public void AddPrice(float open, float high, float low, float close, float volume = 0)
{
PriceBar priceBar = new PriceBar();
priceBar.Write(_timeStamper.Next, open, high, low, close, volume);
_priceBars.Add(priceBar);
}
private void OnNewPrice(PriceBar price)
{
// Ensure only one update processed at a time from multi-threaded timer
lock (this)
{
// Update the last price, or append?
var ds0 = (IOhlcDataSeries <DateTime, double>)_seriesViewModels[0].DataSeries;
var ds1 = (IXyDataSeries <DateTime, double>)_seriesViewModels[1].DataSeries;
if (_lastPrice != null && _lastPrice.DateTime == price.DateTime)
{
ds0.Update(price.DateTime, price.Open, price.High, price.Low, price.Close);
ds1.Update(price.DateTime, _sma50.Update(price.Close).Current);
}
else
{
ds0.Append(price.DateTime, price.Open, price.High, price.Low, price.Close);
ds1.Append(price.DateTime, _sma50.Push(price.Close).Current);
// If the latest appending point is inside the viewport (i.e. not off the edge of the screen)
// then scroll the viewport 1 bar, to keep the latest bar at the same place
if (XVisibleRange.Max > ds0.Count)
{
var existingRange = _xVisibleRange;
var newRange = new IndexRange(existingRange.Min + 1, existingRange.Max + 1);
XVisibleRange = newRange;
}
}
_lastPrice = price;
}
}
public void PriceBar_Write_Works()
{
//Arrange
var priceBars = new PriceBars(10);
var priceBar1 = new PriceBar(DateTime.Now.Ticks, 1, 2, 3, 4);
var priceBar2 = new PriceBar();
priceBar2.Write(DateTime.Now.Ticks, 1, 2, 3, 4);
//Act
priceBars.Write(priceBar1.Timestamp, priceBar1.Open, priceBar1.High, priceBar1.Low, priceBar1.Close);
priceBars.Write(priceBar2.Timestamp, priceBar2.Open, priceBar2.High, priceBar2.Low, priceBar2.Close);
priceBars.Write(priceBar1.Timestamp, priceBar1.Open, priceBar1.High, priceBar1.Low, priceBar1.Close);
//Assert
Assert.AreEqual(3, priceBars.Length);
Assert.AreEqual(priceBars.Current.Timestamp, priceBar1.Timestamp);
Assert.AreEqual(priceBars.Current.Open, priceBar1.Open);
Assert.AreEqual(priceBars.Current.High, priceBar1.High);
Assert.AreEqual(priceBars.Current.Low, priceBar1.Low);
Assert.AreEqual(priceBars.Current.Close, priceBar1.Close);
Assert.AreEqual(priceBars.Current.Volume, 0);
Assert.AreEqual(priceBars.Previous.Timestamp, priceBar2.Timestamp);
Assert.AreEqual(priceBars.Previous.Open, priceBar2.Open);
Assert.AreEqual(priceBars.Previous.High, priceBar2.High);
Assert.AreEqual(priceBars.Previous.Low, priceBar2.Low);
Assert.AreEqual(priceBars.Previous.Close, priceBar2.Close);
Assert.AreEqual(priceBars.Previous.Volume, 0);
}
private PriceBar GetUpdatedData()
{
double num = _lastPriceBar.Close + ((_random.NextDouble() - 0.48) * (_lastPriceBar.Close / 100.0));
double high = (num > _lastPriceBar.High) ? num : _lastPriceBar.High;
double low = (num < _lastPriceBar.Low) ? num : _lastPriceBar.Low;
long volumeInc = (long)((_random.NextDouble() * 30000 + 20000) * 0.05);
_lastPriceBar = new PriceBar(_lastPriceBar.DateTime, _lastPriceBar.Open, high, low, num, _lastPriceBar.Volume + volumeInc);
return(_lastPriceBar);
}
protected override Signal GenerateSignal(Security security, DateTime AsOf)
{
security.SetSwingPointsAndTrends(BarCount, PriceBarSize.Weekly);
// Only generate signals after the last close of the week has finalized this bar
if (AsOf != Calendar.LastTradingDayOfWeek(AsOf))
{
return(null);
}
// Today's weekly trend
PriceBar weeklyBar = security.GetPriceBar(AsOf, PriceBarSize.Weekly);
if (weeklyBar == null)
{
return(null);
}
TrendQualification weeklyTrend = weeklyBar.GetTrendType(BarCount);
// Get the weekly trend from the prior week
PriceBar priorWeek = weeklyBar.PriorBar;
TrendQualification priorWeekTrend = priorWeek?.GetTrendType(BarCount) ?? TrendQualification.NotSet;
if (weeklyTrend == priorWeekTrend)
{
return(null);
}
if (weeklyTrend == TrendQualification.AmbivalentSideways ||
weeklyTrend == TrendQualification.ConfirmedSideways ||
weeklyTrend == TrendQualification.SuspectSideways)
{
return(new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.CloseIfOpen, 1));
}
if (weeklyTrend == TrendQualification.SuspectBullish ||
weeklyTrend == TrendQualification.ConfirmedBullish)
{
return(new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Buy, 1));
}
if (weeklyTrend == TrendQualification.SuspectBearish ||
weeklyTrend == TrendQualification.ConfirmedBearish)
{
return(new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Sell, 1));
}
return(null);
