public void CollectTokens(NinjaTrader.Cbi.Execution execution)
{
lock (exectokens[0])
{
if (strategybase.TraceOrders)
{
strategybase.Print("CollectTokens");
}
int sign = (execution.MarketPosition == MarketPosition.Long) ? 1 : -1;
if (entry[0].Order != null && execution.Order.OrderId == entry[0].Order.OrderId)
{
exectokens[0].Add(execution.OrderId);
if (positionX == 0)
{
exectokens[0].Clear();
}
}
if (exit[0].Order != null && execution.Order.OrderId == exit[0].Order.OrderId)
{
exectokens[0].Add(execution.OrderId);
if (positionX == 0)
{
exectokens[0].Clear();
}
}
}
lock (exectokens[1])
{
if (entry[1].Order != null && execution.Order.OrderId == entry[1].Order.OrderId)
{
exectokens[1].Add(execution.OrderId);
if (positionY == 0)
{
exectokens[1].Clear();
}
}
if (exit[1].Order != null && execution.Order.OrderId == exit[1].Order.OrderId)
{
exectokens[1].Add(execution.OrderId);
if (positionY == 0)
{
exectokens[1].Clear();
}
}
}
}
protected override void OnExecutionUpdate(NinjaTrader.Cbi.Execution execution, string executionId, double price, int quantity, MarketPosition marketPosition, string orderId, DateTime time)
{
try {
foreach (SingleSpread spread in spreads)
{
spread.OnExecution(execution);
}
CleanupQueue();
}
catch (Exception e) {
if (TraceOrders)
{
Print("ERROR: " + e.Message + " STACKTRACE: " + e.StackTrace);
}
}
}
public bool IsOurExecution(NinjaTrader.Cbi.Execution execution)
{
if (entry[0].Order != null && execution.Order.OrderId == entry[0].Order.OrderId)
{
return(true);
}
if (entry[1].Order != null && execution.Order.OrderId == entry[1].Order.OrderId)
{
return(true);
}
if (exit[0].Order != null && execution.Order.OrderId == exit[0].Order.OrderId)
{
return(true);
}
if (exit[1].Order != null && execution.Order.OrderId == exit[1].Order.OrderId)
{
return(true);
}
return(false);
}
public bool Inflight(NinjaTrader.Cbi.Execution execution)
{
if (checkinflight)
{
if (strategybase.TraceOrders)
{
strategybase.Print("WARNING: inflight execution:" + execution.MarketPosition.ToString() + " " + execution.Quantity.ToString() + " " + execution.Instrument.FullName);
}
strategybase.Print("Inflight execution:" + execution.MarketPosition.ToString() + " " + execution.Quantity.ToString() + " " + execution.Instrument.FullName + ",LogLevel.Warning");
if (execution.Order.Filled == execution.Order.Quantity)
{
if (strategybase.TraceOrders)
{
strategybase.Print("end inflight");
}
checkinflight = false;
}
return(true);
}
return(false);
}
public void RebuildPositions(NinjaTrader.NinjaScript.StrategyBase strategy)
{
DateTime t = NinjaTrader.Core.Globals.Now;
//SetBaseCurrency(strategy.Account.Denomination);
PropertyInfo pi = strategy.GetType().GetProperty("FirstLoadUTC");
string FirstLoadUTC = (string)pi.GetValue(strategy);
DateTime tmp = DateTime.Parse(FirstLoadUTC);
DateTime mintime = new DateTime(tmp.Year, tmp.Month, tmp.Day, tmp.Hour, tmp.Minute, tmp.Second);
mintime = mintime.AddHours(-1);
for (int i = 0; i < 2; i++)
{
int n = 0;
double avg = 0;
//if(t.AddDays(-2) <mintime) mintime=t.AddDays(-2);
// strategy.Print("RebuildPositions: mintime:"+ mintime.Kind.ToString() + " t:"+t.Kind.ToString());
// strategy.Print("RebuildPositions:"+ mintime.ToString());
System.Collections.ObjectModel.Collection <NinjaTrader.Cbi.Execution> ce =
NinjaTrader.Cbi.Execution.DbGet(strategy.Account, strategy.Instruments[i], mintime, t);
foreach (string s in exectokens[i])
{
NinjaTrader.Cbi.Execution exec = ce.FirstOrDefault(x => x.OrderId == s);
if (exec != null)
{
if (i == 0 && exec.MarketPosition == mleg1 || i == 1 && exec.MarketPosition != mleg1)
{
// we add averaging
n += exec.Quantity;
avg += exec.Price * exec.Quantity;
}
else
{
n -= exec.Quantity;
avg -= exec.Price * exec.Quantity;
}
execs[i].Add(exec);
strategy.Executions.Add(exec);
