public StrategyDecision GetDecision(IDictionary <string, IList <ICandle> > data, string name, string currentPos, Security security, DateTime CurrentDt)
{
StrategyDecision dec = new StrategyDecision()
{
Decision = null
};
SimpleMovingAverage short_ma = new SimpleMovingAverage(data["60"], 9);
SimpleMovingAverage long_ma = new SimpleMovingAverage(data["60"], 20);
TRENDResult trend = new TREND(long_ma, 3).GetResult();
if (trend == TRENDResult.Up && new Crossover(short_ma, long_ma).GetResult())
{
dec.Decision = "open long";
}
if (trend == TRENDResult.Down && new Crossover(long_ma, short_ma).GetResult())
{
dec.Decision = "open short";
}
return(dec);
}
public StrategyDecision GetDecision(IDictionary<string, IList<ICandle>> data, string name, string currentPos, Security security, DateTime CurrentDt)
{
StrategyDecision dec = new StrategyDecision() { Decision = null };
FilterResult local_offset = new LocalOffsetFilter(data).Exec();
FilterResult trend = new TrendFilter(data).Exec();
FilterResult candlePattern = new CandleFilter(data).Exec();
FilterResult cross_ma = new CrossMAFilter(data).Exec();
ICandle curr = data["5"].Last();
dec.Code = name;
dec.LastPrice = curr.close;
dec.LongPrice = Math.Round(curr.close * 1.005m, 2);
dec.ShortPrice = Math.Round(curr.close * 0.995m, 2);
dec.Profit = Math.Round(curr.close * 0.015m, 2);//профит 1,5%
dec.StopLoss = Math.Round(curr.close * 0.01m, 2);//стоп лосс 1,0%
IList<FilterResult> filterResult_list = new List<FilterResult>();
if (local_offset == FilterResult.L && (trend == FilterResult.L || trend == FilterResult.N) && candlePattern == FilterResult.L && cross_ma == FilterResult.L && currentPos == "free")
{
//покупаем
dec.Decision = "open long";
}
if (local_offset == FilterResult.S && (trend == FilterResult.S || trend == FilterResult.N) && candlePattern == FilterResult.S && cross_ma == FilterResult.S && currentPos == "free")
{
//продаем
dec.Decision = "open short";
}
MathFunctions func = new MathFunctions();
dec.Profit = func.Optimize(dec.Profit, security.MinStep);
dec.StopLoss = func.Optimize(dec.StopLoss, security.MinStep);
dec.LongPrice = func.Optimize(dec.LongPrice, security.MinStep);
dec.ShortPrice = func.Optimize(dec.ShortPrice, security.MinStep);
return dec;
}
public void Run()
{
//IList<string> securities = new List<string>(new string[] { "GMKN", "LKOH", "GAZP", "MOEX", "SBER", "NVTK", "AFLT", "CHMF", "MFON", "ALRS", "MAGN", "MTLR", "MVID" });
IList <string> securities = _securitylist.Select(s => s.Code).ToList();
//IList<string> securities = new List<string>(new string[] { "GAZP" });
Messenger.Default.Send <InitTradeModelMessage>(new InitTradeModelMessage()
{
securities = securities,
frames = _strategy.Need()
}, TokenModel.Instance.AnalystToken());
Messenger.Default.Register <GetCandlesResponseMessage>(this, TokenModel.Instance.AnalystToken(), (msg) =>
{
IList <AnalystData> analystData = new List <AnalystData>();
foreach (string sec in msg.Сandles.Keys)
{
Security securirty = _securitylist.Single(s => s.Code == sec);
StrategyDecision dec = _strategy.GetDecision(msg.Сandles[sec], sec, null, securirty, msg.DateTime);
analystData.Add(new AnalystData()
{
Sec = sec,
Advice = string.IsNullOrEmpty(dec.Decision) ? "Neutral" : dec.Decision
});
}
;
