public string ReasonWhyNewTakeProfitOffsetDoesntMakeSense(Position position, double newTakeProfitPositiveOffset, bool internalCallee = false)
{
PositionPrototype proto = position.Prototype;
if (position.Symbol != proto.Symbol)
{
string msg1 = "NotYetImplemented: your script changes TakeProfitOffset for a proto.Symbol[" + proto.Symbol + "]!=position.Symbol[" + position.Symbol + "]";
throw new Exception(msg1);
}
Direction dir = MarketConverter.EntryDirectionFromLongShort(proto.LongShort);
if (position.EntryAlert.Direction != dir)
{
string msg1 = "NotYetImplemented: Crazy check here";
throw new Exception(msg1);
}
Quote quote = executor.DataSource.StreamingProvider.StreamingDataSnapshot.LastQuoteGetForSymbol(proto.Symbol);
double priceBestBidAsk = executor.DataSource.StreamingProvider.StreamingDataSnapshot.BidOrAskFor(proto.Symbol, proto.LongShort);
double newTakeProfitPrice = proto.OffsetToPrice(newTakeProfitPositiveOffset);
bool willBeExecutedImmediately = false;
string ident = "TakeProfit{old[" + proto.PriceTakeProfit + "]:new[" + newTakeProfitPrice + "]}";
string msg = "";
switch (dir)
{
case Direction.Buy:
if (newTakeProfitPrice < priceBestBidAsk)
{
willBeExecutedImmediately = true;
msg = "will be filled immediately: newLongTakeProfitPrice[" + newTakeProfitPrice + "] < Ask[" + priceBestBidAsk + "] "
+ ident + " //position[" + position + "]";
}
break;
case Direction.Short:
if (newTakeProfitPrice > priceBestBidAsk)
{
willBeExecutedImmediately = true;
msg = "will be filled immediately: newShortTakeProfitPrice[" + newTakeProfitPrice + "] > Bid[" + priceBestBidAsk + "] "
+ ident + " //position[" + position + "]";
}
break;
default:
msg = "I refuse to change TakeProfit when position.EntryAlert.Direction=["
+ position.EntryAlert.Direction + "] - must be Buy or Sell only!!!";
break;
}
if (internalCallee == true)
{
msg += " (Script is strongly recommented to check TP price first so we don't pass unexpected position closures to the Market)";
}
return(msg);
}
public string ReasonWhyPlacingProtoDoesntMakeSense(PositionPrototype proto, bool internalCallee = false)
{
double lastPrice = executor.DataSource.StreamingProvider.StreamingDataSnapshot.LastQuoteGetPriceForMarketOrder(proto.Symbol);
Quote quote = executor.DataSource.StreamingProvider.StreamingDataSnapshot.LastQuoteGetForSymbol(proto.Symbol);
double priceBestBidAsk = executor.DataSource.StreamingProvider.StreamingDataSnapshot.BidOrAskFor(proto.Symbol, proto.LongShort);
bool willBeExecutedImmediately = false;
MarketLimitStop planningEntryUsing = MarketConverter.EntryMarketLimitStopFromDirection(
executor.Bars.BarStreamingCloneReadonly.Close, proto.PriceEntry, proto.LongShort);
string msg = "";
Direction dir = MarketConverter.EntryDirectionFromLongShort(proto.LongShort);
switch (dir)
{
case Direction.Buy:
if (proto.PriceEntry > priceBestBidAsk)
{
willBeExecutedImmediately = true;
msg = "proto.PriceEntry[" + proto.PriceEntry + "] > Bid[" + priceBestBidAsk + "]"
+ " your Alert.EntryPrice goes above current price"
+ " so the planningEntryUsing[" + planningEntryUsing + "] will be activated/filled immediately..."
+ " //proto[" + proto + "]";
}
break;
case Direction.Short:
if (proto.PriceEntry < priceBestBidAsk)
{
willBeExecutedImmediately = true;
msg = "proto.PriceEntry[" + proto.PriceEntry + "] < Ask[" + priceBestBidAsk + "]"
+ " your Alert.EntryPrice goes below current price"
+ " so the planningEntryUsing[" + planningEntryUsing + "] will be activated/filled immediately..."
