public override void OnExitTrade(TransactionPairBinary comboTrade, LogicalFill fill, LogicalOrder filledOrder)
{
fills.Clear();
SetFlatBidAsk();
bestIndifferenceLine[0] = double.NaN;
if (!comboTrade.Completed)
{
throw new InvalidOperationException("Trade must be completed.");
}
totalVolume += comboTrade.Volume;
maxExcursionLine[0] = double.NaN;
if (maxDrawDown < 500.00)
{
lessThan100Count++;
}
else
{
var pnl = Performance.ComboTrades.CurrentProfitLoss;
Log.Info(Math.Round(maxDrawDown, 2) + "," + Math.Round(pnl, 2) + "," + Performance.Equity.CurrentEquity + "," + lessThan100Count + "," + comboTrade.EntryTime + "," + comboTrade.ExitTime);
}
//if (maxTradeSize <= 100 * lotSize)
//{
// lessThan100Count++;
//}
//else
//{
// Log.Info((maxTradeSize / lotSize) + "," + lessThan100Count + "," + fill.Time);
//}
maxTradeSize = 0;
LogFills("OnEnterTrade");
}
private void TryDrawTrade(LogicalOrder order, LogicalFill fill)
{
if (drawTrade != null && strategy != null && strategy.Performance.GraphTrades)
{
drawTrade(order, fill);
}
}
public void ExitComboTrade(LogicalFill fill)
{
TransactionPairBinary comboTrade = comboTradesBinary.Tail;
comboTrade.Exit(fill.Price, fill.Time, fill.PostedTime, model.Chart.ChartBars.BarCount, fill.OrderId, fill.OrderSerialNumber);
comboTradesBinary.Tail = comboTrade;
double pnl = profitLoss.CalculateProfit(comboTrade.Direction, comboTrade.EntryPrice, comboTrade.ExitPrice);
pnl = Math.Round(pnl, 2);
Equity.OnChangeClosedEquity(pnl);
if (trace)
{
log.Trace("Exit Trade: " + comboTrade);
}
if (tradeDebug && !model.QuietMode)
{
tradeLog.Debug(model.Name + "," + Equity.ClosedEquity + "," + pnl + "," + comboTrade);
}
if (model is Strategy)
{
Strategy strategy = (Strategy)model;
LogicalOrder filledOrder;
if (!strategy.TryGetOrderById(fill.OrderId, out filledOrder))
{
throw new ApplicationException("A fill for order id: " + fill.OrderId + " was incorrectly routed to: " + strategy.Name);
}
strategy.OnExitTrade(fill, filledOrder);
}
if (model is Portfolio)
{
var portfolio = (Portfolio)model;
portfolio.OnExitTrade();
}
}
private void UpdateOrderCache(LogicalOrder order, LogicalFill fill)
{
var strategyPosition = (StrategyPosition)order.Strategy;
if (debug)
{
log.Debug("Adjusting strategy position to " + order.Position + ", strategy position was " + strategyPosition.Position);
}
strategyPosition.Position = fill.Position;
// orderCache.RemoveInactive(order);
}
public override void OnExitTrade(TransactionPairBinary comboTrade, LogicalFill fill, LogicalOrder filledOrder)
{
lastMidpoint = double.NaN;
direction = Direction.Sideways;
fills.Clear();
SetFlatBidAsk();
if (!comboTrade.Completed)
{
throw new InvalidOperationException("Trade must be completed.");
}
totalVolume += comboTrade.Volume;
}
public override void OnChangeTrade(TransactionPairBinary comboTrade, LogicalFill fill, LogicalOrder filledOrder)
{
lastMidpoint = double.NaN;
if (fill.Position % lotSize != 0)
{
return;
}
var size = Math.Abs(comboTrade.CurrentPosition);
var change = size - lastSize;
totalVolume += change;
lastSize = size;
if (change > 0)
{
fills.AddFirst(new LocalFill(change, fill.Price, fill.Time));
SetupBidAsk(fill.Price);
}
else
{
change = Math.Abs(change);
for (var current = fills.First; current != null; current = current.Next)
