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Orders and trades loading

At the start of the strategy you may need to load the previously matched orders and trades (for example, when the algorithm has been restarted during the trading session or orders and trades transferred through the night). To do this:

  1. To find those orders to be downloaded into the strategy, and to return them back from the method (for example, to download orders identifiers, if the strategy records every registration through the StrategyProcessNewOrders(IEnumerableOrder) method from the file).
  2. To combine the result with the base method StrategyProcessNewOrders(IEnumerableOrder).
  3. Once orders are loaded in the strategy, all of their matched trades will be also loaded. This will be done automatically.

The following example shows the loading of all trades in the strategy:

Loading in the strategy previously matched orders and trades

  1. To load the previous state of the Strategy, you must override StrategyProcessNewOrders(IEnumerableOrder). All IConnectorOrders and IConnectorStopOrders will be received by this method from the StrategyOnStarted. And you should to filter them:

    private bool _isOrdersLoaded;
    private bool _isStopOrdersLoaded;
    protected override IEnumerable<Order> ProcessNewOrders(IEnumerable<Order> newOrders, bool isStopOrders)
        // check if the orders was already loaded
        if ((!isStopOrders && _isOrdersLoaded) || (isStopOrders && _isStopOrdersLoaded))
            return base.ProcessNewOrders(newOrders, isStopOrders);
        return Filter(newOrders);
  2. To implement orders filtering, you must determine the filter criterion. For example, if to save all registered during the strategy work orders in the file, you can create the filter by the transaction number OrderTransactionId. If such number is in the file, so the order was registered through this strategy:

    private IEnumerable<Order> Filter(IEnumerable<Order> orders)
        // to get the identifiers from text file
        var transactions = File.ReadAllLines("orders_{0}.txt".Put(Name)).Select(l => l.To<long>()).ToArray();
        // finding our orders
        return orders.Where(o => transactions.Contains(o.TransactionId));
  3. A record of orders transaction numbers registering through the strategy can be accomplished by overriding the StrategyRegisterOrder(Order) method:

    protected override void RegisterOrder(Order order)
        // registering the order
        // and saving order's transaction id
        File.AppendAllLines("orders_{0}.txt".Put(Name), new[]{ order.TransactionId.ToString() });
  4. Once orders are loaded in the strategy, all of their matched trades will be also loaded. This will be done automatically.