public TradeIdeaLog(string symbol, TradeIdeasGeneratorArgument argument, DateTime date)
{
Symbol = symbol;
Date = date;
Results = new List <TradeIdeaRule>();
AdditionalInformation = new List <string>();
Parameters = new List <Tuple <string, object> >
{
new Tuple <string, object>("LastPrice", argument.LastPrice),
new Tuple <string, object>("SmaVol(20)", argument.SmaVol20),
new Tuple <string, object>("Sma(50)", argument.Sma50),
new Tuple <string, object>("Rsi(14)", argument.Rsi14),
new Tuple <string, object>("YesterdayRsi(14)", argument.YesterdayRsi14),
new Tuple <string, object>("Cci(14)", argument.Cci14),
new Tuple <string, object>("YesterdayCci(14)", argument.YesterdayCci14),
new Tuple <string, object>("Stoch(14,14,3)", argument.Stoch14),
new Tuple <string, object>("YesterdayStoch(14,14,3)", argument.YesterdayStoch14),
new Tuple <string, object>("WillR(14)", argument.WillR14),
new Tuple <string, object>("YesterdayWillR(14)", argument.YesterdayWillR14),
new Tuple <string, object>("Mfi(14)", argument.Mfi14),
new Tuple <string, object>("YesterdayMfi(14)", argument.YesterdayMfi14),
new Tuple <string, object>("Adx(20)", argument.Adx20),
new Tuple <string, object>("Atr(20)", argument.Atr20),
new Tuple <string, object>("RangeStdDev", argument.RangeStdDev),
new Tuple <string, object>("NearestSupport", argument.NearestSupport),
new Tuple <string, object>("LtRsi(50)", argument.LtRsi50),
new Tuple <string, object>("StRsi(5)", argument.StRsi5),
new Tuple <string, object>("YesterdayStRsi(5)", argument.YesterdayStRsi5),
new Tuple <string, object>("LtCci(50)", argument.LtCci50),
new Tuple <string, object>("StCci(5)", argument.StCci5),
new Tuple <string, object>("YesterdayStCci(5)", argument.YesterdayStCci5),
new Tuple <string, object>("YesterdayHigh", argument.YesterdayHigh),
new Tuple <string, object>("YesterdayLow", argument.YesterdayLow),
new Tuple <string, object>("LongTerm Sentiment", argument.LongTermSentiment),
new Tuple <string, object>("ShortTerm Sentiment", argument.ShortTermSentiment),
new Tuple <string, object>("HasOption", argument.HasOption),
};
}
private Tuple <TradeIdea, TradeIdeaLog> GenerateTradeIdeaForLatestDate(List <Signal> signals, HistoricalData historicalData)
{
Tuple <TradeIdea, TradeIdeaLog> result;
DateTime date = historicalData.LatestDate;
//TODO: should we remove this at all? now delayed
//SupportAndResistance sr = _algoService.GetSupportAndResistance(historicalData, expandedQuote.Last);
TradeIdeasGeneratorArgument args = TradeIdeasGeneratorArgument.Create(signals, historicalData /*, sr*/);
double marketCap = 0;
//if (quote != null)
//{
// marketCap = quote.MarketCapitalization ?? 0;
//}
TradeIdeaLog tradeIdeaLog = new TradeIdeaLog(historicalData.SecurityCode, args, date);
List <TradeIdeaRuleWrapper> generatedTradeIdeas = GenerateTradeIdeas(args, tradeIdeaLog);
Signal syrahSentiment = signals
.ForIndicator(TradeIdeasGeneratorArgument.LongTermSentimentForDependencies)
.FirstOrDefault(s => s.Date == date);
int?syrahSentimentLongTerm = syrahSentiment == null
? null
: (int?)syrahSentiment.Value;
syrahSentiment = signals
.ForIndicator(TradeIdeasGeneratorArgument.ShortTermSentimentForDependencies)
.FirstOrDefault(s => s.Date == date);
int?syrahSentimentShortTerm = syrahSentiment == null
? null
: (int?)syrahSentiment.Value;
double lastPrice = historicalData.Close.Last();
string companyName = historicalData.SecurityCode;
if (generatedTradeIdeas != null && generatedTradeIdeas.Any())
{
TradeIdea tradeIdea = new TradeIdea
{
DailyPlay = false,
DateOfScan = date,
MarketCap = marketCap,
Price = lastPrice,
StockCode = historicalData.SecurityCode,
CompanyName = companyName,
SyrahSentimentValue = syrahSentimentLongTerm,
SyrahSentimentShortTerm = syrahSentimentShortTerm,
RuleMatch = generatedTradeIdeas.Select(item => item.Rule).ToList(),
RulesWithLogs = generatedTradeIdeas
};
result = Tuple.Create(tradeIdea, tradeIdeaLog);
}
else
{
result = Tuple.Create((TradeIdea)null, tradeIdeaLog);
}
return(result);
}
/// <summary>
/// Generate trade ideas rules.