{
var prevFill = current.Value;
if (change > prevFill.Size)
{
change -= prevFill.Size;
fills.Remove(current);
if (fills.Count > 0)
{
SetupBidAsk(fill.Price);
}
}
else
{
prevFill.Size -= change;
if (prevFill.Size == 0)
{
fills.Remove(current);
if (fills.Count > 0)
{
SetupBidAsk(fill.Price);
}
}
break;
}
}
}
}
public override void OnEnterTrade(TransactionPairBinary comboTrade, LogicalFill fill, LogicalOrder filledOrder)
{
lastSize = Math.Abs(comboTrade.CurrentPosition);
nextIncreaseLots = 50;
bestIndifferenceLine[0] = CalcIndifferencePrice(comboTrade);
fills.AddFirst(new LocalFill(fill));
maxExcursionLine[0] = fill.Price;
sequentialIncreaseCount = 0;
lastMarketAsk = MarketAsk;
lastMarketBid = MarketBid;
ResetRubberBand();
maxEquity = Performance.Equity.CurrentEquity;
maxDrawDown = 0D;
drawDown = 0D;
SetupBidAsk(fill.Price);
LogFills("OnEnterTrade");
}
private void ChangeComboSize(LogicalFill fill)
{
TransactionPairBinary combo = comboTradesBinary.Tail;
combo.ChangeSize(fill.Position, fill.Price);
comboTradesBinary.Tail = combo;
if (model is Strategy)
{
Strategy strategy = (Strategy)model;
LogicalOrder filledOrder;
if (!strategy.TryGetOrderById(fill.OrderId, out filledOrder))
{
throw new ApplicationException("A fill for order id: " + fill.OrderId + " was incorrectly routed to: " + strategy.Name);
}
strategy.OnChangeTrade(fill, filledOrder);
}
}
public void ProcessFill(StrategyInterface strategyInterface, LogicalFill fill)
{
if (debug)
{
Log.Debug("ProcessFill: " + fill + " for strategy " + strategyInterface);
}
var strategy = (Strategy)strategyInterface;
int orderId = fill.OrderId;
LogicalOrder filledOrder = null;
if (strategyInterface.TryGetOrderById(fill.OrderId, out filledOrder))
{
if (debug)
{
Log.Debug("Matched fill with orderId: " + orderId);
}
if (!doStrategyOrders && filledOrder.TradeDirection != TradeDirection.ExitStrategy)
{
if (debug)
{
Log.Debug("Skipping fill, strategy order fills disabled.");
}
return;
}
if (!doExitStrategyOrders && filledOrder.TradeDirection == TradeDirection.ExitStrategy)
{
if (debug)
{
Log.Debug("Skipping fill, exit strategy orders fills disabled.");
}
return;
}
TryDrawTrade(filledOrder, fill.Price, fill.Position);
if (debug)
{
Log.Debug("Changed strategy position to " + fill.Position + " because of fill.");
}
changePosition(strategy.Data.SymbolInfo, fill);
}
else
{
throw new ApplicationException("A fill for order id: " + orderId + " was incorrectly routed to: " + strategyInterface.Name);
}
}
public void EnterComboTrade(LogicalFill fill)
{
TransactionPairBinary pair = TransactionPairBinary.Create();
pair.Enter(fill.Position, fill.Price, fill.Time, fill.PostedTime, model.Chart.ChartBars.BarCount, fill.OrderId, fill.OrderSerialNumber);
comboTradesBinary.Add(pair);
if (trace)
{
log.Trace("Enter trade: " + pair);
}
if (model is Strategy)
{
Strategy strategy = (Strategy)model;
LogicalOrder filledOrder;
if (!strategy.TryGetOrderById(fill.OrderId, out filledOrder))
{
throw new ApplicationException("A fill for order id: " + fill.OrderId + " was incorrectly routed to: " + strategy.Name);
}
strategy.OnEnterTrade(fill, filledOrder);
}
}
public override void OnEnterTrade(TransactionPairBinary comboTrade, LogicalFill fill, LogicalOrder filledOrder)
