private void ProcessSellTrailingOrder(StockDailyValue dailyValue)
{
// Deal with stock market open fix
if (dailyValue.OPEN <= TargetLimit)
{
this.Value = dailyValue.OPEN;
Fee = CalculateFee(this.Number, this.Value);
this.ExecutionDate = dailyValue.DATE;
this.State = OrderStatus.Executed;
}
else
{
switch (dailyValue.getOHLCType())
{
// The up trend indicates the stock reaches its low before reaching its high
case OHLCType.UpTrend:
case OHLCType.BottomUpTrend:
case OHLCType.TopUpTrend:
if (dailyValue.OPEN <= TargetLimit)
{
this.Value = dailyValue.OPEN;
Fee = CalculateFee(this.Number, this.Value);
this.ExecutionDate = dailyValue.DATE;
this.State = OrderStatus.Executed;
}
else
{
if (dailyValue.LOW <= TargetLimit)
{
this.Value = TargetLimit;
Fee = CalculateFee(this.Number, this.Value);
this.ExecutionDate = dailyValue.DATE;
this.State = OrderStatus.Executed;
}
else
{
// The stock reaches its high before it closes so update the benchmark
Benchmark = Math.Max(dailyValue.HIGH, Benchmark);
// Check is close is lower than target
if (dailyValue.CLOSE <= TargetLimit)
{
// Create new sell order
this.Value = TargetLimit;
Fee = CalculateFee(this.Number, this.Value);
this.ExecutionDate = dailyValue.DATE;
this.State = OrderStatus.Executed;
}
}
}
break;
// The down trend indicates the stock reaches its high before reaching its low
case OHLCType.TopDownTrend:
case OHLCType.BottomDownTrend:
case OHLCType.DownTrend:
Benchmark = Math.Max(dailyValue.HIGH, Benchmark);
if (dailyValue.LOW <= TargetLimit)
{
this.Value = TargetLimit;
Fee = CalculateFee(this.Number, this.Value);
this.ExecutionDate = dailyValue.DATE;
this.State = OrderStatus.Executed;
}
break;
default:
break;
}
}
}
private void ProcessBuyTrailingOrder(StockDailyValue dailyValue)
{
// Deal with stock market open fix
if (dailyValue.OPEN >= this.TargetLimit) // Buy at open open price. It reallity it could buy lower before the market opens during fix.
{
// Execute Order
this.Value = dailyValue.OPEN;
CalculateNumberAndFeeFromAmount();
this.ExecutionDate = dailyValue.DATE;
this.State = OrderStatus.Executed;
this.ExecutionDate = dailyValue.DATE;
}
else
{
// Detect wether buy order has to be executed according to the daily value trend
switch (dailyValue.getOHLCType())
{
// The up trend indicates the stock reaches its low before reaching its high
case OHLCType.UpTrend:
case OHLCType.BottomUpTrend:
case OHLCType.TopUpTrend:
// Update the benchmark with the new low value if lower than previous benchmark
Benchmark = Math.Min(dailyValue.LOW, Benchmark);
if (dailyValue.HIGH >= TargetLimit)
{
// Execute Order
this.Value = TargetLimit;
CalculateNumberAndFeeFromAmount();
this.ExecutionDate = dailyValue.DATE;
this.State = OrderStatus.Executed;
this.ExecutionDate = dailyValue.DATE;
}
break;
// The down trend indicates the stock reaches its high before reaching its low
case OHLCType.TopDownTrend:
case OHLCType.BottomDownTrend:
case OHLCType.DownTrend:
if (dailyValue.HIGH >= TargetLimit) // Target limit was between Open and High
{
// Execute Order
this.Value = TargetLimit;
CalculateNumberAndFeeFromAmount();
this.ExecutionDate = dailyValue.DATE;
this.State = OrderStatus.Executed;
this.ExecutionDate = dailyValue.DATE;
}
else
{ // Update the benchmark with the new low value if lower than previous benchmark
Benchmark = Math.Min(dailyValue.LOW, Benchmark);
if (dailyValue.CLOSE >= TargetLimit) // Check if close is higher than target
{
// Execute Order
this.Value = TargetLimit;
CalculateNumberAndFeeFromAmount();
this.ExecutionDate = dailyValue.DATE;
this.State = OrderStatus.Executed;
this.ExecutionDate = dailyValue.DATE;
}
}
break;
default:
break;
}
}
}
