/// <summary>
/// Executes market orders if the standard deviation of price is more than the configured number of deviations
/// in the favorable direction.
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="targets">The portfolio targets</param>
public override void Execute(QCAlgorithmFramework algorithm, IPortfolioTarget[] targets)
{
_targetsCollection.AddRange(targets);
foreach (var target in _targetsCollection)
{
var symbol = target.Symbol;
// calculate remaining quantity to be ordered
var unorderedQuantity = OrderSizing.GetUnorderedQuantity(algorithm, target);
// fetch our symbol data containing our STD/SMA indicators
SymbolData data;
if (!_symbolData.TryGetValue(symbol, out data))
{
continue;
}
// ensure we're receiving price data before submitting orders
if (data.Security.Price == 0m)
{
continue;
}
// check order entry conditions
if (data.STD.IsReady && PriceIsFavorable(data, unorderedQuantity))
{
// get the maximum order size based on total order value
var maxOrderSize = OrderSizing.Value(data.Security, MaximumOrderValue);
var orderSize = Math.Min(maxOrderSize, Math.Abs(unorderedQuantity));
// round down to even lot size
orderSize -= orderSize % data.Security.SymbolProperties.LotSize;
if (orderSize != 0)
{
algorithm.MarketOrder(symbol, Math.Sign(unorderedQuantity) * orderSize);
}
}
// check to see if we're done with this target
unorderedQuantity = OrderSizing.GetUnorderedQuantity(algorithm, target);
if (unorderedQuantity == 0m)
{
_targetsCollection.Remove(target.Symbol);
}
}
}
/// <summary>
/// Executes market orders if the standard deviation of price is more than the configured number of deviations
/// in the favorable direction.
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="targets">The portfolio targets</param>
public override void Execute(QCAlgorithm algorithm, IPortfolioTarget[] targets)
{
_targetsCollection.AddRange(targets);
// for performance we check count value, OrderByMarginImpact and ClearFulfilled are expensive to call
if (_targetsCollection.Count > 0)
{
foreach (var target in _targetsCollection.OrderByMarginImpact(algorithm))
{
var symbol = target.Symbol;
// calculate remaining quantity to be ordered
var unorderedQuantity = OrderSizing.GetUnorderedQuantity(algorithm, target);
// fetch our symbol data containing our STD/SMA indicators
SymbolData data;
if (!_symbolData.TryGetValue(symbol, out data))
{
continue;
}
// check order entry conditions
if (data.STD.IsReady && PriceIsFavorable(data, unorderedQuantity))
{
// get the maximum order size based on total order value
var maxOrderSize = OrderSizing.Value(data.Security, MaximumOrderValue);
var orderSize = Math.Min(maxOrderSize, Math.Abs(unorderedQuantity));
// round down to even lot size
orderSize -= orderSize % data.Security.SymbolProperties.LotSize;
if (orderSize != 0)
{
algorithm.MarketOrder(symbol, Math.Sign(unorderedQuantity) * orderSize);
}
}
}
_targetsCollection.ClearFulfilled(algorithm);
}
}