Messenger.Default.Send <ShowDataMessage>(new ShowDataMessage()
{
AnalystDatalist = analystData,
Сandles = msg.Сandles
});
});
}
public void Run()
{
IList <string> securities = _securitylist.Select(s => s.Code).ToList();
Messenger.Default.Send <InitTradeModelMessage>(new InitTradeModelMessage()
{
securities = securities,
frames = _strategy.Need()
}, TokenModel.Instance.RobotToken());
Messenger.Default.Register <GetCandlesResponseMessage>(this, TokenModel.Instance.RobotToken(), (msg) =>
{
IList <AnalystData> analystData = new List <AnalystData>();
_decisionlist.Clear();
foreach (string sec in msg.Сandles.Keys)
{
Security securirty = _securitylist.Single(s => s.Code == sec);
StrategyDecision dec = _strategy.GetDecision(msg.Сandles[sec], sec, msg.Positions[sec], securirty, msg.DateTime);
dec.Count = securirty.DealSize;
_decisionlist.Add(dec);
analystData.Add(new AnalystData()
{
Sec = sec,
LastPrice = dec.LastPrice,
Advice = string.IsNullOrEmpty(dec.Decision) ? "Neutral" : dec.Decision
});
if (!string.IsNullOrEmpty(dec.Decision))
{
actions[dec.Decision].Invoke(sec, dec);
}
}
Messenger.Default.Send <ShowAnalystDataMessage>(new ShowAnalystDataMessage()
{
AnalystDatalist = analystData
});
});
Messenger.Default.Register <ClientMakeDealMessage>(this, (msg) =>
{
var dec = _decisionlist.SingleOrDefault(d => d.Code == msg.Sec);
actions[msg.Operation].Invoke(msg.Sec, dec);
});
_stop = new System.Threading.CancellationTokenSource();
System.Threading.CancellationToken token = _stop.Token;
Task t = Task.Run(() =>
{
while (true)
{
Task.Delay(5000).Wait();
//Messenger.Default.Send<GetCandlesMessage>(new GetCandlesMessage());
if (token.IsCancellationRequested)
{
token.ThrowIfCancellationRequested();
}
}
}, token);
}
public StrategyDecision GetDecision(IDictionary <string, IList <ICandle> > data, string name, string currentPos, Security security, DateTime CurrentDt)
{
StrategyDecision dec = new StrategyDecision()
{
Decision = null
};
SimpleMovingAverage short_ma = new SimpleMovingAverage(data["5"], 9);
SimpleMovingAverage long_ma = new SimpleMovingAverage(data["5"], 30);
MACD macd = new MACD(data["5"], 12, 26, 9);
TREND macdTrend = new TREND(macd, 2);
TRENDResult power = macdTrend.GetResult();
TRENDResult trend = new TREND(long_ma, 3).GetResult();
AverageTrueRange atr = new AverageTrueRange(data["5"], 14);
//dec.Profit = Math.Round(atr.Last() * 2m, 2);
//dec.StopLoss = Math.Round(atr.Last(), 2);
dec.Profit = Math.Round(data["5"].Last().close * 0.006m, 2);
dec.StopLoss = Math.Round(data["5"].Last().close * 0.002m, 2);
decimal vollast = data["5"].Last().volume;
decimal volprev = data["5"][data["5"].Count - 2].volume;
bool vol = vollast > volprev * 2m;
//if (power == TRENDResult.StrongUp && new Crossover(short_ma, long_ma).GetResult())
//{
// //dec.Decision = "open long";
// //dec.Price = Math.Round(data["5"].Last().close * 1.005m, 2);
// signals.Add(new Signal() { Security = name, Action = "open long", DateTime = CurrentDt, Price= data["5"].Last().close });
//}
//else
if (power == TRENDResult.StrongUp)
{
//dec.Decision = "open long";
//dec.Price = Math.Round(data["5"].Last().close * 1.005m, 2);
signals.Add(new Signal()
{
Security = name, Action = "open long", DateTime = CurrentDt, Price = data["5"].Last().close
});
}
