/// <summary>
/// Calculate order size for signal order
/// </summary>
/// <param name="ticket"></param>
/// <param name="state"></param>
/// <param name="weight"></param>
/// <returns></returns>
public override decimal OrderQuantity(SubmitOrderTicket ticket, SecurityState state, decimal weight)
{
//Get the needed weight (instead of the supplied weight we get from the universe, we change it to reflect our own weight)
if (_adjustedweights.ContainsKey(ticket.Security))
{
var oldweight = weight;
weight = _adjustedweights[ticket.Security];
Info($"Adjusted weight from {oldweight}, to {weight}");
}
else
{
Warning($"Could not adjust weight, could not find security {ticket.Security}");
}
//Get target amount
decimal target = TargetWeight(ticket.Security,
(state == SecurityState.EntryShort ? -1 : state == SecurityState.EntryLong ? 1 : 0) * weight);
//Check if target is valid
if (target == 0)
{
ticket.Cancel();
return(0);
}
else
{
return(target);
}
}
/// <summary>
/// Calculate order size for signal order
/// </summary>
/// <param name="ticket"></param>
/// <param name="state"></param>
/// <param name="weight"></param>
/// <returns></returns>
public override decimal OrderQuantity(SubmitOrderTicket ticket, SecurityState state, decimal weight)
{
//Get target amount
decimal target = TargetWeight(ticket.Security,
(state == SecurityState.EntryShort ? -1 : state == SecurityState.EntryLong ? 1 : 0) * weight);
//Check if target is valid
if (target == 0)
{
ticket.Cancel();
return(0);
}
else
{
return(target);
}
}