| Overall Statistics |
|
Total Trades 8498 Average Win 0.03% Average Loss -0.04% Compounding Annual Return 40.000% Drawdown 12.100% Expectancy 0.195 Net Profit 40.733% Sharpe Ratio 1.832 Probabilistic Sharpe Ratio 82.491% Loss Rate 30% Win Rate 70% Profit-Loss Ratio 0.70 Alpha 0.25 Beta -0.15 Annual Standard Deviation 0.132 Annual Variance 0.017 Information Ratio 0.757 Tracking Error 0.25 Treynor Ratio -1.615 Total Fees $0.00 |
### <summary>
### In this example, implementing simple algo
### </summary>
import clr
clr.AddReference("System")
clr.AddReference("QuantConnect.Algorithm")
clr.AddReference("QuantConnect.Indicators")
clr.AddReference("QuantConnect.Common")
from System import *
from QuantConnect import *
#from QuantConnect.Algorithm import *
#from QuantConnect.Indicators import *
import numpy as np
import json
class CurrPairs:
def __init__(self, cpName0, FxData0, PendingBuy0 = 0, PendingSell0 = 0, DefaultUnit0 = 1000,
OrderDiffPip0 = 10, LastTradeId0 = 0, LastTradePrice0 = 0.0, LastTradeUnit0 = 0,
LastBuyTradeId0 = 0, LastOpenBuyOrderId0 = 0, LastCloseBuyOrderId0 = 0, LastSellTradeId0 = 0,
LastOpenSellOrderId0 = 0,LastCloseSellOrderId0 = 0,
AvgBuyCount0 = 0.0, AvgBuyDist0 = 0.0, MaxBuyCount0 = 0, MaxBuyDist0 = 0.0, BuyCount0 = 0,
AvgSellCount0 = 0.0, AvgSellDist0 = 0.0, MaxSellCount0 = 0, MaxSellDist0 = 0.0,
SellCount0 = 0, ChngCount0 = 0, AvgChngDist0 = 0.0, MaxChngDist0 = 0.0, PlusOverride0 = 1.05,
MinusOverride0 = 1.05, TakeProfitCount0 = 20.0, HoldingUnit0 = 0, DefaultLong0 = True,
OnePip0 = 0.0001, MinProfitPip0 = 25, MaxHolding0 = 50000, MinHolding0 = 500 ):
self.cpName = cpName0
self.FxData = FxData0
self.PendingBuy = PendingBuy0
self.PendingSell = PendingSell0
self.DefaultUnit = DefaultUnit0
self.OrderDiffPip = OrderDiffPip0
self.OrderDiff = OrderDiffPip0 * OnePip0
self.LastTradeId = LastTradeId0
self.LastTradePrice = LastTradePrice0
self.LastTradeUnit = LastTradeUnit0
self.LastBuyTradeId = LastBuyTradeId0
self.LastOpenBuyOrderId = LastOpenBuyOrderId0
self.LastCloseBuyOrderId = LastCloseBuyOrderId0
self.LastSellTradeId = LastSellTradeId0
self.LastOpenSellOrderId = LastOpenSellOrderId0
self.LastCloseSellOrderId = LastCloseSellOrderId0
self.Price = 0.0
self.PrevPrice = 0.0
self.PriceMove = 0
self.AvgBuyCount = AvgBuyCount0
self.AvgBuyDist = AvgBuyDist0
self.MaxBuyCount = MaxBuyCount0
self.MaxBuyDist = MaxBuyDist0
self.BuyCount = BuyCount0
self.AvgSellCount = AvgSellCount0
self.AvgSellDist = AvgSellDist0
self.MaxSellCount = MaxSellCount0
self.MaxSellDist = MaxSellDist0
self.SellCount = SellCount0
self.ChngCount = ChngCount0
self.AvgChngDist = AvgChngDist0
self.MaxChngDist = MaxChngDist0
self.PlusOverride = PlusOverride0
self.MinusOverride = MinusOverride0
self.TakeProfitCount = TakeProfitCount0
self.HoldingUnit = HoldingUnit0
self.DefaultLong = DefaultLong0
self.OnePip = OnePip0
self.MinProfitPip = MinProfitPip0
self.MinProfit = MinProfitPip0 * OnePip0
self.MaxHolding = MaxHolding0
self.MinHolding = MinHolding0
class GenericCounters:
def __init__(self):
self.CounterValues = {}
def new (self, CounterName, StartValue = 0):
self.CounterValues[CounterName] = StartValue
return self.CounterValues[CounterName]
def inc (self, CounterName, increment = 1):
self.CounterValues[CounterName] += increment
return self.CounterValues[CounterName]
