private double ExecuteOrder(FuturesContract futuresContract, SignalFile signalFile, OrderDetails orderDetails, Strategy strategy, SimpleLogger log, Tuple <bool, bool, int> db)
{
Prices prices = new Prices();
prices = prices.StartListener(clientSocket, contract, strategy, prices, log);
double limitPrice = GetPrices(futuresContract, signalFile, strategy, orderDetails, prices, db);
if (limitPrice <= 0)
{
limitPrice = signalFile.LimitPrice;
log.Warning($"LimitPrice for {strategy.StrategyName} is null using signalFile price {signalFile.LimitPrice}");
}
//Use market orders overnight so we don't miss getting filled
//string orderType = OverNight(signalFile, db);
//if (string.IsNullOrEmpty(orderType))
//{
// orderType = strategy.OrderType;
//}
Order parent = new Order();
Order openOrder = new Order();
List <Order> orders = new List <Order>();
if (db.Item3 != 0) //If there is a position
{
//Use market orders overnight so we don't miss getting filled
string orderType = OverNight(signalFile, db);
//if (string.IsNullOrEmpty(orderType))
//{
// orderType = strategy.OrderType;
//}
//Close position with market order
parent = new Order()
{
OrderId = OrderDetails.NextOrderId++,
Action = orderDetails.BuyOrSell,
OrderType = (string.IsNullOrEmpty(orderType) ? strategy.OrderType : orderType), //strategy.OrderType, //"MKT",
TotalQuantity = strategy.LotSize,
LmtPrice = (orderDetails.BuyOrSell == "SELL") ? prices.BidPrice : prices.AskPrice, //limitPrice,
AuxPrice = (orderDetails.BuyOrSell == "SELL") ? prices.BidPrice : prices.AskPrice, //limitPrice,
Tif = "GTC",
Transmit = true
};
openOrder = new Order()
{
OrderId = OrderDetails.NextOrderId++,
Action = orderDetails.BuyOrSell,
OrderType = strategy.OrderType, //(strategy.OrderType == "MKT" ? strategy.OrderType : orderType),
TotalQuantity = strategy.LotSize,
LmtPrice = limitPrice,
AuxPrice = limitPrice,
Tif = "GTC",
Transmit = true
};
orders = new List <Order>()
{
parent,
openOrder
};
}
else
{
openOrder = new Order()
{
OrderId = OrderDetails.NextOrderId++,
Action = orderDetails.BuyOrSell,
OrderType = strategy.OrderType, //(strategy.OrderType == "MKT" ? strategy.OrderType : orderType),
TotalQuantity = orderDetails.LotSize,
LmtPrice = limitPrice,
AuxPrice = limitPrice,
Tif = "GTC",
Transmit = true
};
orders = new List <Order>()
{
openOrder
};
}
foreach (Order o in orders)
{
clientSocket.placeOrder(o.OrderId, contract, o);
}
orderDetails.OrderId = parent.OrderId.ToString();
orderDetails.OrderStatus = "Submitted";
if (db.Item3 != 0)
{
log.Signal($"Sent Closing {parent.Action} {parent.OrderType} Order for {strategy.Symbol} LimitPrice:{parent.LmtPrice} LotSize:{parent.TotalQuantity} OrderId:{parent.OrderId}");
log.Signal($"Sent Opening {openOrder.Action} {openOrder.OrderType} Order for {strategy.Symbol} LimitPrice:{openOrder.LmtPrice} LotSize:{openOrder.TotalQuantity} OrderId:{openOrder.OrderId}");
}
else
{
log.Signal($"Sent Opening {openOrder.Action} {openOrder.OrderType} Order for {strategy.Symbol} LimitPrice:{openOrder.LmtPrice} LotSize:{openOrder.TotalQuantity} OrderId:{openOrder.OrderId}");
}
OrderDetails.OrderIdList.DataList.Add(orderDetails.OrderId);
return(limitPrice);
}
