Quote modelQuoteThatCouldFillAlert(Alert alert) {
string err;
Quote quoteModel = new Quote();
quoteModel.Source = "GENERATED_TO_FILL_" + alert.ToString();
quoteModel.Size = alert.Qty;
double priceScriptAligned = this.backtester.Executor.AlignAlertPriceToPriceLevel(alert.Bars, alert.PriceScript, true,
alert.PositionLongShortFromDirection, alert.MarketLimitStop);
Quote quotePrev = this.backtester.BacktestDataSource.BacktestStreamingProvider.StreamingDataSnapshot
.LastQuoteGetForSymbol(alert.Symbol);
switch (alert.MarketLimitStop) {
case MarketLimitStop.Limit:
switch (alert.Direction) {
case Direction.Buy:
case Direction.Cover:
if (priceScriptAligned > quotePrev.Ask) {
err = "INVALID_PRICESCRIPT_FOR_LIMIT_BUY_MUST_NOT_BE_ABOVE_CURRENT_ASK";
return null;
}
this.backtester.BacktestDataSource.BacktestStreamingProvider.SpreadModeler
.GenerateFillBidBasedOnAsk(quoteModel, priceScriptAligned);
break;
case Direction.Short:
case Direction.Sell:
if (priceScriptAligned < quotePrev.Bid) {
err = "INVALID_PRICESCRIPT_FOR_LIMIT_SELL_MUST_NOT_BE_BELOW_CURRENT_BID";
return null;
}
this.backtester.BacktestDataSource.BacktestStreamingProvider.SpreadModeler
.GenerateFillAskBasedOnBid(quoteModel, priceScriptAligned);
break;
default:
throw new Exception("ALERT_LIMIT_DIRECTION_UNKNOWN direction[" + alert.Direction + "] is not Buy/Cover/Short/Sell modelQuoteThatCouldFillAlert()");
}
break;
case MarketLimitStop.Stop:
switch (alert.Direction) {
case Direction.Buy:
case Direction.Cover:
if (priceScriptAligned < quotePrev.Ask) {
err = "INVALID_PRICESCRIPT_FOR_STOP_BUY_MUST_NOT_BE_BELOW_CURRENT_ASK";
return null;
}
this.backtester.BacktestDataSource.BacktestStreamingProvider.SpreadModeler
.GenerateFillBidBasedOnAsk(quoteModel, priceScriptAligned);
break;
case Direction.Short:
case Direction.Sell:
if (priceScriptAligned > quotePrev.Bid) {
err = "INVALID_PRICESCRIPT_FOR_STOP_SELL_MUST_NOT_BE_ABOVE_CURRENT_BID";
return null;
}
this.backtester.BacktestDataSource.BacktestStreamingProvider.SpreadModeler
.GenerateFillAskBasedOnBid(quoteModel, priceScriptAligned);
break;
default:
throw new Exception("ALERT_STOP_DIRECTION_UNKNOWN direction[" + alert.Direction + "] is not Buy/Cover/Short/Sell modelQuoteThatCouldFillAlert()");
}
break;
case MarketLimitStop.Market:
switch (alert.Direction) {
case Direction.Buy:
case Direction.Cover:
quoteModel.Ask = quotePrev.Ask;
this.backtester.BacktestDataSource.BacktestStreamingProvider.SpreadModeler
.GenerateFillBidBasedOnAsk(quoteModel, quotePrev.Ask);
break;
case Direction.Short:
case Direction.Sell:
quoteModel.Bid = quotePrev.Bid;
this.backtester.BacktestDataSource.BacktestStreamingProvider.SpreadModeler
.GenerateFillAskBasedOnBid(quoteModel, quotePrev.Bid);
break;
default:
throw new Exception("ALERT_MARKET_DIRECTION_UNKNOWN direction[" + alert.Direction + "] is not Buy/Cover/Short/Sell modelQuoteThatCouldFillAlert()");
}
break;
case MarketLimitStop.StopLimit: // HACK one quote might satisfy SLactivation, the other one might fill it; time to introduce state of SL into Alert???
string msg = "STOP_LIMIT_QUOTE_FILLING_GENERATION_REQUIRES_TWO_STEPS_NYI"
+ "; pass SLActivation=0 to PositionPrototypeActivator so that it generates STOP instead of STOPLOSS which I can't generate yet";
//Debugger.Break();
break;
case MarketLimitStop.AtClose:
default:
throw new Exception("ALERT_TYPE_UNKNOWN MarketLimitStop[" + alert.MarketLimitStop + "] is not Market/Limit/Stop modelQuoteThatCouldFillAlert()");
}
return quoteModel;
}