def dec (self, CounterName, decrement = 1):
self.CounterValues[CounterName] -= decrement
return self.CounterValues[CounterName]
### <meta name="tag" content="strategy example" />
class SR000100(QCAlgorithm):
# def mylog (self, inObj = b''):
# return json.JSONEncoder().encode(inObj)
# self.Log( str(inObj, encoding='utf-8', errors='strict') )
# self.Log( inObj.ToString())
#
# def mylog (self, strObj = ""):
# return json.JSONEncoder().encode(inObj)
# self.Log( strObj)
#
def mylog (self, strObj = "", *argv ):
# return
# self.Log( strObj + ">")
LineOut = strObj + ">"
cntr = 0
for arg in argv:
# self.Log( str(arg, encoding='utf-8', errors='strict') )
# self.Log("{0}: {1!s}: {2!r}".format(arg, arg, arg))
cntr += 1
LineOut += "|{0}:{1} :".format(cntr , arg)
# LineOut += "|{1} ".format(cntr , arg)
LineOut += "<# "
self.Log(LineOut)
# self.Log( strObj + "<:End::")
def updateCounters(self, OrderEvent, OT, CallerID):
NewTag = OT.Tag + CallerID + ":OiD-{0}:".format(OT.OrderId)
self.mylog(CallerID+"FO Tag-update:", OT.OrderId, OT.Symbol, OT.Quantity, OT.Time, OT.Status, OT.Tag, NewTag)
CP = self.fxPairs[OrderEvent.Symbol.Value]
CP.HoldingUnit = CP.HoldingUnit + OrderEvent.FillQuantity
CP.LastTradeId = OrderEvent.OrderId
CP.LastTradePrice = OrderEvent.FillPrice
CP.LastTradeUnit = OrderEvent.FillQuantity
if OrderEvent.FillQuantity > 0 : # Buy Fill
CP.LastBuyTradeId = OrderEvent.OrderId
elif OrderEvent.FillQuantity < 0 : # Sell Fill
CP.LastSellTradeId = OrderEvent.OrderId
self.mylog(CallerID+"updateCounters:", CP.cpName, CP.Price, CP.PendingBuy, CP.PendingSell,
CP.LastTradeId, CP.LastTradePrice, CP.LastTradeUnit,
CP.LastBuyTradeId, CP.LastOpenBuyOrderId, CP.LastCloseBuyOrderId, CP.LastSellTradeId,
CP.LastOpenSellOrderId, CP.LastCloseSellOrderId,
CP.AvgBuyCount, CP.AvgBuyDist, CP.MaxBuyCount, CP.MaxBuyDist, CP.BuyCount,
CP.AvgSellCount, CP.AvgSellDist, CP.MaxSellCount, CP.MaxSellDist,
CP.SellCount, CP.ChngCount, CP.AvgChngDist, CP.MaxChngDist, CP.PlusOverride,
CP.MinusOverride, CP.TakeProfitCount, CP.HoldingUnit, self.Portfolio[OrderEvent.Symbol].Quantity )
def formatBuyPrice(self, Price, DiffPip, OnePip):
return (Price - Price %(DiffPip * OnePip))
def formatSellPrice(self, Price, DiffPip, OnePip):
HalfDiff = DiffPip * OnePip / 2.0
return (Price + ((-Price - HalfDiff) %(DiffPip * OnePip)))
def Initialize(self):
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
# create Datasets to store current status for all symbols
# forex pairs
self.OpenTag = "open"
self.CloseTag = "close"
self.FCC = GenericCounters()
self.FCC.new("DP") # DataPoint
self.FCC.new("OE") # OrderEvent
self.FCC.new("OC") # OrderCount
self.FCC.new("OBO") # OpenBuyOrder
self.FCC.new("CBO") # CloseBuyOrder
self.FCC.new("OSO") # OpenSellOrder
self.FCC.new("CSO") # CloseSellOrder
self.DefaultOrderProperties.TimeInForce = TimeInForce.GoodTilCanceled
# self.symbols = ["EURUSD", "EURGBP", "GBPUSD"]
# self.ShortPairs = ["EURUSD", "EURGBP", "GBPUSD"]
self.symbols = ["EURUSD"]
self.ShortPairs = ["EURUSD"]
PairsCount30 = len(self.symbols)
self.SetStartDate(2010, 12, 3) #Set Start Date
self.SetEndDate(2019, 12, 6) #Set End Date
self.SetCash(PairsCount30 * 10000) #Set Strategy Cash
self.fxPairs = {}
# Initialize status data set
for symbol in self.symbols:
fxData = self.AddForex(symbol, Resolution.Hour, Market.Oanda, True, 50.0 )
