protected override void OnBarOpen(Instrument instrument, Bar bar)
{
double orderQty = Qty;
// Set order qty if position already exist.
if (HasPosition(Instrument))
orderQty = Math.Abs(Position.Amount) + Qty;
// Send trading orders if needed.
if (positionInBlock == 0)
{
if (buyOnNewBlock)
{
Order order = BuyOrder(Instrument, orderQty, "Reverse to Long");
Send(order);
buyOnNewBlock = false;
}
if (sellOnNewBlock)
{
Order order = SellOrder(Instrument, orderQty, "Reverse to Short");
Send(order);
sellOnNewBlock = false;
}
}
}
protected override void OnBar(Instrument instrument, Bar bar)
{
// Add bar to bar series.
Bars.Add(bar);
Log(bar, barsGroup);
if (fastSMA.Count > 0)
Log(fastSMA.Last, fastSmaGroup);
if (slowSMA.Count > 0)
Log(slowSMA.Last, slowSmaGroup);
// Calculate performance.
Portfolio.Performance.Update();
Log(Portfolio.Value, equityGroup);
// Check strategy logic.
if (fastSMA.Count > 0 && slowSMA.Count > 0)
{
Cross cross = fastSMA.Crosses(slowSMA, bar.DateTime);
if (cross == Cross.Above)
buyOnNewBlock = true;
if (cross == Cross.Below)
sellOnNewBlock = true;
}
positionInBlock = (positionInBlock++) % BarBlockSize;
}
public override void OnBar(Bar bar)
{
if (Bars.Count < length)
return;
highestHigh = Bars.HighestHigh(length);
lowestLow = Bars.LowestLow(length);
}
protected override void OnBar(Instrument instrument, Bar bar)
{
// Add bar to bar series.
Bars.Add(bar);
// Add bar to group.
Log(bar, barsGroup);
// Calculate performance.
Portfolio.Performance.Update();
// Add equity to group.
Log(Portfolio.Value, equityGroup);
// Check strategy logic.
if (Bars.Count > 2)
{
if (!HasPosition(Instrument))
{
if (Bars[Bars.Count - 1].Close > Bars[Bars.Count - 2].Close &&
Bars[Bars.Count - 2].Close > Bars[Bars.Count - 3].Close)
{
Order enterOrder = BuyOrder(Instrument, Qty, "Enter Long");
Send(enterOrder);
}
else if (Bars[Bars.Count - 1].Close < Bars[Bars.Count - 2].Close &&
Bars[Bars.Count - 2].Close < Bars[Bars.Count - 3].Close)
{
Order enterOrder = SellOrder(Instrument, Qty, "Enter Short");
Send(enterOrder);
}
}
else
{
if (Position.Side == PositionSide.Short &&
Bars[Bars.Count - 1].Close > Bars[Bars.Count - 2].Close &&
Bars[Bars.Count - 2].Close > Bars[Bars.Count - 3].Close)
{
Order reverseOrder = BuyOrder(Instrument, Math.Abs(Position.Amount) + Qty, "Reverse to Long");
Send(reverseOrder);
}
else if (Position.Side == PositionSide.Long &&
Bars[Bars.Count - 1].Close < Bars[Bars.Count - 2].Close &&
Bars[Bars.Count - 2].Close < Bars[Bars.Count - 3].Close)
{
Order reverseOrder = SellOrder(Instrument, Math.Abs(Position.Amount) + Qty, "Reverse to Short");
Send(reverseOrder);
}
}
}
}
internal bool OnBarOpen(Bar bar)
{
var item = this.items[(int)bar.Size] = this.items[(int)bar.Size] ?? new BarSliceItem();
if (item.CloseDateTime == bar.OpenDateTime)
{
item.Bars.Add(bar);
return false;
}
if (item.barCount == 0)
item.CloseDateTime = bar.OpenDateTime.AddSeconds(bar.Size);
item.barCount++;
return true;
}
internal void OnBar(Bar bar)
{
var item = this.items[(int)bar.Size];
if (item == null)
return;
if (--item.barCount == 0)
{
this.framework.EventServer.OnEvent(new BarSlice(bar));
item.CloseDateTime = DateTime.MinValue;
foreach (var b in item.Bars)
this.framework.EventServer.OnEvent(b);
item.Bars.Clear();
}
}
protected override void OnBar(Instrument instrument, Bar bar)
{
Log(bar, barChartGroup);
Bars.Add(bar);
if (Bars.Count % 20 == 0)
{
if (!HasPosition(instrument))
Buy(instrument, 5, "Buy");
else
Sell(instrument, 5, "Sell");
}
Portfolio.Performance.Update();
}
protected override void OnBar(Instrument instrument, Bar bar)
{
// Add bar to bar series.