}
private void InitData(IMarketDataService marketDataService)
{
var prices = marketDataService.GetHistoricalData(DefaultPointCount);
_lastPrice = prices.Last();
// Populate data series with some data
_ohlcDataSeries.Append(prices.Select(x => x.DateTime),
prices.Select(x => x.Open),
prices.Select(x => x.High),
prices.Select(x => x.Low),
prices.Select(x => x.Close));
_xyDataSeries.Append(prices.Select(x => x.DateTime), prices.Select(y => _sma50.Push(y.Close).Current));
}
public RandomPricesDataSource(int candleIntervalMinutes, bool simulateDateGap, int updatesPerPrice, int randomSeed, double startingPrice, DateTime startDate)
{
_candleIntervalMinutes = candleIntervalMinutes;
_simulateDateGap = simulateDateGap;
_updatesPerPrice = updatesPerPrice;
_initialPriceBar = new PriceBarInfo
{
Close = startingPrice,
DateTime = startDate
};
_lastPriceBar = new PriceBar(_initialPriceBar.DateTime, _initialPriceBar.Close, _initialPriceBar.Close, _initialPriceBar.Close, _initialPriceBar.Close, 0L);
_random = new Random(randomSeed);
}
public PriceSeries GetPriceData(string dataset)
{
if (_dataSets.ContainsKey(dataset))
{
return(_dataSets[dataset]);
}
// e.g. resource format: Abt.Controls.SciChart.Example.Resources.EURUSD_Daily.csv
var csvResource = string.Format("{0}.{1}", ResourceDirectory, Path.ChangeExtension(dataset, "csv"));
var priceSeries = new PriceSeries();
priceSeries.Symbol = dataset;
var assembly = typeof(DataManager).Assembly;
// Debug.WriteLine(string.Join(", ", assembly.GetManifestResourceNames()));
using (var stream = assembly.GetManifestResourceStream(csvResource))
using (var streamReader = new StreamReader(stream))
{
string line = streamReader.ReadLine();
while (line != null)
{
var priceBar = new PriceBar();
// Line Format:
// Date, Open, High, Low, Close, Volume
// 2007.07.02 03:30, 1.35310, 1.35310, 1.35280, 1.35310, 12
var tokens = line.Split(',');
priceBar.DateTime = DateTime.Parse(tokens[0], DateTimeFormatInfo.InvariantInfo);
priceBar.Open = double.Parse(tokens[1], NumberFormatInfo.InvariantInfo);
priceBar.High = double.Parse(tokens[2], NumberFormatInfo.InvariantInfo);
priceBar.Low = double.Parse(tokens[3], NumberFormatInfo.InvariantInfo);
priceBar.Close = double.Parse(tokens[4], NumberFormatInfo.InvariantInfo);
priceBar.Volume = long.Parse(tokens[5], NumberFormatInfo.InvariantInfo);
priceSeries.Add(priceBar);
line = streamReader.ReadLine();
}
}
_dataSets.Add(dataset, priceSeries);
return(priceSeries);
}
private PriceBar GetNextRandomPriceBar()
{
double close = _lastPriceBar.Close;
double num = (_random.NextDouble() - 0.9) * _initialPriceBar.Close / 30.0;
double num2 = _random.NextDouble();
double num3 = _initialPriceBar.Close + _initialPriceBar.Close / 2.0 * Math.Sin(7.27220521664304E-06 * _currentTime) + _initialPriceBar.Close / 16.0 * Math.Cos(7.27220521664304E-05 * _currentTime) + _initialPriceBar.Close / 32.0 * Math.Sin(7.27220521664304E-05 * (10.0 + num2) * _currentTime) + _initialPriceBar.Close / 64.0 * Math.Cos(7.27220521664304E-05 * (20.0 + num2) * _currentTime) + num;
double num4 = Math.Max(close, num3);
double num5 = _random.NextDouble() * _initialPriceBar.Close / 100.0;
double high = num4 + num5;
double num6 = Math.Min(close, num3);
double num7 = _random.NextDouble() * _initialPriceBar.Close / 100.0;
double low = num6 - num7;
long volume = (long)(_random.NextDouble() * 30000 + 20000);
DateTime openTime = _simulateDateGap ? EmulateDateGap(_lastPriceBar.DateTime) : _lastPriceBar.DateTime;
DateTime closeTime = openTime.AddMinutes(_candleIntervalMinutes);
PriceBar candle = new PriceBar(closeTime, close, high, low, num3, volume);
_lastPriceBar = new PriceBar(candle.DateTime, candle.Open, candle.High, candle.Low, candle.Close, volume);
_currentTime += _candleIntervalMinutes * 60;
return(candle);
}
public override void InitExampleForUiTest()
{
base.InitExampleForUiTest();
_marketDataService.ClearSubscriptions();
_xyDataSeries.Clear();
_ohlcDataSeries.Clear();
_sma50.Clear();
_lastPrice = default(PriceBar);
var marketDataService = new MarketDataService(new DateTime(2000, 08, 01, 12, 00, 00), 5, 20);
// add initizal data
InitData(marketDataService);
// perform zoom extents to restore default VisibleRange
MainSurface.ZoomExtentsX();
// add one price bar to update location of annotations
OnNewPrice(marketDataService.GetNextBar());
}
private void OnNewPrice(PriceBar price)
{
// Update the last price, or append?