# CP = CurrPairs(symbol, fxData )
self.fxPairs[symbol] = CurrPairs(symbol, fxData )
if symbol in self.ShortPairs :
self.fxPairs[symbol].DefaultLong = False
def OnData(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''
DP = "DP:{0}:".format(self.FCC.inc("DP"))
for key in data.Keys:
CP = self.fxPairs[key.Value]
CP.Price = self.Securities[key.Value].Price
CP.PriceMove = (CP.Price - CP.PrevPrice)
if abs(CP.PriceMove) > CP.OrderDiff:
CP.PrevPrice = CP.Price
self.mylog(DP, data.Time, key.Value, CP.PrevPrice, CP.Price, CP.PriceMove, data[key].Price,
self.Securities[key.Value].Price, self.Portfolio[key.Value].Quantity )
if abs(CP.PriceMove) < CP.OrderDiff:
pass
elif abs(self.Portfolio[key.Value].Quantity) < CP.DefaultUnit:
OC = "OC:{0}:".format(self.FCC.inc("OC"))
if CP.DefaultLong == True and CP.LastOpenBuyOrderId == 0:
OrderQty = CP.DefaultUnit
OrderPrice = self.formatBuyPrice(CP.Price, CP.OrderDiffPip, CP.OnePip)
OrderTag = DP + OC + "OBO:{0}:".format(self.FCC.inc("OBO")) + self.OpenTag + ":F"
OT = self.LimitOrder(key.Value, OrderQty, OrderPrice, OrderTag)
self.mylog(DP+"HLess OBO OT" , OT.OrderId, OT.Symbol, OT.Quantity, OrderPrice, OT.Time, OT.Status, OT.Tag)
elif CP.DefaultLong == False and CP.LastOpenSellOrderId == 0:
OrderQty = - CP.DefaultUnit
OrderPrice = self.formatSellPrice(CP.Price, CP.OrderDiffPip, CP.OnePip)
OrderTag = DP + OC + "OSO:{0}:".format(self.FCC.inc("OSO")) + self.OpenTag + ":F"
OT = self.LimitOrder(key.Value, OrderQty, OrderPrice, OrderTag)
self.mylog(DP+"HLess OSO OT" , OT.OrderId, OT.Symbol, OT.Quantity, OrderPrice, OT.Time, OT.Status, OT.Tag)
# OT = self.MarketOrder(key.Value, OrderQty, False, OrderTag)
elif abs(CP.PendingBuy) < CP.MinHolding and abs(CP.PendingSell) > CP.MinHolding and CP.LastOpenSellOrderId == 0:
# place Open Sell Order
NextSellPrice = CP.Price + CP.MinProfit
OrderPrice = self.formatSellPrice(NextSellPrice, CP.OrderDiffPip, CP.OnePip)
OrderQty = - CP.DefaultUnit
OC = "OC:{0}:".format(self.FCC.inc("OC"))
OrderTag = DP + OC + "OSO:{0}:".format(self.FCC.inc("OSO")) + self.OpenTag + ":F"
OT = self.LimitOrder(key.Value, OrderQty, OrderPrice, OrderTag)
self.mylog(DP+"PendingBuy Less OT" , OT.OrderId, OT.Symbol, OT.Quantity, OrderPrice, OT.Time, OT.Status, OT.Tag)
elif abs(CP.PendingSell) < CP.MinHolding and abs(CP.PendingBuy) > CP.MinHolding and CP.LastOpenBuyOrderId == 0:
# place Open Buy Order
NextBuyPrice = CP.Price - CP.MinProfit
OrderPrice = self.formatBuyPrice(NextBuyPrice, CP.OrderDiffPip, CP.OnePip)
OrderQty = CP.DefaultUnit
OC = "OC:{0}:".format(self.FCC.inc("OC"))
OrderTag = DP + OC + "OBO:{0}:".format(self.FCC.inc("OBO")) + self.OpenTag + ":F"
OT = self.LimitOrder(key.Value, OrderQty, OrderPrice, OrderTag)
self.mylog(DP+"PendingSell Less OT" , OT.OrderId, OT.Symbol, OT.Quantity, OrderPrice, OT.Time, OT.Status, OT.Tag)
self.mylog(DP+key.Value, CP.cpName, CP.PrevPrice, CP.Price, CP.PriceMove, CP.PendingBuy, CP.PendingSell,
CP.LastTradeId, CP.LastTradePrice, CP.LastTradeUnit,
CP.LastBuyTradeId, CP.LastOpenBuyOrderId, CP.LastCloseBuyOrderId, CP.LastSellTradeId,
CP.LastOpenSellOrderId, CP.LastCloseSellOrderId,
CP.AvgBuyCount, CP.AvgBuyDist, CP.MaxBuyCount, CP.MaxBuyDist, CP.BuyCount,
CP.AvgSellCount, CP.AvgSellDist, CP.MaxSellCount, CP.MaxSellDist,
