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 (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");
}
}
}
}
