public SignalFXMole(MarketData fx, IndicatorRSI rsi, ModelMacD macD, IndicatorRSI[] rsiRefs, decimal volCoeff)
: base("FXMole_" + rsi.PeriodSizeMn + "_" + rsi.NbPeriods + "_" + fx.Id, fx)
{
_startThreshold = 2m;
_timeFrameMn = 90;
_timeFramePeakMn = 75;
_timeFrameBottomMn = 30;
_timeFrameStopLossMn = 30;
_timeFrameRsiLongMn = 5;
_rsiBuyThreshold = 30m;
_rsiSellThreshold = 70m;
_minVol = 15m * volCoeff;
_maxVol = 30m * volCoeff;
_maxLongVol = 50m * volCoeff;
_maxTotalVol = 100m * volCoeff;
_rsi_loss_reset = true;
_emaVeryShort = macD.SignalLow.IndicatorLow;
_emaShort = macD.SignalHigh.IndicatorLow;
_emaLong = macD.SignalHigh.IndicatorHigh;
_rsiRefs = rsiRefs;
_nominalVol = 10m * volCoeff;
_highVol = 25m * volCoeff;
_maxSpread = volCoeff * 1.20m; // max +20% spread
_maxShortMacDSpread = 5m * volCoeff;
_maxLongMacDSpread = 10m * volCoeff;
_maxWmVol = 2m * volCoeff;
//_rsiLong = new IndicatorRSI(fx, rsi.PeriodSizeMn, rsi.NbPeriods * 2);
_trend = new IndicatorTrend(fx, rsi.PeriodSizeMn * 30, rsi.NbPeriods, false);
_wmvol = new IndicatorWMVol(fx, _emaVeryShort, 60, 90);
//_wmvolLong = new IndicatorWMVol(fx, _emaLong);
_volTrend = new IndicatorTrend(_wmvol, 30, 6, true);
//_volTrendAvg = new IndicatorEMA(_wmvol, _timeFrameMn);
_volTrendTrend = new IndicatorTrend(_volTrend, 30, 6, true);
//_volCurve = new IndicatorCurve(_volTrend);
for (int idxInterval = 0; idxInterval < _timeFrameStopLossMn; idxInterval++)
{
stopLossTimes.Add(new Interval(idxInterval, idxInterval + 1));
}
decimal prevStopLoss = _nominalVol;
for (int idxLin = 0; idxLin < _timeFrameStopLossMn; idxLin++)
{
decimal stopLoss = _nominalVol * (1m - (decimal)idxLin / _timeFrameStopLossMn);
stopLossValues.Add(new Interval(prevStopLoss, stopLoss));
stopWinValues.Add(new Interval(prevStopLoss, stopLoss));
prevStopLoss = stopLoss;
}
for (int idxLin = 0; idxLin <= _timeFrameStopLossMn; idxLin++)
{
bigStopLossValues.Add(new Interval(_highVol, _highVol));
}
_trend.Subscribe(OnUpdateTrend, null);
//_rsiLong.Subscribe(OnUpdateRsiLong, null);
_wmvol.Subscribe(OnUpdateWmVol, null);
//_wmvolLong.Subscribe(OnUpdateWmVolLong, null);
_mktIndicator.Add(rsi);
_signalCode = SIGNAL_CODE.HOLD;
}
public override void Subscribe(string[] epics, IHandyTableListener tableListener)
{
Dictionary <string, List <CqlQuote> > priceData = GetReplayData(epics);
if (priceData.Count == 0)
{
return;
}
Calendar dayCalendar = new Calendar(priceData.First().Value[0].t);
foreach (var epic in epics)
{
// for each quote, associate the observed gains in the near future
var mktData = new MarketData(epic);
var wmaLow = new IndicatorEMA(mktData, 2);
var wmaMid = new IndicatorEMA(mktData, 10);
var wmaHigh = new IndicatorEMA(mktData, 30);
var wmaVeryHigh = new IndicatorEMA(mktData, 90);
var rsiShort = new IndicatorRSI(mktData, 1, 14);
var rsiLong = new IndicatorRSI(mktData, 2, 14);
var trendShort = new IndicatorTrend(mktData, 90, 14, false);
var trendLong = new IndicatorTrend(mktData, 180, 14, false);
var wmvolLow = new IndicatorWMVol(mktData, wmaLow, 60, 90);
var wmvolHigh = new IndicatorWMVol(mktData, wmaMid, 60, 90);
var volTrendLow = new IndicatorTrend(wmvolLow, 30, 6, true);
var volTrendHigh = new IndicatorTrend(wmvolHigh, 60, 6, true);
var allIndicators = new List <IndicatorWMA>();
allIndicators.Add(wmaLow);
allIndicators.Add(wmaMid);
allIndicators.Add(wmaHigh);
allIndicators.Add(wmaVeryHigh);
allIndicators.Add(rsiShort);
allIndicators.Add(rsiLong);
allIndicators.Add(trendShort);
allIndicators.Add(trendLong);
allIndicators.Add(wmvolLow);
allIndicators.Add(wmvolHigh);
allIndicators.Add(volTrendLow);
allIndicators.Add(volTrendHigh);
foreach (var quote in priceData[epic])
