatus.PartiallyFilled:

                                #region logging
                                if (Portfolio[symbol].Invested)
                                {
                                    nEntryPrice = Portfolio[symbol].IsLong ? liveticket.AverageFillPrice : liveticket.AverageFillPrice * -1;
                                    nExitPrice = 0;
                                }
                                else
                                {
                                    nExitPrice = nEntryPrice != 0 ? liveticket.AverageFillPrice : liveticket.AverageFillPrice * -1;
                                    nEntryPrice = 0;
                                }
                                #endregion
                                proformaLiveTicket.Direction = liveticket.Quantity > 0 ? OrderDirection.Buy : OrderDirection.Sell;
                                proformaLiveTicket.Status = OrderStatus.Filled;
                                proformaLiveTicket.QuantityFilled = (int)liveticket.QuantityFilled;
                                proformaLiveTicket.AverageFillPrice = liveticket.AverageFillPrice;
                                break;
                        }
                    }
                }
                else
                {
                    proformaLiveTicket.ErrorMessage =
                        string.Format("Ticket with Id {0} could not be found in Transactions.", queuedTicket.OrderId);

                }
                proformaOrderTickets.Add(proformaLiveTicket);
            }
            return proformaOrderTickets;
        }
コード例 #5
0
        /// <summary>
        /// This function is called prior to calling the GetOrderSignals to check to see if a ticket was filled
        /// If the ticket did not fill within one bar, cancel it and assume the market moved away from the limit order
        ///
        /// It re
        /// </summary>
        private List <ProformaOrderTicket> HandleTickets()
        {
            List <ProformaOrderTicket> proformaOrderTickets = new List <ProformaOrderTicket>();

            //if (maketrade)
            //{
            // process a real order
            foreach (OrderTicket queuedTicket in _ticketsQueue)
            {
                ProformaOrderTicket proformaLiveTicket = new ProformaOrderTicket();

                // Check the ticket against the Transactions version of the ticket
                IEnumerable <OrderTicket> livetickets = Transactions.GetOrderTickets(t => t.OrderId == queuedTicket.OrderId);

                if (livetickets != null)
                {
                    foreach (OrderTicket liveticket in livetickets)
                    {
                        proformaLiveTicket.Status          = liveticket.Status;
                        proformaLiveTicket.OrderId         = liveticket.OrderId;
                        proformaLiveTicket.Symbol          = liveticket.Symbol;
                        proformaLiveTicket.Source          = liveticket.Tag;
                        proformaLiveTicket.TicketTime      = liveticket.Time;
                        proformaLiveTicket.Security_Type   = liveticket.SecurityType;
                        proformaLiveTicket.Tag             = liveticket.Tag;
                        proformaLiveTicket.TicketOrderType = liveticket.OrderType;

                        switch (liveticket.Status)
                        {
                        case OrderStatus.Canceled:
                        case OrderStatus.New:
                        case OrderStatus.None:
                            break;

                        case OrderStatus.Invalid:
                            proformaLiveTicket.ErrorMessage = liveticket.GetMostRecentOrderResponse().ErrorMessage;
                            break;

                        case OrderStatus.Submitted:
                            liveticket.Cancel();
                            proformaLiveTicket.Status           = OrderStatus.Canceled;
                            proformaLiveTicket.QuantityFilled   = 0;   // they are probably already 0
                            proformaLiveTicket.AverageFillPrice = 0;
                            break;

                        case OrderStatus.Filled:
                        case OrderStatus.PartiallyFilled:

                            #region logging
                            if (Portfolio[symbol].Invested)
                            {
                                nEntryPrice = Portfolio[symbol].IsLong ? liveticket.AverageFillPrice : liveticket.AverageFillPrice * -1;
                                nExitPrice  = 0;
                            }
                            else
                            {
                                nExitPrice  = nEntryPrice != 0 ? liveticket.AverageFillPrice : liveticket.AverageFillPrice * -1;
                                nEntryPrice = 0;
                            }
                            #endregion
                            proformaLiveTicket.Direction        = liveticket.Quantity > 0 ? OrderDirection.Buy : OrderDirection.Sell;
                            proformaLiveTicket.Status           = OrderStatus.Filled;
                            proformaLiveTicket.QuantityFilled   = (int)liveticket.QuantityFilled;
                            proformaLiveTicket.AverageFillPrice = liveticket.AverageFillPrice;
                            break;
                        }
                    }
                }
                else
                {
                    proformaLiveTicket.ErrorMessage =
                        string.Format("Ticket with Id {0} could not be found in Transactions.", queuedTicket.OrderId);
                }
                proformaOrderTickets.Add(proformaLiveTicket);
            }
            return(proformaOrderTickets);
        }
コード例 #6
0
        /// <summary>
        /// This function is called prior to calling the GetOrderSignals to check to see if a ticket was filled
        /// If the ticket did not fill within one bar, cancel it and assume the market moved away from the limit order
        ///
        /// It re
        /// </summary>

        private List <ProformaOrderTicket> HandleTickets()
        {
            List <ProformaOrderTicket> proformaOrderTickets = new List <ProformaOrderTicket>();