{
switch (_State)
{
case TradeState.MarketSellTradeWaitFill:
Log.Notice("MarketSell Trade Filled");
_State = TradeState.MarketSellTradeFilled;
break;
case TradeState.MarketBuyTradeWaitFill:
Log.Notice("Market Buy Trade Filled");
_State = TradeState.MarketBuyTradeFilled;
break;
case TradeState.LimitWaitFill:
if (Position.IsLong)
{
_State = TradeState.LimitBuyFilled;
}
else
{
_State = TradeState.LimitSellFilled;
};
break;
case TradeState.LimitBuyFilled:
case TradeState.LimitSellFilled:
_State = TradeState.LimitBuyAndSellFilled;
break;
default:
throw new ApplicationException("Trade Entered on unknown state");
}
base.OnEnterTrade(comboTrade, fill, filledOrder);
}
public override void OnExitTrade(TransactionPairBinary comboTrade, LogicalFill fill, LogicalOrder filledOrder)
{
switch (_State)
{
case TradeState.MarketSellTradeCloseing:
Log.Notice("MarketSell Trade Closed");
_State = TradeState.MarketSellTradeClosed;
break;
case TradeState.MarketBuyTradeCloseing:
Log.Notice("MarketBuy Trade Closed");
_State = TradeState.MarketBuyTradeClosed;
break;
case TradeState.LimitBuyFilled:
case TradeState.LimitSellFilled:
_State = TradeState.LimitBuyAndSellFilled;
break;
default:
throw new ApplicationException("Trade exited on unknown state");
}
base.OnExitTrade(comboTrade, fill, filledOrder);
}
public virtual void OnExitTrade(TransactionPairBinary comboTrade, LogicalFill fill, LogicalOrder filledOrder)
{
OnExitTrade();
}
public bool OnProcessFill(LogicalFill fill)
{
if (debug)
{
log.Debug(model + ": OnProcessFill: " + fill);
}
if (fill.IsSimulated)
{
if (debug)
{
log.Debug("Ignoring fill since it's a simulated fill meaning that the strategy already exited via a money management exit like stop loss or target profit, etc.");
}
return(true);
}
if (model is Portfolio)
{
var portfolio = (Portfolio)model;
var portfolioPosition = portfolio.Result.Position;
fill = new LogicalFillBinary(portfolioPosition.Current, portfolioPosition.Price, fill.Time, fill.UtcTime, fill.OrderId, fill.OrderSerialNumber, fill.OrderPosition, false);
if (debug)
{
log.Debug("For portfolio, converted to fill: " + fill);
}
}
if (transactionDebug && !model.QuietMode && !(model is PortfolioInterface))
{
transactionLog.Debug(model.Name + "," + model.Data.SymbolInfo + "," + fill);
}
if (fill.Position != position.Current)
{
if (position.IsFlat)
{
EnterComboTrade(fill);
}
else if (fill.Position == 0)
{
if (model is Strategy)
{
var strategy = model as Strategy;
LogicalOrder filledOrder;
strategy.TryGetOrderById(fill.OrderId, out filledOrder);
if (filledOrder.TradeDirection != TradeDirection.Change)
{
ExitComboTrade(fill);
}
}
else
{
ExitComboTrade(fill);
}
}
else if ((fill.Position > 0 && position.IsShort) || (fill.Position < 0 && position.IsLong))
{
// The signal must be opposite. Either -1 / 1 or 1 / -1
if (model is Strategy)
{
var strategy = model as Strategy;
LogicalOrder filledOrder;
strategy.TryGetOrderById(fill.OrderId, out filledOrder);
if (filledOrder.TradeDirection == TradeDirection.Change)
{
ChangeComboSize(fill);
}
else
{
ExitComboTrade(fill);
EnterComboTrade(fill);
}
}
else
{
ExitComboTrade(fill);
EnterComboTrade(fill);
}
}
else
{
// Instead it has increased or decreased position size.
