/// <summary>
///
/// </summary>
/// <param name="side"></param>
/// <param name="retracement"></param>
/// <returns></returns>
protected virtual Tuple <double, double, double> GetOrderPrices(double spread, string side, Thrust thrust)
{
double entryPrice, stopLossPrice;
FibonacciRetracement retracement = (FibonacciRetracement)thrust.Study;
if (side == MACC.Constants.SignalSide.Buy)
{
entryPrice = retracement.LevelPrice(FibonacciLevel.R382) + (0.75 * spread);
stopLossPrice = retracement.LevelPrice(FibonacciLevel.R618) - (0.75 * spread);
if (thrust.FillZoneReached() && thrust.TakeProfitZoneReached())
{
stopLossPrice = retracement.LevelPrice(FibonacciLevel.R500) - (0.75 * spread);
}
}
else
{
entryPrice = retracement.LevelPrice(FibonacciLevel.R382) - (0.75 * spread);
stopLossPrice = retracement.LevelPrice(FibonacciLevel.R618) + (0.75 * spread);
if (thrust.FillZoneReached() && thrust.TakeProfitZoneReached())
{
stopLossPrice = retracement.LevelPrice(FibonacciLevel.R500) + (0.75 * spread);
}
}
int multiplier = side == MACC.Constants.SignalSide.Buy ? 1 : -1;
double r382Price = retracement.LevelPrice(FibonacciLevel.R382);
double takeProfitPrice = r382Price + (0.618 * Math.Abs(retracement.FocusPrice - r382Price) * multiplier);
var orderPrices = Tuple.Create <double, double, double>(entryPrice, stopLossPrice, takeProfitPrice);
return(orderPrices);
}
/// <summary>
///
/// </summary>
/// <param name="chart"></param>
/// <param name="side"></param>
/// <param name="state"></param>
/// <returns></returns>
public virtual double?GetAdjustedStopLossPrice(Chart chart, IParameters parameters, IDictionary <string, object> state)
{
string side;
Thrust thrust;
bool hasProfit;
#region state validation
string stateItem = "";
try
{
stateItem = "side";
side = (string)state[stateItem];
stateItem = "thrust";
thrust = (Thrust)state[stateItem];
stateItem = "hasProfit";
hasProfit = Convert.ToBoolean(state[stateItem]);
}
catch (Exception ex)
{
throw new ArgumentException(string.Format("State argument is missing or invalid: {0}.", stateItem), ex);
}
#endregion
#region logic
// if a buy ...
// move the stop to the lower of the .500 fib price or [patern lowBid price set by the post-fill price action]
// if a sell ...
// move the stop to the higher of the .500 fib price or [patern highBid price set by the post-fill price action]
#endregion
FibonacciRetracement retracement = (FibonacciRetracement)thrust.Study;
if (!retracement.ExtremaPrice.HasValue)
{
return(null);
}
double?stopLossPrice = null;
double r500Price = retracement.LevelPrice(FibonacciLevel.R500);
double lastPrice = chart.Frames.Last().Bar.closeMid;
double extrema500Delta = 0;
double extremaPrice = retracement.ExtremaPrice.Value;
double extremaTakeProfitDelta = Math.Abs(thrust.TakeProfitPrice.Value - extremaPrice);
double takeProfitZoneReachedExtremaCoefficient = parameters.GetDouble("takeProfitZoneReachedExtremaCoefficient") ?? 0.5;
if (side == MACC.Constants.SignalSide.Buy)
{
extrema500Delta = extremaPrice - r500Price;
if (hasProfit)
{
if (thrust.TakeProfitZoneReached())
{
stopLossPrice = extremaPrice + (takeProfitZoneReachedExtremaCoefficient * extremaTakeProfitDelta);
}
else if (extrema500Delta >= 0 && !thrust.ProfitWindowClosed)
{
stopLossPrice = null;
}
else if (extrema500Delta >= 0 && thrust.ProfitWindowClosed) // set to extrema or 500?
