public Signal DiscardSignal(int signalId)
{
var trades = context.Trades
.Where(x => x.SignalId == signalId)
.Where(x => x.TradeSteps.All(t => t.Type != TradeStepType.Hide))
.FirstOrDefault();
if (trades != null) return null;
var signal = context.Signals.Include(x => x.SignalSteps).ThenInclude(t => t.PriceEntry)
.Where(x => x.SignalSteps.All(t => t.SignalStepType != SignalStepType.Cancel))
.FirstOrDefault(x => x.Id == signalId);
var lastEntry = context.PriceEntries
.Where(p => p.TimeIntervalId == signal.SignalSteps.First().PriceEntry.TimeIntervalId)
.Where(p => p.BrokerInstrumentId == signal.BrokerInstrumentId)
.OrderByDescending(p => p.TimeStamp)
.FirstOrDefault();
var newStep = new SignalStep
{
SignalId = signalId,
SignalStepType = SignalStepType.Cancel,
Reason = "Manuell abgebrochen",
PriceEntry = lastEntry
};
context.SignalSteps.Add(newStep);
return signal;
}
public void AddSignalStep(SignalStep step)
{
var signal = context.Signals
.Include(s => s.Trades).ThenInclude(x => x.TradeSteps)
.Include(s => s.Trades).ThenInclude(x => x.Orders)
.FirstOrDefault(s => s.Id == step.SignalId);
if (signal.Trades.Count > 0)
{
foreach (var trade in signal.Trades)
{
var lastStep = trade.TradeSteps.OrderByDescending(x => x.Created).FirstOrDefault();
if(lastStep.Type == TradeStepType.Placed
|| lastStep.Type == TradeStepType.Prepped
|| lastStep.Type == TradeStepType.PrepCancel
|| lastStep.Type == TradeStepType.PrepChange){
if(step.SignalStepType == SignalStepType.Change)
trade.SignalState = SignalState.Changed;
if(step.SignalStepType == SignalStepType.Cancel)
trade.SignalState = SignalState.Cancelled;
}
if (lastStep.Type == TradeStepType.Placed && step.SignalStepType == SignalStepType.Change)
{
// updateTradeFromSignal(trade, signal, false);
}
}
}
}
public void ProcessSignals()
{
// offne signale fuer dieses BI ueber signaltransactions fuer BI
DateTimeOffset? lastTimeStamp = null;
var timeIntervals = context.PriceEntries.Select(x => x.TimeInterval).Distinct();
foreach (var ti in timeIntervals)
{
var biSignals = context.Signals
.Include(y => y.SignalSteps).ThenInclude(s => s.PriceEntry)
.Include(y => y.Trades).ThenInclude(z => z.TradeSteps)
.Where(x => x.TimeIntervalId == ti.Id).ToList();
var openSignals =
biSignals.Where(x => x.SignalSteps.All(t => t.SignalStepType != SignalStepType.Cancel)).ToList();
//var temptt = biSignals.SelectMany(x => x.SignalSteps).ToList();
// lastTimeStamp= temptt.Max(y => y.PriceEntry.TimeStamp);
var allPrices = context.PriceEntries.Where(x => x.TimeIntervalId == ti.Id).ToList();
var count = allPrices.Select(x => x.TimeStamp).Distinct().Count();
//var allIds = context.BrokerInstruments.Where(x => x.Id == 179).Select(x => x.Id).ToList();
var allIds = context.BrokerInstruments.Select(x => x.Id).ToList();
var pfullAll = GetAllWithIndicatorAndScreener(timeInterval: ti.Id, count: count).ToList();
//var pfullAll = GetAllWithIndicatorAndScreener(timeInterval: ti.Id, count: count,brokerInstrumentId:104).ToList();
foreach (var brokerInstrumentId in allIds)
{
try
{
lastTimeStamp = biSignals.Where(x => x.BrokerInstrumentId == brokerInstrumentId)
.SelectMany(x => x.SignalSteps).Max(y => y.PriceEntry.TimeStamp);
}
catch
{
lastTimeStamp = DateTimeOffset.FromUnixTimeSeconds(0);
}
var prices = allPrices.Where(x => x.BrokerInstrumentId == brokerInstrumentId)
.Where(x => x.TimeStamp > lastTimeStamp).OrderBy(x => x.TimeStamp);
var pfull = pfullAll.Where(x => x.p.BrokerInstrumentId == brokerInstrumentId);
foreach (var price in prices)
{
bool pendingComplete = false;
//ICER bestehende
// ICER ermitteln ob neues signal da ist.
