/// <summary>Called when new data is received</summary>
public override void Step()
{
base.Step();
if (Instrument.NewCandle)
{
Debugging.LogInstrument();
Debugging.BreakOnPointOfInterest();
}
// Run the position manager
if (PosMgr != null)
{
PosMgr.Step();
}
// If there is a pending order, wait for it to trigger or expire
var pending = PendingOrders.FirstOrDefault();
if (pending != null)
{
// If the price is more than the SL/TP distance from the EP then give up on the order
var dist = Math.Abs(Instrument.LatestPrice.Mid - pending.TargetPrice);
if (dist > Math.Abs(pending.TakeProfitRel()) ||
dist > Math.Abs(pending.StopLossRel()))
{
Broker.CancelPendingOrder(pending);
}
else
{
return;
}
}
// Look for an existing trade for this strategy.
var position = Positions.FirstOrDefault();
if (position == null)
{
// Look for indicators to say "enter" and which direction.
QuoteCurrency?ep, tp;
var tt = Instrument.FindTradeEntry(out ep, out tp);
if (tt == null)
{
return;
}
// Create a trade in the suggested direction
var trade = new Trade(Instrument, tt.Value, Label, ep: ep, tp: tp);
trade.Expiration = (Bot.UtcNow + Instrument.TimeFrame.ToTimeSpan(10)).DateTime;
if (trade.RtR < 0.2)
{
return;
}
// Create a pending order
Broker.CreatePendingOrder(trade);
//Broker.CreateOrder(trade);
}
}
public void Handle(OrderCommited t)
{
var pendingOrder = PendingOrders.FirstOrDefault(o => o.OrderId == t.Order.OrderId);
if (pendingOrder == null)
{
return;
}
PendingOrders.Remove(pendingOrder);
Console.WriteLine($"Order Complete: {pendingOrder.OrderId}");
}
/// <summary>Called when new data is received</summary>
public override void Step()
{
base.Step();
Dump();
EMA0.Add(Instrument.LatestPrice.Mid);
var position = Positions.FirstOrDefault();
var buy = PendingOrders.FirstOrDefault(x => x.TradeType == TradeType.Buy);
var sel = PendingOrders.FirstOrDefault(x => x.TradeType == TradeType.Sell);
// If a pending order is triggered cancel the other one
if (position != null)
{
if (buy != null)
{
Broker.CancelPendingOrder(buy);
}
if (sel != null)
{
Broker.CancelPendingOrder(sel);
}
buy = null;
sel = null;
if (position.NetProfit > Broker.Balance * 0.001)
{
Broker.ModifyOrder(Instrument, position, sl: position.EntryPrice + position.Sign() * 2.0 * Instrument.Spread);
}
}
// Update the pending orders with each tick
else if (buy != null && sel != null)
{
var buy_ = new Trade(Instrument, buy);
var sel_ = new Trade(Instrument, sel);
MakeSpanningTrades(buy_, sel_);
Broker.ModifyPendingOrder(buy, buy_);
Broker.ModifyPendingOrder(sel, sel_);
}
// If there are no positions or pending orders, create them
else if (position == null && buy == null && sel == null)
{
var buy_ = new Trade(Instrument, TradeType.Buy, Label, 0, null, null, 0);
var sel_ = new Trade(Instrument, TradeType.Sell, Label, 0, null, null, 0);
MakeSpanningTrades(buy_, sel_);
Broker.CreatePendingOrder(buy_);
Broker.CreatePendingOrder(sel_);
}
}
/// <summary>Called when new data is received</summary>
public override void Step()
{
base.Step();
if (Instrument.NewCandle || Positions.Any() || PendingOrders.Any())
{
Dump();
}
var sign0 = Math.Sign(EMA0[0].CompareTo(EMA1[0]));
var sign1 = Math.Sign(EMA0[-1].CompareTo(EMA1[-1]));
var order = PendingOrders.FirstOrDefault();
var position = Positions.FirstOrDefault();
// Cancel or close positions/orders that are against the trend
if (order != null && order.Sign() != sign0)
{
Broker.CancelPendingOrder(order);
order = null;
}
if (position != null && position.Sign() != sign0)
{
Broker.CloseAt(Instrument, position, EMA0[0]);
}
// Look for EMA crosses
if (sign0 != sign1)
{
var mcs = Instrument.MCS;
var price = EMA0[0] - sign0 * Instrument.Spread;
if (order == null || Math.Abs(order.TargetPrice - price) > 2)
{
// Cancel any previous pending orders
Broker.CancelAllPendingOrders(Label);
// Create a pending order at the cross price
var sl = price - sign0 * mcs * 5;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(price - sl), risk: Risk);
var trade = new Trade(Instrument, CAlgo.SignToTradeType(sign0), Label, price, sl, null, vol);
Broker.CreatePendingOrder(trade);
}
}
}