protected override void OnExecutionUpdate(Cbi.Execution execution, string executionId, double price, int quantity,
Cbi.MarketPosition marketPosition, string orderId, DateTime time)
{
if (execution.Order != null && execution.Order.OrderState == OrderState.Filled)
{
if (execution.Order.Name == ENTER_LONG)
{
profitTaker = execution.Order.AverageFillPrice + (this.ProfitTicks * TickSize);
stopLoss = execution.Order.AverageFillPrice - (this.StopLossTicks * TickSize);
}
else if (execution.Order.Name == ENTER_SHORT)
{
profitTaker = execution.Order.AverageFillPrice - (this.ProfitTicks * TickSize);
stopLoss = execution.Order.AverageFillPrice + (this.StopLossTicks * TickSize);
}
//if (execution.Order.Name == ENTER_LONG)
//{
//}
//else if (execution.Order.Name == ENTER_SHORT)
//{
// ExitShortStopMarket(1, stopLoss, EXIT, ENTER_SHORT);
//}
}
}
protected override void OnExecutionUpdate(Cbi.Execution execution, string executionId, double price, int quantity,
Cbi.MarketPosition marketPosition, string orderId, DateTime time)
{
if (execution.Order != null && execution.Order.OrderState == OrderState.Filled)
{
ExitLongLimit(3, true, 1, execution.Order.AverageFillPrice + (ProfitTicks * TickSize), "EXIT", "SMA");
ExitLongStopMarket(3, true, 1, execution.Order.AverageFillPrice - (StopLossTicks * TickSize), "EXIT", "SMA");
}
}
protected override void OnExecutionUpdate(Cbi.Execution execution, string executionId, double price, int quantity,
Cbi.MarketPosition marketPosition, string orderId, DateTime time)
{
if (execution.Order != null && execution.Order.OrderState == OrderState.Filled)
{
if (execution.Order.Name == ENTER_LONG)
{
enterTime = time;
ExitLongLimit(2, true, 1, execution.Order.AverageFillPrice + (this.ProfitTicks * TickSize), EXIT, ENTER_LONG);
ExitLongStopMarket(2, true, 1, execution.Order.AverageFillPrice - (this.StopLossTicks * TickSize), EXIT, ENTER_LONG);
}
else if (execution.Order.Name == ENTER_SHORT)
{
enterTime = time;
ExitShortLimit(2, true, 1, execution.Order.AverageFillPrice - (this.ProfitTicks * TickSize), EXIT, ENTER_SHORT);
ExitShortStopMarket(2, true, 1, execution.Order.AverageFillPrice + (this.StopLossTicks * TickSize), EXIT, ENTER_SHORT);
}
else if (TradeSecondTrade)
{
if (secondTrade)
{
secondTrade = false;
}
else if (execution.Order.Name == EXIT)
{
bool enterLong = (execution.Order.IsLimit && execution.Order.FromEntrySignal == ENTER_LONG);
bool enterShort = (execution.Order.IsLimit && execution.Order.FromEntrySignal == ENTER_SHORT);
// || (execution.Order.IsStopMarket && execution.Order.FromEntrySignal == ENTER_SHORT)
// || (execution.Order.IsStopMarket && execution.Order.FromEntrySignal == ENTER_LONG)
if (enterLong)
{
//secondTrade = true;
currentStop = 0;
EnterLong(2, 1, ENTER_LONG);
}
else if (enterShort)
{
//secondTrade = true;
currentStop = 0;
EnterShort(2, 1, ENTER_SHORT);
}
}
}
}
}
protected override void OnExecutionUpdate(Cbi.Execution execution, string executionId, double price, int quantity,
Cbi.MarketPosition marketPosition, string orderId, DateTime time)
{
if (execution.Order != null && execution.Order.OrderState == OrderState.Filled)
{
if (execution.Order.Name == ENTER_LONG)
{
//ExitLongLimit(execution.Order.AverageFillPrice + (50 * TickSize), EXIT, ENTER_LONG);
//ExitLongStopMarket(execution.Order.AverageFillPrice - (40 * TickSize), EXIT, ENTER_LONG);
}
else if (execution.Order.Name == ENTER_SHORT)
{
//ExitShortLimit(execution.Order.AverageFillPrice - (50 * TickSize), EXIT, ENTER_SHORT);
//ExitShortStopMarket(execution.Order.AverageFillPrice + (40 * TickSize), EXIT, ENTER_LONG);
}
}
}
protected override void OnExecutionUpdate(Cbi.Execution execution, string executionId, double price, int quantity,
Cbi.MarketPosition marketPosition, string orderId, DateTime time)
{
if (PrintDetails)
{
Print(string.Format("{0} | OEU | execution | {1} | {2}", Times[1][0], time, execution.ToString()));
}
if (execution.Order.OrderState != OrderState.Filled)
{
return;
}
// when the entry order fully fills, place the profit target and stop loss
if (entryOrder != null && execution.Order == entryOrder)
{
ocoString = Guid.NewGuid().ToString();
if (UseProfitTarget)
{
if (PrintDetails)
{
Print(string.Format("{0} | OEU | placing profit target", execution.Time));
}
// calculate a price for the profit target using the secondary series ticksize
currentPtPrice = execution.Order.AverageFillPrice + ProfitTargetDistance * tickSizeSecondary;
profitTarget = placeHolderOrder;
SubmitOrderUnmanaged(1, OrderAction.Sell, OrderType.Limit, execution.Order.Filled, currentPtPrice, 0, ocoString, "profit target");
}
if (UseStopLoss)
{
if (PrintDetails)
{
Print(string.Format("{0} | OEU | placing stop loss", execution.Time));
}
currentSlPrice = execution.Order.AverageFillPrice - StopLossDistance * tickSizeSecondary;
stopLoss = placeHolderOrder;
