#region Namespaces
using System;
using System.IO;
using System.Linq;
#endregion
namespace ScriptCode
{
/// <summary>
/// Commission scripts are used for calculating the commission paid to a broker for each executed order,
/// based on the broker's exact commission schedule.
/// </summary>
public partial class MyCommission : CommissionScriptBase // NEVER CHANGE THE CLASS NAME
{
#region Variables
// The commission amount paid for each executed stock order.
private double _commissionPerStockOrder;
// The commission amount paid for each share of the executed order.
private double _commissionPerStockShare;
// The commission amount paid for each executed futures order.
private double _commissionPerFuturesOrder;
// The commission amount paid for each futures contract of the executed order.
private double _commissionPerFuturesContract;
// The commission amount paid for each executed forex order.
private double _commissionPerForexOrder;
// The commission amount paid for each forex unit of the executed order.
private double _commissionPerForexUnit;
#endregion
#region OnInitialize
/// <summary>
/// This function is used for accepting the script parameters and for initializing the script prior to all other function calls.
/// Once the script is assigned to a desktop, its parameter values can be specified by the user and can be selected for optimization.
/// </summary>
/// --------------------------------------------------------------------------------------------------
/// PLEASE USE THE SCRIPT WIZARD (CTRL+W) TO ADD, EDIT AND REMOVE THE SCRIPT PARAMETERS
/// --------------------------------------------------------------------------------------------------
/// YOU MUST SET A PARAM TAG FOR EACH PARAMETER ACCEPTED BY THIS FUNCTION.
/// ALL PARAM TAGS SHOULD BE SET IN THE 'OnInitialize' REGION, RIGHT ABOVE THE 'OnInitialize' FUNCTION.
/// THE ORDER OF THE TAGS MUST MATCH THE ORDER OF THE ACTUAL PARAMETERS.
/// REQUIRED ATTRIBUTES:
/// (1) name: The exact parameter name.
/// (2) type: The type of data to collect from the user:
/// Set to "Integer" when the data type is 'int'
/// Set to "IntegerArray" when the data type is 'int[]'
/// Set to "DateTime" when the data type is 'long'
/// Set to "DateTimeArray" when the data type is 'long[]'
/// Set to "Boolean" when the data type is 'bool'
/// Set to "BooleanArray" when the data type is 'bool[]'
/// Set to "Double" when the data type is 'double'
/// Set to "DoubleArray" when the data type is 'double[]'
/// Set to "String" when the data type is 'string'
/// Set to "StringArray" when the data type is 'string[]'
/// OPTIONAL ATTRIBUTES:
/// (3) default: The default parameter value is only valid when the type is Integer, Boolean, Double, String or an API Type.
/// (4) min: The minimum parameter value is only valid when the type is Integer or Double.
/// (5) max: The maximum parameter value is only valid when the type is Integer or Double.
/// EXAMPLE: <param name="" type="" default="" min="" max="">Enter the parameter description here.</param>
/// --------------------------------------------------------------------------------------------------
/// <param name="commissionPerStockOrder" type="Double" default="10">The commission amount paid for each executed stock or ETF order.</param>
/// <param name="commissionPerStockShare" type="Double" default="0.01">The commission amount paid for each share of the executed order.</param>
/// <param name="commissionPerFuturesOrder" type="Double" default="0.25">The commission amount paid for each executed futures or CFD order.</param>
/// <param name="commissionPerFuturesContract" type="Double" default="1.5">The commission amount paid for each futures or CFD contract of the executed order.</param>
/// <param name="commissionPerForexOrder" type="Double" default="1.0">The commission amount paid for each executed forex order.</param>
/// <param name="commissionPerForexUnit" type="Double" default="0.00002">The commission amount paid for each forex unit of the executed order.</param>
public void OnInitialize(
double commissionPerStockOrder,
double commissionPerStockShare,
double commissionPerFuturesOrder,
double commissionPerFuturesContract,
double commissionPerForexOrder,
double commissionPerForexUnit)
{
// Set the parameters to script variables.
_commissionPerStockOrder = commissionPerStockOrder;
_commissionPerStockShare = commissionPerStockShare;
_commissionPerFuturesOrder = commissionPerFuturesOrder;
_commissionPerFuturesContract = commissionPerFuturesContract;
_commissionPerForexOrder = commissionPerForexOrder;
_commissionPerForexUnit = commissionPerForexUnit;
}
#endregion
#region OnCommission
/// <summary>
/// This function is called to calculate the commission paid to a broker for a specified order fill.
/// Note that the commission is denominated in the currency of the specified desktop strategy.
/// </summary>
/// <param name="strategyNumber" type="Integer">The strategy number to which the order belongs</param>
/// <param name="orderIndex" type="Integer">The order index in the orders table to which the order fill belongs</param>
/// <param name="orderFillIndex" type="Integer">The order fill index (0 being the first fill for the order, 1 being the next fill, etc.)</param>
/// <param name="fillQuantity" type="Double">The quantity of the new order fill for the specified order</param>
/// <param name="fillPrice" type="Double">The price of the new order fill for the specified order</param>
/// <returns type="Double">The commission paid for the specified order fill, in the desktop strategy currency.</returns>
public override double OnCommission(
int strategyNumber,
int orderIndex,
int orderFillIndex,
double fillQuantity,
double fillPrice)
{
// Get the symbol instrument.
C_Instrument symbolInstrument = SymbolInstrument(strategyNumber, OrderSymbolIndex(strategyNumber, orderIndex));
// Check whether this is the first order fill.
if (orderFillIndex == 0) {
// Check whether the order was for a stock or ETF symbol.
if (symbolInstrument == C_Instrument.STOCK || symbolInstrument == C_Instrument.ETF) {
return _commissionPerStockOrder + (_commissionPerStockShare * fillQuantity);
}
// Check whether the order was for a futures or CFD symbol.
if (symbolInstrument == C_Instrument.FUTURE || symbolInstrument == C_Instrument.CFD) {
return _commissionPerFuturesOrder + (_commissionPerFuturesContract * fillQuantity);
}
// Check whether the order was for a FOREX symbol.
if (symbolInstrument == C_Instrument.FOREX) {
return _commissionPerForexOrder + (_commissionPerForexUnit * fillQuantity);
}
}
// This isn't the first order fill.
else {
// Check whether the order was for a stock or ETF symbol.
if (symbolInstrument == C_Instrument.STOCK || symbolInstrument == C_Instrument.ETF) {
return _commissionPerStockShare * fillQuantity;
}
// Check whether the order was for a futures or CFD symbol.
if (symbolInstrument == C_Instrument.FUTURE || symbolInstrument == C_Instrument.CFD) {
return _commissionPerFuturesContract * fillQuantity;
}
// Check whether the order was for a FOREX symbol.
if (symbolInstrument == C_Instrument.FOREX) {
return _commissionPerForexUnit * fillQuantity;
}
}
return 0;
}
#endregion
#region OnShutdown
/// <summary>
/// This function is called when the script is shutdown.
/// </summary>
public override void OnShutdown()
{
// OnShutdown Content
}
#endregion
}
}