double smaLastValue;
if (_lastPrice.DateTime == price.DateTime)
{
_ohlcDataSeries.Update(_ohlcDataSeries.Count - 1, price.Open, price.High, price.Low, price.Close);
smaLastValue = _sma50.Update(price.Close).Current;
_xyDataSeries.UpdateYAt(_xyDataSeries.Count - 1, smaLastValue);
}
else
{
_ohlcDataSeries.Append(price.DateTime, price.Open, price.High, price.Low, price.Close);
smaLastValue = _sma50.Push(price.Close).Current;
_xyDataSeries.Append(price.DateTime, smaLastValue);
// If the latest appending point is inside the viewport (i.e. not off the edge of the screen)
// then scroll the viewport 1 bar, to keep the latest bar at the same place
var visibleRange = MainSurface.XAxes[0].VisibleRange;
if (visibleRange.MaxAsDouble > _ohlcDataSeries.Count)
{
visibleRange.SetMinMaxDouble(visibleRange.MinAsDouble + 1, visibleRange.MaxAsDouble + 1);
}
}
Activity.RunOnUiThread(() =>
{
_ohlcAxisMarker.SetBackgroundColor((price.Close >= price.Open ? StrokeUpColor : StrokeDownColor).ToColor());
});
_ohlcAxisMarker.Y1Value = price.Close;
_smaAxisMarker.Y1Value = smaLastValue;
_lastPrice = price;
}
private void OnNewPrice(PriceBar price)
{
InvokeOnMainThread(() =>
{
// Update the last price, or append?
double smaLastValue;
if (_lastPrice.DateTime == price.DateTime)
{
_ohlcDataSeries.Update(_ohlcDataSeries.Count - 1, price.Open, price.High, price.Low, price.Close);
smaLastValue = _sma50.Update(price.Close).Current;
_xyDataSeries.UpdateYAt(_xyDataSeries.Count - 1, smaLastValue);
}
else
{
_ohlcDataSeries.Append(price.DateTime, price.Open, price.High, price.Low, price.Close);
smaLastValue = _sma50.Push(price.Close).Current;
_xyDataSeries.Append(price.DateTime, smaLastValue);
// If the latest appending point is inside the viewport (i.e. not off the edge of the screen)
// then scroll the viewport 1 bar, to keep the latest bar at the same place
var xaxis = Runtime.GetNSObject <SCICategoryDateTimeAxis>(MainSurface.XAxes[0].Handle);
var visibleRange = Runtime.GetNSObject <SCIDoubleRange>(xaxis.VisibleRange.Handle);
if (visibleRange.Max > _ohlcDataSeries.Count)
{
MainSurface.XAxes[0].VisibleRange = new SCIDoubleRange(visibleRange.Min + 1, visibleRange.Max + 1);
}
}
_ohlcAxisMarker.Style.BackgroundColor = (price.Close >= price.Open ? StrokeUpColor : StrokeDownColor).ToColor();
_ohlcAxisMarker.Position = price.Close;
_smaAxisMarker.Position = smaLastValue;
_lastPrice = price;
});
}
public void HeikenAshiBar_Write_Works()
{
//Arrange
var haBars = new HeikenAshiBars(10);
haBars.BarUpdated += delegate(IHeikenAshiBar current) { };
var priceBar1 = new PriceBar(DateTime.Now.Ticks, 1, 2, 3, 4);
var priceBar2 = new PriceBar(DateTime.Now.Ticks, 2, 3, 4, 0);
var priceBar3 = new PriceBar();
priceBar3.Write(DateTime.Now.Ticks, 1, 2, 3, 4);
//Act
haBars.Write(priceBar2);
haBars.Write(priceBar1);
haBars.Write(priceBar3);
haBars.Write(priceBar1.Timestamp, priceBar1.Open, priceBar1.High, priceBar1.Low, priceBar1.Close);
//Assert
Assert.AreEqual(4, haBars.Length);
Assert.AreEqual(haBars.Current.Timestamp, priceBar1.Timestamp);
Assert.AreEqual(haBars.Previous.Timestamp, priceBar3.Timestamp);
}
public void CandlestickBar_Write_Works()
{
//Arrange
var CandlestickBars = new CandlestickBars(1000);
CandlestickBars.BarUpdated += delegate(ICandlestickBar current) { };
var priceBar1 = new PriceBar(DateTime.Now.Ticks, 2, 3, 4, 0);
var priceBar2 = new PriceBar();
var priceBar3 = new PriceBar(DateTime.Now.Ticks, 1, 2, 3, 4);
priceBar2.Write(DateTime.Now.Ticks, priceBar3.Open, priceBar3.High, priceBar3.Low, priceBar3.Close);
//Act
CandlestickBars.Write(priceBar1);
CandlestickBars.Write(priceBar3);
CandlestickBars.Write(priceBar2);
CandlestickBars.Write(priceBar3.Timestamp, priceBar3.Open, priceBar3.High, priceBar3.Low, priceBar3.Close);
//Assert
Assert.AreEqual(4, CandlestickBars.Length);
Assert.AreEqual(CandlestickBars.Current.Timestamp, priceBar3.Timestamp);
Assert.AreEqual(CandlestickBars.Previous.Timestamp, priceBar2.Timestamp);
}
public async Task <List <PriceBar> > GetPriceBars(List <Tuple <string, EGranularity> > barSpecsList, int count, ECandleFormat priceFormat = ECandleFormat.midpoint)