ChangeComboSize(fill);
}
}
position.Change(model.Data.SymbolInfo, fill);
if (model is Strategy)
{
Strategy strategy = (Strategy)model;
if (debug)
{
log.Debug("Changing strategy result position to " + position.Current);
}
strategy.Result.Position.Copy(position);
}
// if( model is Portfolio) {
// Portfolio portfolio = (Portfolio) model;
// double tempNetPortfolioEquity = 0;
// tempNetPortfolioEquity += portfolio.Performance.Equity.ClosedEquity;
// tempNetPortfolioEquity -= portfolio.Performance.Equity.StartingEquity;
// }
return(true);
}
public virtual void OnExitTrade(LogicalFill fill, LogicalOrder filledOrder)
{
OnExitTrade();
}
public override void OnEnterTrade(TransactionPairBinary comboTrade, LogicalFill fill, LogicalOrder filledOrder)
{
lastSize = Math.Abs(comboTrade.CurrentPosition);
fills.AddFirst(new LocalFill(fill));
SetupBidAsk(fill.Price);
}
public override void OnChangeTrade(TransactionPairBinary comboTrade, LogicalFill fill, LogicalOrder filledOrder)
{
var tick = Ticks[0];
var midpoint = (tick.Ask + tick.Bid) / 2;
if (!fill.IsComplete)
{
return;
}
if (Position.Size > maxTradeSize)
{
maxTradeSize = Position.Size;
}
if (comboTrade.CurrentPosition > 0 && fill.Price < maxExcursionLine[0])
{
maxExcursionLine[0] = fill.Price;
}
if (comboTrade.CurrentPosition < 0 && fill.Price > maxExcursionLine[0])
{
maxExcursionLine[0] = fill.Price;
}
var size = Math.Abs(comboTrade.CurrentPosition);
var lots = size / lotSize;
var change = size - lastSize;
lastSize = size;
if (change > 0)
{
if (enableManageRisk)
{
state = StrategyState.HighRisk;
}
var tempIndifference = CalcIndifferencePrice(comboTrade);
if (Position.IsLong && tempIndifference < bestIndifferenceLine[0])
{
bestIndifferenceLine[0] = tempIndifference;
}
if (Position.IsShort && tempIndifference > bestIndifferenceLine[0])
{
bestIndifferenceLine[0] = tempIndifference;
}
if (lots > nextIncreaseLots)
{
nextIncreaseLots = (nextIncreaseLots * 3) / 2;
}
sequentialIncreaseCount++;
var changed = false;
change = Math.Abs(change);
if (fills.First != null)
{
var firstFill = fills.First.Value;
if (firstFill.Size + change <= lotSize)
{
firstFill.Size += change;
changed = true;
}
}
if (!changed)
{
fills.AddFirst(new LocalFill(change, fill.Price, fill.Time));
}
SetupBidAsk(fill.Price);
}
else
{
sequentialIncreaseCount = 0;
change = Math.Abs(change);
var prevFill = fills.First.Value;
if (change <= prevFill.Size)
{
prevFill.Size -= change;
if (prevFill.Size == 0)
{
fills.RemoveFirst();
if (fills.Count > 0)
{
SetupBidAsk(fill.Price);
}
}
return;
}
change -= prevFill.Size;
fills.RemoveFirst();
SetupBidAsk(fill.Price);
return;
//for (var current = fills.Last; current != null; current = current.Previous)
//{
// prevFill = current.Value;
// if (change > prevFill.Size)
// {
// change -= prevFill.Size;
// fills.Remove(current);
// if (fills.Count > 0)
// {
// SetupBidAsk(fill.Price);
// }
// }
// else
// {
// prevFill.Size -= change;
// if (prevFill.Size == 0)
// {
// fills.Remove(current);
// if (fills.Count > 0)
// {
// SetupBidAsk(fill.Price);
// }
// }
// break;
// }
//}
}
LogFills("OnChange");
}
public override void OnChangeTrade(TransactionPairBinary comboTrade, LogicalFill fill, LogicalOrder filledOrder)
{
ProcessChange(comboTrade);
}
public LocalFill(LogicalFill fill)
{
Size = Math.Abs(fill.Position);
Price = fill.Price;
Time = fill.Time;
}
public virtual void Change(SymbolInfo symbol, LogicalFill fill)
{
this.orderId = fill.OrderId;
Change(fill.Position, fill.Price, fill.Time);
}