+ " //proto[" + proto + "]";
}
break;
default:
msg = "I refuse to PlaceOnce(proto) for.Direction=[" + dir + "] - must be Buy or Sell only!!!";
break;
}
if (internalCallee == true)
{
msg += " (Script is strongly recommented to check proto.EntryPrice first so we don't pass unexpected position entries to the Market)";
}
return(msg);
}
public void PlaceOnce(PositionPrototype proto)
{
if (proto.PriceEntry == 0)
{
string msg = "market orders can't be found in OrdersPending";
}
if (this.checkPrototypeAlreadyPlaced(proto))
{
return;
}
//this.checkThrowPlacingProtoMakesSense(proto);
proto.checkTPOffsetThrowBeforeAbsorbing(proto.TakeProfitPositiveOffset);
proto.checkSLOffsetsThrowBeforeAbsorbing(proto.StopLossNegativeOffset, proto.StopLossActivationNegativeOffset);
//bool a = this.executor.BacktesterFacade.IsBacktestingNow;
Position posWithAlert = executor.BuyOrShortAlertCreateRegister(
executor.Bars.BarStreaming,
proto.PriceEntry, "protoEntry@" + proto.PriceEntry,
MarketConverter.EntryDirectionFromLongShort(proto.LongShort),
MarketConverter.EntryMarketLimitStopFromDirection(
executor.Bars.BarStreamingCloneReadonly.Close, proto.PriceEntry, proto.LongShort)
);
if (posWithAlert == null)
{
string msg = "man I don't understand this null; out-of-bar limit should still leave a pending Alert.PositionAffected";
throw new Exception(msg);
}
if (posWithAlert.Prototype != null)
{
string msg = "CLEANUP: I was trying to catch MoveStopLoss::if(proto.StopLossAlertForAnnihilation==null)"
+ " so I thought there is a new prototype assigned to a position,"
+ " since we never put null directly proto.StopLossAlertForAnnihilation";
throw new Exception(msg);
}
posWithAlert.Prototype = proto;
}
public string ReasonWhyNewStopLossOffsetDoesntMakeSense(Position position, double newStopLossNegativeOffset, bool internalCallee = false)
{
PositionPrototype proto = position.Prototype;
if (position.Symbol != proto.Symbol)
{
string msg1 = "NotYetImplemented: your script changes StopLossOffset for a proto.Symbol[" + proto.Symbol + "]!=position.Symbol[" + position.Symbol + "]";
throw new Exception(msg1);
}
Direction dir = MarketConverter.EntryDirectionFromLongShort(proto.LongShort);
if (position.EntryAlert.Direction != dir)
{
string msg1 = "NotYetImplemented: Crazy check here";
throw new Exception(msg1);
}
string msg = "";
double priceBestBidAsk = executor.DataSource.StreamingProvider.StreamingDataSnapshot.BidOrAskFor(proto.Symbol, proto.LongShort);
double newStopLossPrice = proto.OffsetToPrice(newStopLossNegativeOffset);
switch (proto.StopLossAlertForAnnihilation.MarketLimitStop)
{
#region StopLimits are considered NYI; mess v1 implementation
case MarketLimitStop.StopLimit:
double newActivationOffset = proto.CalcActivationOffsetForNewClosing(newStopLossNegativeOffset);
//double lastPrice = executor.DataSource.StreamingProvider.StreamingDataSnapshot.LastQuoteGetPriceForMarketOrder(proto.Symbol);
//Quote quote = executor.DataSource.StreamingProvider.StreamingDataSnapshot.LastQuoteGetForSymbol(proto.Symbol);
double newActivationPrice = proto.OffsetToPrice(newActivationOffset);
bool willBeExecutedImmediately = false;
string ident = "StopLoss{old[" + proto.PriceStopLoss + "]:new[" + newStopLossPrice + "]}"
+ " Activation{old[" + proto.PriceStopLossActivation + "]:new[" + newActivationPrice + "]}";
switch (dir)
{
case Direction.Buy:
if (newActivationPrice > priceBestBidAsk)
{
willBeExecutedImmediately = true;
msg = "newActivationPrice[" + newActivationPrice + "] > Bid[" + priceBestBidAsk + "] " + ident
+ " your SLactivation goes above current price so the StopLoss will be activated/filled immediately..."
+ " //position[" + position + "]";
}
break;
case Direction.Short:
if (newActivationPrice < priceBestBidAsk)
{
willBeExecutedImmediately = true;
msg = "newActivationPrice[" + newActivationPrice + "] < Ask[" + priceBestBidAsk + "] " + ident
+ " your SLactivation goes below current price so the StopLoss will be activated/filled immediately..."
+ " //position[" + position + "]";
}
break;
default:
msg = "I refuse to change StopLoss when position.EntryAlert.Direction=["
+ position.EntryAlert.Direction + "] - must be Buy or Short only!!!";
break;
}
break;
#endregion
case MarketLimitStop.Stop:
string ident2 = "PureStopLoss{old[" + proto.PriceStopLoss + "]:new[" + newStopLossPrice + "]}";
switch (proto.StopLossAlertForAnnihilation.Direction)
{
case Direction.Sell:
double ask = executor.DataSource.StreamingProvider.StreamingDataSnapshot.BestAskGetForMarketOrder(proto.Symbol);
if (newStopLossPrice > ask)
{
msg = "NEW_STOP_PRICE_BELOW_ASK_WILL_BE_REJECTED_BY_MARKET"
+ " newStopLossPrice[" + newStopLossPrice + "] < Ask[" + ask + "] " + ident2
+ " //position[" + position + "]";
}
break;
case Direction.Cover:
double bid = executor.DataSource.StreamingProvider.StreamingDataSnapshot.BestBidGetForMarketOrder(proto.Symbol);
if (newStopLossPrice > bid)
{
msg = "NEW_STOP_PRICE_ABOVE_BID_WILL_BE_REJECTED_BY_MARKET"
+ " newStopLossPrice[" + newStopLossPrice + "] > Bid[" + bid + "] " + ident2
+ " //position[" + position + "]";
}
break;
default:
msg = "PROTOTYPE_BASED_STOP_LOSS_MODIFICATION_REFUSED_MUSTBE_SELL_OR_COVER"
+ "; position.ExitA.Direction=[" + position.ExitAlert.Direction + "]";
break;
}
break;
default:
msg = "STOP_LOSS_ALERT_TYPE_NOT_SUPPORTED [" + proto.StopLossAlertForAnnihilation.MarketLimitStop + "]";
throw new Exception(msg);
}
if (internalCallee == true)
{
msg += " (Script is strongly recommented to check SL price first so we don't pass unexpected position closures to the Market)";
}
return(msg);
}
