SendMail() for strategies

May 11th, 2010, 07:32 AM

Sam,

Thanks for taking a look at this. I'm losing my mind.

Dave

EDIT: Added the zip in case that's easier. Ideally, I'd like to see the following but don't know if it's possible. Would love to only get one email for each upon fill:

entry: "ES Long 1150.50"
exit: "ES Long Exit 1154.50: +4"
stop: "ES Stop Filled 1147.50: -3"
target: "ES Target Filled 1170.50: +20"

May 11th, 2010, 10:24 AM

I've just read it, can play with Ninja now, but some quick remarks:
- I don't see any boolean flag, to avoid multiple emails, and
- maybe using entryOrder1.AvgFillPrice instead of Position.AvgPrice

Code

                            
if ((entryOrder1.OrderState == OrderState.Filled) && (! _enter_email)) {
  SendMail("", "[email protected]", "ES Long " + entryOrder1.AvgFillPrice, "");
  _enter_email = true;}

May 12th, 2010, 06:35 AM

Hey Sam,

Good news: entryOrder1.AvgFillPrice worked perfectly. Thanks for that.

Bad news: Neither...

Code

Variables
private bool 	_enter_email	 	= false;

if (entryOrder1 != null && entryOrder1.Token == order.Token)
    {
    if (entryOrder1.OrderState == OrderState.Filled && (! _enter_email))
    SendMail("", "[email protected]", "ES Long " + entryOrder1.AvgFillPrice, "");
    _enter_email = true;
    }

nor...

Code

Variables
private bool 	_enter_mail	 	= false;

if (entryOrder1 != null && entryOrder1.Token == order.Token)
    {
    if (entryOrder1.OrderState == OrderState.Filled && (! _enter_mail))
    SendMail("", "[email protected]", "ES Long " + entryOrder1.AvgFillPrice, "");
    _enter_mail = true;
    }

produced any emails at all. It wouldn't let me code the bool under Initialize() so I tried it under Variables. Did I miss a step?

Thanks again for your time.
Dave

May 12th, 2010, 07:51 AM

I've made a quick example, take a look at it.

MACrossEmail.cs

In this example, it will only send one mail, the boolean variable have to be re-initialized to false, when needed.
The first steps is, imho, to write, on a piece of paper, what you want to do, because the logic might be very clear first, as you'll have to play with multiple booleans values here.
And do some Print() first, instead of sirect sendmail, it'll be easier to debug.

May 12th, 2010, 07:11 PM

Wow. You really went beyond the call of duty on that one. It worked like a charm. Onto targets and my trailing stop.

A million thank you's, sir.

Your humble servant,
Dave

May 16th, 2010, 08:26 AM

Okay,

I've added stops and targets. Everything emails and emails ONLY once. Thanks again for that. The only problem I'm now having is turning:

ES Stop Filled 1170

into

ES Stop Filled 11.70: +2.5

Here's where I'm at:

Code

Variables
private double 	lastProfit 				= 0;

protected override void OnBarUpdate()
if (Performance.RealtimeTrades.Count > 0) 
{ 
	// Get the last completed real-time trade (at index 0) 
	Trade lastTrade = Performance.RealtimeTrades[0]; 

        // Calculate the PnL for the last completed real-time trade 
	double lastProfit = lastTrade.ProfitPoints; 

	// Pring the PnL to the Output window 
	Print("The last trade's profit is " + lastProfit); 
} 

protected override void OnOrderUpdate(IOrder order)
if (stopLossTokens.Contains(order.Token))
{
	// Check order for terminal state
	if (order.OrderState == OrderState.Filled)
        {
	        // Print out information about the order
		Print(order.ToString());
		SendMail("", "[email protected]", Instrument.MasterInstrument.Name + " Stop Filled " + order.AvgFillPrice + ": " + lastProfit, "");
		Print("Sendmail: " + Instrument.MasterInstrument.Name + " Stop Filled " +    order.Action + " " + order.AvgFillPrice + ": " + lastProfit);
		stopSent = true;
					
		// Remove from collection
		stopLossTokens.Remove(order.Token);
	}
}

It still emails but I get ES Stop Filled 1170: 0. Does anything jump out at you?

Thanks.

