public TargetExitQuantity ExitNow(SingleSpread spread)
{
double pnl = spread.PnlPerUnit();
if (stoplossperunit != 0 && pnl <= -1 * stoplossperunit)
{
return(TargetExitQuantity.All);
}
if (profit1perunitreached == false && profit1perunit != 0 && pnl >= profit1perunit)
{
profit1perunitreached = true;
return(target1exitquantity);
}
if (profit2perunitreached == false && profit2perunit != 0 && pnl >= profit2perunit)
{
profit2perunitreached = true;
return(target2exitquantity);
}
StrategyBase sb = spread.StrategyBase();
NinjaTrader.NinjaScript.Strategies.MySpreadTrader S = (NinjaTrader.NinjaScript.Strategies.MySpreadTrader)sb;
NinjaTrader.NinjaScript.Strategies.Strategy s = S as NinjaTrader.NinjaScript.Strategies.Strategy;
// variables S and s are always the same object sb which is our strategy
// the nt8 code editor intellisense logic does not show inherited class members, but only direct members
// example of using spread prices
var spreadpriceseries = s.Spread(S.Closes[0], S.PriceString, spread.Lots1, S.strLeg2Instrument, spread.Lots2, S.Leg1PriceDisplayMultiplier, S.Leg2PriceDisplayMultiplier);
// and applying SMA to it
double smoothed = s.SMA(spreadpriceseries.SpreadValue, 3)[0];
//S.Print(" SMA="+smoothed.ToString());
return(TargetExitQuantity.None);
}
public static double StrategyUpdateSpreads(Queue <SingleSpread> spreads)
{
double realizedpnl = 0;
lock (spreads){
for (int i = 0; i < spreads.Count; i++)
{
SingleSpread s = spreads.Peek();
if (s.Finished())
{
realizedpnl += s.RealizedPnl();
spreads.Dequeue();
s.Dispose();
s = null;
}
}
}
return(realizedpnl);
}
public TargetExitQuantity ExitNow(SingleSpread spread)
{
if (DateTime.Now < created.AddMinutes(2))
{
return(TargetExitQuantity.None);
}
// let the trade breath for the first 2 minutes and therefore do never exit within that time
double pnl = spread.PnlPerUnit();
if (stoplossperunit != 0 && pnl <= -1 * stoplossperunit)
{
return(TargetExitQuantity.All);
// this is the case of a hard stop
}
if (pnl <= minPnl)
{
return(TargetExitQuantity.All);
// trailing stopp hit
}
if (pnl - stoplossperunit > minPnl)
{
//adjust trailing
minPnl = pnl - stoplossperunit;
if (spread.StrategyBase().TraceOrders)
{
spread.StrategyBase().Print("MinPnl:" + minPnl.ToString());
}
}
NinjaTrader.NinjaScript.Strategies.Strategy s = spread.StrategyBase() as NinjaTrader.NinjaScript.Strategies.Strategy;
NinjaTrader.NinjaScript.Strategies.SpreadExitStrategy S = s as NinjaTrader.NinjaScript.Strategies.SpreadExitStrategy;
var spreadpriceseries = s.Spread(S.Closes[0], S.PriceString, spread.Lots1, S.strLeg2Instrument, spread.Lots2, S.Leg1PriceDisplayMultiplier, S.Leg2PriceDisplayMultiplier);
// use all Indicators on the spread price series!!!
// and applying SMA to it
double smoothed = s.SMA(spreadpriceseries.SpreadValue, 3)[0];
return(TargetExitQuantity.None);
}
public static void StrategyHandleClickedButton(StrategyBase strategy, ClickhandlerArgs cha, Queue <SingleSpread> spreads, string strratio, LegEntryType leg1entrytype, LegEntryType leg2entrytype, object ieh)
{
int _units = cha.Units;
// bool b= mut.WaitOne(new TimeSpan(0,0,3));
// if (b == false) throw new TimeoutException("clickcustomhandler mutex timeout");
switch (cha.ClickedButton)
{
case ClickedButton.Close:
lock (spreads){
foreach (SingleSpread spread in spreads)
{
spread.Exit(LegExitType.Market, LegExitType.Market);
}
}
break;
case ClickedButton.Reverse:
lock (spreads){
foreach (SingleSpread s in spreads)
{
s.Reverse();
}
}
break;
case ClickedButton.GoLong:
lock (spreads){
foreach (SingleSpread s in spreads)
{
if (s.MarketPosition != MarketPosition.Long)
{
Zweistein.NinjaTraderLog.Process("GoLong: already Short", "", LogLevel.Error, LogCategories.User);
if (strategy.TraceOrders)
{
strategy.Print("GoLong: already Short");
}
return;
}
}
//strategy.Account.Currency
SingleSpread spread = new SingleSpread(MarketPosition.Long, _units, strratio, strategy);
spread.Entry(leg1entrytype, leg2entrytype);
IExitHandling eh = ieh as IExitHandling;
spread.setIExitHandling(eh);
if (cha.Guid != null)
{
spread.Guid = cha.Guid;
}
spreads.Enqueue(spread);
}
break;
case ClickedButton.GoShort:
lock (spreads){
foreach (SingleSpread s in spreads)
{
if (s.MarketPosition != MarketPosition.Short)
{
Zweistein.NinjaTraderLog.Process("GoShort: already Long", "", LogLevel.Error, LogCategories.User);
if (strategy.TraceOrders)
{
strategy.Print("GoShort: already Long");
}
return;
}
}
SingleSpread spread = new SingleSpread(MarketPosition.Short, _units, strratio, strategy);
spread.Entry(leg1entrytype, leg2entrytype);
IExitHandling eh = ieh as IExitHandling;
spread.setIExitHandling(eh);
if (cha.Guid != null)
{
spread.Guid = cha.Guid;
}
spreads.Enqueue(spread);
}
break;
}
}
