public void PositionSize(PendingOrder pendingorder, AgentState state)
{
//Check if this is for entry
if (state != AgentState.EntryLong && state != AgentState.EntryShort)
{
return;
}
//Get the size of the position
var positionsize = (pendingorder.Order.Quantity * FixedSize);
//Get current stop order
var currentstop = Agent.PendingOrders
.Where(x => !x.IsCancelled)
.FirstOrDefault(x => x.Order.Symbol == pendingorder.Order.Symbol &&
(x.Order.Type == OrderType.Stop || x.Order.Type == OrderType.StopLimit));
//See if we need to update our stop order
if (currentstop != null)
{
currentstop.Update(x => x.Quantity = positionsize);
}
//Set our pending order on our size (check if we need to reverse the current order)
var currentpos = Agent.Positions[pendingorder.Order.Security];
if (!currentpos.IsFlat)
{
positionsize += Math.Abs(currentpos.Quantity);
}
//Update pending order
pendingorder.Update(x => x.Quantity = positionsize);
}
public void PositionSize(PendingOrder pendingorder, AgentState state)
{
//Check if this is for entry
if (state != AgentState.EntryLong && state != AgentState.EntryShort)
{
return;
}
//Get current stop order
var currentstop = Agent.PendingOrders
.Where(x => !x.IsCancelled)
.FirstOrDefault(x => x.Order.Symbol == pendingorder.Order.Symbol &&
(x.Order.Type == OrderType.Stop || x.Order.Type == OrderType.StopLimit));
//Check if we have a stop order, cannot determine the risk without it
if (currentstop == null || !ATR.IsReady)
{
return;
}
//Get the current close
var currentprice = CurrentBar[pendingorder.Order.Symbol].Close;
//Get the current risk (delta price)/Leverage
var risk = (Math.Abs(currentprice - currentstop.Order.StopPrice) / pendingorder.Order.Security.PipSize) * (pendingorder.Order.Security.PipValue / 100);
//Calculate the amount of lots ((CE * %PE) / SV)
int microlots = Convert.ToInt32(((pendingorder.Account.Equity * (FixedPercentage * .0001M)) / (ATR.Result[0] / pendingorder.Order.Security.PipSize)));
decimal quantity = microlots * .01M;
//Set the stop order on our size
currentstop.Update(x => x.Quantity = quantity);
//Set our pending order on our size (check if we need to reverse the current order)
var currentpos = Agent.Positions[pendingorder.Order.Security];
if (!currentpos.IsFlat)
{
quantity += Math.Abs(currentpos.Quantity);
}
//Update pending order
pendingorder.Update(x => x.Quantity = quantity);
}