strategy.Positions[i].AddExecution(exec);
}
}
int u = 0;
if (mleg1 == MarketPosition.Long)
{
u = 1;
}
if (mleg1 == MarketPosition.Short)
{
u = -1;
}
if (i == 0)
{
positionX = 1 * u * n;
}
if (i == 1)
{
positionY = -1 * u * n;
}
if (n != 0)
{
avg_fill[i] = avg / (double)n;
}
else
{
avg_fill[i] = 0;
}
}
}
public static int CompareTime(NinjaTrader.Cbi.Execution a, NinjaTrader.Cbi.Execution b)
{
return(a.Time.CompareTo(b.Time));
}
public void OnExecution(NinjaTrader.Cbi.Execution execution)
{
if (execution == null)
{
return;
}
if (execution.Order == null)
{
return;
}
int sign = (execution.MarketPosition == MarketPosition.Long) ? 1 : -1;
if (entry[0].Order != null && execution.Order.OrderId == entry[0].Order.OrderId)
{
if (entry[0].Inflight(execution))
{
inflight.Add(execution);
// we assume that an inflight execution will never come as a collection of
// partial executions. Only the first partial will stay inflight, a second
// partial would be cancelled
return;
}
positionX += sign * execution.Quantity;
totalprice0 += (double)convfactor0 * execution.Price * sign * execution.Quantity * strategybase.Instruments[0].MasterInstrument.PointValue;
var commission = (double)convfactor0 * execution.Commission;
totalprice0 += commission;
int lsign = (mleg1 == MarketPosition.Long)?+1:-1;
if (strategybase.State == State.Realtime)
{
CollectTokens(execution);
}
if (lots1 * lsign == positionX)
{
entry[0].Zero();
}
}
if (entry[1].Order != null && execution.Order.OrderId == entry[1].Order.OrderId)
{
if (entry[1].Inflight(execution))
{
inflight.Add(execution);
return;
}
positionY += sign * execution.Quantity;
totalprice1 += (double)convfactor1 * execution.Price * sign * execution.Quantity * strategybase.Instruments[1].MasterInstrument.PointValue;
var commission = (double)convfactor1 * execution.Commission;
totalprice1 += commission;
int lsign = (mleg1 == MarketPosition.Short)?+1:-1;
if (strategybase.State == State.Realtime)
{
CollectTokens(execution);
}
if (lots2 * lsign == positionY)
{
entry[1].Zero();
}
}
if (exit[0].Order != null && execution.Order.OrderId == exit[0].Order.OrderId)
{
if (exit[0].Inflight(execution))
{
inflight.Add(execution);
return;
}
positionX += sign * execution.Quantity;
totalprice0 += (double)convfactor0 * execution.Price * sign * execution.Quantity * strategybase.Instruments[0].MasterInstrument.PointValue;
var commission = (double)convfactor0 * execution.Commission;
totalprice0 += commission;
_exitedX += sign * execution.Quantity;
if (strategybase.State == State.Realtime)
{
CollectTokens(execution);
}
}
if (exit[1].Order != null && execution.Order.OrderId == exit[1].Order.OrderId)
{
exitinprogress = false;
if (exit[1].Inflight(execution))
{
inflight.Add(execution);
return;
}
positionY += sign * execution.Quantity;
totalprice1 += (double)convfactor1 * execution.Price * sign * execution.Quantity * strategybase.Instruments[1].MasterInstrument.PointValue;
var commission = (double)convfactor1 * execution.Commission;
totalprice1 += commission;
_exitedY += sign * execution.Quantity;
if (strategybase.State == State.Realtime)
{
CollectTokens(execution);
}
}
if (exit[0].Order != null && execution.Order.OrderId == exit[0].Order.OrderId)
{
if (_exitedX == -1 * _toexitX)
{
exit[0].Zero();
}
}
if (exit[1].Order != null && execution.Order.OrderId == exit[1].Order.OrderId)
{
if (_exitedY == -1 * _toexitY)
{
exit[1].Zero();
}
}
if (exit[0].Order == null && exit[1].Order == null)
{
exitinprogress = false;
}
if (strategybase.TraceOrders)
{
//strategybase.Print(execution.ToString());
string tmp = "Spread.OnExecution: Leg1(" + positionX.ToString() + "),Leg2(" + positionY.ToString() + ")";
strategybase.Print(tmp);
Zweistein.NinjaTraderLog.Process(tmp, "", LogLevel.Information, LogCategories.Strategy);
}
}