/// <summary>
/// Executes the ITrend strategy orders.
/// </summary>
/// <param name="symbol">The symbol to be traded.</param>
/// <param name="actualOrder">The actual arder to be execute.</param>
/// <param name="data">The actual TradeBar data.</param>
private void ExecuteStrategy(Symbol symbol, SignalInfo actualOrder, TradeBars data)
{
decimal limitPrice = 0m;
int shares = PositionShares(symbol, actualOrder);
ILimitPriceCalculator priceCalculator = new InstantTrendLimitPriceCalculator();
OrderTicket ticket;
switch (actualOrder.Value)
{
case OrderSignal.goLongLimit:
// Define the limit price.
limitPrice = priceCalculator.Calculate(data[symbol], actualOrder, RngFac);
ticket = LimitOrder(symbol, shares, limitPrice, actualOrder.Id.ToString(CultureInfo.InvariantCulture));
_ticketsQueue.Add(ticket);
break;
case OrderSignal.goShortLimit:
limitPrice = priceCalculator.Calculate(data[symbol], actualOrder, RngFac);
ticket = LimitOrder(symbol, shares, limitPrice, actualOrder.Id.ToString(CultureInfo.InvariantCulture));
_ticketsQueue.Add(ticket);
break;
case OrderSignal.goLong:
case OrderSignal.goShort:
case OrderSignal.closeLong:
case OrderSignal.closeShort:
case OrderSignal.revertToLong:
case OrderSignal.revertToShort:
ticket = MarketOrder(symbol, shares, false, actualOrder.Id.ToString(CultureInfo.InvariantCulture));
_ticketsQueue.Add(ticket);
break;
}
}
/// <summary>
/// Executes the ITrend strategy orders.
/// </summary>
/// <param name="symbol">The symbol to be traded.</param>
/// <param name="actualOrder">The actual arder to be execute.</param>
/// <param name="data">The actual TradeBar data.</param>
private void ExecuteStrategy(Symbol symbol, OrderSignal actualOrder, TradeBars data)
{
decimal limitPrice = 0m;
int shares = PositionShares(symbol, actualOrder);
ILimitPriceCalculator priceCalculator = new InstantTrendLimitPriceCalculator();
switch (actualOrder)
{
case OrderSignal.goLongLimit:
// Define the limit price.
limitPrice = priceCalculator.Calculate(data[symbol], actualOrder, RngFac);
_ticketsQueue.Enqueue(LimitOrder(symbol, shares, limitPrice));
break;
case OrderSignal.goShortLimit:
limitPrice = priceCalculator.Calculate(data[symbol], actualOrder, RngFac);
_ticketsQueue.Enqueue(LimitOrder(symbol, shares, limitPrice));
break;
case OrderSignal.goLong:
case OrderSignal.goShort:
case OrderSignal.closeLong:
case OrderSignal.closeShort:
case OrderSignal.revertToLong:
case OrderSignal.revertToShort:
_ticketsQueue.Enqueue(MarketOrder(symbol, shares)); // Send the order.
break;
default: break;
}
}
/// <summary>
/// Executes the ITrend strategy orders.
/// </summary>
/// <param name="symbol">The symbol to be traded.</param>
/// <param name="signalInfo">The actual arder to be execute.</param>
/// <param name="data">The actual TradeBar data.</param>
private void ExecuteStrategy(Symbol symbol, SignalInfo signalInfo, KeyValuePair <Symbol, TradeBar> data)
{
decimal limitPrice = 0m;
int shares = PositionShares(symbol, signalInfo);
if (shares == 0)
{
return;
}
ILimitPriceCalculator priceCalculator = new InstantTrendLimitPriceCalculator();
OrderTicket ticket;
switch (signalInfo.Value)
{
case OrderSignal.goLongLimit:
// Define the limit price.
signalInfo.IsActive = false;
limitPrice = priceCalculator.Calculate(data.Value, signalInfo, RngFac);
ticket = LimitOrder(symbol, shares, limitPrice, signalInfo.Id.ToString(CultureInfo.InvariantCulture));
_ticketsQueue.Add(ticket);
break;
case OrderSignal.goShortLimit:
signalInfo.IsActive = false;
limitPrice = priceCalculator.Calculate(data.Value, signalInfo, RngFac);
ticket = LimitOrder(symbol, shares, limitPrice, signalInfo.Id.ToString(CultureInfo.InvariantCulture));
_ticketsQueue.Add(ticket);
break;
case OrderSignal.goLong:
case OrderSignal.goShort:
case OrderSignal.closeLong:
case OrderSignal.closeShort:
case OrderSignal.revertToLong:
case OrderSignal.revertToShort:
signalInfo.IsActive = false;
ticket = MarketOrder(symbol, shares, false, signalInfo.Id.ToString(CultureInfo.InvariantCulture));
_ticketsQueue.Add(ticket);
break;
default: break;
}
}
/// <summary>
/// Executes the ITrend strategy orders.