/// </summary>
public List <TradeIdeaRuleWrapper> GenerateTradeIdeas(TradeIdeasGeneratorArgument arg, TradeIdeaLog tradeIdeaLog)
{
const double period = 14;
const string cciStudy = "CCI";
const string rsiStudy = "RSI";
const string mfiStudy = "MFI";
const string williamsRStudy = "Williams %R";
List <TradeIdeaRuleWrapper> returnList = new List <TradeIdeaRuleWrapper>();
//if (arg.HasOption)
//{
//if (NearResistance(arg.LastPrice, arg.NearestResistance, arg.RangeStdDev))
if (arg.LongTermSentiment != null &&
arg.LongTermSentiment.Value == Sentiment.Bearish &&
arg.ShortTermSentiment != null &&
arg.ShortTermSentiment.Value != Sentiment.Bullish)
{
if (ObBearScan(arg.YesterdayRsi14, arg.Rsi14, _rsiObThresh))
{
returnList.Add(new TradeIdeaRuleWrapper
{
Rule = TradeIdeaRule.RsiOverboughtBearishCrossover,
Study = rsiStudy,
Period = period,
OverBoughtLevel = _rsiObThresh,
OverSoldLevel = _rsiOsThresh
});
}
if (ObBearScan(arg.YesterdayCci14, arg.Cci14, _cciObThresh))
{
returnList.Add(new TradeIdeaRuleWrapper
{
Rule = TradeIdeaRule.CciOverboughtBearishCrossover,
Study = cciStudy,
Period = period,
OverBoughtLevel = _cciObThresh,
OverSoldLevel = _cciOsThresh
});
}
if (ObBearScan(arg.YesterdayWillR14, arg.WillR14, _willrObThresh))
{
returnList.Add(new TradeIdeaRuleWrapper
{
Rule = TradeIdeaRule.WilliamsOverboughtBearishCrossover,
Study = williamsRStudy,
Period = period,
OverBoughtLevel = _willrObThresh,
OverSoldLevel = _willrOsThresh
});
}
if (ObBearScan(arg.YesterdayMfi14, arg.Mfi14, _mfiObThresh))
{
returnList.Add(new TradeIdeaRuleWrapper
{
Rule = TradeIdeaRule.MfiOverboughtBearishCrossover,
Study = mfiStudy,
Period = period,
OverBoughtLevel = _mfiObThresh,
OverSoldLevel = _mfiOsThresh
});
}
}
//if (NearSupport(arg.LastPrice, arg.NearestSupport, arg.RangeStdDev))
if (arg.LongTermSentiment != null &&
arg.LongTermSentiment.Value == Sentiment.Bullish &&
arg.ShortTermSentiment != null &&
arg.ShortTermSentiment.Value != Sentiment.Bearish)
{
if (OsBullScan(arg.YesterdayRsi14, arg.Rsi14, _rsiOsThresh))
{
returnList.Add(new TradeIdeaRuleWrapper
{
Rule = TradeIdeaRule.RsiOversoldBullishCrossover,
Study = rsiStudy,
Period = period,
OverBoughtLevel = _rsiObThresh,
OverSoldLevel = _rsiOsThresh
});
}
if (OsBullScan(arg.YesterdayCci14, arg.Cci14, _cciOsThresh))
{
returnList.Add(new TradeIdeaRuleWrapper
{
Rule = TradeIdeaRule.CciOversoldBullishCrossover,
Study = cciStudy,
Period = period,
OverBoughtLevel = _cciObThresh,
OverSoldLevel = _cciOsThresh
});
}
if (OsBullScan(arg.YesterdayWillR14, arg.WillR14, _willrOsThresh))
{
returnList.Add(new TradeIdeaRuleWrapper
{
Rule = TradeIdeaRule.WilliamsROversoldBullishCrossover,
Study = williamsRStudy,
Period = period,
OverBoughtLevel = _willrObThresh,
OverSoldLevel = _willrOsThresh
});
}
