Community

Hi,

What modification would I need to make to following code to limit the number of overlapping to 2,5,10 etc?

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 * http://tasks.strategyquant.com/projects/snippets/
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package com.strategyquant.extend.WhatIf;

import java.util.Iterator;

import com.strategyquant.lib.language.L;
import com.strategyquant.lib.results.SQOrder;
import com.strategyquant.lib.results.SQOrderList;
import com.strategyquant.lib.snippets.WhatIf;

public class ExludeOverlappingTrades extends WhatIf {

	public ExludeOverlappingTrades() {
		setName(L.t("Exclude overlapping trades"));
        
		setFormatedName(L.t("Exclude overlapping trades"));
	}

	/**
	 * Function receives list of all orders sorted by open time and it could manipulate
	 * the list and remove any order that matches certain filter from the list.
	 *
	 * Order structure is available in the documentation here:
	 * http://www.strategyquant.com/doc/api/com/strategyquant/lib/results/SQOrder.html
	 *
	 * @param originalOrders - list of original orders that can be changed. Each order has the order properties specified above
	 */
	@Override
	public void filter(SQOrderList originalOrders) {
		long closeTime = -1;
		
		for(Iterator<SQOrder> i = originalOrders.listIterator(); i.hasNext();) {
			SQOrder order = i.next(); 	
			   
			   if(closeTime==-1) {
				   closeTime = order.CloseTime;
			   } else {
				   if(order.OpenTime>closeTime) {
					   closeTime = order.CloseTime;
					   
					   continue;
				   } 
				   
				   // when we are here it means that current trade opened before previous trade closed,
				   // which means the trades are overlapping and current trade should be skipped 
				   i.remove();
			   }
		}
	}
}