void GotNewBar(string symbol, int interval)
{
// get current barlist for this symbol+interval
BarList bl = track_barlists[symbol, interval];
// issue an event (todo: should I put this functionality into MessageResponseTemplate.cs? or should I get rid of GotNewBar at all? hmm...) will stay here for a while..
BsonDocument bson_doc = new BsonDocument();
bson_doc = new BsonDocument();
bson_doc["Symbol"] = bl.RecentBar.Symbol;
bson_doc["High"] = bl.RecentBar.High.ToString();
bson_doc["Low"] = bl.RecentBar.Low.ToString();
bson_doc["Open"] = bl.RecentBar.Open.ToString();
bson_doc["Close"] = bl.RecentBar.Close.ToString();
bson_doc["Volume"] = bl.RecentBar.Volume.ToString();
bson_doc["isNew"] = bl.RecentBar.isNew;
bson_doc["Bartime"] = bl.RecentBar.Bartime;
bson_doc["Bardate"] = bl.RecentBar.Bardate;
bson_doc["isValid"] = bl.RecentBar.isValid;
bson_doc["Interval"] = bl.RecentBar.Interval;
bson_doc["time"] = bl.RecentBar.time;
//send_event(MimeType.got_new_bar, "bar", bson_doc.ToString());
log_file.WriteLine("got_new_bar" + bson_doc.ToString());
// get index for symbol
int idx = track_symbols.getindex(symbol);
string dbg_msg = "GotNewBar(" + symbol + ", " + interval + "):";
// check for first cross on first interval
if (interval == _response_barsize_s)
{
decimal ema = Calc.Avg(Calc.EndSlice(bl.Close(), _ema_bar));
track_ema[symbol].Add(ema);
// drawings...
if (bl.Close().Length > _ema_bar)
{
// draw 2 sma lines:
sendchartlabel(ema, time, System.Drawing.Color.FromArgb(0xff, 0x01, 0x01));
// do the trade (if required)
decimal[] ema_arr = track_ema[symbol].ToArray();
decimal prev_ema = ema_arr[ema_arr.Length - 2];
decimal curr_ema = ema_arr[ema_arr.Length - 1];
decimal delta_ema = curr_ema - prev_ema;
// sma just crossed?
bool should_buy = track_positions[symbol].isFlat && delta_ema >= 0.002m;
bool should_sell = false;
dbg_msg += " delta_ema=" + delta_ema.ToString("000.000");
/*
* dbg_msg += " fast=" + curr_sma_fast.ToString("000.000");
* dbg_msg += " pr_slow=" + prev_sma_slow.ToString("000.000");
* dbg_msg += " pr_fast=" + prev_sma_fast.ToString("000.000");
* dbg_msg += " [" + symbol + "].isFlat=" + track_positions[symbol].isFlat.ToString();
* dbg_msg += " track_positions[symbol].ToString=" + track_positions[symbol].ToString();
* dbg_msg += " should_buy=" + should_buy.ToString();
* dbg_msg += " should_sell=" + should_sell.ToString();
*/
//senddebug("GotNewBar(): " + debug_position_tracker(symbol));
if (should_buy)
{
// come buy some! (c) Duke Nukem
string comment = " BuyMarket(" + symbol + ", " + EntrySize.ToString() + ")";
sendorder(new BuyMarket(symbol, EntrySize, comment));
log_file.WriteLine("close position: " + comment);
dbg_msg += comment;
}
if (false) // we do all the selling on tick()
{
if (!track_positions[symbol].isFlat && should_sell) // we don't short, so also check if !flat
//if ( should_sell) // we don't short, so also check if !flat
{
sendorder(new SellMarket(symbol, EntrySize));
dbg_msg += " SellMarket(" + symbol + ", " + EntrySize.ToString() + ")";
}
}
}
}
//else
//{
// //
// dbg_msg += "GotNewBar() other interval=" + interval;
//}
// spit out one dbg message line per bar
D(dbg_msg);
// nice way to notify of current tracker values
sendindicators(gt.GetIndicatorValues(idx, gens()));
return;
}
void GotNewBar(string symbol, int interval)
{
//if (symbol.ToUpper() != "ABX") return;
// get current barlist for this symbol+interval
BarList bl = track_barlists[symbol, interval];
// get index for symbol
int idx = track_symbols.getindex(symbol);
string dbg_msg = "GotNewBar(" + symbol + ", " + interval + "):";
// check for first cross on first interval
if (interval == (int)BarInterval.Minute)
{
decimal no_tracker_slow_ma = Calc.Avg(Calc.EndSlice(bl.Close(), _slow_ma_bar));
decimal no_tracker_fast_ma = Calc.Avg(Calc.EndSlice(bl.Close(), _fast_ma_bar));
track_sma_slow[symbol].Add(no_tracker_slow_ma);
track_sma_fast[symbol].Add(no_tracker_fast_ma);
// drawings...