{
var mktDataValue = new Price(quote.MidPrice());
mktData.Process(quote.t, mktDataValue);
foreach (var ind in allIndicators)
{
ind.Process(quote.t, mktDataValue);
}
}
var expectations = new Dictionary <DateTime, KeyValuePair <CqlQuote, decimal> >();
var gainDistribution = new SortedList <int, DateTime>();
KeyValuePair <int, DateTime> minProfit = new KeyValuePair <int, DateTime>(1000000, DateTime.MinValue);
KeyValuePair <int, DateTime> maxProfit = new KeyValuePair <int, DateTime>(-1000000, DateTime.MinValue);
var rnd = new Random(155);
var tradingStart = Config.ParseDateTimeLocal(Config.Settings["TRADING_START_TIME"]);
var tradingStop = Config.ParseDateTimeLocal(Config.Settings["TRADING_STOP_TIME"]);
var wmaVeryHighStart = wmaVeryHigh.Average(tradingStart);
var amplitude = 100.0m;
foreach (var quote in priceData[epic])
{
if (quote.t.TimeOfDay < tradingStart.TimeOfDay || quote.t.TimeOfDay > tradingStop.TimeOfDay)
{
continue;
}
string evtName = "";
if (dayCalendar.IsNearEvent(mktData.Name, quote.t, ref evtName))
{
continue;
}
var futureVal = (mktData.TimeSeries.Max(quote.t.AddMinutes(5), quote.t.AddMinutes(20)) +
mktData.TimeSeries.Min(quote.t.AddMinutes(5), quote.t.AddMinutes(20))) / 2m;
var profit = (int)Math.Round(futureVal - quote.MidPrice());
expectations.Add(quote.t, new KeyValuePair <CqlQuote, decimal>(quote, profit));
if (gainDistribution.ContainsKey(profit))
{
if ((quote.t - gainDistribution[profit]).Hours > 3 && (rnd.Next(100) == 0))
{
gainDistribution[profit] = quote.t;
}
}
else
{
gainDistribution[profit] = quote.t;
}
if (profit < minProfit.Key)
{
minProfit = new KeyValuePair <int, DateTime>(profit, gainDistribution[profit]);
}
if (profit > maxProfit.Key)
{
maxProfit = new KeyValuePair <int, DateTime>(profit, gainDistribution[profit]);
}
quote.b = (quote.b - wmaVeryHighStart.Bid) / amplitude;
quote.o = (quote.o - wmaVeryHighStart.Offer) / amplitude;
}
gainDistribution = new SortedList <int, DateTime>((from elt in gainDistribution
where !isTooClose(elt, gainDistribution)
select elt).ToDictionary(keyVal => keyVal.Key, keyVal => keyVal.Value));
int nbPoints = 10;
int idxProfit = 0;
KeyValuePair <int, DateTime> nextProfit = minProfit;
var selection = new SortedList <DateTime, KeyValuePair <int, CqlQuote> >();
while (idxProfit++ < nbPoints)
{
selection.Add(gainDistribution[nextProfit.Key], new KeyValuePair <int, CqlQuote>(nextProfit.Key, expectations[gainDistribution[nextProfit.Key]].Key));
var nextKeyVal = gainDistribution.FirstOrDefault(keyVal => keyVal.Key > nextProfit.Key &&
keyVal.Key >= ((decimal)minProfit.Key + (decimal)idxProfit * (decimal)(maxProfit.Key - minProfit.Key) / (decimal)nbPoints));
if (nextKeyVal.Equals(default(KeyValuePair <int, DateTime>)))
{
break;
}
nextProfit = nextKeyVal;
}
foreach (var dt in selection.Keys)
{
bool allValid = true;
foreach (var ind in allIndicators)
{
if (ind.TimeSeries[dt] == null)
{
allValid = false;
break;
}
}
if (!allValid)
{
continue;
}
PublisherConnection.Instance.Insert(dt, wmaLow, (wmaLow.TimeSeries[dt].Value.Value.Mid() - wmaVeryHighStart.Mid()) / amplitude);
PublisherConnection.Instance.Insert(dt, wmaMid, (wmaMid.TimeSeries[dt].Value.Value.Mid() - wmaVeryHighStart.Mid()) / amplitude);
PublisherConnection.Instance.Insert(dt, wmaHigh, (wmaHigh.TimeSeries[dt].Value.Value.Mid() - wmaVeryHighStart.Mid()) / amplitude);
PublisherConnection.Instance.Insert(dt, wmaVeryHigh, (wmaVeryHigh.TimeSeries[dt].Value.Value.Mid() - wmaVeryHighStart.Mid()) / amplitude);
PublisherConnection.Instance.Insert(dt, rsiShort, (rsiShort.TimeSeries[dt].Value.Value.Mid() - 50m) / amplitude);
PublisherConnection.Instance.Insert(dt, rsiLong, (rsiLong.TimeSeries[dt].Value.Value.Mid() - 50m) / amplitude);