if (OsBullScan(arg.YesterdayMfi14, arg.Mfi14, _mfiOsThresh))
{
returnList.Add(new TradeIdeaRuleWrapper
{
Rule = TradeIdeaRule.MfiOversoldBullishCrossover,
Study = mfiStudy,
Period = period,
OverBoughtLevel = _mfiObThresh,
OverSoldLevel = _mfiOsThresh
});
}
}
if (LtStDisagreementFilter(arg.Atr20, arg.YesterdayHigh, arg.YesterdayLow))
{
if (arg.LongTermSentiment != null &&
arg.LongTermSentiment.Value == Sentiment.Bearish &&
arg.ShortTermSentiment != null &&
arg.ShortTermSentiment.Value == Sentiment.Bearish)
{
if (StLtBearDisagreementScan(arg.LtRsi50, arg.StRsi5, arg.YesterdayStRsi5, _ltRsiBearThresh, _stRsiBullThresh))
{
returnList.Add(new TradeIdeaRuleWrapper
{
Rule = TradeIdeaRule.RsiRallyInBearishTrend,
Study = rsiStudy,
Period = 5,
OverBoughtLevel = _stRsiBullThresh,
OverSoldLevel = _ltRsiBearThresh
});
}
if (StLtBearDisagreementScan(arg.LtCci50, arg.StCci5, arg.YesterdayStCci5, _ltCciBearThresh, _stCciBullThresh))
{
returnList.Add(new TradeIdeaRuleWrapper
{
Rule = TradeIdeaRule.CciRallyInBearishTrend,
Study = cciStudy,
Period = 5,
OverBoughtLevel = _stCciBullThresh,
OverSoldLevel = _ltCciBearThresh
});
}
}
if (arg.LongTermSentiment != null &&
arg.LongTermSentiment.Value == Sentiment.Bullish &&
arg.ShortTermSentiment != null &&
arg.ShortTermSentiment.Value == Sentiment.Bullish)
{
if (StLtBullDisagreementScan(arg.LtRsi50, arg.StRsi5, arg.YesterdayStRsi5, _ltRsiBullThresh, _stRsiBearThresh))
{
returnList.Add(new TradeIdeaRuleWrapper
{
Rule = TradeIdeaRule.RsiDipInBullishTrend,
Study = rsiStudy,
Period = 5,
OverBoughtLevel = _ltRsiBullThresh,
OverSoldLevel = _stRsiBearThresh
});
}
if (StLtBullDisagreementScan(arg.LtCci50, arg.StCci5, arg.YesterdayStCci5, _ltCciBullThresh, _stCciBearThresh))
{
returnList.Add(new TradeIdeaRuleWrapper
{
Rule = TradeIdeaRule.CciDipInBullishTrend,
Study = cciStudy,
Period = 5,
OverBoughtLevel = _ltCciBullThresh,
OverSoldLevel = _stCciBearThresh
});
}
}
}
//}
foreach (TradeIdeaRule tradeIdeaRule in returnList.Select(item => item.Rule))
{
tradeIdeaLog.Results.Add(tradeIdeaRule);
}
return(returnList);
}
public DependencyScope GetDependencies(int numberOfBussinessDays = 1)
{
DependencyScope deps = TradeIdeasGeneratorArgument.GetDependencies(numberOfBussinessDays);
return(deps);
}
internal static TradeIdeasGeneratorArgument Create(List <Signal> signals, HistoricalData historicalData)
{
TradeIdeasGeneratorArgument result = new TradeIdeasGeneratorArgument();
SmaVol smaVol20 = new SmaVol(20);
Sma sma50 = new Sma(50);
Rsi stRsi5 = new Rsi(5);
Rsi rsi14 = new Rsi(14);
Rsi ltrsi50 = new Rsi(50);
Cci stCci5 = new Cci(5);
Cci cci14 = new Cci(14);
Cci ltCci50 = new Cci(50);
Stoch stoch14 = new Stoch(14, 14, 3);
WillR willr14 = new WillR(14);
Mfi mfi14 = new Mfi(14);
Adx adx20 = new Adx(20);
Atr atr20 = new Atr(20);