CP.SellCount, CP.ChngCount, CP.AvgChngDist, CP.MaxChngDist, CP.PlusOverride,
CP.MinusOverride, CP.TakeProfitCount, CP.HoldingUnit, self.Portfolio[key.Value].Quantity )
self.Plot('FX Price', CP.cpName, CP.Price )
self.Plot('PendingBuySell', 'PendingBuy' , CP.PendingBuy )
self.Plot('PendingBuySell', 'PendingSell' , CP.PendingSell )
self.Plot('PendingBuySell', 'Holding' , CP.HoldingUnit )
# self.mylog(DP+"end of onData()")
def OnOrderEvent(self, OrderEvent):
OE = "OE:{0}:".format(self.FCC.inc("OE"))
self.mylog(OE+"param: ", OrderEvent.OrderId, OrderEvent.Symbol,
OrderEvent.Status, OrderEvent.FillPrice, OrderEvent.FillQuantity,
OrderEvent.Direction, OrderEvent.Message )
Order = self.Transactions.GetOrderById(OrderEvent.OrderId)
OrderTicket = self.Transactions.GetOrderTicket(OrderEvent.OrderId)
self.mylog(OE+"Order/OTicket: ", OrderTicket.OrderId, Order.BrokerId,
Order.Symbol, Order.Price, Order.Quantity, Order.Type, Order.Status,
Order.Tag, Order.Direction, Order.Value )
# otFilter = lambda ot: ( ot.Symbol == OrderEvent.Symbol and self.OpenTag in OrderTicket.Tag )
OTList = self.Transactions.GetOpenOrders(OrderEvent.Symbol)
x = 0
for OO in OTList:
x += 1
self.mylog(OE+"OTList: ", x, OO.Id, OO.BrokerId, OO.Symbol,
OO.Price, OO.Quantity, OO.Type, OO.Status,
OO.Tag, OO.Direction, OO.Value )
if OrderEvent.Symbol.Value in self.fxPairs:
CP = self.fxPairs[OrderEvent.Symbol.Value]
else:
self.mylog(OE+"fxPairs[] not found", OrderEvent.Symbol.Value, OrderEvent.OrderId , Order.Id)
if OrderEvent.Status == OrderStatus.Submitted :
if Order.Quantity > 0 : # Buy Submit
if self.OpenTag in Order.Tag:
if CP.LastOpenBuyOrderId != 0 and CP.LastOpenBuyOrderId != OrderEvent.OrderId:
OT = self.Transactions.GetOrderTicket(CP.LastOpenBuyOrderId)
msg = OE + "Canceled OBO-{0} ".format(OT.OrderId)
response = OT.Cancel(msg)
if response.IsSuccess:
self.mylog(OE+"OBO Canceled:" , OT.OrderId, OT.Symbol, OT.Quantity, OT.Time, OT.Status, OT.Tag)
CP.LastOpenBuyOrderId = OrderEvent.OrderId
elif self.CloseTag in Order.Tag:
if CP.LastCloseBuyOrderId != 0 and CP.LastCloseBuyOrderId != OrderEvent.OrderId:
OT = self.Transactions.GetOrderTicket(CP.LastCloseBuyOrderId)
msg = OE + "Canceled CBO-{0} ".format(OT.OrderId)
response = OT.Cancel(msg)
if response.IsSuccess:
self.mylog(OE+"CBO Canceled:" , OT.OrderId, OT.Symbol, OT.Quantity, OT.Time, OT.Status, OT.Tag)
CP.LastCloseBuyOrderId = OrderEvent.OrderId
elif Order.Quantity < 0 : # Sell Submit
if self.OpenTag in Order.Tag:
if CP.LastOpenSellOrderId != 0 and CP.LastOpenSellOrderId != OrderEvent.OrderId:
OT = self.Transactions.GetOrderTicket(CP.LastOpenSellOrderId)
msg = OE + "Canceled OSO-{0} ".format(OT.OrderId)
response = OT.Cancel(msg)
if response.IsSuccess:
self.mylog(OE+"OSO Canceled:" , OT.OrderId, OT.Symbol, OT.Quantity, OT.Time, OT.Status, OT.Tag)
CP.LastOpenSellOrderId = OrderEvent.OrderId
elif self.CloseTag in Order.Tag:
if CP.LastCloseSellOrderId != 0 and CP.LastCloseSellOrderId != OrderEvent.OrderId:
OT = self.Transactions.GetOrderTicket(CP.LastCloseSellOrderId)
msg = OE + "Canceled CSO-{0} ".format(OT.OrderId)
response = OT.Cancel(msg)
if response.IsSuccess:
self.mylog(OE+"CSO Canceled:" , OT.OrderId, OT.Symbol, OT.Quantity, OT.Time, OT.Status, OT.Tag)
CP.LastCloseSellOrderId = OrderEvent.OrderId