PublisherConnection.Instance.Insert(dt, trendShort, trendShort.TimeSeries[dt].Value.Value.Mid() / 1000m);
PublisherConnection.Instance.Insert(dt, trendLong, trendLong.TimeSeries[dt].Value.Value.Mid() / 1000m);
PublisherConnection.Instance.Insert(dt, wmvolLow, wmvolLow.TimeSeries[dt].Value.Value.Mid() / 10m);
PublisherConnection.Instance.Insert(dt, wmvolHigh, wmvolHigh.TimeSeries[dt].Value.Value.Mid() / 10m);
PublisherConnection.Instance.Insert(dt, volTrendLow, volTrendLow.TimeSeries[dt].Value.Value.Mid());
PublisherConnection.Instance.Insert(dt, volTrendHigh, volTrendHigh.TimeSeries[dt].Value.Value.Mid());
PublisherConnection.Instance.Insert(dt, epic, new Value((double)selection[dt].Key / ((double)amplitude / 2.0)));
}
priceData[epic] = selection.Values.Select(kv => kv.Value).ToList();
}
replay(priceData, tableListener);
}
public override void Init()
{
base.Init();
_wma_verylow = new IndicatorEMA(_macD.Index, 2);
_wma_low = new IndicatorEMA(_macD.SignalLow.IndicatorLow);
_wma_low.PublishingEnabled = false;
_wma_mid = new IndicatorEMA(_macD.SignalLow.IndicatorHigh);
_wma_mid.PublishingEnabled = false;
_wma_high = new IndicatorEMA(_macD.SignalHigh.IndicatorHigh);
_wma_high.PublishingEnabled = false;
var rsiShort = new IndicatorRSI(_macD.Index, 1, 14);
rsiShort.PublishingEnabled = false;
var rsiLong = new IndicatorRSI(_macD.Index, 2, 14);
rsiLong.PublishingEnabled = false;
var wmVol = new IndicatorWMVol(_macD.Index, _wma_low, 60, 90);
wmVol.PublishingEnabled = false;
_mktIndices.AddRange(_otherIndices);
//_mktIndicators.Add(_wma_verylow);
//_mktIndicators.Add(_wma_low);
//_mktIndicators.Add(_wma_mid);
//_mktIndicators.Add(_wma_high);
//_mktIndicators.Add(wmVol);
//_mktIndicators.Add(new IndicatorWMVol(_index, _wma_mid, 60, 90));
_mktIndicators.Add(new IndicatorNearestLevel(_index));
int lastversion = StaticDataConnection.Instance.GetAnnLatestVersion(_annId, _index.Id);
_annWeights = StaticDataConnection.Instance.GetAnnWeights(_annId, _index.Id, lastversion);
var signalType = Type.GetType("MidaxLib.SignalANN" + _annId);
List <Indicator> annIndicators = new List <Indicator>();
annIndicators.Add(_wma_verylow);
annIndicators.Add(_wma_low);
annIndicators.Add(_wma_mid);
annIndicators.Add(_wma_high);
annIndicators.Add(rsiShort);
annIndicators.Add(rsiLong);
annIndicators.Add(wmVol);
List <object> signalParams = new List <object>();
signalParams.Add(_index);
signalParams.Add(annIndicators);
signalParams.Add(_annWeights);
this._ann = (SignalANN)Activator.CreateInstance(signalType, signalParams.ToArray());
this._mktSignals.Add(this._ann);
var allIndices = new List <MarketData>();
allIndices.Add(_index);
allIndices.AddRange(_otherIndices);
foreach (var index in allIndices)
{
var indicatorLow = new IndicatorLow(index);
var indicatorHigh = new IndicatorHigh(index);
var indicatorCloseBid = new IndicatorCloseBid(index);
var indicatorCloseOffer = new IndicatorCloseOffer(index);
_mktIndicators.Add(indicatorLow);
_mktIndicators.Add(indicatorHigh);
_mktIndicators.Add(indicatorCloseBid);
_mktIndicators.Add(indicatorCloseOffer);
_mktEODIndicators.Add(indicatorLow);
_mktEODIndicators.Add(indicatorHigh);
_mktEODIndicators.Add(indicatorCloseBid);
_mktEODIndicators.Add(indicatorCloseOffer);
_mktEODIndicators.Add(new IndicatorLevelPivot(index));
_mktEODIndicators.Add(new IndicatorLevelR1(index));
_mktEODIndicators.Add(new IndicatorLevelR2(index));
_mktEODIndicators.Add(new IndicatorLevelR3(index));
_mktEODIndicators.Add(new IndicatorLevelS1(index));
_mktEODIndicators.Add(new IndicatorLevelS2(index));
_mktEODIndicators.Add(new IndicatorLevelS3(index));
}
}