//Assuming that signals are sorted by dates descending and all signals are present. otherwize an exception will be thrown during fetching signals (First())
#region Indicators
result.Rsi14 = GetValue(signals.LatestForIndicator(rsi14));
result.YesterdayRsi14 = GetValue(signals.PreviousForIndicator(rsi14, 1));
result.StRsi5 = GetValue(signals.LatestForIndicator(stRsi5));
result.YesterdayStRsi5 = GetValue(signals.PreviousForIndicator(stRsi5, 1));
result.LtRsi50 = GetValue(signals.LatestForIndicator(ltrsi50));
result.Cci14 = GetValue(signals.LatestForIndicator(cci14));
result.YesterdayCci14 = GetValue(signals.PreviousForIndicator(cci14, 1));
result.StCci5 = GetValue(signals.LatestForIndicator(stCci5));
result.YesterdayStCci5 = GetValue(signals.PreviousForIndicator(stCci5, 1));
result.LtCci50 = GetValue(signals.LatestForIndicator(ltCci50));
result.Stoch14 = GetValue(signals.LatestForIndicator(stoch14));
result.YesterdayStoch14 = GetValue(signals.PreviousForIndicator(stoch14, 1));
result.WillR14 = GetValue(signals.LatestForIndicator(willr14));
result.YesterdayWillR14 = GetValue(signals.PreviousForIndicator(willr14, 1));
result.Mfi14 = GetValue(signals.LatestForIndicator(mfi14));
result.YesterdayMfi14 = GetValue(signals.PreviousForIndicator(mfi14, 1));
result.SmaVol20 = GetValue(signals.LatestForIndicator(smaVol20));
result.Sma50 = GetValue(signals.LatestForIndicator(sma50));
result.Adx20 = GetValue(signals.LatestForIndicator(adx20));
result.Atr20 = GetValue(signals.LatestForIndicator(atr20));
//Long Term Sentiment(6 months)
Signal syrahSentiment = signals.LatestForIndicator(LongTermSentimentForDependencies);
int? sentimentValue = syrahSentiment == null
? null
: (int?)syrahSentiment.Value;
result.LongTermSentiment = SyrahSentiment.MakeInterpretationInTermsOfSentiment(sentimentValue);
//Short Term Sentiment(1 month)
syrahSentiment = signals.LatestForIndicator(ShortTermSentimentForDependencies);
sentimentValue = syrahSentiment == null
? null
: (int?)syrahSentiment.Value;
result.ShortTermSentiment = SyrahSentiment.MakeInterpretationInTermsOfSentiment(sentimentValue);
#endregion
//if (expandedQuote == null)
//{
// result.LastPrice = historicalData.Close[historicalData.Count - 1];
//}
//else
//{
// result.LastPrice = expandedQuote.Last;
// result.HasOption = expandedQuote.HasOption;
//}
result.RangeStdDev = historicalData.GetPriceRangeStdDevFor6Months();
//result.NearestSupport = supportAndResistance.GetClosestSupport(expandedQuote.Last);
//result.NearestResistance = supportAndResistance.GetClosestResistance(expandedQuote.Last);
//TODO: check
int yesterdayIndex = historicalData.High.Length - 2;
result.YesterdayHigh = historicalData.High[yesterdayIndex];
result.YesterdayLow = historicalData.Low[yesterdayIndex];
return(result);
}