{
List <PriceBar> bars = new List <PriceBar>();
foreach (var spec in barSpecsList)
{
Func <CandlesRequest> request = () => new CandlesRequest
{
instrument = spec.Item1,
granularity = spec.Item2,
candleFormat = priceFormat,
count = count
};
List <Candle> pollCandles = null;
pollCandles = await Rest.GetCandlesAsync(request());
if (pollCandles != null && pollCandles.Count > 0)
{
pollCandles.OrderBy(c => Convert.ToDateTime(c.time).ToUniversalTime());
foreach (var candle in pollCandles)
{
var bar = new PriceBar()
{
instrument = spec.Item1, granularity = spec.Item2.ToString()
};
bar.InjectWith(candle, false);
bars.Add(bar);
}
}
}
return(bars);
}
public override Trade NewStoploss(Position position, DateTime AsOf)
{
position.Security.SetSwingPointsAndTrends(BarCount, BarSize);
if (position.ExecutedTrades.Count > 1)
{
throw new UnknownErrorException();
}
// First prior swingpoint is first prior that is REALIZED at the time of signal, so we have to look at least BarCount bars back
PriceBar firstPriorSwingPoint = null;
switch (BarSize)
{
case PriceBarSize.Daily:
firstPriorSwingPoint = position.Security.GetPriceBar(Calendar.PriorTradingDay(AsOf, BarCount), BarSize);
break;
case PriceBarSize.Weekly:
firstPriorSwingPoint = position.Security.GetPriceBar(Calendar.PriorTradingWeekStart(AsOf, BarCount), BarSize);
break;
case PriceBarSize.Monthly:
firstPriorSwingPoint = position.Security.GetPriceBar(Calendar.PriorTradingMonthStart(AsOf, BarCount), BarSize);
break;
case PriceBarSize.Quarterly:
firstPriorSwingPoint = position.Security.GetPriceBar(Calendar.PriorTradingMonthStart(AsOf, BarCount), BarSize);
break;
default:
break;
}
decimal stopPrice = -1m;
decimal expExecutionPx = position.Security.GetPriceBar(AsOf, BarSize).Close;
switch (position.PositionDirection)
{
case PositionDirection.ShortPosition:
// First prior swingpoint high
while ((firstPriorSwingPoint.GetSwingPointType(BarCount) & SwingPointType.SwingPointHigh) == 0)
{
firstPriorSwingPoint = firstPriorSwingPoint.PriorBar;
}
stopPrice = firstPriorSwingPoint.High + .01m;
break;
case PositionDirection.LongPosition:
// First prior swingpoint low
while ((firstPriorSwingPoint.GetSwingPointType(BarCount) & SwingPointType.SwingPointLow) == 0)
{
firstPriorSwingPoint = firstPriorSwingPoint.PriorBar;
}
stopPrice = firstPriorSwingPoint.Low - .01m;
break;
}
// If the last valid swingpoint is on the wrong side of our trade (above exp trade price for a long, below a short), use an ATR atop
switch (position.PositionDirection)
{
case PositionDirection.LongPosition:
if (stopPrice >= expExecutionPx)
{
BackupStoploss.Stoploss_ATR_Multiple = this.Stoploss_ATR_Multiple;
BackupStoploss.Stoploss_ATR_Period = this.Stoploss_ATR_Period;
return(BackupStoploss.NewStoploss(position, AsOf));
}
break;
case PositionDirection.ShortPosition:
if (stopPrice <= expExecutionPx)
{
BackupStoploss.Stoploss_ATR_Multiple = this.Stoploss_ATR_Multiple;
BackupStoploss.Stoploss_ATR_Period = this.Stoploss_ATR_Period;
return(BackupStoploss.NewStoploss(position, AsOf));
}
break;
}
if (stopPrice <= 0)
{
stopPrice = 0.01m;
}
var stop = new Trade(
position.Security,
(TradeActionBuySell)(-position.PositionDirection.ToInt()),
Math.Abs(position.Size(AsOf)),
TradeType.Stop,
0, stopPrice)
{
TradeDate = AsOf
};
return(stop);
}
private decimal TrailingStop(Position position, Trade currentStop, DateTime AsOf)
{
//
// Get the last price bar of the position
//
PriceBar bar = position.Security.GetPriceBarOrLastPrior(AsOf, PriceBarSize.Daily, 1);
decimal lastClose = bar.Close;
//
// Get the last ATR, which is the AsOf date
//
var securityLastAtr = bar.AverageTrueRange(Stoploss_ATR_Period);
//
// Calculate the stop price baseline
//
decimal riskDollarsPerShare = (securityLastAtr * Stoploss_ATR_Multiple);
decimal stopPrice = (lastClose - (position.PositionDirection.ToInt() * riskDollarsPerShare));
if (stopPrice <= 0)
{
stopPrice = 0.01m;
}
//
// If a creeping stop is enabled, calculate the new stop price based on change from the existing stop
//
decimal adjustedBaseStop = currentStop.StopPrice;
if (Stoploss_Creep_Percent > 0)
{
switch (position.PositionDirection)
