/// <summary>
/// Genrate output based on input data
/// </summary>
protected virtual IPointModel Parse(dynamic input)
{
var props = input.Split(" ");
long.TryParse(props[0], out long dateTime);
double.TryParse(props[1], out double bid);
double.TryParse(props[2], out double bidSize);
double.TryParse(props[3], out double ask);
double.TryParse(props[4], out double askSize);
var response = new PointModel
{
Time = new DateTime(1970, 1, 1, 0, 0, 0, DateTimeKind.Utc).AddSeconds(dateTime),
Ask = ask,
Bid = bid,
Last = ask,
AskSize = askSize,
BidSize = bidSize
};
if (ConversionManager.Compare(askSize, 0))
{
response.Last = bid;
}
return(response);
}
/// <summary>
/// Process incoming quotes
/// </summary>
/// <param name="input"></param>
protected void OnInputQuote(InputPointModel input)
{
var dateAsk = input.AskDate;
var dateBid = input.BidDate;
var currentAsk = input.Ask;
var currentBid = input.Bid;
var previousAsk = _point?.Ask ?? currentAsk;
var previousBid = _point?.Bid ?? currentBid;
var symbol = input.Symbol;
var point = new PointModel
{
Ask = currentAsk,
Bid = currentBid,
Bar = new PointBarModel(),
Instrument = Account.Instruments[symbol],
AskSize = input.AskSize,
BidSize = input.BidSize,
Time = DateTimeOffset.FromUnixTimeMilliseconds(Math.Max(dateAsk.Value, dateBid.Value)).DateTime,
Last = ConversionManager.Compare(currentBid, previousBid) ? currentAsk : currentBid
};
_point = point;
UpdatePointProps(point);
}
/// <summary>
/// Process incoming quotes
/// </summary>
/// <param name="input"></param>
protected void OnInputQuote(dynamic input)
{
var dateAsk = ConversionManager.To <long>(input.askdate);
var dateBid = ConversionManager.To <long>(input.biddate);
var currentAsk = ConversionManager.To <double>(input.ask);
var currentBid = ConversionManager.To <double>(input.bid);
var previousAsk = _point?.Ask ?? currentAsk;
var previousBid = _point?.Bid ?? currentBid;
var symbol = $"{ input.symbol }";
var point = new PointModel
{
Ask = currentAsk,
Bid = currentBid,
Bar = new PointBarModel(),
Instrument = Account.Instruments[symbol],
AskSize = ConversionManager.To <double>(input.asksz),
BidSize = ConversionManager.To <double>(input.bidsz),
Time = DateTimeOffset.FromUnixTimeMilliseconds(Math.Max(dateAsk, dateBid)).DateTime,
Last = ConversionManager.Compare(currentBid, previousBid) ? currentAsk : currentBid
};
_point = point;
UpdatePointProps(point);
}
/// <summary>
/// Calculate single value
/// </summary>
/// <param name="collection"></param>
/// <returns></returns>
public override RelativeStrengthIndicator Calculate(IIndexCollection <IPointModel> collection)
{
var currentPoint = collection.ElementAtOrDefault(collection.Count - 1);
if (currentPoint == null)
{
return(this);
}
var positives = new List <double>(Interval);
var negatives = new List <double>(Interval);
for (var i = 1; i <= Interval; i++)
{
var nextPrice = collection.ElementAtOrDefault(collection.Count - i);
var previousPrice = collection.ElementAtOrDefault(collection.Count - i - 1);
if (nextPrice != null && previousPrice != null)
{
positives.Add(Math.Max(nextPrice.Bar.Close.Value - previousPrice.Bar.Close.Value, 0.0));
negatives.Add(Math.Max(previousPrice.Bar.Close.Value - nextPrice.Bar.Close.Value, 0.0));
}
}
var averagePositive = CalculationManager.SimpleAverage(positives, positives.Count - 1, Interval);
var averageNegative = CalculationManager.SimpleAverage(negatives, negatives.Count - 1, Interval);
var average = ConversionManager.Compare(averageNegative, 0) ? 1.0 : averagePositive / averageNegative;