{
stopLossPrice = r500Price;
}
else if (extrema500Delta < 0 && !thrust.ProfitWindowClosed)
{
stopLossPrice = extremaPrice;
}
else // extrema500Delta < 0 && profitWindowClosed .. set to r500
{
stopLossPrice = r500Price;
}
}
else
{
if (thrust.TakeProfitZoneReached())
{
stopLossPrice = -1;
}
if (thrust.ProfitWindowClosed && lastPrice > r500Price)
{
stopLossPrice = r500Price;
}
else if (thrust.ProfitWindowClosed && lastPrice <= r500Price)
{
stopLossPrice = -1; // kill trade
}
else
{
stopLossPrice = null;
}
}
if (stopLossPrice.HasValue)
{
// stopLoss should never move down
if (stopLossPrice <= thrust.StopLossPrice)
{
stopLossPrice = null;
}
else
{
stopLossPrice -= chart.HistoricBidAskSpread;
}
}
}
else
{
extrema500Delta = r500Price - extremaPrice;
if (hasProfit)
{
if (thrust.TakeProfitZoneReached())
{
stopLossPrice = extremaPrice - (takeProfitZoneReachedExtremaCoefficient * extremaTakeProfitDelta);
}
else if (extrema500Delta >= 0 && !thrust.ProfitWindowClosed)
{
stopLossPrice = null;
}
else if (extrema500Delta >= 0 && thrust.ProfitWindowClosed)
{
stopLossPrice = extremaPrice;
}
else if (extrema500Delta < 0 && !thrust.ProfitWindowClosed)
{
stopLossPrice = extremaPrice;
}
else // extrema500Delta < 0 && profitWindowClosed
{
stopLossPrice = r500Price;
}
}
else
{
if (thrust.TakeProfitZoneReached())
{
stopLossPrice = -1;
}
else if (lastPrice < r500Price && thrust.ProfitWindowClosed)
{
stopLossPrice = r500Price;
}
else if (lastPrice >= r500Price && thrust.ProfitWindowClosed)
{
stopLossPrice = -1; // kill trade .. if not already stopped out
}
else
{
stopLossPrice = null;
}
}
if (stopLossPrice.HasValue)
{
// stopLoss should never move up
if (stopLossPrice >= thrust.StopLossPrice)
{
stopLossPrice = null;
}
else
{
stopLossPrice += chart.HistoricBidAskSpread;
}
}
}
if (stopLossPrice.HasValue)
{
stopLossPrice = Math.Round(stopLossPrice.Value, retracement.LevelPlaces());
}
return(stopLossPrice);
}
protected Thrust SetThrustActive(Chart chart, Thrust thrust, bool isNewThrust)
{
thrust.Active = true;
List <Frame> afterFocusFrames = chart.Frames.Skip(GetFocusIndex(chart, thrust) + 1).ToList();
if (isNewThrust)
{
// should an order be placed?
// thrust range must be >= _percentRange
// should some consideration of the time frame happen?
// .006 is for hourly
// use a lower value for lower time frame scalping?
if (Math.Abs(thrust.FocusPrice - thrust.SignalPrice) / thrust.SignalPrice < _minThrustPercentRange)
{
thrust.Active = false;
return(thrust);
}
if (thrust.ReactionToFocusSpan < _minReactionToFocusSpan)
{
thrust.Active = false;
return(thrust);
}
if (afterFocusFrames.Count() == 0)
{
return(thrust);
}
else
{
FibonacciRetracement retracement = thrust.Study as FibonacciRetracement;
Frame r382ReachedOrExceededFrame = afterFocusFrames.FirstOrDefault(frame =>
{
if (thrust.Direction == EPatternDirection.Up)
{
if (frame.Bar.lowMid <= retracement.LevelPrice(FibonacciLevel.R382))
{
return(true);
}
}
else
{
if (frame.Bar.highMid >= retracement.LevelPrice(FibonacciLevel.R382))
{
return(true);
}
}
return(false);
});
thrust.Active = r382ReachedOrExceededFrame == null;
return(thrust);
}
}
else
{
// should the order be cancelled if not yet filled?
