Sample Stop&Profit

Modified on Fri, 04 Aug 2023 at 02:18 PM

Example of the basic strategy of posting a stop loss and take profit.

Whenever the current position changes, the strategy cancels previous orders and posts new ones at the 20 tick distance from the position price.

public class SampleStopProfit : ATMStrategy

                 protected override void OnActivated()

                          Process();

                 protected override void OnCurrentPositionChanged()

                          Process();

                 private void Process()

                          if (!IsActivated)

                                   return;

                          CancelAllOrders();

                          if (CurrentPosition == 0)

                                   return;

                          var take = new Order

                                   Security = Security,

                                   Portfolio = Portfolio,

                                   Type = OrderTypes.Limit,

                                   Direction = CurrentPosition > 0 ? OrderDirections.Sell : OrderDirections.Buy,

                                   Price = AveragePrice + 20 * Security.TickSize * (CurrentPosition > 0 ? 1 : -1),

                                   QuantityToFill = Math.Abs(CurrentPosition),

                                   Comment = "TP",

};

                          OpenOrder(take);

                          var stop = new Order

                                   Security = Security,

                                   Portfolio = Portfolio,

                                   Type = OrderTypes.Stop,

                                   Direction = CurrentPosition > 0 ? OrderDirections.Sell : OrderDirections.Buy,

                                   TriggerPrice = AveragePrice - 20 * Security.TickSize * (CurrentPosition > 0 ? 1 : -1),

                                   QuantityToFill = Math.Abs(CurrentPosition),

                                   Comment = "TP",

};

                          OpenOrder(stop);

                 private void CancelAllOrders()

                          foreach (var order in Orders.Where(t=>t.State==OrderStates.Active))

                                   CancelOrder(order);