self.mylog(OE+"Submitted--LastOrderID", CP.cpName, CP.LastCloseSellOrderId, CP.LastOpenSellOrderId, CP.LastCloseBuyOrderId,
CP.LastOpenBuyOrderId)
# end of Order.status == Submitted
if OrderEvent.Status == OrderStatus.Filled :
self.updateCounters(OrderEvent, OrderTicket, OE)
if CP.LastCloseSellOrderId != 0:
LastCloseSellOrder = self.Transactions.GetOrderTicket(CP.LastCloseSellOrderId)
if CP.LastOpenSellOrderId != 0:
LastOpenSellOrder = self.Transactions.GetOrderTicket(CP.LastOpenSellOrderId)
if CP.LastCloseBuyOrderId != 0:
LastCloseBuyOrder = self.Transactions.GetOrderTicket(CP.LastCloseBuyOrderId)
if CP.LastOpenBuyOrderId != 0:
LastOpenBuyOrder = self.Transactions.GetOrderTicket(CP.LastOpenBuyOrderId)
if OrderEvent.FillQuantity > 0 : # Buy Fill
NextBuyPrice = OrderEvent.FillPrice - CP.OrderDiff
while NextBuyPrice >= self.Securities[OrderEvent.Symbol].Price :
NextBuyPrice -= CP.OrderDiff
NextSellPrice = OrderEvent.FillPrice + CP.MinProfit
while NextSellPrice <= self.Securities[OrderEvent.Symbol].Price :
NextSellPrice += CP.OrderDiff
NextBuyPrice = self.formatBuyPrice(NextBuyPrice, CP.OrderDiffPip, CP.OnePip)
NextSellPrice = self.formatSellPrice(NextSellPrice, CP.OrderDiffPip, CP.OnePip)
self.mylog(OE+"BOF " , OrderEvent.FillPrice, self.Securities[OrderEvent.Symbol].Price,
# CP.OrderDiffPip, CP.OnePip, CP.OrderDiff, CP.MinProfit,
NextBuyPrice, NextSellPrice)
if self.OpenTag in Order.Tag: #Buy - Open - Fill
CP.PendingSell -= OrderEvent.FillQuantity #increase PendingSell
CloseSellQuantity = CP.PendingSell / CP.TakeProfitCount
OpenBuyQuantity = CP.DefaultUnit
if CP.LastOpenBuyOrderId != OrderEvent.OrderId:
if CP.LastOpenBuyOrderId != 0:
OT = self.Transactions.GetOrderTicket(CP.LastOpenBuyOrderId)
msg = OE + "Canceled OBO-{0} ".format(OT.OrderId)
response = OT.Cancel(msg)
if response.IsSuccess:
self.mylog(OE+"OBO Canceled:" , OT.OrderId, OT.Symbol, OT.Quantity, OT.Time, OT.Status, OT.Tag)
CP.LastOpenBuyOrderId = 0
else:
CP.LastOpenBuyOrderId = 0
if CP.LastCloseSellOrderId != 0:
if LastCloseSellOrder.Status == OrderStatus.Submitted :
updateSettings = UpdateOrderFields()
updateSettings.LimitPrice = NextSellPrice
updateSettings.Quantity = CloseSellQuantity
OC = "OC:{0}:".format(self.FCC.inc("OC"))
updateSettings.Tag = OE + OC + "CSO:{0}:".format(self.FCC.inc("CSO")) + self.CloseTag + ":F"
response = LastCloseSellOrder.Update(updateSettings)
self.mylog(OE+"BOF-update CSO:", updateSettings.LimitPrice, updateSettings.Quantity, response.ToString() )
if response.IsSuccess:
OT = LastCloseSellOrder
self.mylog(OE+"BOF-CSO:" , OT.OrderId, OT.Symbol, OT.Quantity,
updateSettings.LimitPrice, OT.Time, OT.Status, OT.Tag)
else:
OC = "OC:{0}:".format(self.FCC.inc("OC"))
OrderTag = OE + OC + "CSO:{0}:".format(self.FCC.inc("CSO")) + self.CloseTag + ":F"
self.mylog(OE+"BOF-CSO price:" , NextSellPrice , Order.Symbol , CloseSellQuantity, OrderTag )
OT1 = self.LimitOrder(Order.Symbol, CloseSellQuantity, NextSellPrice, OrderTag)
self.mylog(OE+"BOF-CSO-OT1:" ,
OT1.OrderId, OT1.Symbol, OT1.Quantity, NextSellPrice, OT1.Time, OT1.Status, OT1.Tag)
CP.LastCloseSellOrderId = OT1.OrderId
else:
OC = "OC:{0}:".format(self.FCC.inc("OC"))
OrderTag = OE + OC + "CSO:{0}:".format(self.FCC.inc("CSO")) + self.CloseTag + ":F"
self.mylog(OE+"BOF-CSO price:" , NextSellPrice , Order.Symbol , CloseSellQuantity )
