private double GetSignalFileLimitPrice(FuturesContract futuresContract, OrderDetails orderDetails, SignalFile signalFile, Strategy strategy, Tuple <bool, bool, int> db)
{
double tick;
double limitPrice = signalFile.LimitPrice;
switch (strategy.Symbol)
{
case "QM":
tick = FuturesContract.GetTickSize(futuresContract);
decimal nearOf = 0.025M;
//tick *= (signalFile.EMAAngle < 40 && signalFile.EMAAngle > -40) ? @params.crudeSpread : 4;
tick *= (signalFile.Trend < 40) ? @params.crudeSpread : 4;
if (orderDetails.BuyOrSell == "BUY")
{
limitPrice -= tick;
}
else if (orderDetails.BuyOrSell == "SELL")
{
limitPrice += tick;
}
decimal _limitPrice = Convert.ToDecimal(limitPrice);
_limitPrice = Precision.UltimateRoundingFunction(_limitPrice, nearOf, 0.49M);
limitPrice = Convert.ToDouble(_limitPrice);
return(limitPrice);
case "MES":
tick = FuturesContract.GetTickSize(futuresContract);
tick *= (signalFile.EMAAngle <40 && signalFile.EMAAngle> -40) ? @params.sp500Spread : @params.sp500Spread / 2;
if (signalFile.Adx < 15)
{
if (orderDetails.BuyOrSell == "BUY")
{
limitPrice -= tick;
}
else if (orderDetails.BuyOrSell == "SELL")
{
limitPrice += tick;
}
}
return(limitPrice);
case "MGC":
tick = FuturesContract.GetTickSize(futuresContract);
if (signalFile.Adx < 15)
{
tick *= 1;
if (orderDetails.BuyOrSell == "BUY")
{
limitPrice -= tick;
return(limitPrice);
}
else if (orderDetails.BuyOrSell == "SELL")
{
limitPrice += tick;
return(limitPrice);
}
}
else
{
tick *= 2;
if (orderDetails.BuyOrSell == "BUY")
{
limitPrice += tick;
return(limitPrice);
}
else if (orderDetails.BuyOrSell == "SELL")
{
limitPrice -= tick;
return(limitPrice);
}
}
break;
}
return(limitPrice);
}
private double GetBrokerLimitPrice(FuturesContract futuresContract, OrderDetails orderDetails, Prices prices, Strategy strategy, Tuple <bool, bool, int> db, SignalFile signalFile)
{
double tick = FuturesContract.GetTickSize(futuresContract);
double limitPrice = 0;
switch (strategy.Symbol)
{
case "QM":
//tick *= (db.Item3 == 0 || db.Item3 != 0) ? @params.crudeSpread : 1;
//if (signalFile.Macd == 1)
//{
// tick *= (signalFile.Trend < 40 && orderDetails.BuyOrSell == "SELL") ? @params.crudeSpread : 4;
//}
//else if (signalFile.Macd == 2)
//{
// tick *= (signalFile.Trend < 40 && orderDetails.BuyOrSell == "SELL") ? @params.crudeSpread : 3;
//}
//if (signalFile.Macd == -1)
//{
// tick *= (signalFile.Trend < 40 && orderDetails.BuyOrSell == "BUY") ? @params.crudeSpread : 4;
//}
//else if (signalFile.Macd == -2)
//{
// tick *= (signalFile.Trend < 40 && orderDetails.BuyOrSell == "BUY") ? @params.crudeSpread : 3;
//}
if (orderDetails.BuyOrSell == "BUY")
{
//If Up trend than our bid is spread = 2 and offer is @params.crudeSpread = 5
//tick *= (signalFile.EMAAngle < 40 && signalFile.EMAAngle > -40) ? @params.crudeSpread : 8;
tick *= (signalFile.Trend < 40) ? @params.crudeSpread : 4;
limitPrice = Math.Min(prices.BidPrice, signalFile.LimitPrice); //prices.BidPrice;
limitPrice -= tick;
}
else if (orderDetails.BuyOrSell == "SELL")
{
//If Down trend than our offer is spread = 2 and out bid is @params.crudeSpread = 5
//tick *= (signalFile.EMAAngle < 40 && signalFile.EMAAngle > -40) ? @params.crudeSpread : 8;
tick *= (signalFile.Trend < 40) ? @params.crudeSpread : 4;
limitPrice = Math.Max(prices.AskPrice, signalFile.LimitPrice); //prices.AskPrice;
limitPrice += tick;
}
return(limitPrice);
case "MES":
//tick *= (db.Item3 == 0 || db.Item3 != 0) ? @params.sp500Spread : 1;
//tick *= (signalFile.EMAAngle < 40 && signalFile.EMAAngle > -40) ? @params.sp500Spread : @params.sp500Spread ;
tick *= (signalFile.Trend < 40) ? @params.sp500Spread : 5;
if (orderDetails.BuyOrSell == "BUY")
{
limitPrice = Math.Min(prices.BidPrice, signalFile.LimitPrice);
limitPrice -= tick;
}
else if (orderDetails.BuyOrSell == "SELL")
{
limitPrice = Math.Max(prices.AskPrice, signalFile.LimitPrice);
limitPrice += tick;
}
return(limitPrice);
}
return(limitPrice);
}