            //if (maketrade)
            //{
            // process a real order
            foreach (OrderTicket queuedTicket in _ticketsQueue)
            {
                ProformaOrderTicket proformaLiveTicket = new ProformaOrderTicket();

                // Check the ticket against the Transactions version of the ticket
                OrderTicket liveticket = Transactions.GetOrderTickets(t => t.OrderId == queuedTicket.OrderId).FirstOrDefault();

                if (liveticket != null)
                {
                    proformaLiveTicket.Status          = liveticket.Status;
                    proformaLiveTicket.OrderId         = liveticket.OrderId;
                    proformaLiveTicket.Symbol          = liveticket.Symbol;
                    proformaLiveTicket.Source          = liveticket.Tag;
                    proformaLiveTicket.TicketTime      = liveticket.Time;
                    proformaLiveTicket.Security_Type   = liveticket.SecurityType;
                    proformaLiveTicket.Tag             = liveticket.Tag;
                    proformaLiveTicket.TicketOrderType = liveticket.OrderType;
                    proformaLiveTicket.Direction       = liveticket.Quantity > 0
                        ? OrderDirection.Buy
                        : OrderDirection.Sell;

                    if (liveticket.Status == OrderStatus.Submitted)
                    {
                        liveticket.Cancel();
                        proformaLiveTicket.Status           = OrderStatus.Canceled;
                        proformaLiveTicket.QuantityFilled   = 0; // they are probably already 0
                        proformaLiveTicket.AverageFillPrice = 0;
                    }
                    // ToDo:  Handle partial tickets
                    if (liveticket.Status == OrderStatus.Filled)
                    {
                        proformaLiveTicket.Direction        = liveticket.Quantity > 0 ? OrderDirection.Buy : OrderDirection.Sell;
                        proformaLiveTicket.Status           = OrderStatus.Filled;
                        proformaLiveTicket.QuantityFilled   = (int)liveticket.QuantityFilled;
                        proformaLiveTicket.AverageFillPrice = liveticket.AverageFillPrice;
                        #region logging
                        if (Portfolio[symbol].Invested)
                        {
                            nEntryPrice = Portfolio[symbol].IsLong ? liveticket.AverageFillPrice : liveticket.AverageFillPrice * -1;
                            nExitPrice  = 0;
                        }
                        else
                        {
                            nExitPrice  = nEntryPrice != 0 ? liveticket.AverageFillPrice : liveticket.AverageFillPrice * -1;
                            nEntryPrice = 0;
                        }
                        #endregion
                    }
                }
                else
                {
                    proformaLiveTicket.ErrorMessage =
                        string.Format("Ticket with Id {0} could not be found in Transactions.", queuedTicket.OrderId);
                }
                proformaOrderTickets.Add(proformaLiveTicket);
            }
            return(proformaOrderTickets);

            //}
            //else
            //{
            //    // Process a sumulated order
            //    var tickets = _ticketsSubmitted.Where(t => System.Convert.ToInt32(t.Source) == sigId);
            //    foreach (var ticket in tickets)
            //    {
            //        var simticket = sim._orderTickets.FirstOrDefault(s => s.Value.OrderId == ticket.OrderId).Value;

            //        if (simticket.Status == OrderStatus.Submitted)
            //        {
            //            // Todo: do something with the cancelled ticket such as save it to a file or collection for later analysis

            //            if (sim.TryCancelTicket(simticket))
            //            {
            //                // remove the cancelled ticket from the simulator
            //                var cancelledTicket = sim.RemoveCancelledTicket(simticket);

            //                // remove the cancelled ticket from the _ticketsSubmitted collection
            //                _ticketsSubmitted.Remove(ticket);

            //                // it was cancelled so the ticket did not fill
            //                orderfilled = false;
            //                return cancelledTicket;
            //            }
            //            return null;
            //        }

            //        if (simticket.Status == OrderStatus.Filled)
            //        {

            //            // Create a transaction and add it to the OrderProcessor
            //            OrderTransactionFactory fac = new OrderTransactionFactory(this);
            //            OrderTransaction transaction = fac.Create(sim, simticket);
            //            if (simticket.OrderId == 27)
            //                comment = "";
            //            _proformatransactions.Add(transaction);
            //            _proformaProcessor.ProcessTransaction(transaction);

            //            ProformaOrderTicket filledTicket = sim.RemoveTicket(simticket);
            //            _ticketsSubmitted.Remove(ticket);

            //            // orderfilled = true;  // no need to change the filled
            //            return filledTicket;
            //        }

            //        orderfilled = false;
            //        _ticketsSubmitted.Remove(ticket);
            //        return simticket;

            //        // ToDo: Partial fills
            //    }
            //}

            return(null);
        }