public void UpdateSignal(SignalEvent signal)
{
var orderEvent = this.GenerateNaiveOrder(signal);
if (orderEvent != null)
{
this.eventBus.Put(orderEvent);
}
}
private OrderEvent GenerateNaiveOrder(SignalEvent signal)
{
var symbol = signal.Symbol;
var direction = signal.SignalType;
var strength = signal.Strength;
var time = signal.TimeStamp;
var marketQuantity = (int)Math.Floor(100*strength);
var currentQuantity = (int)this.currentPositions[symbol];
if (direction == SignalType.Long && currentQuantity == 0)
{
return new OrderEvent(symbol, OrderType.Market, marketQuantity, TransactionDirection.Buy, time);
}
if (direction == SignalType.Short && currentQuantity == 0)
{
return new OrderEvent(symbol, OrderType.Market, marketQuantity, TransactionDirection.Sell, time);
}
if (direction == SignalType.Exit && currentQuantity > 0)
{
return new OrderEvent(symbol, OrderType.Market, Math.Abs(currentQuantity), TransactionDirection.Sell, time);
}
if (direction == SignalType.Exit && currentQuantity < 0)
{
return new OrderEvent(symbol, OrderType.Market, Math.Abs(currentQuantity), TransactionDirection.Buy, time);
}
return null;
}