{
case PositionDirection.LongPosition:
// Increase base stop
adjustedBaseStop *= (1 + Stoploss_Creep_Percent);
break;
case PositionDirection.ShortPosition:
// Decrease base stop
adjustedBaseStop *= (1 - Stoploss_Creep_Percent);
break;
}
}
//
// Compare the new baseline stop vs the adjusted prior stop, and select whichever is more conservative
//
switch (position.PositionDirection)
{
case PositionDirection.NotSet:
throw new UnknownErrorException();
case PositionDirection.LongPosition:
return(Math.Max(stopPrice, adjustedBaseStop));
case PositionDirection.ShortPosition:
return(Math.Min(stopPrice, adjustedBaseStop));
default:
throw new UnknownErrorException();
}
}
public static PriceSeries GetPriceDataByRange(List <Tick> ticks, double rangeCount, IDiscontinuousDateTimeCalendar calendar, double barTimeFrame, out Tuple <DateTime, double> min, out Tuple <DateTime, double> max)
{
var priceSeries = new PriceSeries();
var dateTime = new DateTime();
min = null;
max = null;
double open = 0;
double high = 0;
double low = 0;
double close = 0;
long volume = 0;
double range = 0;
bool hasTicks = false;
for (int i = 0; i < ticks.Count; i++)
{
if (Math.Abs(range) < rangeCount)
{
if (!calendar.IsValueInGap(ticks[i].DateTime))
{
if (!hasTicks)
{
high = ticks[i].High;
low = ticks[i].Low;
open = ticks[i].Open;
if (priceSeries.Count == 0)
{
dateTime = ticks[i].DateTime;
}
hasTicks = true;
}
else
{
high = high < ticks[i].High ? ticks[i].High : high;
low = low > ticks[i].Low ? ticks[i].Low : low;
}
volume += ticks[i].Volume;
range = high - low;
close = ticks[i].Close > open ? low + rangeCount : high - rangeCount;
}
}
else if (hasTicks)
{
if (range / rangeCount > 2)
{
for (int j = 0; j < range / rangeCount; j++)
{
var priceBar = new PriceBar
{
DateTime = calendar.GetValueByOffset(dateTime, priceSeries.Count * barTimeFrame),
Open = ticks[i].Close > open ? open + j * rangeCount : open - j * rangeCount,
High = ticks[i].Close > open ? open + j * rangeCount : open - j * rangeCount,
Low = ticks[i].Close > open ? open + j * rangeCount : open - (j + 1) * rangeCount,
Close = ticks[i].Close > open ? open + j * rangeCount : open - (j + 1) * rangeCount,
Volume = volume
};
priceSeries.Add(priceBar);
if (priceSeries.Count == 1)
{
min = new Tuple <DateTime, double>(priceBar.DateTime, priceBar.Low);
max = new Tuple <DateTime, double>(priceBar.DateTime, priceBar.High);
}
else
{
if (priceBar.High > max.Item2)
{
max = new Tuple <DateTime, double>(priceBar.DateTime, priceBar.High);
}
if (priceBar.Low < min.Item2)
{
min = new Tuple <DateTime, double>(priceBar.DateTime, priceBar.Low);
}
}
}
}
else
{
var priceBar = new PriceBar
{
DateTime = calendar.GetValueByOffset(dateTime, priceSeries.Count * barTimeFrame), Open = open, High = high, Low = low, Close = close, Volume = volume
};
priceSeries.Add(priceBar);
if (priceSeries.Count == 1)
{
min = new Tuple <DateTime, double>(priceBar.DateTime, priceBar.Low);
max = new Tuple <DateTime, double>(priceBar.DateTime, priceBar.High);
}
else
{
if (priceBar.High > max.Item2)
{
max = new Tuple <DateTime, double>(priceBar.DateTime, priceBar.High);
}
if (priceBar.Low < min.Item2)
{
min = new Tuple <DateTime, double>(priceBar.DateTime, priceBar.Low);
}
}
}
range = 0;
hasTicks = false;
}
}
return(priceSeries);
}
public override decimal UpdatePositionStoplossPrice(Position position, Trade currentStop, DateTime AsOf)
{
position.Security.SetSwingPointsAndTrends(BarCount, BarSize);
// First prior swingpoint is first prior that is REALIZED at the time of signal, so we have to look at least BarCount bars back
PriceBar firstPriorSwingPoint = null;
switch (BarSize)
{
case PriceBarSize.Daily:
firstPriorSwingPoint = position.Security.GetPriceBar(Calendar.PriorTradingDay(AsOf, BarCount), BarSize);
break;
case PriceBarSize.Weekly:
firstPriorSwingPoint = position.Security.GetPriceBar(Calendar.PriorTradingWeekStart(AsOf, BarCount), BarSize);
break;
case PriceBarSize.Monthly:
firstPriorSwingPoint = position.Security.GetPriceBar(Calendar.PriorTradingMonthStart(AsOf, BarCount), BarSize);
break;
case PriceBarSize.Quarterly:
