public bool Test(Market CurrentMarket)
{
decimal executablePrice = (Action == TradeAction.Buy ? CurrentMarket.Ask : CurrentMarket.Bid);
if (Purpose == Purpose.TakeProfit)
{
// We want to buy (action == 1) do it if executablePrice < targetprice
// We want to sell (action == -1) do it if executablePrice > targetprice
if (Math.Sign(DesiredPrice - executablePrice) == Math.Sign((int)Action))
{
Timestamp = CurrentMarket.Timestamp; // CRUCIAL!
Purpose = Purpose.TrailingTakeProfit;
// We've hit the original take-profit level, so now we switch to being a trailing
// take-profit (ie, a very tight stop-loss).
TrailingTakeProfit = new StopLossOrder(this, 10 * CurrentMarket.Spread, true);
TrailingTakeProfit.Action = Action;
}
}
else
{
if (TrailingTakeProfit.Test(CurrentMarket))
{
return(true);
}
else
{
TrailingTakeProfit.Update(CurrentMarket);
}
}
return(false);
}
public static Tuple <Order, StopLossOrder, TakeProfitOrder> OrderTriple(Market CurrentMarket, TradeAction Action, int ContractId, int StrategyId, PositiveInteger Quantity,
decimal TakeProfit, decimal StopLoss, bool TrailingStopLoss)
{
decimal desiredPrice = (Action == TradeAction.Buy ? CurrentMarket.Ask : CurrentMarket.Bid);
Order entry = MarketOrder(CurrentMarket.Timestamp, Action, ContractId, StrategyId, Quantity, desiredPrice);
StopLossOrder stoploss = new StopLossOrder(entry, StopLoss, TrailingStopLoss);
TakeProfitOrder takeprofit = new TakeProfitOrder(entry, TakeProfit);
return(new Tuple <Order, StopLossOrder, TakeProfitOrder>(entry, stoploss, takeprofit));
}
public static Order TestExitOrders(Market CurrentMarket, StopLossOrder StopLossOrder, TakeProfitOrder TakeProfitOrder)
{
if (StopLossOrder != null && StopLossOrder.Test(CurrentMarket))
{
return(StopLossOrder);
}
if (TakeProfitOrder != null && TakeProfitOrder.Test(CurrentMarket))
{
return(TakeProfitOrder);
}
return(null);
}
