public override void OnOrderEvent(Orders.OrderEvent orderEvent)
{
if ((orderEvent.Direction == Orders.OrderDirection.Sell) &&
(orderEvent.Status == Orders.OrderStatus.Filled))
{
Log(string.Format("Trade {0} close at {1}", closeTradeCounter, Time));
closeTradeCounter++;
}
}
/// <summary>
/// Order fill event handler. On an order fill update the resulting information is passed to this method.
/// </summary>
/// <param name="orderEvent">Order event details containing details of the events</param>
/// <remarks>
/// This method can be called asynchronously and so should only be used by seasoned C# experts. Ensure you use proper locks on thread-unsafe objects
/// </remarks>
public override void OnOrderEvent(Orders.OrderEvent orderEvent)
{
string symbol = orderEvent.Symbol;
int portfolioPosition = Portfolio[symbol].Quantity;
var senderStrategy = SenderStrategy[orderEvent.OrderId];
var actualOrder = Transactions.GetOrderById(orderEvent.OrderId);
// Update the strategy object if the order status is filled.
if (orderEvent.Status == OrderStatus.Filled)
{
switch (senderStrategy)
{
case MomersionState.Momentum:
if (portfolioPosition > 0)
{
MomentumStrategy[symbol].Position = StockState.longPosition;
}
else if (portfolioPosition < 0)
{
MomentumStrategy[symbol].Position = StockState.shortPosition;
}
else
{
MomentumStrategy[symbol].Position = StockState.noInvested;
}
break;
case MomersionState.MeanRevertion:
if (portfolioPosition > 0)
{
MeanReversionStrategy[symbol].Position = StockState.longPosition;
}
else if (portfolioPosition < 0)
{
MeanReversionStrategy[symbol].Position = StockState.shortPosition;
}
else
{
MeanReversionStrategy[symbol].Position = StockState.noInvested;
}
break;
default:
break;
}
}
// Logging.
Log(string.Format("{0} sent from {1} strategy.", actualOrder.ToString(), senderStrategy.ToString()));
}
