public void UpdateSignal(ESignal Signal)
{
//Console.WriteLine( "In UpdateSignal" );
if (this.EntrySignal == Signal)
{
// don't bother with stuff in the same direction, just keep monitoring the situation
}
else
{
switch (Signal)
{
case ESignal.Long:
case ESignal.Short:
throw new ArgumentException(
instrument.Symbol + " has improper Update Signal: "
+ Signal.ToString() + " vs " + EntrySignal.ToString());
break;
case ESignal.ScaleIn:
break;
case ESignal.ScaleOut:
break;
case ESignal.Exit:
//Console.WriteLine( "UpdateSignal {0} {1} {2} {3}", Signal, State, PositionRequested, PositionFilled );
if (EState.WaitForExit == State || EState.EntrySent == State)
{
// cancel all outstanding orders
CancelSubmittedOrders();
// set flag so that if something gets filled, to unfill it right away
// later may want to keep it if things are going in the correct direction
SingleOrder order;
if (0 < PositionFilled)
{
order = atsc.MarketOrder(Side.Sell, Math.Abs(PositionFilled));
//entryOrder = new LimitOrder(instrument, SmartQuant.FIX.Side.Buy, Quantity, 4.55 );
//entryOrder = new StopOrder(instrument, SmartQuant.FIX.Side.Sell, Quantity, quote.Bid - Jump );
order.Text = "Long Mkt Exit";
ordersTag.Add(order.ClOrdID, EOrderTag.Exit);
PositionRequested -= Math.Abs(PositionFilled);
State = EState.CleanUp;
trip.Exit(quote, order);
SendOrder(quote, order);
}
if (0 > PositionFilled)
{
order = atsc.MarketOrder(Side.Buy, Math.Abs(PositionFilled));
//entryOrder = new LimitOrder(instrument, SmartQuant.FIX.Side.Buy, Quantity, 4.55 );
//entryOrder = new StopOrder(instrument, SmartQuant.FIX.Side.Buy, Quantity, quote.Ask + Jump );
order.Text = "Shrt Mkt Exit";
ordersTag.Add(order.ClOrdID, EOrderTag.Exit);
PositionRequested += Math.Abs(PositionFilled);
State = EState.CleanUp;
trip.Exit(quote, order);
SendOrder(quote, order);
}
}
break;
}
}
}
public TransactionSet(
ESignal Signal, ATSComponent atsc,
int InitialQuantity, int ScalingQuantity, int MaxQuantity,
Quote quote, double JumpDelta,
double HardStopDelta, double TrailingStopDelta,
TransactionSetEventHolder eventholder
)
{
//Console.WriteLine( "{0} Entered Transaction Set", quote.DateTime.ToString("HH:mm:ss.fff") );
this.eventholder = eventholder;
eventholder.OnUpdateQuote += OnUpdateQuote;
OnStrategyStopEventActive = true;
eventholder.OnStrategyStop += OnStrategyStop;
OnStrategyStopEventActive = true;
this.EntrySignal = Signal;
this.JumpDelta = JumpDelta; // extra bit for setting a limit order
this.HardStopDelta = HardStopDelta;
this.TrailingStopDelta = TrailingStopDelta;
this.quote = quote;
this.atsc = atsc;
instrument = atsc.Instrument;
Symbol = instrument.Symbol;
quanInitial = InitialQuantity;
quanScaling = ScalingQuantity;
quanMax = MaxQuantity;
trip = new RoundTrip(instrument);
ordersSubmitted = new Hashtable(10);
ordersPartiallyFilled = new Hashtable(10);
ordersFilled = new Hashtable(10);
ordersCancelled = new Hashtable(10);
ordersRejected = new Hashtable(10);
ordersTag = new Hashtable(10);
if (!((ESignal.Long == Signal) || (ESignal.Short == Signal)))
{
Console.WriteLine("Transaction Set Problem 1");
throw new ArgumentException(instrument.Symbol + " has improper Entry Signal: " + Signal.ToString());
}
SingleOrder order;
switch (Signal)
{
case ESignal.Long:
order = atsc.MarketOrder(Side.Buy, quanInitial);
//order = atsc.LimitOrder(Side.Buy, quanInitial);
//entryOrder = new LimitOrder(instrument, SmartQuant.FIX.Side.Buy, Quantity, 4.55 );
//order = atsc.StopOrder( SmartQuant.FIX.Side.Buy, quanInitial, Math.Round( quote.Ask + JumpDelta, 2 ) );
order.Text = "Long Lmt Entr";
ordersTag.Add(order.ClOrdID, EOrderTag.Entry);
PositionRequested = quanInitial;
State = EState.EntrySent;
trip.Enter(quote, order);
SendOrder(quote, order);
break;
case ESignal.Short:
order = atsc.MarketOrder(Side.Sell, quanInitial);
//order = atsc.LimitOrder(Side.Sell, quanInitial);
//entryOrder = new LimitOrder(instrument, SmartQuant.FIX.Side.Buy, Quantity, 4.55 );
//order = atsc.StopOrder( SmartQuant.FIX.Side.Sell, quanInitial, Math.Round( quote.Bid - JumpDelta, 2 ) );
order.Text = "Shrt Lmt Entr";
ordersTag.Add(order.ClOrdID, EOrderTag.Entry);
PositionRequested = -quanInitial;
State = EState.EntrySent;
trip.Enter(quote, order);
SendOrder(quote, order);
break;
}
}
