private void ClosePosition(Order order, pxNetAdapter.Model.Trading.Order pxOrder)
{
// We need to find the position, if order is long it means we closing a SHORT position
pxNetAdapter.Model.Trading.Position pxPosition = order.Long ? m_positions.FirstOrDefault(p => p.Symbol == pxOrder.Symbol && p.Side == pxNetAdapter.Model.Trading.SideEnum.Sell && order.Quantity == p.SellQty) :
m_positions.FirstOrDefault(p => p.Symbol == pxOrder.Symbol && p.Side == pxNetAdapter.Model.Trading.SideEnum.Buy && order.Quantity == p.BuyQty);
if (pxPosition == null)
{
m_NTconnection.ProcessEventArgs(new OrderStatusEventArgs(order, NinjaTrader.Cbi.ErrorCode.UnableToSubmitOrder, "Unable to submit order '" + order.OrderId + "': Could not find the Position to close", order.OrderId, pxOrder.Price, order.StopPrice, (int)pxOrder.Quantity, order.AvgFillPrice, order.Filled, OrderState.Rejected, m_NTconnection.Now));
return;
}
// Calc the pnl
double pnl = pxPosition.Side == pxNetAdapter.Model.Trading.SideEnum.Buy ? pxOrder.Price - pxPosition.Price : pxPosition.Price - pxOrder.Price;
pnl *= pxOrder.Quantity;
pxOrder.PNL = Math.Round(pnl, 2);
pxOrder.PNLCurrency = "USD";
m_pxConnector.Send(Trading.ClosePosition(m_token, pxPosition.GUID, pxOrder), res =>
{
if (res.Error != null && !string.IsNullOrEmpty(res.Error.Code))
{
m_NTconnection.ProcessEventArgs(new OrderStatusEventArgs(order, NinjaTrader.Cbi.ErrorCode.UnableToSubmitOrder, "Unable to submit order '" + order.OrderId + "': " + res.Error.Message, order.OrderId, pxOrder.Price, order.StopPrice, (int)pxOrder.Quantity, order.AvgFillPrice, order.Filled, OrderState.Rejected, m_NTconnection.Now));
return;
}
PositionResponseData resData = res.Data as PositionResponseData;
if (resData == null || string.IsNullOrEmpty(resData.Position.GUID))
{
m_NTconnection.ProcessEventArgs(new OrderStatusEventArgs(order, NinjaTrader.Cbi.ErrorCode.UnableToSubmitOrder, "Unable to submit order '" + order.OrderId + "': Invalid response data" + res.Error.Message, order.OrderId, pxOrder.Price, order.StopPrice, (int)pxOrder.Quantity, order.AvgFillPrice, order.Filled, OrderState.Rejected, m_NTconnection.Now));
return;
}
m_ntOrderPxOrder[order.OrderId] = resData.Position.GUID;
int qty = resData.Position.Side == pxNetAdapter.Model.Trading.SideEnum.Buy ? (int)resData.Position.BuyQty : (int)resData.Position.SellQty;
int filled = qty;
OrderState state = OrderState.Filled;
m_NTconnection.ProcessEventArgs(new OrderStatusEventArgs(order, NinjaTrader.Cbi.ErrorCode.NoError, string.Empty, order.OrderId, resData.Position.Price, order.StopPrice, qty, resData.Position.Price, filled, state, m_NTconnection.Now));
MarketPosition mp = MarketPosition.Flat;
m_NTconnection.ProcessEventArgs(new PositionUpdateEventArgs(m_NTconnection, ErrorCode.NoError, "", Operation.Remove, order.Account, order.Instrument, mp, qty, NinjaTrader.Cbi.Currency.UsDollar, resData.Position.Price));
});
}
public void Cancel(Order order)
{
string orderGUID;
if (!m_ntOrderPxOrder.TryGetValue(order.OrderId, out orderGUID) || string.IsNullOrEmpty(orderGUID))
{
m_NTconnection.ProcessEventArgs(new OrderStatusEventArgs(order, NinjaTrader.Cbi.ErrorCode.UnableToCancelOrder, "Unable to cancel order '" + order.OrderId + "': Could not find PX order GUID", order.OrderId, order.LimitPrice, order.StopPrice, order.Quantity, order.AvgFillPrice, order.Filled, order.OrderState, m_NTconnection.Now));
return;
}
Asset asset = GetPxAsset(order.Instrument);
if (asset == null)
{
m_NTconnection.ProcessEventArgs(new OrderStatusEventArgs(order, NinjaTrader.Cbi.ErrorCode.UnableToCancelOrder, "Unable to cancel order '" + order.OrderId + "': Could not convert Instrument to Asset", order.OrderId, order.LimitPrice, order.StopPrice, order.Quantity, order.AvgFillPrice, order.Filled, order.OrderState, m_NTconnection.Now));
return;
}
if (!m_lastQuotes.ContainsKey(asset.Symbol))
{
m_NTconnection.ProcessEventArgs(new OrderStatusEventArgs(order, NinjaTrader.Cbi.ErrorCode.UnableToCancelOrder, "Unable to cancel order '" + order.OrderId + "': No active quote found", order.OrderId, order.LimitPrice, order.StopPrice, order.Quantity, order.AvgFillPrice, order.Filled, order.OrderState, m_NTconnection.Now));
return;
}
pxNetAdapter.Model.Trading.Order pxOrder = new pxNetAdapter.Model.Trading.Order();
pxOrder.Type = pxNetAdapter.Model.Trading.TypeEnum.Limit;
pxOrder.AccountGUID = order.Account.Name;
pxOrder.QuoteGUID = m_lastQuotes[asset.Symbol].GUID;
m_pxConnector.Send(Trading.ClosePosition(m_token, orderGUID, pxOrder), res =>
{
if (res.Error != null && !string.IsNullOrEmpty(res.Error.Code))
{
m_NTconnection.ProcessEventArgs(new OrderStatusEventArgs(order, NinjaTrader.Cbi.ErrorCode.UnableToCancelOrder, "Unable to cancel order '" + order.OrderId + "': " + res.Error.Message, order.OrderId, order.LimitPrice, order.StopPrice, order.Quantity, order.AvgFillPrice, order.Filled, order.OrderState, m_NTconnection.Now));
return;
}
m_NTconnection.ProcessEventArgs(new OrderStatusEventArgs(order, NinjaTrader.Cbi.ErrorCode.NoError, string.Empty, order.OrderId, order.LimitPrice, order.StopPrice, order.Quantity, order.AvgFillPrice, order.Filled, OrderState.Cancelled, m_NTconnection.Now));
});
m_NTconnection.ProcessEventArgs(new OrderStatusEventArgs(order, NinjaTrader.Cbi.ErrorCode.NoError, string.Empty, order.OrderId, order.LimitPrice, order.StopPrice, order.Quantity, order.AvgFillPrice, order.Filled, OrderState.PendingCancel, m_NTconnection.Now));
}