May 18th, 2010, 05:30 AM

dsraider

in your code change this line:

double lastProfit = lastTrade.ProfitPoints;

to:

lastProfit = lastTrade.ProfitPoints;

May 22nd, 2010, 08:35 AM

gregid,

Apologies for not thanking you sooner for your last post but I'm afraid I just can't get this thing to work properly, even when trying to follow your instructions verbatim. I'm having the following issues:

1. Sometimes it enters upon a cross. Sometimes it doesn't.
2. Sometimes it emails on entry and exit. Sometimes it doesn't.
3. Filling of Target or Stop Loss results in no email.
4. Filling of Exit results in "ES Long Exit Filled 1170: 0" (instead of actual profit/loss).
5. In the output window, lastProfit only works with the first trade and doesn't change thereafter.

My guess is that some things are resetting after the first trade and some thing aren't but I'm currently at a loss. If you have a few minutes (and don't yet want to kill me) maybe you can see what the problem is?

Thanks,
Dave

May 31st, 2010, 07:08 AM

To anyone following along, I now have my strat emailing when the stop or target is filled. If interested, here's the code:

Code

                            
//Variables
private ArrayList stopLossTokens         = new ArrayList();
private ArrayList profitTargetTokens     = new ArrayList();

protected override void Initialize()
SetProfitTarget("Cross2050", CalculationMode.Ticks, 80);

protected override void OnBarUpdate() //using this for stop loss as I have a breakeven and trail in place
SetStopLoss("Cross2050", CalculationMode.Ticks, 12, false);

protected override void OnOrderUpdate(IOrder order)
if (order.OrderState == OrderState.PendingSubmit)
            {
                // Add the "Stop loss" orders to the Stop Loss collection
                if (order.Name == "Stop loss")
                    stopLossTokens.Add(order.Token);
                
                // Add the "Profit target" orders to the Profit Target collection
                else if (order.Name == "Profit target")
                    profitTargetTokens.Add(order.Token);
            }
            

            // Process stop loss orders
            if (stopLossTokens.Contains(order.Token))
            {
                // Check order for terminal state
                if (order.OrderState == OrderState.Filled)
                {
                    // Print out information about the order
                    Print(order.ToString());
                    SendMail("", "[email protected]", Instrument.MasterInstrument.Name + " Cross2050 Stop Filled " + order.AvgFillPrice + ": " + lastTrade, "");
                    
                if (order.OrderState == OrderState.Cancelled || order.OrderState == OrderState.Filled || order.OrderState == OrderState.Rejected)    
                    // Remove from collection
                    {
                    stopLossTokens.Remove(order.Token);
                    }
                    
                }
                // Print out the current stop loss price
                else
                    Print("The order name " + order.Name + " stop price is currently " + order.StopPrice);
            }
            
            
            // Process profit target orders
            if (profitTargetTokens.Contains(order.Token))
            {
                // Check order for terminal state
                if (order.OrderState == OrderState.Filled)
                {
                    // Print out information about the order
                    Print(order.ToString());
                    SendMail("", "[email protected]", Instrument.MasterInstrument.Name + " Cross2050 Target Filled " + order.AvgFillPrice + ": " + lastTrade, "");
                
                    if (order.OrderState == OrderState.Cancelled || order.OrderState == OrderState.Filled || order.OrderState == OrderState.Rejected)
                    {    
                    // Remove from collection
                    profitTargetTokens.Remove(order.Token);
                    }
                }
                
                // Print out the current stop loss price
                else
                    Print("The order name " + order.Name + " limit price is currently " + order.LimitPrice);
            }

The only thing left to do is to turn "ES Cross2050 Target Filled: 0" into "ES Cross2050 Target Filled: +20". I'm pretty close but not quite sure how to declare PnL as a variable. If anyone has an example and would like to post, great. Otherwise, I'll post the rest when I figure it out.

Dave

June 1st, 2010, 08:33 PM

Okay, as far as defining a variable is concerned, this works:

Code

                            
Variables
private Trade     lastTrade;

The rest is weird. I changed lastTrade to lastTrade.ProfitPoints in SendMail() and it's brought my strat to a hault. Anyone know why?

Thanks,
Dave

SendMail() for strategies

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SendMail() for strategies