var nextValue = 100.0 - 100.0 / (1.0 + average);
var nextIndicatorPoint = new PointModel
{
Time = currentPoint.Time,
TimeFrame = currentPoint.TimeFrame,
Last = nextValue,
Bar = new PointBarModel
{
Close = nextValue
}
};
var previousIndicatorPoint = Values.ElementAtOrDefault(collection.Count - 1);
if (previousIndicatorPoint == null)
{
Values.Add(nextIndicatorPoint);
}
Values[collection.Count - 1] = nextIndicatorPoint;
currentPoint.Series[Name] = currentPoint.Series.TryGetValue(Name, out IPointModel seriesItem) ? seriesItem : new RelativeStrengthIndicator();
currentPoint.Series[Name].Bar.Close = currentPoint.Series[Name].Last = nextIndicatorPoint.Bar.Close;
currentPoint.Series[Name].Time = currentPoint.Time;
currentPoint.Series[Name].ChartData = ChartData;
Last = Bar.Close = currentPoint.Series[Name].Bar.Close;
return(this);
}
/// <summary>
/// Create position when there is a position with the same transaction type
/// </summary>
/// <param name="nextOrder"></param>
/// <param name="previousPosition"></param>
/// <returns></returns>
protected virtual ITransactionPositionModel DecreasePosition(ITransactionOrderModel nextOrder, ITransactionPositionModel previousPosition)
{
if (previousPosition == null)
{
return(null);
}
var isSameBuy = Equals(previousPosition.Side, OrderSideEnum.Buy) && Equals(nextOrder.Side, OrderSideEnum.Buy);
var isSameSell = Equals(previousPosition.Side, OrderSideEnum.Sell) && Equals(nextOrder.Side, OrderSideEnum.Sell);
if (isSameBuy || isSameSell)
{
return(null);
}
var openPrices = GetOpenPrices(nextOrder);
var pointModel = nextOrder.Instrument.PointGroups.LastOrDefault();
nextOrder.Time = pointModel.Time;
nextOrder.Price = openPrices.Last().Price;
nextOrder.Status = OrderStatusEnum.Filled;
var nextPosition = UpdatePositionProps(new TransactionPositionModel(), nextOrder);
nextPosition.Time = pointModel.Time;
nextPosition.OpenPrices = openPrices;
nextPosition.Price = nextPosition.OpenPrice = nextOrder.Price;
nextPosition.Size = Math.Abs(nextPosition.Size.Value - previousPosition.Size.Value);
previousPosition.CloseTime = nextPosition.Time;
previousPosition.ClosePrice = nextPosition.OpenPrice;
previousPosition.GainLoss = previousPosition.GainLossEstimate;
previousPosition.GainLossPoints = previousPosition.GainLossPointsEstimate;
Account.Balance += previousPosition.GainLoss;
Account.ActiveOrders.Remove(nextOrder);
Account.ActivePositions.Remove(previousPosition);
DeleteOrders(previousPosition.Orders.ToArray());
Account.Orders.Add(nextOrder);
Account.Positions.Add(previousPosition);
if (ConversionManager.Compare(nextPosition.Size, 0.0) == false)
{
Account.ActivePositions.Add(nextPosition);
}
return(nextPosition);
}
/// <summary>
/// Calculate single value
/// </summary>
/// <param name="collection"></param>
/// <returns></returns>
public override MovingAverageIndicator Calculate(IIndexCollection <IPointModel> collection)
{
var currentPoint = collection.ElementAtOrDefault(collection.Count - 1);
if (currentPoint == null)
{
return(this);
}
var pointPrice = currentPoint.Bar.Close;
switch (Mode)
{
case MovingAverageEnum.Bid: pointPrice = currentPoint.Bid; break;
case MovingAverageEnum.Ask: pointPrice = currentPoint.Ask; break;
}
var nextIndicatorPoint = new PointModel
{
Last = pointPrice,
Time = currentPoint.Time,
TimeFrame = currentPoint.TimeFrame,
Bar = new PointBarModel
{
Close = pointPrice
}
};
var previousIndicatorPoint = Values.ElementAtOrDefault(collection.Count - 1);
if (previousIndicatorPoint == null)
{
Values.Add(nextIndicatorPoint);
