private void enterTradeStrategy(Series <DateTime, MarketDataElement> series)
{
if (!execution.isPositionSignalBothEmpty())
{
return;
}
if (dayClosed)
{
return;
}
if (series == null)
{
return;
}
MarketDataElement lastItem = (MarketDataElement)series.GetAt(series.KeyCount - 1);
DateTime current = lastItem.time;
String strCurrent = String.Format("{0:yyyyMMdd}", current);
double tickClose = calculateMid();
if (tickClose.Equals(double.NaN))
{
return;
}
Boolean enterSignal = false;
String signalDir = "";
/******************************/
if (tickClose < trendBuy && tickClose > revSell)
{
enterSignal = true;
signalDir = "R";
}
if (tickClose > trendSell && tickClose < revBuy)
{
enterSignal = true;
signalDir = "D";
}
/******************************/
if (enterSignal && lossFilter)
{
if ("R".Equals(signalDir))
{
String reason = "Place the {0} trade because TrendBuyLine={1};";
reason = reason.Replace("{0}", "BUY").Replace("{1}", trendBuy.ToString());
log.Info("[Strategy] : BUY Order Generated !!! | MarketDataElement=" + lastItem.toString());
stgHelper.placeStopTrade(AppConstant.BUY_SIGNAL, "Trend Buy Rule", trendBuy, reason, 1, 1);
}
if ("D".Equals(signalDir))
{
String reason = "Place the {0} trade because TrendSellLine={1};";
reason = reason.Replace("{0}", "Sell").Replace("{1}", trendSell.ToString());
log.Info("[Strategy] : SELL Order Generated !!! | MarketDataElement=" + lastItem.toString());
stgHelper.placeStopTrade(AppConstant.SELL_SIGNAL, "Rev Sell Rule", trendSell, reason, 1, 1);
}
}
}
private void enterTradeStrategy(Series <DateTime, MarketDataElement> series)
{
if (!execution.isPositionSignalBothEmpty())
{
return;
}
if (dayClosed)
{
return;
}
if (series == null)
{
return;
}
MarketDataElement lastItem = (MarketDataElement)series.GetAt(series.KeyCount - 1);
double tickClose = calculateMid();
if (tickClose.Equals(double.NaN))
{
return;
}
if (lastItem.high > currentDayHigh)
{
currentDayHigh = lastItem.high;
}
if (double.MinValue.Equals(currentDayLow))
{
currentDayLow = lastItem.low;
}
if (lastItem.low < currentDayLow)
{
currentDayLow = lastItem.low;
}
/******************************/
Boolean enterSignal = false;
String signalDir = "";
if (tickClose < trendBuy && tickClose > revSell && currentDayHigh >= sellCheck)
{
enterSignal = true;
signalDir = "D";
}
if (tickClose > trendSell && tickClose < revBuy && currentDayLow <= buyCheck)
{
enterSignal = true;
signalDir = "R";
}
/******************************/
if (enterSignal && lossFilter)
{
if ("R".Equals(signalDir))
{
String reason = "Place the {0} trade because RevBuyLine={1};";
reason = reason.Replace("{0}", "BUY").Replace("{1}", revBuy.ToString());
log.Info("[Strategy] : Enter BUY Generated !!! | MarketDataElement=" + lastItem.toString());
stgHelper.placeStopTrade(AppConstant.BUY_SIGNAL, "Rev Buy Rule", revBuy, reason, 1, 1);
}
if ("D".Equals(signalDir))
{
String reason = "Place the {0} trade because RevSellLine={1};";
reason = reason.Replace("{0}", "SELL").Replace("{1}", revSell.ToString());
log.Info("[Strategy] : Enter SELL Generated !!! | MarketDataElement=" + lastItem.toString());
stgHelper.placeStopTrade(AppConstant.SELL_SIGNAL, "Rev Sell Rule", revSell, reason, 1, 1);
}
}
}