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);

                }

            }

        }

    }

}