SubmitOrderUnmanaged(1, OrderAction.Sell, OrderType.StopMarket, execution.Order.Filled, 0, currentSlPrice, ocoString, "stop loss");
}
}
}
protected override void OnExecutionUpdate(Cbi.Execution execution, string executionId, double price, int quantity,
Cbi.MarketPosition marketPosition, string orderId, DateTime time)
{
if (execution.Order != null && execution.Order.OrderState == OrderState.Filled)
{
if (execution.Order.Name == ENTER_LONG)
{
profitTaker = execution.Order.AverageFillPrice + (this.ProfitTicks * TickSize);
double tempStopLoss = execution.Order.AverageFillPrice - (this.StopLossTicks * TickSize);
stopLoss = Math.Max(stopLoss, tempStopLoss);
}
else if (execution.Order.Name == ENTER_SHORT)
{
profitTaker = execution.Order.AverageFillPrice - (this.ProfitTicks * TickSize);
double tempStopLoss = execution.Order.AverageFillPrice + (this.StopLossTicks * TickSize);
stopLoss = Math.Min(stopLoss, tempStopLoss);
}
}
}
protected override void OnExecutionUpdate(Cbi.Execution execution, string executionId, double price, int quantity,
Cbi.MarketPosition marketPosition, string orderId, DateTime time)
{
if (execution.Order != null && execution.Order.OrderState == OrderState.Filled)
{
if (execution.Order.Name == ENTER_LONG)
{
profitTaker = execution.Order.AverageFillPrice + (this.ProfitTicks * TickSize);
stopLoss = execution.Order.AverageFillPrice - (this.StopLossTicks * TickSize);
}
else if (execution.Order.Name == ENTER_SHORT)
{
profitTaker = execution.Order.AverageFillPrice - (this.ProfitTicks * TickSize);
stopLoss = execution.Order.AverageFillPrice + (this.StopLossTicks * TickSize);
}
else if (TradeSecondTrade)
{
if (secondTrade)
{
secondTrade = false;
}
else if (execution.Order.Name == PROFIT_TAKER)
{
bool enterLong = execution.Order.FromEntrySignal == ENTER_LONG;
bool enterShort = execution.Order.FromEntrySignal == ENTER_SHORT;
// || (execution.Order.IsStopMarket && execution.Order.FromEntrySignal == ENTER_SHORT)
// || (execution.Order.IsStopMarket && execution.Order.FromEntrySignal == ENTER_LONG)
if (enterLong)
{
//secondTrade = true;
EnterLong(2, 1, ENTER_LONG);
}
else if (enterShort)
{
//secondTrade = true;
EnterShort(2, 1, ENTER_SHORT);
}
}
}
}
}
protected override void OnExecutionUpdate(Cbi.Execution execution, string executionId, double price, int quantity,
Cbi.MarketPosition marketPosition, string orderId, DateTime time)
{
RecordTradeProps(execution);
}
protected override void OnExecutionUpdate(Cbi.Execution execution, string executionId, double price, int quantity,
Cbi.MarketPosition marketPosition, string orderId, DateTime time)
{
if (PrintDetails)
{
Print(string.Format("{0} | OEU | execution | {1} | {2}", Times[1][0], time, execution.ToString()));
}
if (execution.Order.OrderState != OrderState.Filled)
{
return;
}
// when the entry order fills, place the profit target and stop loss
if (entryOrder != null && execution.Order == entryOrder)
{
if (UseProfitTarget)
{
if (PrintDetails)
{
Print(string.Format("{0} | OEU | placing profit target", execution.Time));
}
// setting initial profit target
if (isLongTrade)
{
// calculate a price for the profit target using the secondary series ticksize
// currentPtPrice = execution.Order.AverageFillPrice + ProfitTargetDistance * tickSizeSecondary;
currentPtPrice = execution.Order.AverageFillPrice + profiltsTaking * tickSizeSecondary;
profitTarget = placeHolderOrder;
ExitLongLimit(1, true, entryOrder.Quantity, currentPtPrice, "profit target", "entry");
}
else
{
// calculate a price for the profit target using the secondary series ticksize
// currentPtPrice = execution.Order.AverageFillPrice - ProfitTargetDistance * tickSizeSecondary;
currentPtPrice = execution.Order.AverageFillPrice - profiltsTaking * tickSizeSecondary;
profitTarget = placeHolderOrder;
ExitShortLimit(1, true, entryOrder.Quantity, currentPtPrice, "profit target", "entry");
}
}
if (UseStopLoss)
{
if (PrintDetails)
{
Print(string.Format("{0} | OEU | placing stop loss", execution.Time));
}
//setting initial stop loss
if (isLongTrade)
{
// currentSlPrice = execution.Order.AverageFillPrice - StopLossDistance * tickSizeSecondary;
currentSlPrice = execution.Order.AverageFillPrice - stopLossVal * tickSizeSecondary;
stopLoss = placeHolderOrder;
ExitLongStopMarket(1, true, entryOrder.Quantity, currentSlPrice, "stop loss", "entry");
}
else
{
// currentSlPrice = execution.Order.AverageFillPrice + StopLossDistance * tickSizeSecondary;
currentSlPrice = execution.Order.AverageFillPrice + stopLossVal * tickSizeSecondary;
stopLoss = placeHolderOrder;
ExitShortStopMarket(1, true, entryOrder.Quantity, currentSlPrice, "stop loss", "entry");
}
}
}
}
protected override void OnExecutionUpdate(Cbi.Execution execution, string executionId, double price, int quantity, Cbi.MarketPosition marketPosition, string orderId, DateTime time)
{
//if (execution.Order.Name == "entryOrder" && execution.Order.OrderState == OrderState.Filled)
// entryOrder = execution.Order;
}