}
Values[collection.Count - 1] = nextIndicatorPoint;
var average = CalculationManager.LinearWeightAverage(Values.Select(o => o.Bar.Close.Value), Values.Count - 1, Interval);
currentPoint.Series[Name] = currentPoint.Series.TryGetValue(Name, out IPointModel seriesItem) ? seriesItem : new MovingAverageIndicator();
currentPoint.Series[Name].Bar.Close = currentPoint.Series[Name].Last = ConversionManager.Compare(average, 0) ? nextIndicatorPoint.Bar.Close : average;
currentPoint.Series[Name].Time = currentPoint.Time;
currentPoint.Series[Name].ChartData = ChartData;
Last = Bar.Close = currentPoint.Series[Name].Bar.Close;
return(this);
}
/// <summary>
/// Calculate indicator value
/// </summary>
/// <param name="collection"></param>
/// <returns></returns>
public override ScaleIndicator Calculate(IIndexCollection <IPointModel> collection)
{
var currentPoint = collection.ElementAtOrDefault(collection.Count - 1);
if (currentPoint == null || currentPoint.Series == null)
{
return(this);
}
var pointValue = currentPoint.Bar.Close ?? 0.0;
_min = _min == null ? pointValue : Math.Min(_min.Value, pointValue);
_max = _max == null ? pointValue : Math.Max(_max.Value, pointValue);
var nextValue = ConversionManager.Compare(_min, _max) ? 0.0 : Min + (pointValue - _min.Value) * (Max - Min) / (_max.Value - _min.Value);
var nextIndicatorPoint = new PointModel
{
Time = currentPoint.Time,
TimeFrame = currentPoint.TimeFrame,
Last = nextValue,
Bar = new PointBarModel
{
Close = nextValue
}
};
var previousIndicatorPoint = Values.ElementAtOrDefault(collection.Count - 1);
if (previousIndicatorPoint == null)
{
Values.Add(nextIndicatorPoint);
}
Values[collection.Count - 1] = nextIndicatorPoint;
currentPoint.Series[Name] = currentPoint.Series.TryGetValue(Name, out IPointModel seriesItem) ? seriesItem : new ScaleIndicator();
currentPoint.Series[Name].Bar.Close = currentPoint.Series[Name].Last = CalculationManager.LinearWeightAverage(Values.Select(o => o.Bar.Close.Value), Values.Count - 1, Interval);
currentPoint.Series[Name].Time = currentPoint.Time;
currentPoint.Series[Name].ChartData = ChartData;
Last = Bar.Close = currentPoint.Series[Name].Bar.Close;
return(this);
}
/// <summary>
/// Define open price based on order
/// </summary>
/// <param name="nextOrder"></param>
protected virtual IList <ITransactionOrderModel> GetOpenPrices(ITransactionOrderModel nextOrder)
{
var openPrice = nextOrder.Price;
var pointModel = nextOrder.Instrument.PointGroups.LastOrDefault();
if (ConversionManager.Compare(openPrice ?? 0.0, 0.0))
{
openPrice = Equals(nextOrder.Side, OrderSideEnum.Buy) ? pointModel.Ask : pointModel.Bid;
}
return(new List <ITransactionOrderModel>
{
new TransactionOrderModel
{
Price = openPrice,
Size = nextOrder.Size,
Time = pointModel.Time
}
});
}
public void ShouldCalculateKestnerRatio()
{
var inputs = new List <double> {
2.0, 5.0, 15.0, 35.0, 20.0, 55.0, 150.0
};
var logs = inputs
.Select(o => Math.Log(o))
.Where(o => double.IsInfinity(o) == false && ConversionManager.Compare(o, 0) == false)
.ToList();
var count = logs.Count;
var deviation = 0.0;
var regression = new double[count];
var slope = Math.Log(inputs.Last()) / count;
for (var i = 0; i < count; i++)
{
var v = inputs.ElementAtOrDefault(i);
var log = Math.Log(v);
if (double.IsNaN(log) == false)
{
regression[i] = regression.ElementAtOrDefault(i - 1) + slope;
deviation += Math.Pow(regression[i] - log, 2);
}
}
var error = Math.Sqrt(deviation / count) / Math.Sqrt(count);
var expectation = slope / (error * count);