/// </summary>
/// <param name="symbol">The symbol to be traded.</param>
/// <param name="signalInfo">The actual arder to be execute.</param>
/// <param name="data">The actual TradeBar data.</param>
private void ExecuteStrategy(Symbol symbol, SignalInfo signalInfo, KeyValuePair <Symbol, TradeBar> data)
{
int shares = Convert.ToInt32(PositionShares(symbol, signalInfo));
if (shares != 0)
{
ILimitPriceCalculator priceCalculator = new InstantTrendLimitPriceCalculator();
OrderTicket ticket;
decimal limitPrice;
switch (signalInfo.Value)
{
case OrderSignal.goLongLimit:
// Define the limit price.
limitPrice = priceCalculator.Calculate(data.Value, signalInfo, RngFac);
ticket = LimitOrder(symbol, shares, limitPrice,
signalInfo.Id.ToString(CultureInfo.InvariantCulture));
break;
case OrderSignal.goShortLimit:
limitPrice = priceCalculator.Calculate(data.Value, signalInfo, RngFac);
ticket = LimitOrder(symbol, shares, limitPrice,
signalInfo.Id.ToString(CultureInfo.InvariantCulture));
break;
case OrderSignal.goLong:
case OrderSignal.goShort:
case OrderSignal.closeLong:
case OrderSignal.closeShort:
case OrderSignal.revertToLong:
case OrderSignal.revertToShort:
ticket = MarketOrder(symbol, shares, false, signalInfo.Id.ToString(CultureInfo.InvariantCulture));
break;
default:
break;
}
}
}
/// <summary>
/// Executes the ITrend strategy orders.
/// </summary>
/// <param name="symbol">The symbol to be traded.</param>
/// <param name="signalInfo">The actual arder to be execute.</param>
/// <param name="data">The actual TradeBar data.</param>
private void ExecuteStrategy(Symbol symbol, SignalInfo signalInfo, KeyValuePair<Symbol, TradeBar> data)
{
decimal limitPrice = 0m;
int shares = Convert.ToInt32(PositionShares(symbol, signalInfo));
if (shares == 0)
{
return;
}
ILimitPriceCalculator priceCalculator = new InstantTrendLimitPriceCalculator();
OrderTicket ticket;
if (shares == 0)
signalInfo.Value = OrderSignal.doNothing;
switch (signalInfo.Value)
{
case OrderSignal.goLongLimit:
// Define the limit price.
limitPrice = priceCalculator.Calculate(data.Value, signalInfo, RngFac);
//ticket = MarketOrder(symbol, shares, false, signalInfo.Id.ToString(CultureInfo.InvariantCulture));
ticket = LimitOrder(symbol, shares, limitPrice, signalInfo.Id.ToString(CultureInfo.InvariantCulture));
//_ticketsQueue.Add(ticket);
break;
case OrderSignal.goShortLimit:
limitPrice = priceCalculator.Calculate(data.Value, signalInfo, RngFac);
ticket = MarketOrder(symbol, shares, false, signalInfo.Id.ToString(CultureInfo.InvariantCulture));
//ticket = LimitOrder(symbol, shares, limitPrice, signalInfo.Id.ToString(CultureInfo.InvariantCulture));
//_ticketsQueue.Add(ticket);
break;
case OrderSignal.goLong:
case OrderSignal.goShort:
case OrderSignal.closeLong:
case OrderSignal.closeShort:
case OrderSignal.revertToLong:
case OrderSignal.revertToShort:
ticket = MarketOrder(symbol, shares, false, signalInfo.Id.ToString(CultureInfo.InvariantCulture));
//_ticketsQueue.Add(ticket);
break;
default: break;
}
}
/// <summary>
/// Executes the ITrend strategy orders.
