public MarketAction ClassifyRecord(ForexTreeData forexRecord)
{
if (!_initialised)
{
throw new BllException("Can't deduce market action because agent is not initialised.");
}
return _decisionTree.ClassifyRecord(forexRecord);
}
public static ForexTreeData BuildForexTreeRecord(ForexRecord record, ForexTrackData options)
{
var spread = record.Bid - record.Ask;
var prevSize = options.CurrentRecord - 1;
options.BidMean = (prevSize * options.BidMean + record.Bid) / options.CurrentRecord;
options.AskMean = (prevSize * options.AskMean + record.Ask) / options.CurrentRecord;
options.SpreadMean = (prevSize * options.SpreadMean + spread) / options.CurrentRecord;
if (prevSize > 0)
{
var differenceBid = record.Bid - options.BidMean;
options.BidVariance = (double)prevSize / options.CurrentRecord * options.BidVariance + 1.0 / prevSize * differenceBid * differenceBid;
var differenceAsk = record.Ask - options.AskMean;
options.AskVariance = (double)prevSize / options.CurrentRecord * options.AskVariance + 1.0 / prevSize * differenceAsk * differenceAsk;
var differenceSpread = spread - options.SpreadMean;
options.SpreadVariance = (double)prevSize / options.CurrentRecord * options.SpreadVariance + 1.0 / prevSize * differenceSpread * differenceSpread;
}
var forexTreeData = new ForexTreeData
{
Bid = record.Bid,
Ask = record.Ask,
Spread = MathHelpers.PreservePrecision(spread),
BidChange = options.PreviousBid < 0.0 ? 0.0 : MathHelpers.PreservePrecision(record.Bid / options.PreviousBid - 1),
AskChange = options.PreviousAsk < 0.0 ? 0.0 : MathHelpers.PreservePrecision(record.Ask / options.PreviousAsk - 1),
SpreadChange = options.PreviousSpread >= 0.0 ? 0.0 : MathHelpers.PreservePrecision(spread / options.PreviousSpread - 1),
BidStandardDeviation = MathHelpers.PreservePrecision(Math.Sqrt(options.BidVariance)),
AskStandardDeviation = MathHelpers.PreservePrecision(Math.Sqrt(options.AskVariance)),
SpreadStandardDeviation = MathHelpers.PreservePrecision(Math.Sqrt(options.SpreadVariance)),
BidMovingAverage = MathHelpers.PreservePrecision(options.BidMean),
AskMovingAverage = MathHelpers.PreservePrecision(options.AskMean),
SpreadMovingAverage = MathHelpers.PreservePrecision(options.SpreadMean)
};
options.PreviousBid = record.Bid;
options.PreviousAsk = record.Ask;
options.PreviousSpread = spread;
return forexTreeData;
}
public void PlaceBid(ForexTreeData record, MarketAction action)
{
switch (action)
{
case MarketAction.Buy:
ExecuteBuy(record);
break;
case MarketAction.Sell:
ExecuteSell(record);
break;
case MarketAction.Hold:
SaveLogRecord(0.0, 0.0, 0.0, MarketAction.Hold, record.Action);
break;
default:
throw new BllException("Incorrect market action.");
}
}
private void ExecuteSell(ForexTreeData record)
{
if (BuyQuantities.Count < 1)
{
throw new BllException("You have no open positions to close for sell.");
}
var tradeUnits = BidSize / MarginRatio;
var unitsSold = BuyQuantities[0];
var profit = MathHelpers.GreedyCurrencyPrecision(unitsSold / record.Ask - tradeUnits);
Profits.Add(profit);
BuyQuantities.RemoveAt(0);
SaveLogRecord(0.0, unitsSold, profit, MarketAction.Sell, record.Action);
}
private void ExecuteBuy(ForexTreeData record)
{
var tradeUnits = BidSize / MarginRatio;
var unitsBought = tradeUnits * record.Bid;
BuyQuantities.Add(unitsBought);
SaveLogRecord(unitsBought, 0.0, 0.0, MarketAction.Buy, record.Action);
}