OT1 = self.LimitOrder(Order.Symbol, CloseSellQuantity, NextSellPrice, OrderTag)
self.mylog(OE+"BOF-CSO-OT1:" ,
OT1.OrderId, OT1.Symbol, OT1.Quantity, NextSellPrice, OT1.Time, OT1.Status, OT1.Tag)
CP.LastCloseSellOrderId = OT1.OrderId
NextBuyPrice -= CP.OnePip - CP.OnePip
OC = "OC:{0}:".format(self.FCC.inc("OC"))
OrderTag = OE + OC + "OBO:{0}:".format(self.FCC.inc("OBO")) + self.OpenTag + ":F"
self.mylog(OE+"BOF-OBO price:" , NextBuyPrice , Order.Symbol , OpenBuyQuantity )
OT2 = self.LimitOrder(Order.Symbol, OpenBuyQuantity, NextBuyPrice, OrderTag)
self.mylog(OE+"BOF-OBO-OT2:" ,
OT2.OrderId, OT2.Symbol, OT2.Quantity, NextBuyPrice, OT2.Time, OT2.Status, OT2.Tag)
CP.LastOpenBuyOrderId = OT2.OrderId
elif self.CloseTag in Order.Tag: #buy Close
CP.PendingBuy -= OrderEvent.FillQuantity #decrease PendingBuy
CloseBuyQuantity = CP.PendingBuy / CP.TakeProfitCount
OpenSellQuantity = - CP.DefaultUnit
NextSellPrice += CP.OnePip + CP.OnePip
if CP.LastCloseBuyOrderId != OrderEvent.OrderId:
if CP.LastCloseBuyOrderId != 0:
OT = self.Transactions.GetOrderTicket(CP.LastCloseBuyOrderId)
msg = OE + "Canceled CBO-{0} ".format(OT.OrderId)
response = OT.Cancel(msg)
if response.IsSuccess:
self.mylog(OE+"CBO Canceled:" , OT.OrderId, OT.Symbol, OT.Quantity, OT.Time, OT.Status, OT.Tag)
CP.LastCloseBuyOrderId = 0
else:
CP.LastCloseBuyOrderId = 0
if CP.LastOpenSellOrderId != 0:
if LastOpenSellOrder.Status == OrderStatus.Submitted :
updateSettings = UpdateOrderFields()
updateSettings.LimitPrice = NextSellPrice
updateSettings.Quantity = OpenSellQuantity
OC = "OC:{0}:".format(self.FCC.inc("OC"))
updateSettings.Tag = OE + OC + "OSO:{0}:".format(self.FCC.inc("OSO")) + self.OpenTag + ":F"
response = LastOpenSellOrder.Update(updateSettings)
self.mylog(OE+"BCF-update OSO:", updateSettings.LimitPrice, updateSettings.Quantity, response, response.ToString() )
if response.IsSuccess:
OT = LastOpenSellOrder
self.mylog(OE+"BCF-OSO updated:" ,
OT.OrderId, OT.Symbol, OT.Quantity, updateSettings.LimitPrice, OT.Time, OT.Status, OT.Tag)
else:
OC = "OC:{0}:".format(self.FCC.inc("OC"))
OrderTag = OE + OC + "OSO:{0}:".format(self.FCC.inc("OSO")) + self.OpenTag + ":F"
self.mylog(OE+"BCF-OSO price:" , NextSellPrice , Order.Symbol , OpenSellQuantity )
OT1 = self.LimitOrder(Order.Symbol, OpenSellQuantity, NextSellPrice, OrderTag)
self.mylog(OE+"BCF-OSO-OT1:" ,
OT1.OrderId, OT1.Symbol, OT1.Quantity, NextSellPrice, OT1.Time, OT1.Status, OT1.Tag)
CP.LastOpenSellOrderId = OT1.OrderId
else:
OC = "OC:{0}:".format(self.FCC.inc("OC"))
OrderTag = OE + OC + "OSO:{0}:".format(self.FCC.inc("OSO")) + self.OpenTag + ":F"
self.mylog(OE+"BCF-OSO price:" , NextSellPrice , Order.Symbol , OpenSellQuantity )
OT1 = self.LimitOrder(Order.Symbol, OpenSellQuantity, NextSellPrice, OrderTag)
self.mylog(OE+"BCF-OSO-OT1:" ,
OT1.OrderId, OT1.Symbol, OT1.Quantity, NextSellPrice, OT1.Time, OT1.Status, OT1.Tag)
CP.LastOpenSellOrderId = OT1.OrderId
OC = "OC:{0}:".format(self.FCC.inc("OC"))
OrderTag = OE + OC + "CBO:{0}:".format(self.FCC.inc("CBO")) + self.CloseTag + ":F"
self.mylog(OE+"BCF-CBO price:" , NextBuyPrice , Order.Symbol , CloseBuyQuantity )
OT2 = self.LimitOrder(Order.Symbol, CloseBuyQuantity, NextBuyPrice, OrderTag)
self.mylog(OE+"BCF-CBO-OT2:" ,
OT2.OrderId, OT2.Symbol, OT2.Quantity, NextBuyPrice, OT2.Time, OT2.Status, OT2.Tag)
