MC- 挂单STOP交易

using  System;

using  System.Drawing;

using  System.Linq;

using  PowerLanguage.Function;

using  ATCenterProxy.interop;

 

namespace  PowerLanguage.Strategy

{

     public  class  Example_StopLimit : SignalObject

     {

         private  IOrderMarket buyMarketOrder, sellMarketOrder;

         private  IOrderStopLimit sellStopLimitOrder;

         private  double  sellStopPrice, sellLimitPrice;

 

         public  Example_StopLimit( object  _ctx) :  base (_ctx) { }

 

         protected  override  void  Create()

         {

             buyMarketOrder = OrderCreator.MarketNextBar( new  SOrderParameters(

                 Contracts.Default,  "EnterLong" , EOrderAction.Buy));

 

             sellMarketOrder = OrderCreator.MarketNextBar( new  SOrderParameters(

                 Contracts.Default,  "ExitLong" , EOrderAction.Sell));

 

             sellStopLimitOrder = OrderCreator.StopLimit( new  SOrderParameters(

                 Contracts.Default,  "StopLMT" , EOrderAction.Sell));

         }

 

         protected  override  void  StartCalc()

         {

             Output.Clear();  // Clear PowerLanguage Editor output tab

         }

 

         protected  override  void  CalcBar()

         {

             // When flat, enter long on first bar of day

             if  ((StrategyInfo.MarketPosition == 0) && (Bars.Time[0].Date != Bars.Time[1].Date))

             {

                 buyMarketOrder.Send();

 

                 sellStopPrice  = Bars.Low[0] - Bars.Range();

                 sellLimitPrice = Bars.Low[0] - (Bars.Range() * 1.5);

 

                 Output.WriteLine( "{0} - Buy order submitted. Sell stop calculated @ {1} with limit {2}" ,

                     Bars.Time[0].ToString( "d-M HH:mm:ss" ),

                     sellStopPrice,

                     sellLimitPrice);

             }

 

             // Long order management

             if  (StrategyInfo.MarketPosition > 0)

             {

                 // Submit the stop-limit order as long as there is an open position

                 sellStopLimitOrder.Send(sellStopPrice, sellLimitPrice);

 

                 Output.WriteLine( "{0} - Submitting sell stop @ {1} with limit {2}" ,

                     Bars.Time[0].ToString( "d-M HH:mm:ss" ),

                     sellStopPrice,

                     sellLimitPrice);

 

                 // Time stop; exit the position after 15 bars

                 double  barsInPosition = Bars.CurrentBar - CurrentPosition.OpenTrades[0].EntryOrder.BarNumber;

                 if  (barsInPosition >= 15)

                 {

                     sellMarketOrder.Send();

 

                     Output.WriteLine( "{0} - Position open for {1} bars, submitting exit long market order" ,

                         Bars.Time[0].ToString( "d-M HH:mm:ss" ),

                         barsInPosition);

                 }

             }

         }

     }

}