Multiple EnterLongStops

[Laserdan]

I have developed a strategy that generates multiple price levels to enter at.

All of these will not get hit on the next bar

So here are my questions:

1. How can i store these levels so i can use them later (should i use a dataseries object) because if i submit all these enterLongStops, i am afraid my broker wont accept because of margin...lol
2. how do i determine which price is closest to market so i can submit orders? one may be short and another long
3. how do i tell if order filled so i can remove it from (dataseries?) because each level gets used once

Not sure if I made myself clear, but anyone who is really good at programming this should be a no brainer for ya!

I guess i would ike a framework to store levels
execute orders on those levels
confirm fills
then delete levels

Thanks

[murfinp]

I have developed a strategy that generates multiple price levels to enter at.

All of these will not get hit on the next bar

So here are my questions:

1. How can i store these levels so i can use them later (should i use a dataseries object) because if i submit all these enterLongStops, i am afraid my broker wont accept because of margin...lol
2. how do i determine which price is closest to market so i can submit orders? one may be short and another long
3. how do i tell if order filled so i can remove it from (dataseries?) because each level gets used once

Not sure if I made myself clear, but anyone who is really good at programming this should be a no brainer for ya!

I guess i would ike a framework to store levels
execute orders on those levels
confirm fills
then delete levels

Thanks

Hi LaserDan


I have done a similiar thing ...I'm not saying this is perfect (as i just typed it in- probably some typo's etc) but it should give you the basis on which to add some code to your strategy ...

/////////////////////
/// variables
/////////////////////

static int LONG =1;
static in SHORT = -1;

List<double>listLongOrderLevels = new List<double>();
List<double>listShortOrderLevels = new List<double>();
List<IOrder>listOpenOrders = new List<IOrder>();

//////////////////////
//////////////////////
//////////////////////

1. Add your long/short levels to the long order list => AddToOrderLevels(double prc, int LS)
3. Find And Remove your order placement levels from the Long level List => private double FindNearestLongLevel ()
4. Find And Remove your order placement levels from the Short level List => private double FindNearestShortLevel ()
5. Place Order = > PlaceMyOrder(double prc, int LongOrShort)
6. Order will be removed from your open order list in the override of OnExecution


//////////////////////
//////////////////////
//////////////////////

protected override void OnExecution(IExecution execution) {
for (int i=0;i<listOpenOrders.Count;i++) {
if ( listOpenOrders[i].Token == execution.Order.Token) {
listOpenOrders.RemoveAt(i);
break;
}
}
}

//////////////////////
//////////////////////
//////////////////////

private void PlaceMyOrder (double prc, int LS) {

if (LS == LONG) listOpenOrders.Add(EnterLongLimit(.....));
else if (LS == SHORT) listOpenOrders.Add(EnterShortLimit(.....));
}

//////////////////////
//////////////////////
//////////////////////

private void AddToOrderLevels(double prc, int LS) {

if (LS == LONG) listLongOrderLevels.Add(prc);
else if (LS == SHORT) listShortOrderLevels.Add(prc);

}

//////////////////////
//////////////////////
//////////////////////

private double FindNearestLongLevel () {

double diff = 0;
double d;
int iPos = -1;


for (int i=0; i< listLongOrderLevels.Count; i++ ) {

d = Close[0] - listLongOrderLevels[i];

if (d > TickSize && (d < diff || diff == 0)) iPos = i;
}

if (iPos > -1) {
d = listLongOrderLevles[i];
listLongOrderLevels.RemoveAt(i);
return (d);
} else return 0;

}

//////////////////////
//////////////////////
//////////////////////

private double FindNearestShortLevel() {

double diff = 0;
double d;
int iPos = -1;


for (int i=0; i< listShortOrderLevels.Count; i++ ) {

d = listShortOrderLevels[i] - Close[i];

if (d > TickSize && (d < diff || diff == 0)) iPos = i;
}

if (iPos > -1) {
d = listShortOrderLevels[i];
listShortOrderLevels.RemoveAt(i);
return (d);
} else return 0;

}

[Laserdan]

THANK YOU!!

The List Item with the FindNearest Functions are Exactly what i was looking for. Thanks for showing me this and hopefully it will help others as well.

[murfinp]

THANK YOU!!

The List Item with the FindNearest Functions are Exactly what i was looking for. Thanks for showing me this and hopefully it will help others as well.

u r welcome!