public void RebuildPositions(NinjaTrader.NinjaScript.StrategyBase strategy)
{
DateTime t = NinjaTrader.Core.Globals.Now;
//SetBaseCurrency(strategy.Account.Denomination);
PropertyInfo pi = strategy.GetType().GetProperty("FirstLoadUTC");
string FirstLoadUTC = (string)pi.GetValue(strategy);
DateTime tmp = DateTime.Parse(FirstLoadUTC);
DateTime mintime = new DateTime(tmp.Year, tmp.Month, tmp.Day, tmp.Hour, tmp.Minute, tmp.Second);
mintime = mintime.AddHours(-1);
for (int i = 0; i < 2; i++)
{
int n = 0;
double avg = 0;
//if(t.AddDays(-2) <mintime) mintime=t.AddDays(-2);
// strategy.Print("RebuildPositions: mintime:"+ mintime.Kind.ToString() + " t:"+t.Kind.ToString());
// strategy.Print("RebuildPositions:"+ mintime.ToString());
System.Collections.ObjectModel.Collection <NinjaTrader.Cbi.Execution> ce =
NinjaTrader.Cbi.Execution.DbGet(strategy.Account, strategy.Instruments[i], mintime, t);
foreach (string s in exectokens[i])
{
NinjaTrader.Cbi.Execution exec = ce.FirstOrDefault(x => x.OrderId == s);
if (exec != null)
{
if (i == 0 && exec.MarketPosition == mleg1 || i == 1 && exec.MarketPosition != mleg1)
{
// we add averaging
n += exec.Quantity;
avg += exec.Price * exec.Quantity;
}
else
{
n -= exec.Quantity;
avg -= exec.Price * exec.Quantity;
}
execs[i].Add(exec);
strategy.Executions.Add(exec);
strategy.Positions[i].AddExecution(exec);
}
}
int u = 0;
if (mleg1 == MarketPosition.Long)
{
u = 1;
}
if (mleg1 == MarketPosition.Short)
{
u = -1;
}
if (i == 0)
{
positionX = 1 * u * n;
}
if (i == 1)
{
positionY = -1 * u * n;
}
if (n != 0)
{
avg_fill[i] = avg / (double)n;
}
else
{
avg_fill[i] = 0;
}
}
}