if (currentPos == "free")
{
DateTime minDt = CurrentDt.AddMinutes(-20);
DateTime maxDt = CurrentDt.AddMinutes(-15);
var lastSignals = signals.Where(s => s.Security == name && s.Action == "open long" && s.DateTime < maxDt && s.DateTime >= minDt).ToList();
Signal signal = lastSignals.FirstOrDefault();
decimal summ = 0;
if (signal != null)
{
var candlesToCheck = data["5"].Where(c => c.begin >= signal.DateTime).ToList();
foreach (Candle c in candlesToCheck)
{
summ += c.close - c.open;
}
}
if (summ > atr.Last() * 2m && data["5"].Last().close > signal.Price)
{
dec.Decision = "open long";
dec.LongPrice = Math.Round(data["5"].Last().close * 1.005m, 2);
}
}
//if ((power == TRENDResult.Down || power == TRENDResult.StrongDown) && new Crossover(long_ma, short_ma).GetResult() && currentPos == "free")
//{
// dec.Decision = "open short";
// dec.Price = Math.Round(data[5].Last().close * 0.995m, 2);
//}
if (security.MinStep == 1)
{
dec.Profit = Math.Round(dec.Profit);
dec.StopLoss = Math.Round(dec.StopLoss);
dec.LongPrice = Math.Round(dec.LongPrice);
}
//dec.Decision = "open long";
return(dec);
}
public StrategyDecision GetDecision(IDictionary <string, IList <ICandle> > data, string name, string currentPos, Security security, DateTime CurrentDt)
{
StrategyDecision dec = new StrategyDecision()
{
Decision = null
};
ExponentialMovingAverage hours_ema = new ExponentialMovingAverage(data["60"], 9);
//ExponentialMovingAverage minutes_ema = new ExponentialMovingAverage(data[5], 4);
MACD macd = new MACD(data["5"], 12, 26, 9);
TREND hoursTrend = new TREND(hours_ema, 3);
//TREND minutesTrend = new TREND(minutes_ema, 3);
TREND macdTrend = new TREND(macd, 2);
bool valueConfirm = new ValueConfirm(data["5"], 5).GetResult();
AverageTrueRange atr = new AverageTrueRange(data["5"], 14);
Extremum extremum = new Extremum(atr, 3, 20);
//hoursTrend.GetResult();
//macdTrend.GetResult();
//if ((hoursTrend.GetResult() == TRENDResult.Up && macdTrend.GetResult() == TRENDResult.Up || macdTrend.GetResult() == TRENDResult.StrongUp) && currentPos == "free")
//{
// dec = "open long";
//}
//if ((hoursTrend.GetResult() == TRENDResult.Down && macdTrend.GetResult() == TRENDResult.Down || macdTrend.GetResult() == TRENDResult.StrongDown) && currentPos == "free")
//{
// dec = "open short";
//}
TRENDResult trend = hoursTrend.GetResult();
TRENDResult power = macdTrend.GetResult();
decimal value = data["5"].Last().value;
//*if (extremum.Count() > 0 && extremum.Last().ext == "L" && extremum.Last().val < atr.Last())
if (atr.Last() > 10m && valueConfirm)
{
dec.Profit = Math.Round(atr.Last() * 4m, 2);
dec.StopLoss = Math.Round(atr.Last(), 2);
if (trend == TRENDResult.Up && (power == TRENDResult.Up || power == TRENDResult.StrongUp) && currentPos == "free")
{
dec.Decision = "open long";
}
if (trend == TRENDResult.Flat && power == TRENDResult.StrongUp && currentPos == "free")
{
dec.Decision = "open long";
}
if (trend == TRENDResult.Down && (power == TRENDResult.Down || power == TRENDResult.StrongDown) && currentPos == "free")
{
dec.Decision = "open short";
}
if (trend == TRENDResult.Flat && power == TRENDResult.StrongDown && currentPos == "free")
{
dec.Decision = "open short";
}
}
if (CurrentDt >= new DateTime(2017, 5, 15, 15, 20, 0))
{
//dec = null;
}
return(dec);
}