firstPriorSwingPoint = position.Security.GetPriceBar(Calendar.PriorTradingMonthStart(AsOf, BarCount), BarSize);
break;
default:
break;
}
decimal stopPrice = -1m;
decimal lastPx = position.Security.GetPriceBar(AsOf, PriceBarSize.Daily).Close;
switch (position.PositionDirection)
{
case PositionDirection.ShortPosition:
// First prior swingpoint high
while ((firstPriorSwingPoint.GetSwingPointType(BarCount) & SwingPointType.SwingPointHigh) == 0)
{
firstPriorSwingPoint = firstPriorSwingPoint.PriorBar;
}
stopPrice = firstPriorSwingPoint.High + .01m;
break;
case PositionDirection.LongPosition:
// First prior swingpoint low
while ((firstPriorSwingPoint.GetSwingPointType(BarCount) & SwingPointType.SwingPointLow) == 0)
{
firstPriorSwingPoint = firstPriorSwingPoint.PriorBar;
}
stopPrice = firstPriorSwingPoint.Low - .01m;
break;
}
// If the last valid swingpoint is on the wrong side of our trade (above exp trade price for a long, below a short), use an ATR atop
switch (position.PositionDirection)
{
case PositionDirection.LongPosition:
if (stopPrice >= position.Security.GetPriceBar(AsOf, PriceBarSize.Daily).Close)
{
BackupStoploss.Stoploss_ATR_Multiple = this.Stoploss_ATR_Multiple;
BackupStoploss.Stoploss_ATR_Period = this.Stoploss_ATR_Period;
return(BackupStoploss.UpdatePositionStoplossPrice(position, currentStop, AsOf));
}
break;
case PositionDirection.ShortPosition:
if (stopPrice >= position.Security.GetPriceBar(AsOf, PriceBarSize.Daily).Close)
{
BackupStoploss.Stoploss_ATR_Multiple = this.Stoploss_ATR_Multiple;
BackupStoploss.Stoploss_ATR_Period = this.Stoploss_ATR_Period;
return(BackupStoploss.UpdatePositionStoplossPrice(position, currentStop, AsOf));
}
break;
}
if (stopPrice <= 0)
{
stopPrice = 0.01m;
}
// Calculate the adjusted base stop if we are using a creeping stop
decimal adjustedBaseStop = currentStop.StopPrice;
if (Stoploss_Creep_Percent > 0)
{
switch (position.PositionDirection)
{
case PositionDirection.LongPosition:
// Increase base stop
adjustedBaseStop *= (1 + Stoploss_Creep_Percent);
break;
case PositionDirection.ShortPosition:
// Decrease base stop
adjustedBaseStop *= (1 - Stoploss_Creep_Percent);
break;
}
}
switch (position.PositionDirection)
{
case PositionDirection.LongPosition:
return(Math.Max(stopPrice, adjustedBaseStop));
case PositionDirection.ShortPosition:
return(Math.Min(stopPrice, adjustedBaseStop));
default:
throw new UnknownErrorException();
}
}
public static PriceSeries GetPriceDataByTimeFrame(List <Tick> ticks, int timeFrame, IDiscontinuousDateTimeCalendar calendar, out Tuple <DateTime, double> min, out Tuple <DateTime, double> max)
{
var priceSeries = new PriceSeries();
var dateTime = ticks[0].DateTime;
min = null;
max = null;
double open = 0;
double high = 0;
double low = 0;
double close = 0;
long volume = 0;
bool hasTicks = false;
for (int i = 0; i < ticks.Count; i++)
{
if (ticks[i].DateTime < dateTime + TimeSpan.FromMinutes(timeFrame))
{
if (!calendar.IsValueInGap(ticks[i].DateTime))
{
if (!hasTicks)
{
high = ticks[i].High;
low = ticks[i].Low;
open = ticks[i].Open;
hasTicks = true;
}
else
{
high = high < ticks[i].High ? ticks[i].High : high;
low = low > ticks[i].Low ? ticks[i].Low : low;
}
close = ticks[i].Close;
volume += ticks[i].Volume;
}
}
else
{
if (hasTicks)
{
var priceBar = new PriceBar
{
DateTime = dateTime, Open = open, High = high, Low = low, Close = close, Volume = volume
};
priceSeries.Add(priceBar);
if (priceSeries.Count == 1)
{
min = new Tuple <DateTime, double>(priceBar.DateTime, priceBar.Low);
max = new Tuple <DateTime, double>(priceBar.DateTime, priceBar.High);
}
else
{
if (priceBar.High > max.Item2)
{
max = new Tuple <DateTime, double>(priceBar.DateTime, priceBar.High);
}
if (priceBar.Low < min.Item2)
{
min = new Tuple <DateTime, double>(priceBar.DateTime, priceBar.Low);
}
}
hasTicks = false;
}
else
{
dateTime = dateTime + TimeSpan.FromMinutes(timeFrame);
}
}
}
return(priceSeries);
}
private void Push(PriceBar priceBar)
{
PushFeed(priceBar.TimeStamp, priceBar.Open, priceBar.High, priceBar.Low, priceBar.Close, priceBar.Volume);
_position++;
}
/// <summary>
/// Handler for OANDA rate data received from data stream.
