First automated order handling system

April 14th, 2015, 04:38 AM

Dear Forums,

I'm currently trying to write my first automated order handling system. This appeared to be a little more difficult because of the limitations of testing it. Thus, I hope I could get some feedback from some of the more experienced PL/EL-programmers here on NexusFi (formerly BMT).

Code is intented to be used by the Portfolio Trader. My thoughts for the code is the following:

- If a buy signal is generated: Determine order size(in cash) by checking the current cash liquidity on the account. Don't place any orders if there are Open Positions already.

- Determine order size(in shares) by taking my order size(in cash) and dividing by bid/ask.

- Place a buy order between 10 and 11. First, place a bid order and a SL to this. If the order doesn't go through and the clock passes 11, take the current asked price (market order).

- Place a sell order three days after the buy order came through between 10 and 11. First, place a ask order. If the order doesn't go through and the clock passes 11, take the current bid price (market order).

- If the spread is 7 % or higher, then don't place any market orders.

Note: Data1 is minute-to-minute and Data2 is day-to-day resolution.

The Code:

Code

Inputs:
	minimumorder(1000),
	maximumorder(2000),
	accountIDUsed("Test123");

Vars:
	Intrabarpersist nextOrdSize(0),
	Intrabarpersist wantToBuy(false),
        Intrabarpersist nbrOfShares(1),
	Intrabarpersist buyWait(false),
	Intrabarpersist sellWait(false);
	

condition1 = EXTERNAL_BUY_SIGNAL; //Pseudo-code
condition2 = EXTERNAL_ACCOUNT_CONDITION; //Pseudo-code
condition3 = EXTERNAL_ACCOUNT_CONDITION2; //Pseudo-code


{ Account and Order Conditions }

if GetPositionTotalCost(getsymbolname(), accountIDUsed) <= 0 and GetBDCashBalance(accountIDUsed) >= minimumorder and condition1 then
begin
	wantToBuy = true;
	if condition2 then
	begin
		nextOrdSize = minimumorder;
	end
	else if condition3 then
	begin
		nextOrdSize = maximumorder;
	end;
end;

{ ======================= }

{ BUY }

if GetPositionTotalCost(getsymbolname(), accountIDUsed) <= 0 then
begin
	if wantToBuy and Time[1] >= 1000 and Time < 1100 and buyWait = false then
	begin
		nbrOfShares = nextOrdSize/CurrentBid;
		Buy (getsymbolname() + "_BuyOrder_bid") nbrOfShares shares next bar at CurrentBid Limit;
		buyWait = true;
		
		// Calculate Stop Loss
		setstopposition;
		setstoploss(nextOrdSize * 0.08);
	end;

	if buyWait and Time >= 1100 then
	begin
		nbrOfShares = nextOrdSize/CurrentAsk;
		if ((CurrentAsk - CurrentBid)/CurrentAsk)*100 < 7 then
		begin
			Buy (getsymbolname() + "_BuyOrder_Ask") nbrOfShares shares next bar at CurrentAsk Limit;
			buyWait = false;
			
			// Calculate Stop Loss
			setstopposition;
			setstoploss(nextOrdSize * 0.08);
		end;
	end;
end;

{ ======================= }

{ SELL }

if GetPositionTotalCost(getsymbolname(), accountIDUsed) > 0 and barssinceentry data2 >= 3 then
begin
	if Time[1] >= 1000 and Time < 1100 and sellWait = false then
	begin
		nbrOfShares = nextOrdSize/CurrentBid;
		Sell (getsymbolname() + "_SellOrder_Ask") nbrOfShares shares next bar at CurrentAsk Limit;
		sellWait = true;
	end;

	if sellWait and Time >= 1100 then
	begin
		nbrOfShares = nextOrdSize/CurrentAsk;
		if ((CurrentAsk - CurrentBid)/CurrentAsk)*100 < 7 then
		begin
			Sell (getsymbolname() + "_SellOrder_Bid") nbrOfShares shares next bar at CurrentBid Limit;
			buyWait = false;
		end;
	end;
end;

{ ======================= }

This is my first automated order system and feedback is very welcome

All the best,
TahuPhoenix

First automated order handling system

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First automated order handling system