if (bl.Close().Length > 1)
{
// this is how we draw line, which connects all bars close.
//decimal val = bl.Close()[bl.Close().Length - 2]; // length-1 would be last, so length-2 is our previus bar
//int time_prev = bl.Time()[bl.Time().Length - 2];
//sendchartlabel(val, time_prev, System.Drawing.Color.Green);
// draw 2 sma lines:
sendchartlabel(no_tracker_slow_ma, time, System.Drawing.Color.Blue);
sendchartlabel(no_tracker_fast_ma, time, System.Drawing.Color.FromArgb(0xff, 0x01, 0x01)); // wtf? why red line multiplies after each sell order?!
//sendchartlabel(bl.Close()[bl.Close().Length - 2],
// time,
// (time - 60).ToString(),
// System.Drawing.Color.Green);
// do the trade (if required)
decimal[] sma_slow = track_sma_slow[symbol].ToArray();
decimal[] sma_fast = track_sma_fast[symbol].ToArray();
decimal prev_sma_slow = sma_slow[sma_slow.Length - 2];
decimal prev_sma_fast = sma_fast[sma_fast.Length - 2];
decimal curr_sma_slow = sma_slow[sma_slow.Length - 1]; // imho quite ugly..
decimal curr_sma_fast = sma_fast[sma_fast.Length - 1]; // todo: read more on how to work with Lists
// sma just crossed?
bool should_buy = prev_sma_slow > prev_sma_fast && curr_sma_slow < curr_sma_fast;
bool should_sell = prev_sma_slow <prev_sma_fast && curr_sma_slow> curr_sma_fast;
dbg_msg += " slow=" + curr_sma_slow.ToString("000.000");
dbg_msg += " fast=" + curr_sma_fast.ToString("000.000");
dbg_msg += " pr_slow=" + prev_sma_slow.ToString("000.000");
dbg_msg += " pr_fast=" + prev_sma_fast.ToString("000.000");
dbg_msg += " [" + symbol + "].isFlat=" + track_positions[symbol].isFlat.ToString();
dbg_msg += " track_positions[symbol].ToString=" + track_positions[symbol].ToString();
dbg_msg += " should_buy=" + should_buy.ToString();
dbg_msg += " should_sell=" + should_sell.ToString();
//senddebug("GotNewBar(): " + debug_position_tracker(symbol));
if (should_buy)
{
// come buy some! (c) Duke Nukem
sendorder(new BuyMarket(symbol, EntrySize));
dbg_msg += " BuyMarket(" + symbol + ", " + EntrySize.ToString() + ")";
}
if (!track_positions[symbol].isFlat && should_sell) // we don't short, so also check if !flat
//if ( should_sell) // we don't short, so also check if !flat
{
sendorder(new SellMarket(symbol, EntrySize));
dbg_msg += " SellMarket(" + symbol + ", " + EntrySize.ToString() + ")";
}
}
}
//else
//{
// //
// dbg_msg += "GotNewBar() other interval=" + interval;
//}
// spit out one dbg message line per bar
//senddebug(dbg_msg);
// nice way to notify of current tracker values
sendindicators(gt.GetIndicatorValues(idx, gens()));
return;
}
