private void SetCrossSignal(string label, string currencyPair, CrossSignal crossSignal)
{
if (!crossSignal_dic.ContainsKey(label))
{
this.crossSignal_dic.Add(label, crossSignal);
}
}
private TradeSignal checkTradeSignal(string label, DateTime today, CrossSignal crossSignal, double price)
{
CrossSignal targetSignal = crossSignal_dic[label];
double position = notional_dic[label];
string currencyPair = currencyPair_dic[label];
if (targetSignal == crossSignal)
{
TradeSignal tradeSignal = tradingSignal_dic[label];
if (tradeSignal == TradeSignal.Long)
{
double nowlongNotional = this.portfolio_dic[today].Position(currencyPair).LongNotional;
if (nowlongNotional < MaxLongPosition)
{
return TradeSignal.Long;
}
else
{
return TradeSignal.None;
}
}
else if (tradeSignal == TradeSignal.Short)
{
double nowshortNotional = this.portfolio_dic[today].Position(currencyPair).LongNotional;
if (nowshortNotional < MaxShortPosition)
{
return TradeSignal.Short;
}
else
{
return TradeSignal.None;
}
}
else if (tradeSignal == TradeSignal.Exit)
{
double nowNetNotional = this.portfolio_dic[today].Position(currencyPair).NetNotional;
double costPrice = this.portfolio_dic[today].Position(currencyPair).CostPrice;
if (nowNetNotional > 0)
{
if (costPrice > price) // long will loss
{
return TradeSignal.StopLoss;
}
else
{
return TradeSignal.TakeProfit;
}
}
else if (nowNetNotional < 0)
{
if (costPrice < price)
{
return TradeSignal.StopLoss;
}
else
{
return TradeSignal.TakeProfit;
}
}
else
{
return TradeSignal.None;
}
}
else
{
return TradeSignal.None;
}
}
else
{
return TradeSignal.None;
}
}
