public double CalculateSlippageAdjustedPrice(PriceCalculatorInput input)
{
double effectiveSlippage = input.Strategy.GetEffectiveAllowedSlippage(input.CurrentBar);
double slippageAmount = input.Atr * effectiveSlippage;
double returnValue = input.CurrentBar.Open;
if (input.OrderSide == OrderSide.Buy)
{
returnValue = returnValue + slippageAmount;
}
else
{
returnValue = returnValue - slippageAmount;
}
LoggingUtility.WriteInfo(
logConfig,
string.Format(
"Allowed slippage is {0}x ATR {1:c} ({2:p}) = {3:c} ({4:p}) on price of {5:c}, so slippage adjusted price is {6:c}",
effectiveSlippage,
input.Atr,
input.Atr/input.CurrentBar.Open,
slippageAmount,
slippageAmount/input.CurrentBar.Open,
input.CurrentBar.Open,
returnValue));
return RoundPrice(returnValue, input.Instrument);
}
/// <summary>
///
/// </summary>
/// <param name="bar"></param>
/// <returns></returns>
protected double GetTargetPrice(Bar bar)
{
GapType gap = GapType.Allowed;
double targetPrice = bar.Open;
PriceCalculatorInput priceInput = new PriceCalculatorInput()
{
Strategy = this,
Atr = EffectiveAtrPrice,
CurrentBar = bar,
Instrument = Instrument,
OrderSide = EffectiveOrderSide
};
PriceCalculator calc = new PriceCalculator(LoggingConfig);
if (AccountForGaps)
{
double currentPrice = 0;
double lastPrice = 0;
gap = GetGapType(bar, ref currentPrice, ref lastPrice);
double change = Math.Abs(currentPrice - lastPrice);
if (gap != GapType.Allowed)
{
LoggingUtility.WriteWarn(LoggingConfig, string.Format(
"Found a gap of {0:c} ({1:p}) which is {2} from previous price of {3} to new price of {4}",
change,
change/lastPrice,
gap,
lastPrice,
currentPrice));
}
switch (gap)
{
case GapType.Allowed:
break;
case GapType.Favorable:
UpdateAllowedSlippages(FavorableGapAllowedSlippage, GapType.Favorable);
break;
case GapType.Unfavorable:
UpdateAllowedSlippages(UnfavorableGapAllowedSlippage, GapType.Unfavorable);
break;
default:
throw new InvalidOperationException("");
}
targetPrice = calc.CalculateSlippageAdjustedPrice(priceInput);
}
else
{
if (PriceCalculationStrategy == Enums.PriceCalculationStrategy.CurrentMarketPrice)
targetPrice = bar.Open;
else
targetPrice = calc.CalculateSlippageAdjustedPrice(priceInput);
}
LoggingUtility.WriteDebug(LoggingConfig,
string.Format("Calculated target price based on {0} strategy: {1:c}",
PriceCalculationStrategy, targetPrice));
return targetPrice;
}