var deals = inputs.Select((o, i) => new InputData {
Value = o
});
var kestnerRatio = new KestnerRatio
{
Values = deals
};
var ratio = kestnerRatio.Calculate();
Assert.Equal(expectation, ratio, 2);
}
/// <summary>
/// Process incoming quotes
/// </summary>
/// <param name="input"></param>
protected void OnInputData(InputPointModel input)
{
var currentAsk = input.Ask;
var currentBid = input.Bid;
var previousAsk = _point?.Ask ?? currentAsk;
var previousBid = _point?.Bid ?? currentBid;
var instrument = $"{ input.Instrument }";
var point = new PointModel
{
Ask = currentAsk,
Bid = currentBid,
Time = input.Time,
Bar = new PointBarModel(),
Instrument = Account.Instruments[instrument],
Last = ConversionManager.Compare(currentBid, previousBid) ? currentAsk : currentBid
};
if (input.Asks.Any())
{
var edge = input.Asks.Min(o => new { o.Price, o.Size });
point.Ask = Math.Min(point.Ask.Value, edge.Price.Value);
point.AskSize = edge.Size;
}
if (input.Bids.Any())
{
var edge = input.Bids.Max(o => new { o.Price, o.Size });
point.Bid = Math.Max(point.Bid.Value, edge.Price.Value);
point.BidSize = edge.Size;
}
_point = point;
UpdatePointProps(point);
}
/// <summary>
/// Convert abstract order to a real one
/// </summary>
/// <param name="internalOrder"></param>
/// <param name="orderClass"></param>
/// <returns></returns>
//protected async Task<ITransactionOrderModel> CreateOrder(ITransactionOrderModel internalOrder, dynamic orderClass = null)
//{
// var size = ConversionManager.To<long>(internalOrder.Size);
// var price = ConversionManager.To<decimal>(internalOrder.Price);
// var span = MapInput.GetTimeSpan(internalOrder.TimeSpan.Value).Value;
// var orderSide = MapInput.GetOrderSide(internalOrder.Side.Value).Value;
// var orderType = MapInput.GetOrderType(internalOrder.Type.Value).Value;
// var activationPrice = ConversionManager.To<decimal>(internalOrder.ActivationPrice);
// var orderQuery = new NewOrderRequest(internalOrder.Instrument.Name, size, orderSide, orderType, span)
// {
// ClientOrderId = internalOrder.Id
// };
// if (orderClass != null)
// {
// orderQuery.OrderClass = orderClass;
// }
// switch (orderType)
// {
// case OrderType.Stop: orderQuery.StopPrice = price; break;
// case OrderType.Limit: orderQuery.LimitPrice = price; break;
// case OrderType.StopLimit: orderQuery.StopPrice = activationPrice; orderQuery.LimitPrice = price; break;
// }
// await _executionClient.PostOrderAsync(orderQuery);
// foreach (var childData in internalOrder.Orders)
// {
// await CreateOrder(childData);
// }
// return internalOrder;
//}
/// <summary>
/// Load account data
/// </summary>
/// <returns></returns>
//protected async Task GetAccountData()
//{
// var account = await _executionClient.GetAccountAsync();
// Account.Leverage = account.Multiplier;
// Account.Currency = account.Currency.ToUpper();
// Account.Balance = ConversionManager.To<double>(account.Equity);
// Account.InitialBalance = ConversionManager.To<double>(account.LastEquity);
//}
/// <summary>
/// Load orders
/// </summary>
/// <returns></returns>
//protected async Task GetOrders()
//{
// var orders = await _executionClient.ListOrdersAsync(new ListOrdersRequest
// {
// LimitOrderNumber = 500,
// OrderListSorting = SortDirection.Descending,
// OrderStatusFilter = OrderStatusFilter.Closed
// });
// foreach (var o in orders)
// {
// var order = new TransactionOrderModel();
// Account.Instruments.TryGetValue(o.Symbol, out IInstrumentModel instrument);
// order.Size = o.Quantity;
// order.Time = o.CreatedAtUtc;
// order.Id = o.OrderId.ToString();