var p = pfull.SkipWhile(x => x.p.TimeStamp != price.TimeStamp).Take(2).ToList();
if (p.Count != 2) continue;
var i0 = p[0].scr.FirstOrDefault(x => x.ScreenerEntryType.Name == "ICER").Bg;
var i1 = p[1].scr.FirstOrDefault(x => x.ScreenerEntryType.Name == "ICER").Bg;
var w0 = p[0].scr.FirstOrDefault(x => x.ScreenerEntryType.Name == "Wolke").Bg;
var w1 = p[1].scr.FirstOrDefault(x => x.ScreenerEntryType.Name == "Wolke").Bg;
var s0 = p[0].scr.FirstOrDefault(x => x.ScreenerEntryType.Name == "Setter").Bg;
var welle0 = p[0].scr.FirstOrDefault(x => x.ScreenerEntryType.Name == "Welle").Bg;
var b10 = p[0].scr.FirstOrDefault(x => x.ScreenerEntryType.Name == "B10").Bg;
var name = context.BrokerInstruments.Where(b => b.Id == brokerInstrumentId)
.Include(b => b.BrokerSymbol).ThenInclude(n => n.InstrumentName).FirstOrDefault()
.BrokerSymbol.InstrumentName.Name;
TradeDirection? newDirection = null;
// ICER ////////////////////////////////////////////////////////
newDirection = null;
if ((i0 == CellColor.Green && i1 != CellColor.Green && w0 == CellColor.Red)
|| (i0 == CellColor.Green && w0 == CellColor.Red && w1 != CellColor.Red))
newDirection = TradeDirection.Short;
if ((i0 == CellColor.Red && i1 != CellColor.Red && w0 == CellColor.Green)
|| (i0 == CellColor.Red && w0 == CellColor.Green && w1 != CellColor.Green))
newDirection = TradeDirection.Long;
var r = prices.OrderByDescending(x => x.TimeStamp).Take(13).Average(x => x.High - x.Low);
var openICERs = openSignals.Where(x => x.BrokerInstrumentId == brokerInstrumentId && x.SignalType == SignalType.uxIcer);
if (openICERs.Count() > 1)
{
throw (new Exception("too many open signals, something in the code is wrong"));
}
// ist schon ein laufendes signal da?? // ist schon ein laufendes signal da??
var openIcerSignal = openICERs.FirstOrDefault(x => x.SignalType == SignalType.uxIcer);
if (openIcerSignal != null)
{
var lastSignalStep = openIcerSignal.SignalSteps.OrderByDescending(x => x.Updated).First();
// ist auch ein neues da? dann laufendes abbrechen
if (newDirection != null)
{
var signalStepCancel =
new SignalStep
{
SignalId = openIcerSignal.Id,
SignalStepType = SignalStepType.Cancel,
PriceEntry = price,
Reason = "neues Signal"
};
context.SignalSteps.Add(signalStepCancel);
AddSignalStep(signalStepCancel);
pendingComplete = true;
}
else // kein neues da
{
// neues hoch oder tief
if ((openIcerSignal.TradeDirection == TradeDirection.Long &&
lastSignalStep.Sl > price.Low) ||
(openIcerSignal.TradeDirection == TradeDirection.Short &&
lastSignalStep.Sl < price.High))
{
// icer nicht mehr farbig dann abbrechen
if ((openIcerSignal.TradeDirection == TradeDirection.Long && i0 != CellColor.Red)
|| (openIcerSignal.TradeDirection == TradeDirection.Short &&
i0 != CellColor.Green))
{
var signalStepCancel =
new SignalStep
{
SignalId = openIcerSignal.Id,
SignalStepType = SignalStepType.Cancel,
PriceEntry = price,
Reason = "Neues H/T bei ICER=Schwarz"
};
context.SignalSteps.Add(signalStepCancel);
AddSignalStep(signalStepCancel);
}
else if (w0 == (openIcerSignal.TradeDirection == TradeDirection.Long
? CellColor.Red
: CellColor.Green))
{
var reason = "Wolke Farbwechsel";
var signalStepCancel =
new SignalStep
{
SignalId = openIcerSignal.Id,
SignalStepType = SignalStepType.Cancel,
PriceEntry = price,
Reason = reason
};
context.SignalSteps.Add(signalStepCancel);
AddSignalStep(signalStepCancel);
pendingComplete = true;
}
else
{
// sonst werte neu berechnen, neuer signalstep mit change
var entry = openIcerSignal.TradeDirection == TradeDirection.Long
? price.Low + r
: price.High -r;
var signalStep = new SignalStep
{
Entry = entry,
Sl = openIcerSignal.TradeDirection == TradeDirection.Long
? price.Low
: price.High,
Tp = openIcerSignal.TradeDirection == TradeDirection.Long
? price.Low + (decimal)3.47 * r
: price.High -(decimal) 3.47 * r,
EntryType = EntryType.StopLimit,
ExitType = ExitType.Icer1,
SlType = StopLossType.Icer1,
PriceEntry = price,
SignalStepType = SignalStepType.Change,
SignalId = openIcerSignal.Id,
Reason = "Neues H/T Anpassung der Marken"
};
context.SignalSteps.Add(signalStep);