/// </summary>
/// <param name="data">The price tick data received.</param>
protected virtual void OnRateReceived(RateStreamResponse data)
{
if (!data.IsHeartbeat())
{
if (_chartsInitialized)
{
string instrument = data.tick.instrument;
Chart instrumentChart = _charts.FirstOrDefault(c => c.Value.Instrument == instrument).Value;
IPriceBar lastFrameBar = instrumentChart.Frames.Last().Bar;
double bidPrice = data.tick.bid;
double askPrice = data.tick.ask;
double midPrice = (data.tick.ask - data.tick.bid) / 2;
if (Convert.ToDateTime(data.tick.time).ToUniversalTime() < instrumentChart.CreateNewFrameTime)
{
lastFrameBar.volume++;
lastFrameBar.closeBid = bidPrice;
lastFrameBar.closeAsk = askPrice;
lastFrameBar.closeMid = midPrice;
if (lastFrameBar.closeBid <= lastFrameBar.lowBid)
{
lastFrameBar.lowBid = lastFrameBar.closeBid;
}
if (lastFrameBar.closeAsk <= lastFrameBar.lowAsk)
{
lastFrameBar.lowAsk = lastFrameBar.closeAsk;
}
if (lastFrameBar.closeMid <= lastFrameBar.lowMid)
{
lastFrameBar.lowMid = lastFrameBar.closeMid;
}
if (lastFrameBar.closeBid >= lastFrameBar.highBid)
{
lastFrameBar.highBid = lastFrameBar.closeBid;
}
if (lastFrameBar.closeAsk >= lastFrameBar.highAsk)
{
lastFrameBar.highAsk = lastFrameBar.closeAsk;
}
if (lastFrameBar.closeMid >= lastFrameBar.highMid)
{
lastFrameBar.highMid = lastFrameBar.closeMid;
}
}
else
{
lastFrameBar.complete = true;
PriceBar newBar = new PriceBar()
{
time = MAOE.Utilities.GetTimeAsXmlSerializedUtc(instrumentChart.CreateNewFrameTime.Value),
openBid = bidPrice,
highBid = bidPrice,
lowBid = bidPrice,
closeBid = bidPrice,
openAsk = askPrice,
highAsk = askPrice,
lowAsk = askPrice,
closeAsk = askPrice,
openMid = midPrice,
highMid = midPrice,
lowMid = midPrice,
closeMid = midPrice,
volume = 1
};
instrumentChart.Frames.Add(CreateChartFrame(newBar, instrumentChart));
}
}
MAOE.Utilities.ReleaseTick();
}
}
public override int NewPositionSize(Portfolio portfolio, Signal IndicatedTrade, DateTime AsOf, decimal initialRiskPercent)
{
IndicatedTrade.Security.SetSwingPointsAndTrends(BarCount, BarSize);
decimal riskDollarsTotal = portfolio.EquityWithLoanValue(AsOf, TimeOfDay.MarketEndOfDay) * initialRiskPercent;
// First prior swingpoint is first prior that is REALIZED at the time of signal, so we have to look at least BarCount bars back
PriceBar firstPriorSwingPoint = null;
switch (BarSize)
{
case PriceBarSize.Daily:
firstPriorSwingPoint = IndicatedTrade.Security.GetPriceBar(Calendar.PriorTradingDay(AsOf, BarCount), BarSize);
break;
case PriceBarSize.Weekly:
firstPriorSwingPoint = IndicatedTrade.Security.GetPriceBar(Calendar.PriorTradingWeekStart(AsOf, BarCount), BarSize);
break;
case PriceBarSize.Monthly:
firstPriorSwingPoint = IndicatedTrade.Security.GetPriceBar(Calendar.PriorTradingMonthStart(AsOf, BarCount), BarSize);
break;
case PriceBarSize.Quarterly:
firstPriorSwingPoint = IndicatedTrade.Security.GetPriceBar(Calendar.PriorTradingMonthStart(AsOf, BarCount), BarSize);
break;
default:
break;
}
decimal stopPrice = -1m;
decimal expExecutionPx = IndicatedTrade.Security.GetPriceBar(AsOf, BarSize).Close;
switch (IndicatedTrade.SignalAction)
{
case SignalAction.Sell:
// First prior swingpoint high
while ((firstPriorSwingPoint.GetSwingPointType(BarCount) & SwingPointType.SwingPointHigh) == 0)
{
firstPriorSwingPoint = firstPriorSwingPoint.PriorBar;
}
stopPrice = firstPriorSwingPoint.High + .01m;
break;
case SignalAction.Buy:
// First prior swingpoint low
while ((firstPriorSwingPoint.GetSwingPointType(BarCount) & SwingPointType.SwingPointLow) == 0)
{
firstPriorSwingPoint = firstPriorSwingPoint.PriorBar;
}
stopPrice = firstPriorSwingPoint.Low - .01m;
break;
}
// If the last valid swingpoint is on the wrong side of our trade (above exp trade price for a long, below a short), use an ATR atop
switch (IndicatedTrade.SignalAction)
{
case SignalAction.Sell:
if (stopPrice >= expExecutionPx)
{
BackupStoploss.Stoploss_ATR_Multiple = this.Stoploss_ATR_Multiple;
BackupStoploss.Stoploss_ATR_Period = this.Stoploss_ATR_Period;
