internal void ProcessSell(DateTime time, double bid, double ask, UnilateralTickCollection <DateTime> ticks)
{
KeyValuePair <DateTime, double>?whenTP = ticks.FirstEventWhenLessOrEqual(time, bid - m_tp);
AllCount++;
if (null == whenTP)
{
return;
}
Count++;
KeyValuePair <DateTime, double> when = (KeyValuePair <DateTime, double>)whenTP;
TimeSpan interval = when.Key - time;
double hours = interval.TotalHours;
Sum += hours;
Sum2 += hours * hours;
if (time == when.Key)
{
return;
}
double maximum = ticks.FindMaximum(time, when.Key);
maximum = maximum - bid;
Spread += maximum;
Spread2 += (maximum * maximum);
}
private void FirstEventWhenLessOrEqualTest(DateTime start, double threshold)
{
KeyValuePair <DateTime, double>?entry = m_ticks.FirstEventWhenLessOrEqual(start, threshold);
foreach (var element in m_items)
{
if (element.Key < start)
{
continue;
}
if (element.Value > threshold)
{
continue;
}
if (null == entry)
{
Assert.Fail("FirstEventWhenLessOrEqual is failed - null return value");
}
KeyValuePair <DateTime, double> item = (KeyValuePair <DateTime, double>)entry;
if (element.Key != item.Key)
{
Assert.Fail("FirstEventWhenLessOrEqual is failed - invalid time");
}
if (element.Value != item.Value)
{
Assert.Fail("FirstEventWhenLessOrEqual is failed - invalid value");
}
return;
}
if (null != entry)
{
Assert.Fail("FirstEventWhenLessOrEqual is failed - not null return value");
}
}
internal void ProcessSell(int time, double bid, double ask)
{
KeyValuePair <int, double>?whenTP = m_asks.FirstEventWhenLessOrEqual(time, bid - TakeProfit);
m_allCount++;
if (null == whenTP)
{
//AP it will be more fair
whenTP = m_asks.LastTick;
//return;
}
m_count++;
KeyValuePair <int, double> when = (KeyValuePair <int, double>)whenTP;
double interval = (when.Key - time) * this.TimeFactor;
m_timeSum += interval;
m_timeSum2 += interval * interval;
if (time < when.Key)
{
double maximum = m_asks.FindMaximum(time, when.Key);
maximum = maximum - bid;
m_lossSum += maximum;
m_lossSum2 += (maximum * maximum);
}
}
public int CalculateNextInterruption(int step)
{
//return step + 1;
int min = this.Ticks.Count - 1;
if (step == min)
{
return(step + 1);
}
bool isEmpty = true;
if (Orders.BuyLimits.Count > 0)
{
isEmpty = false;
KeyValuePair <int, double>?entry = AsksIndexCollection.FirstEventWhenLessOrEqual(step + 1, Orders.BuyLimits.Keys[0]);
if (entry != null)
{
min = Math.Min(min, entry.Value.Key);
}
}
if (Orders.BuyStops.Count > 0)
{
isEmpty = false;
KeyValuePair <int, double>?entry = AsksIndexCollection.FirstEventWhenMoreOrEqual(step + 1, Orders.BuyStops.Keys[0]);
if (entry != null)
{
min = Math.Min(min, entry.Value.Key);
}
}
if (Orders.SellLimits.Count > 0)
{
isEmpty = false;
KeyValuePair <int, double>?entry = BidsIndexCollection.FirstEventWhenMoreOrEqual(step + 1, Orders.SellLimits.Keys[0]);
if (entry != null)
{
min = Math.Min(min, entry.Value.Key);
}
}
if (Orders.SellStops.Count > 0)
{
isEmpty = false;
KeyValuePair <int, double>?entry = BidsIndexCollection.FirstEventWhenLessOrEqual(step + 1, Orders.SellStops.Keys[0]);
if (entry != null)
{
min = Math.Min(min, entry.Value.Key);
}
}
if (isEmpty)
{
return(step + 1);
}
return(min);
}