Bars.Add(bar);
// Add bar to group.
Log(bar, barsGroup);
// Add upper bollinger band value to group.
if (bbu.Count > 0)
Log(bbu.Last, bbuGroup);
// Add lower bollinger band value to group.
if (bbl.Count > 0)
Log(bbl.Last, bblGroup);
// Add simple moving average value bands to group.
if (sma.Count > 0)
Log(sma.Last, smaGroup);
// Calculate performance.
Portfolio.Performance.Update();
// Add equity to group.
Log(Portfolio.Value, equityGroup);
// Check strategy logic.
if (!HasPosition(instrument))
{
if (bbu.Count > 0 && bar.Close >= bbu.Last)
{
Order enterOrder = SellOrder(Instrument, Qty, "Enter");
Send(enterOrder);
}
else if (bbl.Count > 0 && bar.Close <= bbl.Last)
{
Order enterOrder = BuyOrder(Instrument, Qty, "Enter");
Send(enterOrder);
}
}
else
UpdateExitLimit();
}
protected override void OnBar(Instrument instrument, Bar bar)
{
// Add bar to bar series.
Bars.Add(bar);
Log(bar, barsGroup);
// Calculate performance.
Portfolio.Performance.Update();
Log(Portfolio.Value, equityGroup);
if (Bars.Count % 10 == 0)
{
if (!HasPosition(instrument))
Buy(instrument, Qty, "Buy spread");
else
Sell(instrument, Qty, "Sell spread");
}
}
protected override void OnBar(Instrument instrument, Bar bar)
{
// Add bar to bar series.
Bars.Add(bar);
// Add bar to group.
Log(bar, barsGroup);
// Add highest value to group.
if (highest != 0)
Log(highest, highestGroup);
// Add lowest value to group.
if (lowest != 0)
Log(lowest, lowestGroup);
// Calculate performance.
Portfolio.Performance.Update();
// Add equity to group.
Log(Portfolio.Value, equityGroup);
// Check strategy logic.
if (highest != 0 && lowest != 0)
{
if (!HasPosition(instrument))
{
// Enter long/short.
if (bar.Close > highest)
{
Order enterOrder = BuyOrder(Instrument, Qty, "Enter Long");
Send(enterOrder);
}
else if (bar.Close < lowest)
{
Order enterOrder = SellOrder(Instrument, Qty, "Enter Short");
Send(enterOrder);
}
}
else
{
// Reverse to long/short.
if (Position.Side == PositionSide.Long && bar.Close < lowest)
{
Order reverseOrder = SellOrder(Instrument, Math.Abs(Position.Amount) + Qty, "Reverse to Short");
Send(reverseOrder);
}
else if (Position.Side == PositionSide.Short && bar.Close > highest)
{
Order reverseOrder = BuyOrder(Instrument, Math.Abs(Position.Amount) + Qty, "Reverse to Long");
Send(reverseOrder);
}
}
}
// Calculate channel's highest/lowest values.
if (Bars.Count > Length)
{
highest = Bars.HighestHigh(Length);
lowest = Bars.LowestLow(Length);
}
}
protected override void OnBar(Instrument instrument, Bar bar)
{
Group[] instrumentGroups = null;
// Add bar to bar group (index 0).
