public double Calculate(PriceCalculatorInput input)
{
double price = 0;
GapType gap = GetGapType(input);
if (gap == GapType.Favorable)
price = CalculateFavorableGapPrice(input);
else if (gap == GapType.Unfavorable)
price = CalculateUnfavorableGapPrice(input);
else
price = CalculateSlippageAdjustedPrice(input, input.AllowedSlippage);
return price;
}
private GapType GetGapType(PriceCalculatorInput input)
{
double gap = input.CurrentBar.Open - input.PreviousBar.Close;
GapType returnValue = GapType.Allowed;
double fraction = 0;
double effectiveFraction = 0;
if (gap != 0 && input.Atr > 0)
fraction = gap / input.Atr;
double absFraction = Math.Abs(fraction);
if (input.OrderSide == OrderSide.Buy)
{
if (fraction > 0)
{
effectiveFraction = absFraction*-1;
if (absFraction >= input.UnfavorableGap)
returnValue = GapType.Unfavorable;
}
else if (fraction < 0)
{
effectiveFraction = absFraction;
if (absFraction >= input.FavorableGap)
returnValue = GapType.Favorable;
}
else
effectiveFraction = 0;
}
else
{
if (fraction < 0 && absFraction >= input.UnfavorableGap)
returnValue = GapType.Unfavorable;
else if (fraction > 0 && absFraction >= input.FavorableGap)
returnValue = GapType.Favorable;
if (fraction < 0)
{
effectiveFraction = absFraction*-1;
if (absFraction >= input.UnfavorableGap)
returnValue = GapType.Unfavorable;
}
else if (fraction > 0)
{
effectiveFraction = absFraction;
if ( absFraction >= input.FavorableGap)
returnValue = GapType.Favorable;
}
else
effectiveFraction = 0;
}
LoggingUtility.WriteInfo(
logConfig,
string.Format(
"For a {0} order, prev close was {1:c}, new open is {2:c}, a gap of {3:c} ({4:p}) ({5:n5}x ATR value {6:c} ({7:p})). [{8}]",
input.OrderSide,
input.PreviousBar.Close,
input.CurrentBar.Open,
gap,
gap/input.PreviousBar.Close,
effectiveFraction,
input.Atr,
input.Atr/input.PreviousBar.Close,
returnValue));
return returnValue;
}
public double CalculateSlippageAdjustedPrice(PriceCalculatorInput input)
{
return CalculateSlippageAdjustedPrice(input, input.AllowedSlippage);
}
private double CalculateUnfavorableGapPrice(PriceCalculatorInput input)
{
return CalculateSlippageAdjustedPrice(input, input.UnfavorableGapAllowedSlippage);
}
public double CalculateSlippageAdjustedPrice(PriceCalculatorInput input, double allowedSlippage)
{
double slippageAmount = input.Atr * allowedSlippage;
double returnValue = input.CurrentBar.Open;
if (input.OrderSide == OrderSide.Buy)
{
returnValue = returnValue + slippageAmount;
}
else
{
returnValue = returnValue - slippageAmount;
}
LoggingUtility.WriteInfo(
logConfig,
string.Format(
"Allowed slippage is {0}x ATR {1:c} ({2:p}) = {3:c} ({4:p}) on price of {5:c}, so slippage adjusted price is {6:c}",
allowedSlippage,
input.Atr,
input.Atr/input.CurrentBar.Open,
slippageAmount,
slippageAmount / input.CurrentBar.Open,
input.CurrentBar.Open,
returnValue));
return returnValue;
}