/// </summary>
/// <param name="symbol">The symbol to be traded.</param>
/// <param name="actualOrder">The actual arder to be execute.</param>
/// <param name="data">The actual TradeBar data.</param>
private void ExecuteStrategy(Symbol symbol, SignalInfo actualOrder, TradeBars data)
{
decimal limitPrice = 0m;
int shares = PositionShares(symbol, actualOrder);
ILimitPriceCalculator priceCalculator = new InstantTrendLimitPriceCalculator();
OrderTicket ticket;
switch (actualOrder.Value)
{
case OrderSignal.goLongLimit:
// Define the limit price.
limitPrice = priceCalculator.Calculate(data[symbol], actualOrder, RngFac);
ticket = LimitOrder(symbol, shares, limitPrice, actualOrder.Id.ToString(CultureInfo.InvariantCulture));
_ticketsQueue.Add(ticket);
break;
case OrderSignal.goShortLimit:
limitPrice = priceCalculator.Calculate(data[symbol], actualOrder, RngFac);
ticket = LimitOrder(symbol, shares, limitPrice, actualOrder.Id.ToString(CultureInfo.InvariantCulture));
_ticketsQueue.Add(ticket);
break;
case OrderSignal.goLong:
case OrderSignal.goShort:
case OrderSignal.closeLong:
case OrderSignal.closeShort:
case OrderSignal.revertToLong:
case OrderSignal.revertToShort:
ticket = MarketOrder(symbol, shares, false, actualOrder.Id.ToString(CultureInfo.InvariantCulture));
_ticketsQueue.Add(ticket);
break;
}
}
//private decimal CalculateTradeProfit(Symbol symbol)
//{
// return _orderTransactionProcessor.CalculateLastTradePandL(symbol);
//}
#region "Methods"
/// <summary>
/// Executes the ITrend strategy orders.
/// </summary>
/// <param name="symbol">The symbol to be traded.</param>
/// <param name="signalInfo">The actual arder to be execute.</param>
/// <param name="data">The actual TradeBar data.</param>
private void ExecuteStrategy(Symbol symbol, SignalInfo signalInfo, KeyValuePair<Symbol, TradeBar> data)
{
return;
int shares = Convert.ToInt32(PositionShares(symbol, signalInfo));
if (shares != 0)
{
ILimitPriceCalculator priceCalculator = new InstantTrendLimitPriceCalculator();
OrderTicket ticket = null;
decimal limitPrice = 0;
switch (signalInfo.Value)
{
case OrderSignal.goLongLimit:
// Define the limit price.
limitPrice = priceCalculator.Calculate(data.Value, signalInfo, RngFac);
ticket = LimitOrder(symbol, shares, limitPrice, signalInfo.Id.ToString(CultureInfo.InvariantCulture));
break;
case OrderSignal.goShortLimit:
limitPrice = priceCalculator.Calculate(data.Value, signalInfo, RngFac);
ticket = LimitOrder(symbol, shares, limitPrice, signalInfo.Id.ToString(CultureInfo.InvariantCulture));
break;
case OrderSignal.goLong:
case OrderSignal.goShort:
case OrderSignal.closeLong:
case OrderSignal.closeShort:
case OrderSignal.revertToLong:
case OrderSignal.revertToShort:
ticket = MarketOrder(symbol, shares, false, signalInfo.Id.ToString(CultureInfo.InvariantCulture));
limitPrice = ticket.AverageFillPrice;
break;
default:
break;
}
if (ticket != null)
{
if (ticket.OrderId == 82)
System.Diagnostics.Debug.WriteLine("Send order 82");
string msg = string.Format("Order {0} Sent {1}, {2}, {3} at {4} bar {5}",
ticket.OrderId,
signalInfo.Value,
signalInfo.Name,
shares,
limitPrice,
barcount);
Log(msg);
}
}
}
/// <summary>
/// Executes the ITrend strategy orders.
/// </summary>
/// <param name="symbol">The symbol to be traded.</param>
/// <param name="actualOrder">The actual arder to be execute.</param>
/// <param name="data">The actual TradeBar data.</param>
private void ExecuteStrategy(Symbol symbol, OrderSignal actualOrder, TradeBars data)
{
decimal limitPrice = 0m;
int shares = PositionShares(symbol, actualOrder);
ILimitPriceCalculator priceCalculator = new InstantTrendLimitPriceCalculator();
switch (actualOrder)
{
case OrderSignal.goLongLimit:
// Define the limit price.
limitPrice = priceCalculator.Calculate(data[symbol], actualOrder, RngFac);
_ticketsQueue.Enqueue(LimitOrder(symbol, shares, limitPrice));
break;
case OrderSignal.goShortLimit:
limitPrice = priceCalculator.Calculate(data[symbol], actualOrder, RngFac);
_ticketsQueue.Enqueue(LimitOrder(symbol, shares, limitPrice));
break;
case OrderSignal.goLong:
case OrderSignal.goShort:
case OrderSignal.closeLong:
case OrderSignal.closeShort:
case OrderSignal.revertToLong:
case OrderSignal.revertToShort:
_ticketsQueue.Enqueue(MarketOrder(symbol, shares)); // Send the order.
break;
default: break;
}
}
