I have an Indicator which subscribes to ExecutionUpdate, so I can track all of my Executions.
What I want to do now is to create Trades from these Executions, which I can then export for example.
The trade object can be created like this:
so every trade consists of an entry and exit execution.
When I just use simple orders with one buy and one sell then this code could work:
but when it comes to multiple orders with different quantities and position scaling, this doesn't work.
Is there an easier way to extract trades from executions similar to the way they are displayed in the Trade Performance tab? Or do I need to manually calculate these with all the order handling metrics?
What I want to do now is to create Trades from these Executions, which I can then export for example.
The trade object can be created like this:
Code:
Trade trade = new Trade(entryExecution, exitExecution, qty);
When I just use simple orders with one buy and one sell then this code could work:
Code:
private Execution entryExecution = null;
private void OnExecutionUpdate(object sender, ExecutionEventArgs e)
{
Execution execution = e.Execution;
// doesn't work with position scaling
if (entryExecution == null)
{
entryExecution = execution;
}
else
{
trade = new Trade(entryExecution, execution, 1);
entryExecution = null;
Print("Trade: " + trade);
}
}
Is there an easier way to extract trades from executions similar to the way they are displayed in the Trade Performance tab? Or do I need to manually calculate these with all the order handling metrics?
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