if (groups.TryGetValue(instrument, out instrumentGroups))
Log(bar, instrumentGroups[0]);
}
public Bar(Bar bar) : base(bar)
{
InstrumentId = bar.InstrumentId;
Type = bar.Type;
Size = bar.Size;
OpenDateTime = bar.OpenDateTime;
Open = bar.Open;
High = bar.High;
Low = bar.Low;
Close = bar.Close;
Volume = bar.Volume;
OpenInt = bar.OpenInt;
}
protected virtual void OnBar(Bar bar)
{
// noop
}
public override void OnBar(Bar bar)
{
// log bars
Log(bar, barsChartGroup);
// log equity
Log(Portfolio.Value, equityChartGroup);
// update performance
Portfolio.Performance.Update();
}
protected override void OnBar(Instrument instrument, Bar bar)
{
// Add bar to bar series.
Bars.Add(bar);
Log(bar, barsGroup);
if (fastSMA.Count > 0)
Log(fastSMA.Last, fastSmaGroup);
if (slowSMA.Count > 0)
Log(slowSMA.Last, slowSmaGroup);
// Calculate performance.
Portfolio.Performance.Update();
// Add equity to group.
Log(Portfolio.Value, equityGroup);
// Check strategy logic.
if (fastSMA.Count > 0 && slowSMA.Count > 0)
{
Cross cross = fastSMA.Crosses(slowSMA, bar.DateTime);
// Enter long/short.
if (!HasPosition(instrument))
{
if (cross == Cross.Above)
{
enterOrder = BuyOrder(Instrument, Qty, "Enter Long");
Send(enterOrder);
}
else if (cross == Cross.Below)
{
enterOrder = SellOrder(Instrument, Qty, "Enter Short");
Send(enterOrder);
}
}
}
}
internal void OnBar(Bar bar)
{
if (TraceOnBar && (FilterBarSize < 0 || (FilterBarSize == bar.Size && FilterBarType == BarType.Time)))
{
this.trailPrice = GetPrice(bar.Close);
switch (Side)
{
case PositionSide.Long:
this.fillPrice = this.currPrice = GetPrice(bar.Low);
if (this.trailOnHighLow)
this.trailPrice = GetPrice(bar.High);
break;
case PositionSide.Short:
this.fillPrice = this.currPrice = GetPrice(bar.High);
if (this.trailOnHighLow)
this.trailPrice = GetPrice(bar.Low);
break;
}
switch (FillMode)
{
case StopFillMode.Close:
this.fillPrice = GetPrice(bar.Close);
break;
case StopFillMode.Stop:
this.fillPrice = this.stopPrice;
break;
}
this.method_1();
}
}
protected override void OnBar(Instrument instrument, Bar bar)
{
Log(bar, barChartGroup);
}
protected virtual void OnData(DataObject obj)
{
var tick = obj as Tick;
if (this.bar == null)
{
// new bar begins!
this.bar = new Bar
{
InstrumentId = tick.InstrumentId,
Type = this.barType,
Size = this.barSize,
OpenDateTime = GetBarOpenDateTime(obj),
DateTime = this.GetDataObjectDateTime(obj, ClockType.Local),
Open = tick.Price,
High = tick.Price,
Low = tick.Price,
Close = tick.Price,
Volume = tick.Size,
Status = BarStatus.Open
};
this.factory.Framework.EventServer.OnEvent(this.bar);
}
else
{
// update it!
if (tick.Price > this.bar.High)
this.bar.High = tick.Price;
if (tick.Price < this.bar.Low)
this.bar.Low = tick.Price;
this.bar.Close = tick.Price;
this.bar.Volume += tick.Size;
this.bar.DateTime = GetDataObjectDateTime(obj, ClockType.Local);
}
++this.bar.N;
}
protected override void OnBar(Instrument instrument, Bar bar)
{
// Add bar to bar group.