// order.Type = MapOutput.GetOrderType(o.OrderType);
// order.Side = MapOutput.GetOrderSide(o.OrderSide);
// order.Status = MapOutput.GetOrderStatus(o.OrderStatus);
// order.TimeSpan = MapOutput.GetTimeSpan(o.TimeInForce);
// order.Price = ConversionManager.To<double>(o.AverageFillPrice ?? o.StopPrice ?? o.LimitPrice);
// order.Instrument = instrument ?? new InstrumentModel
// {
// Name = o.Symbol
// };
// Account.Orders.Add(order);
// }
//}
/// <summary>
/// Load active orders
/// </summary>
/// <returns></returns>
//protected async Task GetActiveOrders()
//{
// var orders = await _executionClient.ListOrdersAsync(new ListOrdersRequest
// {
// LimitOrderNumber = 500,
// OrderListSorting = SortDirection.Descending,
// OrderStatusFilter = OrderStatusFilter.Open
// });
// foreach (var o in orders)
// {
// var order = new TransactionOrderModel();
// Account.Instruments.TryGetValue(o.Symbol, out IInstrumentModel instrument);
// order.Size = o.Quantity;
// order.Time = o.CreatedAtUtc;
// order.Id = o.OrderId.ToString();
// order.Type = MapOutput.GetOrderType(o.OrderType);
// order.Side = MapOutput.GetOrderSide(o.OrderSide);
// order.Status = MapOutput.GetOrderStatus(o.OrderStatus);
// order.TimeSpan = MapOutput.GetTimeSpan(o.TimeInForce);
// order.Price = ConversionManager.To<double>(o.AverageFillPrice ?? o.StopPrice ?? o.LimitPrice);
// order.Instrument = instrument ?? new InstrumentModel
// {
// Name = o.Symbol
// };
// Account.ActiveOrders.Add(order);
// }
//}
/// <summary>
/// Load active positions
/// </summary>
/// <returns></returns>
//protected async Task GetActivePositions()
//{
// var positions = await _executionClient.ListPositionsAsync();
// foreach (var o in positions)
// {
// var position = new TransactionPositionModel();
// Account.Instruments.TryGetValue(o.Symbol, out IInstrumentModel instrument);
// position.Size = o.Quantity;
// position.Time = DateTime.MinValue;
// position.Type = OrderTypeEnum.Market;
// position.Side = MapOutput.GetPositionSide(o.Side);
// position.OpenPrice = ConversionManager.To<double>(o.AverageEntryPrice);
// position.ClosePrice = ConversionManager.To<double>(o.AssetCurrentPrice);
// position.GainLoss = ConversionManager.To<double>(o.UnrealizedProfitLoss);
// position.GainLossPoints = ConversionManager.To<double>((o.AssetCurrentPrice - o.AverageEntryPrice)) * MapOutput.GetDirection(position.Side.Value);
// position.Instrument = instrument ?? new InstrumentModel
// {
// Name = o.Symbol
// };
// position.OpenPrices = new List<ITransactionOrderModel>
// {
// new TransactionOrderModel
// {
// Price = position.OpenPrice,
// Instrument = position.Instrument
// }
// };
// Account.ActivePositions.Add(position);
// }
//}
/// <summary>
/// Process incoming quotes
/// </summary>
/// <param name="input"></param>
protected void OnInputQuote(dynamic input)
{
var currentAsk = ConversionManager.To <double>(input.P);
var currentBid = ConversionManager.To <double>(input.p);
var previousAsk = _point?.Ask ?? currentAsk;
var previousBid = _point?.Bid ?? currentBid;
var symbol = $"{ input.T }";
var point = new PointModel
{
Ask = currentAsk,
Bid = currentBid,
Bar = new PointBarModel(),
Instrument = Account.Instruments[symbol],
AskSize = ConversionManager.To <double>(input.S),
BidSize = ConversionManager.To <double>(input.s),
Time = _unixTime.AddTicks(ConversionManager.To <long>(input.t) / 100),
Last = ConversionManager.Compare(currentBid, previousBid) ? currentAsk : currentBid
};
_point = point;
UpdatePointProps(point);
}