private void cacluateRanges()
{
if (!rangesCalculated)
{
MarketDataElement preData = getPreTradeDayMData();
log.Info("[cacluateRanges]: preData=" + preData.ToString());
lastClose = preData.close;
lastHigh = preData.high;
lastLow = preData.low;
sellCheck = lastHigh + f1 * (lastClose - lastLow);
buyCheck = lastLow - f1 * (lastHigh - lastClose);
revSell = ((1 + f2) / 2) * (lastHigh + lastClose) - f2 * lastLow;
revBuy = ((1 + f2) / 2) * (lastLow + lastClose) - f2 * lastHigh;
trendSell = buyCheck - f3 * (sellCheck - buyCheck);
trendBuy = sellCheck + f3 * (sellCheck - buyCheck);
sellCheck = Math.Floor(sellCheck);
buyCheck = Math.Floor(buyCheck);
revSell = Math.Floor(revSell);
revBuy = Math.Floor(revBuy);
trendSell = Math.Floor(trendSell);
trendBuy = Math.Floor(trendBuy);
rangesCalculated = true;
/*
* double anchor = 22290;
* trendBuy = anchor + 25;
* sellCheck = anchor + 15;
* revSell = anchor + 5;
*
* revBuy = anchor - 5;
* buyCheck = anchor - 15;
* trendSell = anchor - 25;
*/
log.Info("-----------------------------------------------");
log.Info("[cacluateRanges]: trendBuy=" + trendBuy.ToString());
log.Info("[cacluateRanges]: sellCheck=" + sellCheck.ToString());
log.Info("[cacluateRanges]: revSell=" + revSell.ToString());
log.Info("-----------------------------------------------");
log.Info("[cacluateRanges]: revBuy=" + revBuy.ToString());
log.Info("[cacluateRanges]: buyCheck=" + buyCheck.ToString());
log.Info("[cacluateRanges]: trendSell=" + trendSell.ToString());
log.Info("-----------------------------------------------");
}
}
protected void dayEndCloseTrade(Series <DateTime, MarketDataElement> series)
{
if (dayClosed)
{
return;
}
MarketDataElement lastItem = (MarketDataElement)series.GetAt(series.KeyCount - 1);
DateTime current = lastItem.time;
String strCurrent = String.Format("{0:yyyyMMdd}", current);
DateTime dayEnd = new DateTime(current.Year, current.Month, current.Day, 16, 13, 0);
if (current < dayEnd)
{
return;
}
dayClosed = true;
double tickClose = calculateMid();
if (tickClose.Equals(double.NaN))
{
return;
}
stgHelper.cancelPendingTrades();
if (execution.isPositionSignalBothEmpty())
{
return;
}
double enterPrice = lastExecutePrice;
if (execution.CurrentMarketPosition > 0)
{
String reason = "[Strategy] : Dayend Exit Sell Generated !!! | MarketDataElement=" + lastItem.ToString();
log.Info("[Strategy] : Cut Loss SELL Exit Generated !!!");
log.Info(reason);
if (sentOrder)
{
stgHelper.placeMarketTrade(AppConstant.SELL_SIGNAL, "Day Exit Rule", tickClose, reason, 1, 1);
clearCache();
}
}
if (execution.CurrentMarketPosition < 0)
{
String reason = "[Strategy] : Dayend Exit BUY Generated !!! | MarketDataElement=" + lastItem.ToString();
log.Info("[Strategy] : Cut Loss BUY Exit Generated !!!");
log.Info(reason);
if (sentOrder)
{
stgHelper.placeMarketTrade(AppConstant.BUY_SIGNAL, "Day Exit Rule", tickClose, reason, 1, 1);
clearCache();
}
}
}