Log(bar, barsGroups[instrument]);
}
protected override void OnBar(Instrument instrument, Bar bar)
{
Bars.Add(bar);
// Log open close and position info to Strategy Monitor.
Log(bar.DateTime, bar.Close, closeMonitorGroup);
Log(bar.DateTime, bar.Open, openMonitorGroup);
if (HasPosition(instrument))
Log(bar.DateTime, Position.Side.ToString(), positionMonitorGroup);
else
Log(bar.DateTime, "None", positionMonitorGroup);
// Log bars.
Log(bar, barsGroup);
if (sma1.Count == 0 || sma2.Count == 0)
return;
// Log sma.
Log(bar.DateTime, sma1.Last, sma1Group);
Log(bar.DateTime, sma2.Last, sma2Group);
// Update performance.
Portfolio.Performance.Update();
// Log equity.
Log(bar.DateTime, Portfolio.Value, equityGroup);
// Does the fast average cross over the slow average? If so, time to buy long.
Cross cross = sma1.Crosses(sma2, bar.DateTime);
// We only allow one active position at a time.
if (entryEnabled)
{
// If price trend is moving upward, open a long position using a market order, and send it in.
if (cross == Cross.Above)
{
marketOrder = BuyOrder(instrument, Qty, "Entry");
Send(marketOrder);
// If one cancels all exit method is desired, we
// also issue a limit (profit target) order, and
// a stop loss order in case the breakout fails.
// The OCA exit method uses a real stop loss order.
// The Stop exit method uses a stop indicator.
// Use either the OCA or Stop method, not both at once.
if (OCAExitEnabled)
{
// Create and send a profit limit order.
double profitTarget = LimitOCALevel * bar.Close;
limitOrder = SellLimitOrder(instrument, Qty, profitTarget, "Limit OCA " + OCACount);
limitOrder.OCA = "OCA " + Instrument.Symbol + " " + OCACount;
Send(limitOrder);
// Create and send a stop loss order.
double lossTarget = StopOCALevel * bar.Close;
stopOrder = SellStopOrder(instrument, Qty, lossTarget, "Stop OCA " + OCACount);
stopOrder.OCA = "OCA " + Instrument.Symbol + " " + OCACount;
Send(stopOrder);
// Bump the OCA count to make OCA group strings unique.
OCACount++;
}
entryEnabled = false;
}
}
// Else if entry is disabled on this bar, we have an open position.
else
{
// If we are using the crossover exit, and if the fast
// average just crossed below the slow average, issue a
// market order to close the existing position.
if (CrossoverExitEnabled)
{
if (cross == Cross.Below)
{
marketOrder = SellOrder(instrument, Qty, "Crossover Exit");
Send(marketOrder);
}
}
}
}
public override void OnBar(Bar bar)
{
Bars.Add(bar);
}
public override object Read(BinaryReader reader, byte version)
{
var bar = new Bar();
bar.DateTime = new DateTime(reader.ReadInt64());
bar.OpenDateTime = new DateTime(reader.ReadInt64());
bar.InstrumentId = reader.ReadInt32();
bar.Size = reader.ReadInt64();
bar.High = reader.ReadDouble();
bar.Low = reader.ReadDouble();
bar.Open = reader.ReadDouble();
bar.Close = reader.ReadDouble();
bar.Volume = reader.ReadInt64();
bar.OpenInt = reader.ReadInt64();
bar.Status = (BarStatus)reader.ReadByte();
if (version >= 1)
bar.Type = (BarType)reader.ReadByte();
if (version >= 2)
{
bar.ProviderId = reader.ReadInt32();
}
if (version <= 2)
{
int num = reader.ReadInt32();
if (num != 0)
{
//bar.Fields = new ObjectTable();
for (var i = 0; i < num; i++)
{
bar.Fields[i] = reader.ReadDouble();
}
}
}
if (version >= 3 && reader.ReadBoolean())
{
var fields = (ObjectTable)this.streamerManager.Deserialize(reader);
for (int i = 0; i < fields.Size; i++)
{
bar.Fields[i] = fields[i];
}
// bar.Fields = (ObjectTable)this.streamerManager.Deserialize(reader);
}
return bar;
}
internal void OnBar(Bar bar)
{
this.latestBar[bar.InstrumentId] = bar;
}
internal void OnBarOpen(Bar bar)
{
if (TraceOnBar && TraceOnBarOpen && (FilterBarSize < 0 || (FilterBarSize == bar.Size && FilterBarType == BarType.Time)))
{
this.fillPrice = this.currPrice = GetPrice(bar.Open);
if (TrailOnOpen)
this.trailPrice = GetPrice(bar.Open);
this.method_1();
}
}
internal void OnBar(Bar bar)
{
if (Strategy?.Status == StrategyStatus.Running)
Strategy.EmitBar(bar);
}
public void OnBar(Bar bar)
{
throw new NotImplementedException();
}
protected override void OnBar(Instrument instrument, Bar bar)
{
// Add bar to bar series.
