/// <summary>Watch for pending order filled</summary>
protected override void OnPositionOpened(Position position)
{
// When a position opens, cancel any pending orders
Broker.CancelAllPendingOrders(Label);
// Manage the position
//PositionManagers.Add(new PositionManagerNervious(this, position));
PositionManagers.Add(new PositionManagerCandleFollow(this, position, 7));
//PositionManagers.Add(new PositionManagerPeakPC(this, position));
}
/// <summary>Position opened</summary>
protected override void OnPositionOpened(Position position)
{
// Close positions if there is a breakout in the wrong direction
PositionManagers.Add(new PositionManagerBreakOut(this, position, CloseBreakoutPeriods, only_if_in_profit: true));
// Close positions when they fail to make new peaks
PositionManagers.Add(new PositionManagerTopDrop(this, position, CloseTopDropCount, only_if_in_profit: true));
EntryCooldown = 5;
}
protected override void OnPositionOpened(Position position)
{
base.OnPositionOpened(position);
// Close pending orders when a position is opened
foreach (var ord in PendingOrders)
{
Broker.CancelPendingOrder(ord);
}
// Create a position manager
PositionManagers.Add(new PositionManagerNervious(this, position));
}
/// <summary>Position opened</summary>
protected override void OnPositionOpened(Position position)
{
EntryCooldown = 5;
// Close positions if there is a breakout in the wrong direction
PositionManagers.Add(new PositionManagerBreakOut(this, position, CloseBreakoutPeriods, only_if_in_profit: true));
// Close positions when they fail to make new peaks
PositionManagers.Add(new PositionManagerTopDrop(this, position, CloseTopDropCount, only_if_in_profit: true));
//// Close positions when there's a steady stream of adverse candles
//PositionManagers.Add(new PositionManagerAdverseCandles(this, position, CloseAdverseCount));
}
protected override void OnPositionOpened(Position position)
{
// Prevent positions being entered on the same bulge
EntryCooldown = NonIntersectingCount;
{ // Adjust the stop loss to allow for slip
var mcs = Instrument.MCS;
var sign = position.Sign();
var ep = position.EntryPrice;
var sl = ep - sign * mcs * SLFrac;
Broker.ModifyOrder(Instrument, position, sl: sl);
}
// If the main position of a position set opens, create a pending order in the opposite direction.
// This is designed to catch the case when we choose a break-out trade but it's actually a reversal, or visa-versa.
var id = Guid_.Parse(position.Comment);
if (id != null && PositionSets[id.Value].Count == 1)
{
var mcs = Instrument.MCS;
var sign = -position.Sign();
var tt = CAlgo.SignToTradeType(sign);
var rel = Math.Abs(position.EntryPrice - position.StopLoss.Value) * 0.75;
var ep = MA0[0] + sign * rel;
var sl = ep - sign * mcs * SLFrac;
var tp = (QuoteCurrency?)null;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk: Risk);
var trade = new Trade(Instrument, tt, Label, ep, sl, tp, vol, comment: Guid.NewGuid().ToString())
{
Expiration = Instrument.ExpirationTime(2)
};
Broker.CreatePendingOrder(trade);
}
// Close positions if there is a breakout in the wrong direction
PositionManagers.Add(new PositionManagerBreakOut(this, position, CloseBreakoutPeriods, only_if_in_profit: true));
// Close positions when they fail to make new peaks
PositionManagers.Add(new PositionManagerTopDrop(this, position, CloseTopDropCount, only_if_in_profit: true));
// Close positions when there's a steady stream of adverse candles
PositionManagers.Add(new PositionManagerAdverseCandles(this, position, CloseAdverseCount));
}
private void HandlePositionClosed(PositionClosedEventArgs args)
{
// Only watch positions created by this strategy
var position = args.Position;
if (position.Label != Label)
{
return;
}
// Close all positions in the same set
var id = Guid_.Parse(position.Comment);
if (id != null && PositionSets.ContainsKey(id.Value))
{
var set = PositionSets[id.Value];
Broker.ClosePositions(Positions.Where(x => set.Contains(x.Id)), "Closing Set");
PositionSets.Remove(id.Value);
}
// Remove any position managers that are managing 'position'
PositionManagers.RemoveIf(x => x.Position.Id == position.Id);
try
{
// Notify position closed
if (PositionClosed != null)
{
PositionClosed(this, args);
}
OnPositionClosed(position);
}
catch (Exception ex)
{
Debugging.Trace(ex.Message);
Debugging.Trace(ex.StackTrace);
}
}
/// <summary>Watch for pending order filled</summary>
protected override void OnPositionOpened(Position position)
{
PositionManagers.Add(new PositionManagerPriceDistribution(this, position));
}
protected override void OnPositionOpened(Position position)
{
base.OnPositionOpened(position);
PositionManagers.Add(new PositionManagerBreakOut(this, position, System1_Exit, only_if_in_profit: false));
}
/// <summary>Called when new data is received</summary>
public override void Step()
{
base.Step();
if (Instrument.NewCandle)
{
Dump();
}
// Don't open new positions while there are pending orders or existing positions
if (Positions.Any() || PendingOrders.Any())
{
return;
}
// Look for peak patterns
TradeType tt;
QuoteCurrency ep;
var pat = Instrument.IsPeakPattern(Instrument.IdxNow, out tt, out ep);
if (pat != null)
{
var pattern = pat.Value;
Dump();
Debugging.Dump(new PricePeaks(Instrument, 0));
Debugging.Dump(new SnR(Instrument));
Debugging.Trace("Peak pattern: {0}".Fmt(pattern));
var sign = tt.Sign();
var mcs = Instrument.MCS;
// Convert the patterns to trades
switch (pattern)
{
case EPeakPattern.BreakOutHigh:
case EPeakPattern.BreakOutLow:
{
// For break outs, enter immediately and use a candle
// follow position manager because they tend to run.
var price_range = Instrument.PriceRange(-10, 1);
var sl = price_range.Mid - sign * price_range.Size * 0.6;
var tp = (QuoteCurrency?)null;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk: Risk);
var trade = new Trade(Instrument, tt, Label, ep, sl, tp, vol);
var pos = Broker.CreateOrder(trade);
if (pos != null)
{
PositionManagers.Add(new PositionManagerCandleFollow(this, pos, 5));
}
break;
}
case EPeakPattern.HighReversal:
case EPeakPattern.LowReversal:
{
// For reversals, enter when the price is near the trend line.
// Use a fixed SL/TP
var price_range = Instrument.PriceRange(-10, 1);
var sl = price_range.Mid - sign * price_range.Size * 0.6;
var tp = price_range.Mid + sign * price_range.Size * 0.4;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk: Risk);
// If the current price is better than the entry price, enter immediately
if (sign * (ep - Instrument.CurrentPrice(sign)) > 0)
{
var trade = new Trade(Instrument, tt, Label, ep, sl, tp, vol);
Broker.CreateOrder(trade);
}
else
{
var order = new Trade(Instrument, tt, Label, ep, sl, tp, vol)
{
Expiration = Instrument.ExpirationTime(1)
};
Broker.CreatePendingOrder(order);
}
break;
}
}
}
}