CP.LastCloseBuyOrderId = OT2.OrderId
elif OrderEvent.FillQuantity < 0 : # Sell Fill
NextBuyPrice = OrderEvent.FillPrice - CP.MinProfit
while NextBuyPrice >= self.Securities[Order.Symbol].Price :
NextBuyPrice -= CP.OrderDiff
NextSellPrice = OrderEvent.FillPrice + CP.OrderDiff
while NextSellPrice <= self.Securities[Order.Symbol].Price :
NextSellPrice += CP.OrderDiff
NextBuyPrice = self.formatBuyPrice(NextBuyPrice, CP.OrderDiffPip, CP.OnePip)
NextSellPrice = self.formatSellPrice(NextSellPrice, CP.OrderDiffPip, CP.OnePip)
self.mylog(OE+"SOF " , OrderEvent.FillPrice, self.Securities[OrderEvent.Symbol].Price,
# CP.OrderDiffPip, CP.OnePip, CP.OrderDiff, CP.MinProfit,
NextBuyPrice, NextSellPrice)
if self.OpenTag in Order.Tag:
CP.PendingBuy -= OrderEvent.FillQuantity #increase PendingBuy
CloseBuyQuantity = CP.PendingBuy / CP.TakeProfitCount
OpenSellQuantity = -CP.DefaultUnit
if CP.LastOpenSellOrderId != OrderEvent.OrderId:
if CP.LastOpenSellOrderId != 0:
OT = self.Transactions.GetOrderTicket(CP.LastOpenSellOrderId)
msg = OE + "Canceled OSO-{0} ".format(OT.OrderId)
response = OT.Cancel(msg)
if response.IsSuccess:
self.mylog(OE+"OSO Canceled:" , OT.OrderId, OT.Symbol, OT.Quantity, OT.Time, OT.Status, OT.Tag)
CP.LastOpenSellOrderId = 0
else:
CP.LastOpenSellOrderId = 0
if CP.LastCloseBuyOrderId != 0:
if LastCloseBuyOrder.Status == OrderStatus.Submitted :
updateSettings = UpdateOrderFields()
updateSettings.LimitPrice = NextBuyPrice
updateSettings.Quantity = CloseBuyQuantity
OC = "OC:{0}:".format(self.FCC.inc("OC"))
updateSettings.Tag = OE + OC + "CBO:{0}:".format(self.FCC.inc("CBO")) + self.CloseTag + ":F"
response = LastCloseBuyOrder.Update(updateSettings)
self.mylog(OE+"SOF-CBO update:", updateSettings.LimitPrice, updateSettings.Quantity, response, response.ToString() )
if response.IsSuccess:
OT = LastCloseBuyOrder
self.mylog(OE+"SOF-CBO updated:" , OT.OrderId, OT.Symbol, OT.Quantity,
updateSettings.LimitPrice, OT.Time, OT.Status, OT.Tag)
else:
OC = "OC:{0}:".format(self.FCC.inc("OC"))
OrderTag = OE + OC + "CBO:{0}:".format(self.FCC.inc("CBO")) + self.CloseTag + ":F"
self.mylog(OE+"SOF-CBO price:" , NextBuyPrice , Order.Symbol , CloseBuyQuantity )
OT1 = self.LimitOrder(Order.Symbol, CloseBuyQuantity, NextBuyPrice, OrderTag)
self.mylog(OE+"SOF-CBO-OT1:" ,
OT1.OrderId, OT1.Symbol, OT1.Quantity, NextBuyPrice, OT1.Time, OT1.Status, OT1.Tag)
CP.LastCloseBuyOrderId = OT1.OrderId
else:
OC = "OC:{0}:".format(self.FCC.inc("OC"))
OrderTag = OE + OC + "CBO:{0}:".format(self.FCC.inc("CBO")) + self.CloseTag + ":F"
self.mylog(OE+"SOF-CBO price:" , NextBuyPrice , Order.Symbol , CloseBuyQuantity )
OT1 = self.LimitOrder(Order.Symbol, CloseBuyQuantity, NextBuyPrice, OrderTag)
self.mylog(OE+"SOF-CBO-OT1:" ,
OT1.OrderId, OT1.Symbol, OT1.Quantity, NextBuyPrice, OT1.Time, OT1.Status, OT1.Tag)
CP.LastCloseBuyOrderId = OT1.OrderId
NextSellPrice += CP.OnePip + CP.OnePip
OC = "OC:{0}:".format(self.FCC.inc("OC"))
OrderTag = OE + OC + "OSO:{0}:".format(self.FCC.inc("OSO")) + self.OpenTag + ":F"
self.mylog(OE+"SOF-OSO price:" , NextSellPrice , Order.Symbol , OpenSellQuantity )
OT2 = self.LimitOrder(Order.Symbol, OpenSellQuantity, NextSellPrice, OrderTag)
self.mylog(OE+"SOF-OSO-OT2:" ,
OT2.OrderId, OT2.Symbol, OT2.Quantity, NextSellPrice, OT2.Time, OT2.Status, OT2.Tag)