Bars.Add(bar);
Log(bar, barsGroup);
// Log RSI, BuyLevel and SellLevel values.
if (rsi.Count > 0)
{
Log(BuyLevel, buyLevelGroup);
Log(SellLevel, sellLevelGroup);
Log(rsi.Last, rsiGroup);
}
// Calculate performance.
Portfolio.Performance.Update();
Log(Portfolio.Value, equityGroup);
// Check strategy logic.
if (rsi.Count > 1)
{
if (!HasPosition(Instrument))
{
if (rsi[rsi.Count - 1] < BuyLevel && rsi[rsi.Count - 2] > BuyLevel)
{
Order enterOrder = BuyOrder(Instrument, Qty, "Enter Long");
Send(enterOrder);
}
else if (rsi[rsi.Count - 1] > SellLevel && rsi[rsi.Count - 2] < SellLevel)
{
Order enterOrder = SellOrder(Instrument, Qty, "Enter Short");
Send(enterOrder);
}
}
else
{
if (Position.Side == PositionSide.Long)
{
if (rsi[rsi.Count - 1] < BuyLevel && rsi[rsi.Count - 2] > BuyLevel)
{
Order enterOrder = BuyOrder(Instrument, Qty, "Add to Long");
Send(enterOrder);
}
else if (rsi[rsi.Count - 1] > SellLevel && rsi[rsi.Count - 2] < SellLevel)
{
Order reverseOrder = SellOrder(Instrument, Math.Abs(Position.Amount) + Qty, "Reverse to Short");
Send(reverseOrder);
}
}
else if (Position.Side == PositionSide.Short)
{
if (rsi[rsi.Count - 1] > SellLevel && rsi[rsi.Count - 2] < SellLevel)
{
Order enterOrder = SellOrder(Instrument, Qty, "Add to Short");
Send(enterOrder);
}
else if (rsi[rsi.Count - 1] < BuyLevel && rsi[rsi.Count - 2] > BuyLevel)
{
Order reverseOrder = BuyOrder(Instrument, Math.Abs(Position.Amount) + Qty, "Reverse to Long");
Send(reverseOrder);
}
}
}
}
}
protected void EmitBar()
{
this.bar.Status = BarStatus.Close;
this.factory.Framework.EventServer.OnEvent(this.bar);
this.bar = null;
}
public override void OnBar(Bar bar)
{
if (bar.DateTime.TimeOfDay > new TimeSpan(15, 45, 00))
{
inSession = false;
if (HasLongPosition(1))
Sell(1, "StopSession");
if (HasShortPosition(1))
Buy(1, "StopSession");
}
else
inSession = true;
if (hold)
if (++holdCount == 5)
{
hold = false;
holdCount = 0;
canEntry = true;
}
}
public void Save(Bar bar, SaveMode option = SaveMode.Add) => Save(bar.InstrumentId, bar, option);
protected void EmitBar()
{
this.bar.Status = BarStatus.Close;
this.factory.Framework.EventServer.OnEvent(this.bar);
this.bar = null;
}