public void Exit(LegExitType et1, LegExitType et2)
{
if (entry[0].CheckInflight)
{
return;
}
if (entry[1].CheckInflight)
{
return;
}
if (exit[0].CheckInflight)
{
return;
}
if (exit[0].CheckInflight)
{
return;
}
if (exitinprogress)
{
return;
}
exitinprogress = true;
//FixInFlight();
int tmp1 = lots1;
int tmp2 = lots2;
// this will correct for unfilled orders
if (mleg1 == NinjaTrader.Cbi.MarketPosition.Long)
{
tmp1 -= (lots1 - positionX);
tmp2 -= (lots2 + positionY);
}
if (mleg1 == NinjaTrader.Cbi.MarketPosition.Short)
{
tmp1 -= (lots1 + positionX);
tmp2 -= (lots2 - positionY);
}
ExitLots(tmp1, tmp2, et1, et2);
}
public void ExitLots(int _lots1, int _lots2, LegExitType et1, LegExitType et2)
{
if (mleg1 == NinjaTrader.Cbi.MarketPosition.Long)
{
_toexitX = _lots1;
_toexitY = -_lots2;
}
if (mleg1 == NinjaTrader.Cbi.MarketPosition.Short)
{
_toexitX = -_lots1;
_toexitY = _lots2;
}
entry[0].Cancel(!exitinprogress);
entry[1].Cancel(!exitinprogress);
exit[0].Cancel(true);
exit[1].Cancel(true);
double limitleg1 = 0;
double limitleg2 = 0;
OrderAction[] o = { OrderAction.Sell, OrderAction.BuyToCover };
string[] o_name = { "Sell_X", "BuyToCover_Y" };
if (mleg1 == MarketPosition.Long)
{
if (et1 == LegExitType.JoinBidOrAsk)
{
if (_lots1 > 0)
{
limitleg1 = strategybase.GetCurrentAsk(0);
}
if (_lots1 < 0)
{
limitleg1 = strategybase.GetCurrentBid(0);
}
}
if (et2 == LegExitType.JoinBidOrAsk)
{
if (_lots2 > 0)
{
limitleg2 = strategybase.GetCurrentBid(1);
}
if (_lots2 < 0)
{
limitleg2 = strategybase.GetCurrentAsk(1);
}
}
}
if (mleg1 == MarketPosition.Short)
{
o = new OrderAction[] { OrderAction.Buy, OrderAction.SellShort };
o_name = new String[] { "BuyToCover_X", "Sell_Y" };
if (et1 == LegExitType.JoinBidOrAsk)
{
if (_lots1 > 0)
{
limitleg1 = strategybase.GetCurrentBid(0);
}
if (_lots1 < 0)
{
limitleg1 = strategybase.GetCurrentAsk(0);
}
}
if (et2 == LegExitType.JoinBidOrAsk)
{
if (_lots2 > 0)
{
limitleg2 = strategybase.GetCurrentAsk(1);
}
if (_lots2 < 0)
{
limitleg2 = strategybase.GetCurrentBid(1);
}
}
}
if (strategybase.TraceOrders)
{
string tmp = strategybase.Time[0].ToString();
if (positionX != 0)
{
tmp += " Exit:" + strategybase.Instruments[0].FullName + " " + o_name[0];
}
if (positionY != 0)
{
tmp += "; " + strategybase.Instruments[1].FullName + " " + o_name[1];
}
if (positionX != 0 || positionY != 0)
{
strategybase.Print(tmp);
}
}
if (_lots1 > 0)
{
_exitedX = 0;
exit[0].Order = strategybase.SubmitOrderUnmanaged(0, o[0], (limitleg1 == 0) ? OrderType.Market : OrderType.Limit, _lots1, limitleg1, 0, "", o_name[0]);
}
else if (_lots1 < 0)
{
if (strategybase.TraceOrders)
{
strategybase.Print("WARNING: Compensating overfill Leg1(" + (-1 * _lots1).ToString() + ")");
}
exit[0].Order = strategybase.SubmitOrderUnmanaged(0, o[1], (limitleg1 == 0) ? OrderType.Market : OrderType.Limit, -_lots1, limitleg1, 0, "", o_name[0]);
}
if (_lots2 > 0)
{
_exitedY = 0;
exit[1].Order = strategybase.SubmitOrderUnmanaged(1, o[1], (limitleg2 == 0) ? OrderType.Market : OrderType.Limit, _lots2, limitleg2, 0, "", o_name[1]);
}
else if (_lots2 < 0)
{
if (strategybase.TraceOrders)
{
strategybase.Print("WARNING: Compensating overfill Leg2(" + (-1 * _lots2).ToString() + ")");
}
exit[1].Order = strategybase.SubmitOrderUnmanaged(1, o[0], (limitleg2 == 0) ? OrderType.Market : OrderType.Limit, -_lots2, limitleg2, 0, "", o_name[1]);
}
}
public void PartialExit(int units2exit, LegExitType et1, LegExitType et2)
{
if (entry[0].CheckInflight)
{
return;
}
if (entry[1].CheckInflight)
{
return;
}
if (exit[0].CheckInflight)
{
return;
}
if (exit[0].CheckInflight)
{
return;
}
if (exitinprogress)
{
return;
}
if (strategybase.TraceOrders)
{
strategybase.Print("PartialExit, " + units2exit.ToString() + " units2exit");
}
if (units2exit == 0)
{
return;
}
if (units2exit > units)
{
string tmp = "units2exit(" + units2exit.ToString() + ") can only exit " + units.ToString() + " units";
string f = "SingleSpread.PartialExit:";
Zweistein.NinjaTraderLog.Process(f, tmp, LogLevel.Error, LogCategories.Strategy);
if (strategybase.TraceOrders)
{
strategybase.Print("ERROR " + f + tmp);
}
return;
}
exitinprogress = true;
//FixInFlight();
int tmp1 = lots1 * units2exit;
int tmp2 = lots2 * units2exit;
// this will correct for unfilled orders
if (mleg1 == NinjaTrader.Cbi.MarketPosition.Long)
{
tmp1 -= (lots1 - positionX);
tmp2 -= (lots2 + positionY);
}
if (mleg1 == NinjaTrader.Cbi.MarketPosition.Short)
{
tmp1 -= (lots1 + positionX);
tmp2 -= (lots2 - positionY);
}
ExitLots(tmp1, tmp2, et1, et2);
// units -= units2exit;
lots1 = tmp1;
lots2 = tmp2;
}