private void OrderEventAction(TradingEvent e)
{
try {
switch (e.Type)
{
case ExecType.ExecNew:
ProcessSend(e.Order);
break;
case ExecType.ExecTrade:
ProcessTrade(e.Trade);
break;
case ExecType.ExecCancelled:
ProcessCancel(e.Order);
break;
case ExecType.ExecOrderStatus:
ProcessReturnOrder(e.OrderReturn);
break;
}
}
catch (Exception ex) {
_provider.OnProviderError(-1, ex.Message);
}
}
public override void CancelPendingOrder(PendingOrder order)
{
if (_orders.Contains(order))
{
_orders.Remove(order);
}
var tradingEvent = new TradingEvent(Server.CurrentTime, TradingEventType.PendingOrderCanceled, order, string.Empty);
_journal.Add(tradingEvent);
}
public override void CloseMarketOrder(MarketOrder order, CloseReason closeReason)
{
if (_orders.Contains(order))
{
_orders.Remove(order);
}
var exitPrice = order.TradeType == TradeType.Buy ? order.Symbol.GetPrice(TradeType.Sell) :
order.Symbol.GetPrice(TradeType.Buy);
var barsPeriod = order.Symbol.Bars.Time.Where(iBarTime => iBarTime >= order.OpenTime).Count();
var tradingEvent = new TradingEvent(Server.CurrentTime, TradingEventType.MarketOrderClosed, order, string.Empty);
_journal.Add(tradingEvent);
Account.ChangeMargin(-order.MarginUsed, Server.CurrentTime, string.Empty, AccountChangeType.Trading);
Account.ChangeBalance(order.NetProfit, Server.CurrentTime, string.Empty, AccountChangeType.Trading);
var tradeData = Trades.Select(iTrade => iTrade.Order.NetProfit);
var sharpeRatio = SharpeRatioCalculator.GetSharpeRatio(tradeData);
var sortinoRatio = SortinoRatioCalculator.GetSortinoRatio(tradeData);
var equityMaxDrawDown = MaxDrawdownCalculator.GetMaxDrawdown(Account.EquityChanges);
var balanceMaxDrawDown = MaxDrawdownCalculator.GetMaxDrawdown(Account.BalanceChanges);
var id = _trades.Count + 1;
var tradeParameters = new TradeParameters
{
Id = id,
Order = order,
ExitTime = Server.CurrentTime,
ExitPrice = exitPrice,
Balance = Account.CurrentBalance,
Equity = Account.Equity,
BalanceMaxDrawDown = balanceMaxDrawDown,
EquityMaxDrawDown = equityMaxDrawDown,
BarsPeriod = barsPeriod,
CloseReason = closeReason,
SharpeRatio = sharpeRatio,
SortinoRatio = sortinoRatio
};
var trade = new Trade(tradeParameters);
_trades.Add(trade);
}
protected virtual void TriggerPendingOrder(PendingOrder order)
{
if (_orders.Contains(order))
{
_orders.Remove(order);
}
var marketOrderParameters = new MarketOrderParameters(order.Symbol)
{
Volume = order.Volume,
TradeType = order.TradeType,
StopLossInTicks = order.StopLossPrice.HasValue ? (double?)Math.Abs(order.TargetPrice - order.StopLossPrice.Value) : null,
TakeProfitInTicks = order.TakeProfitPrice.HasValue ? (double?)Math.Abs(order.TargetPrice - order.TakeProfitPrice.Value) : null,
Comment = order.Comment,
};
var tradingEvent = new TradingEvent(Server.CurrentTime, TradingEventType.PendingOrderFilled, order, string.Empty);
_journal.Add(tradingEvent);
Execute(marketOrderParameters);
}
protected void AddOrder(IOrder order)
{
_orders.Add(order);
switch (order.OrderType)
{
case OrderType.Market:
var tradingEvent = new TradingEvent(Server.CurrentTime, TradingEventType.MarketOrderExecuted, order, string.Empty);
_journal.Add(tradingEvent);
break;
case OrderType.Limit:
case OrderType.Stop:
tradingEvent = new TradingEvent(Server.CurrentTime, TradingEventType.PendingOrderPlaced, order, string.Empty);
_journal.Add(tradingEvent);
break;
}
}