CP.LastOpenSellOrderId = OT2.OrderId
elif self.CloseTag in Order.Tag:
CP.PendingSell -= OrderEvent.FillQuantity #decrease PendingSell
CloseSellQuantity = CP.PendingSell / CP.TakeProfitCount
OpenBuyQuantity = CP.DefaultUnit
NextBuyPrice -= CP.OnePip - CP.OnePip
if CP.LastCloseSellOrderId != OrderEvent.OrderId:
if CP.LastCloseSellOrderId != 0:
OT = self.Transactions.GetOrderTicket(CP.LastCloseSellOrderId)
msg = OE + "Canceled CSO-{0} ".format(OT.OrderId)
response = OT.Cancel(msg)
if response.IsSuccess:
self.mylog(OE+"CSO Canceled:" , OT.OrderId, OT.Symbol, OT.Quantity, OT.Time, OT.Status, OT.Tag)
CP.LastCloseSellOrderId = 0
else:
CP.LastCloseSellOrderId = 0
if CP.LastOpenBuyOrderId != 0:
if LastOpenBuyOrder.Status == OrderStatus.Submitted :
updateSettings = UpdateOrderFields()
updateSettings.LimitPrice = NextBuyPrice
updateSettings.Quantity = OpenBuyQuantity
OC = "OC:{0}:".format(self.FCC.inc("OC"))
updateSettings.Tag = OE + OC + "OBO:{0}:".format(self.FCC.inc("OBO")) + self.OpenTag + ":F"
response = LastOpenBuyOrder.Update(updateSettings)
self.mylog(OE+"SCF-OBO update:", updateSettings.LimitPrice, updateSettings.Quantity, response, response.ToString() )
if response.IsSuccess:
OT = LastOpenBuyOrder
self.mylog(OE+"SCF-OBO updated:" ,
OT.OrderId, OT.Symbol, OT.Quantity, updateSettings.LimitPrice, OT.Time, OT.Status, OT.Tag)
else:
OC = "OC:{0}:".format(self.FCC.inc("OC"))
OrderTag = OE + OC + "OBO:{0}:".format(self.FCC.inc("OBO")) + self.OpenTag + ":F"
self.mylog(OE+"SCF-OBO price:" , NextBuyPrice , Order.Symbol , OpenBuyQuantity )
OT1 = self.LimitOrder(Order.Symbol, OpenBuyQuantity, NextBuyPrice, OrderTag)
self.mylog(OE+"SCF-OBO-OT1:" ,
OT1.OrderId, OT1.Symbol, OT1.Quantity, NextBuyPrice, OT1.Time, OT1.Status, OT1.Tag)
CP.LastOpenBuyOrderId = OT1.OrderId
else:
OC = "OC:{0}:".format(self.FCC.inc("OC"))
OrderTag = OE + OC + "OBO:{0}:".format(self.FCC.inc("OBO")) + self.OpenTag + ":F"
self.mylog(OE+"SCF-OBO price:" , NextBuyPrice , Order.Symbol , OpenBuyQuantity )
OT1 = self.LimitOrder(Order.Symbol, OpenBuyQuantity, NextBuyPrice, OrderTag)
self.mylog(OE+"SCF-OBO-OT1:" ,
OT1.OrderId, OT1.Symbol, OT1.Quantity, NextBuyPrice, OT1.Time, OT1.Status, OT1.Tag)
CP.LastOpenBuyOrderId = OT1.OrderId
OC = "OC:{0}:".format(self.FCC.inc("OC"))
OrderTag = OE + OC + "CSO:{0}:".format(self.FCC.inc("CSO")) + self.CloseTag + ":F"
self.mylog(OE+"SCF-CSO price:" , NextSellPrice , Order.Symbol , CloseSellQuantity )
OT2 = self.LimitOrder(Order.Symbol, CloseSellQuantity, NextSellPrice, OrderTag)
self.mylog(OE+"SCF-CSO-OT2: " ,
OT2.OrderId, OT2.Symbol, OT2.Quantity, NextSellPrice, OT2.Time, OT2.Status, OT2.Tag)
CP.LastCloseSellOrderId = OT2.OrderId
self.mylog(OE+"END of onOrderEvent()--Filled")
# end of Order.status == Filled
self.mylog(OE+CP.cpName, CP.cpName, self.Securities[OrderEvent.Symbol].Price, CP.PendingBuy, CP.PendingSell,
CP.LastTradeId, CP.LastTradePrice, CP.LastTradeUnit,
CP.LastBuyTradeId, CP.LastOpenBuyOrderId, CP.LastCloseBuyOrderId, CP.LastSellTradeId,
CP.LastOpenSellOrderId, CP.LastCloseSellOrderId,
CP.AvgBuyCount, CP.AvgBuyDist, CP.MaxBuyCount, CP.MaxBuyDist, CP.BuyCount,
CP.AvgSellCount, CP.AvgSellDist, CP.MaxSellCount, CP.MaxSellDist,
CP.SellCount, CP.ChngCount, CP.AvgChngDist, CP.MaxChngDist, CP.PlusOverride,
CP.MinusOverride, CP.TakeProfitCount, CP.HoldingUnit )