/// <summary>
///
/// </summary>
private void AddOrUpdateBuyOrders(double desiredLongPosition)
{
OrderGroupTestTest nextOrders1 = new OrderGroupTestTest();
OrderGroupTestTest nextOrders2 = new OrderGroupTestTest();
OrderGroupTestTest nextOrders3 = new OrderGroupTestTest();
nextOrders1.MyOrder = EnterLongLimit(0, true, quantityToPurchase, desiredLongPosition - 0.00, "BuyStuff1");
nextOrders2.MyOrder = EnterLongLimit(0, true, quantityToPurchase, desiredLongPosition - 0.01, "BuyStuff2");
nextOrders3.MyOrder = EnterLongLimit(0, true, quantityToPurchase, desiredLongPosition - 0.02, "BuyStuff3");
EntryOrders.Add(nextOrders1);
EntryOrders.Add(nextOrders2);
EntryOrders.Add(nextOrders3);
}
/// <summary>
/// Updates current open orders to have the desired Price BH:Chase price
/// </summary>
private void UpdateCurrentOrders(double desiredLongPosition)
{
for (int i = 0; i < EntryOrders.Count; i++)
{
OrderGroupTestTest orderToCheck = EntryOrders[i];
if (orderToCheck != null &&
orderToCheck.MyOrder != null)
{
// update the order to have our desired position.
switch (orderToCheck.MyOrder.Name)
{
case "BuyStuff1":
if (desiredLongPosition - orderToCheck.MyOrder.LimitPrice > 0.001 && orderToCheck.MyOrder.Filled != orderToCheck.MyOrder.Quantity)
{
EnterLongLimit(0, true, orderToCheck.MyOrder.Quantity, desiredLongPosition - 0.00, orderToCheck.MyOrder.Name);
}
break;
case "BuyStuff2":
if (desiredLongPosition - orderToCheck.MyOrder.LimitPrice > 0.011 && orderToCheck.MyOrder.Filled != orderToCheck.MyOrder.Quantity)
{
EnterLongLimit(0, true, orderToCheck.MyOrder.Quantity, desiredLongPosition - 0.01, orderToCheck.MyOrder.Name);
}
break;
case "BuyStuff3":
if (desiredLongPosition - orderToCheck.MyOrder.LimitPrice > 0.021 && orderToCheck.MyOrder.Filled != orderToCheck.MyOrder.Quantity)
{
EnterLongLimit(0, true, orderToCheck.MyOrder.Quantity, desiredLongPosition - 0.02, orderToCheck.MyOrder.Name);
}
break;
default:
break;
}
}
}
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
if (lastbarcount < Bars.Count) // BH:Checks to see if Current Bar is same as last bar processed
{
// BH:Calculates Current Account Value
double currentAccountValue = myAccountValue // BH:parameter that holds starting account value
+ Performance.RealtimeTrades.TradesPerformance.GrossProfit
+ Performance.RealtimeTrades.TradesPerformance.GrossLoss
- Performance.RealtimeTrades.TradesPerformance.Commission;
// BH:Calculates desired quantity to buy based off 1.5% of Current Account Value
quantityToPurchase = Convert.ToInt32((currentAccountValue * .015) / GetCurrentBid());
// Calculate the position we want to be in.
// double desiredLongPosition = Math.Min(Low[0], GetCurrentBid());
// BH:Remove EntryOrder if in a Final State
for (int i = 0; i < EntryOrders.Count; i++)
{
OrderGroupTestTest orderToCheck = EntryOrders[i];
if (orderToCheck != null)
{
if (orderToCheck.MyOrder != null)
{
if (orderToCheck.MyOrder.OrderState == OrderState.Cancelled ||
orderToCheck.MyOrder.OrderState == OrderState.Rejected ||
orderToCheck.MyOrder.OrderState == OrderState.Unknown ||
(orderToCheck.MyOrder.OrderState == OrderState.Filled &&
Position.MarketPosition != MarketPosition.Long))
{
EntryOrders.Remove(orderToCheck);
}
}
else
{
EntryOrders.Remove(orderToCheck);
}
}
else
{
EntryOrders.Remove(orderToCheck);
}
}
//Cancel Entry Orders Not Being Filled
if (Position.MarketPosition == MarketPosition.Long)
{
for (int i = 0; i < EntryOrders.Count; i++)
{
OrderGroupTestTest orderToCheck = EntryOrders[i];
if (orderToCheck != null)
{
if (orderToCheck.MyOrder != null)
{
if (orderToCheck.MyOrder.OrderState != OrderState.PartFilled &&
orderToCheck.MyOrder.OrderState != OrderState.Filled)
{
CancelOrder(orderToCheck.MyOrder);
}
}
else
{
EntryOrders.Remove(orderToCheck);
}
}
else
{
EntryOrders.Remove(orderToCheck);
}
}
}
// Add new EntryOrders
if (Low[0] < Low[1] && // just went down
EntryOrders.Count == 0 &&
Position.MarketPosition != MarketPosition.Long)
{
AddOrUpdateBuyOrders(GetCurrentBid());
}
// BH:Chase Price
UpdateCurrentOrders(GetCurrentBid());
}
lastbarcount = Bars.Count;
}