// if filled, a 'false' from this doesn't matter
#region afterFocusAcross3x3Count function
Func <EPatternDirection, short> afterFocusAcross3x3Count = (direction) =>
{
short across3x3Count = 0;
Frame firstConfirmedAcross3x3 = null;
foreach (Frame frame in afterFocusFrames)
{
IIndicator displaced3x3 = frame.Indicators.First(k => k.Type == IndicatorType.DisplacedMovingAverage && k.ParentOrdinal == 0);
if (direction == EPatternDirection.Up)
{
// grab the first bar below the 3x3 on close
if (frame.Bar.closeMid < displaced3x3.Value && firstConfirmedAcross3x3 == null)
{
firstConfirmedAcross3x3 = frame;
continue;
}
if (firstConfirmedAcross3x3 != null && frame.Bar.lowMid < displaced3x3.Value)
{
across3x3Count++;
}
}
else
{
// grab the first bar above the 3x3 on close
if (frame.Bar.closeMid > displaced3x3.Value && firstConfirmedAcross3x3 == null)
{
firstConfirmedAcross3x3 = frame;
continue;
}
if (firstConfirmedAcross3x3 != null && frame.Bar.highMid > displaced3x3.Value)
{
across3x3Count++;
}
}
}
return(across3x3Count);
};
#endregion
// enforce a reactionToFocusSpan of 9 bars to filter out 'turn' thrusts
// turn thrusts happen detection triggers on bars at turns in price
// these are new thrusts but need 'seasoning' (ie. >= 9 bars) to be trade worthy
// enforce Dinapoli rule on no more than 3 bars across 3x3 after initial closing bar across 3x3
thrust.Active = afterFocusAcross3x3Count(thrust.Direction) <= _maxAfterFocusAcross3x3Count;
return(thrust);
}
}
protected virtual Thrust SetThrustTakeProfitZoneReached(Chart chart, Thrust thrust)
{
FibonacciRetracement retracement = thrust.Study as FibonacciRetracement;
#region did price reach the takeProfit zone?
if (thrust.FillZoneReached())
{
double? searchTakeProfitPrice = null;
List <Frame> searchFrames = null;
if (!thrust.TakeProfitZoneReached())
{
searchTakeProfitPrice = thrust.TakeProfitPrice.Value;
searchFrames = chart.Frames.Skip(thrust.FillZoneReachedIndex.Value + 1).ToList();
}
else
{
if (retracement.ExtremaChanged())
{
int multiplier = thrust.Side == MACC.Constants.SignalSide.Buy ? 1 : -1;
double r382Price = retracement.LevelPrice(FibonacciLevel.R382);
searchTakeProfitPrice = r382Price + (0.618 * Math.Abs(retracement.FocusPrice - r382Price) * multiplier);
searchFrames = chart.Frames.Skip(retracement.ExtremaIndex.Value + 1).ToList();
}
}
Frame takeProfitZoneReachedFrame = searchFrames.FirstOrDefault(frame =>
{
double extremaToTakeProfitZoneDelta = _takeProfitZoneReachedCoefficient * Math.Abs(searchTakeProfitPrice.Value - retracement.ExtremaPrice.Value);
bool takeProfitZoneReached = false;
if (thrust.Direction == EPatternDirection.Up)
{
takeProfitZoneReached = (frame.Bar.highMid >= retracement.ExtremaPrice.Value + extremaToTakeProfitZoneDelta);
}
else
{
takeProfitZoneReached = (frame.Bar.lowMid <= retracement.ExtremaPrice.Value - extremaToTakeProfitZoneDelta);
}
if (takeProfitZoneReached)
{
thrust.TakeProfitZoneReachedIndex = chart.Frames.IndexOf(frame);
thrust.TakeProfitZoneReachedFocusPrice = thrust.FocusPrice;
return(true);
}
return(false);
});
}
#endregion
// is it a breakout?
if (thrust.TakeProfitZoneReached())
{
double breakoutDelta = thrust.SignalPrice * _focusBreakoutCoefficient * _minThrustPercentRange;
if (thrust.Direction == EPatternDirection.Up)
{
thrust.Breakout = thrust.FocusPrice >= thrust.TakeProfitZoneReachedFocusPrice.Value + breakoutDelta;
}
else
{
thrust.Breakout = thrust.FocusPrice <= thrust.TakeProfitZoneReachedFocusPrice.Value - breakoutDelta;
}
if (thrust.Breakout)
{
thrust.FillZoneReachedIndex = null;
thrust.TakeProfitZoneReachedIndex = null;
thrust.TakeProfitZoneReachedFocusPrice = null;
}
}
return(thrust);
}