AddSignalStep(signalStep);
}
pendingComplete = true;
}
else
{
// kein neues H/T checken ob screener noch gut
string reason = null;
if (i0 == (openIcerSignal.TradeDirection == TradeDirection.Long
? CellColor.Green
: CellColor.Red)) reason = "ICER Farbwechsel";
if (w0 == (openIcerSignal.TradeDirection == TradeDirection.Long
? CellColor.Red
: CellColor.Green)) reason = "Wolke Farbwechsel";
if (reason != null)
{
var signalStepCancel =
new SignalStep
{
SignalId = openIcerSignal.Id,
SignalStepType = SignalStepType.Cancel,
PriceEntry = price,
Reason = reason
};
context.SignalSteps.Add(signalStepCancel);
AddSignalStep(signalStepCancel);
pendingComplete = true;
}
}
}
}
//if (pendingComplete) return;
// neue ICER signale in DB erstellen
if (newDirection != null)
{
logger.LogInformation("NewSignal Name: {0}, TS: {1}, Direction: {2}", name,
p[0].p.TimeStamp, newDirection);
var signal = new Signal
{
SignalType = SignalType.uxIcer,
TradeDirection = (TradeDirection)newDirection,
BrokerInstrumentId = brokerInstrumentId,
TimeIntervalId = ti.Id
};
var signalStep = new SignalStep
{
Entry = newDirection == TradeDirection.Long
? price.Low + r
: price.High - r,
Sl = newDirection == TradeDirection.Long ? price.Low : price.High,
Tp = newDirection == TradeDirection.Long
? price.Low + (decimal)3.47 * r
: price.High - (decimal)3.47 * r,
EntryType = EntryType.StopLimit,
ExitType = ExitType.Icer1,
PriceEntry = price,
SignalStepType = SignalStepType.New,
Signal = signal,
Reason = "Signalstart"
};
context.Signals.Add(signal);
context.SignalSteps.Add(signalStep);
pendingComplete = true;
}
// uNL ////////////////////////////////////////////////////////
newDirection = null;
if(b10 == CellColor.Green && welle0 == CellColor.Red && s0 == CellColor.Red
&& p[0].ind.FirstOrDefault(y => y.Type == IndicatorDataType.OrigWolke_SpanA).Data >p[0].p.High
&& p[0].ind.FirstOrDefault(y => y.Type == IndicatorDataType.OrigWolke_SpanB).Data >p[0].p.High)
newDirection = TradeDirection.Long;
var openUNLs = openSignals.Where(x => x.BrokerInstrumentId == brokerInstrumentId && x.SignalType == SignalType.uNL);
if (openUNLs.Count() > 1)
{
throw (new Exception("too many open uNL signals, something in the code is wrong"));
}
var openuNLSignal = openUNLs.FirstOrDefault(x => x.SignalType == SignalType.uNL);
if (openuNLSignal != null)
{
var lastSignalStep = openuNLSignal.SignalSteps.OrderByDescending(x => x.Updated).First();
// ist auch ein neues da? dann laufendes abbrechen
if (newDirection != null)
{
var signalStepCancel =
new SignalStep
{
SignalId = openuNLSignal.Id,
SignalStepType = SignalStepType.Cancel,
PriceEntry = price,
Reason = "neues Signal"
};
context.SignalSteps.Add(signalStepCancel);
AddSignalStep(signalStepCancel);
pendingComplete = true;
}
else // kein neues da
{
// neues hoch oder tief
if ((openuNLSignal.TradeDirection == TradeDirection.Long &&
lastSignalStep.Sl > price.Low))
{
var signalStepCancel =
new SignalStep
{
SignalId = openuNLSignal.Id,
SignalStepType = SignalStepType.Cancel,
PriceEntry = price,
Reason = "Neues Tief unter SL"
};
context.SignalSteps.Add(signalStepCancel);
AddSignalStep(signalStepCancel);
}
}
}
if (newDirection != null)
{
logger.LogInformation("NewSignal uNL Name: {0}, TS: {1}, Direction: {2}", name,
p[0].p.TimeStamp, newDirection);
var signal = new Signal
{
SignalType = SignalType.uNL,
TradeDirection = (TradeDirection)newDirection,
BrokerInstrumentId = brokerInstrumentId,
TimeIntervalId = ti.Id
};
var signalStep = new SignalStep
{
Entry = price.High,
Sl = price.Low,
Tp = price.High + 10 * (price.High - price.Low),
EntryType = EntryType.StopLimit,
ExitType = ExitType.Icer1,
PriceEntry = price,
SignalStepType = SignalStepType.New,
Signal = signal,
Reason = "Signalstart"
};
context.Signals.Add(signal);
context.SignalSteps.Add(signalStep);
pendingComplete = true;
}
if (pendingComplete)
{
//openSignals = context.Signals.Where(x => x.BrokerInstrumentId == brokerInstrumentId && x.TimeIntervalId == ti.Id)
// .Where(x => x.SignalSteps.All(s => s.SignalStepType != SignalStepType.Cancel)).ToList();
pendingComplete = false;
break;
}
//
}
}
}
}