return(BackupStoploss.NewPositionSize(portfolio, IndicatedTrade, AsOf, initialRiskPercent));
}
break;
case SignalAction.Buy:
if (stopPrice <= expExecutionPx)
{
BackupStoploss.Stoploss_ATR_Multiple = this.Stoploss_ATR_Multiple;
BackupStoploss.Stoploss_ATR_Period = this.Stoploss_ATR_Period;
return(BackupStoploss.NewPositionSize(portfolio, IndicatedTrade, AsOf, initialRiskPercent));
}
break;
}
decimal initialBuffer = expExecutionPx * initialRiskPercent;
decimal riskDollarsPerShare = Math.Abs(IndicatedTrade.Security.GetPriceBar(AsOf, BarSize).Close - stopPrice);
if (riskDollarsPerShare < initialBuffer)
{
riskDollarsPerShare = initialBuffer;
}
int positionSize = Convert.ToInt32(Math.Round((riskDollarsTotal / riskDollarsPerShare), 0));
return(positionSize);
}
protected override Signal GenerateSignal(Security security, DateTime AsOf)
{
security.SetSwingPointsAndTrends(BarCount, PriceBarSize.Daily);
security.SetSwingPointsAndTrends(BarCount, PriceBarSize.Weekly);
// Today's daily trend
PriceBar dailyBar = security.GetPriceBar(AsOf, PriceBarSize.Daily);
TrendQualification dailyTrend = dailyBar.GetTrendType(BarCount);
// Today's weekly trend
// We use last week's value until this week is completed on Friday, then we can start using that bar
PriceBar weeklyBar = security.GetPriceBar(AsOf, PriceBarSize.Weekly);
if (AsOf != Calendar.LastTradingDayOfWeek(AsOf))
{
weeklyBar = weeklyBar?.PriorBar;
}
if (weeklyBar == null)
{
return(null);
}
TrendQualification weeklyTrend = weeklyBar.GetTrendType(BarCount);
TrendAlignment currentTrendAlignment = GetTrendAlignment(dailyTrend, weeklyTrend);
if (currentTrendAlignment == TrendAlignment.Sideways || currentTrendAlignment == TrendAlignment.Opposing)
{
return(new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.CloseIfOpen, 1));
}
// Get the trend from the last period
if (dailyBar.PriorBar == null)
{
return(null);
}
TrendQualification priorDayTrend = dailyBar.PriorBar.GetTrendType(BarCount);
// Get the weekly trend from the prior day, which will align with yesterday's daily trend
PriceBar priorWeek = security.GetPriceBar(Calendar.PriorTradingDay(AsOf), PriceBarSize.Weekly);
if (priorWeek == null)
{
return(null);
}
TrendQualification priorWeekTrend = priorWeek.GetTrendType(BarCount);
TrendAlignment priorTrendAlignment = GetTrendAlignment(priorDayTrend, priorWeekTrend);
if (currentTrendAlignment == priorTrendAlignment)
{
return(null);
}
if (currentTrendAlignment == TrendAlignment.Bullish)
{
if (dailyTrend == TrendQualification.ConfirmedBullish && weeklyTrend == TrendQualification.ConfirmedBullish)
{
return(new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Buy, 1.0));
}
//if (dailyTrend == TrendQualification.SuspectBullish && weeklyTrend == TrendQualification.ConfirmedBullish)
// return new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Buy, .75);
//if (dailyTrend == TrendQualification.ConfirmedBullish && weeklyTrend == TrendQualification.SuspectBullish)
// return new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Buy, .50);
//if (dailyTrend == TrendQualification.SuspectBullish && weeklyTrend == TrendQualification.SuspectBullish)
// return new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Buy, .25);
}
if (currentTrendAlignment == TrendAlignment.Bearish)
{
if (dailyTrend == TrendQualification.ConfirmedBearish && weeklyTrend == TrendQualification.ConfirmedBearish)
{
return(new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Sell, 1.0));
}
//if (dailyTrend == TrendQualification.SuspectBearish && weeklyTrend == TrendQualification.ConfirmedBearish)
// return new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Sell, .75);
//if (dailyTrend == TrendQualification.ConfirmedBearish && weeklyTrend == TrendQualification.SuspectBearish)
// return new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Sell, .50);
//if (dailyTrend == TrendQualification.SuspectBearish && weeklyTrend == TrendQualification.SuspectBearish)
// return new Signal(security, PriceBarSize.Daily, AsOf, SignalAction.Sell, .25);
}
return(null);
}
