private void StrategyShortPut() => UseAccountManager(am => {
var puts = OpenPuts().ToList();
var distanceOk = (from curPut in CurrentPut
from openPut in puts.OrderBy(p => p.contract.Strike).Take(1).ToList()
let strikeAvg = curPut.strikeAvg
let openPutPrice = openPut.price.Abs()
let openPutStrike = openPut.contract.Strike
where curPut.option.LastTradeDateOrContractMonth == openPut.contract.LastTradeDateOrContractMonth
&& strikeAvg + openPutPrice > openPutStrike
select true
).IsEmpty();
var hasOptions = puts.Count +
am.UseOrderContracts(OrderContracts =>
(from put in CurrentPut
join oc in OrderContracts.Where(o => !o.isDone & o.order.Action == "SELL") on put.instrument equals oc.contract.Instrument
select true
)).Concat().Count();
var hasSellOrdes = am.UseOrderContracts(OrderContracts =>
(from oc in OrderContracts.Where(o => !o.isDone && o.contract.IsPut && !o.contract.IsCombo && o.order.Action == "SELL")
select true
)).Concat().Count();
if(distanceOk && hasOptions < TradeCountMax) {
TradeConditionsEval()
.DistinctUntilChanged(td => td)
.Where(td => td.HasUp())
.Take(1)
.ForEach(_ => {
var pos = -puts.Select(p => p.position.Abs()).DefaultIfEmpty(TradingRatio.ToInt()).Max();
CurrentPut?.ForEach(p => {
Log = new Exception($"{nameof(TradeConditionsTrigger)}:{nameof(am.OpenTrade)}:{new { p.option, pos, Thread.CurrentThread.ManagedThreadId }}");
am.OpenTrade(p.option, pos, p.ask, 0.2, true, ServerTime.AddMinutes(5));
});
});
}
});
void ScanRatesLengthByM1Wave(Func <TradingMacro, WaveRange> wave)
{
if (BarPeriod != BarsPeriodType.t1)
{
throw new Exception("ScanRatesLengthByM1Wave is only supported for BarsPeriodType." + BarsPeriodType.t1);
}
TradingMacroM1(wave)
.Select(wr => ServerTime.AddMinutes(-wr.TotalMinutes))
.SelectMany(date => UseRatesInternal(rates => rates.SkipWhile(r => r.StartDate < date).Count()))
.ForEach(count => BarsCountCalc = count.Max(BarsCount));
}
private void StrategyLong() => UseAccountManager(am => {
var hasOrders = am.UseOrderContracts(ocs => ocs.Where(o => o.contract.Instrument == Pair && !o.isDone)).Concat().Any();
if(Trades.IsEmpty() && !hasOrders) {
TradeConditionsEval()
.DistinctUntilChanged(td => td)
.Where(td => td.HasUp())
.Take(1)
.ForEach(_ => {
var pos = TradingRatio.ToInt();
Log = new Exception($"{nameof(StrategyLong)}:{nameof(am.OpenTrade)}:{new { Pair }}");
var p = CurrentPrice.Bid;
am.OpenTrade(Pair, pos, p, CalculateTakeProfit(), true, ServerTime.AddMinutes(10));
});
}
});
private void StrategyShortStraddle() => UseAccountManager(am => {
var straddles = OpenStraddles(am);
var hasOrders = am.UseOrderContracts(ocs => ocs.Where(o => !o.isDone)).Concat().Any();
if(straddles.IsEmpty() && !hasOrders) {
TradeConditionsEval()
.DistinctUntilChanged(td => td)
.Where(td => td.HasUp())
.Take(1)
.ForEach(_ => {
var pos = -TradingRatio.ToInt();
CurrentStraddle?.ForEach(p => {
Log = new Exception($"{nameof(StrategyShortStraddle)}:{nameof(am.OpenTrade)}:{new { p.combo.contract, pos, Thread.CurrentThread.ManagedThreadId }}");
am.OpenTrade(p.combo.contract, pos, p.ask, 0.2, true, ServerTime.AddMinutes(10));
});
});
}
});
void ScanRatesLengthByM1WaveAvg(bool doUseTotalMinutes, Func <TradingMacro, IEnumerable <WaveRange> > getWr)
{
if (BarPeriod != BarsPeriodType.t1)
{
throw new Exception("ScanRatesLengthByM1Wave is only supported for BarsPeriodType." + BarsPeriodType.t1);
}
try {
(from tm in TradingMacroOther()
let wr = getWr(tm)
where wr != null
let distMin = InPoints(wr.Where(w => w != null).Average(w => w.Distance))
let dateMin = wr.Select(w => w.TotalMinutes).OrderByDescending(m => m).Take(1).Select(m => ServerTime.AddMinutes(-m))
from dates in tm.UseRatesInternal(rates => rates.BackwardsIterator()
.Distances(_priceAvg).SkipWhile(t => t.Item2 < distMin)
.Select(t => t.Item1.StartDate)
.Take(1)
.Concat(dateMin.Where(_ => doUseTotalMinutes))
.Concat(tm.WaveRanges.Take(1).Select(wr => wr.StartDate))
.OrderBy(d => d)
.Take(1))
from date in dates
from counts in UseRatesInternal(rates => rates.FuzzyIndex(date, (d, r1, r2) => d.Between(r1.StartDate, r2.StartDate)))
from count in counts
select RatesInternal.Count - count
).ForEach(count => BarsCountCalc = count.Max(BarsCount));
} catch (Exception exc) {
Log = exc;
}
}
