private void OnBarUpdateMain()
{
Print("-------------------");
ZigZagUpdateOnBar();
if (lowBarPeriod == 0 || highBarPeriod == 0)
{
return;
}
if (highBarPeriod > lowBarPeriod)
{
isTrendOnPeriodDown = false;
startBar = lowBarPeriod - 1 - LeftZigZag;
endBar = highBarPeriod - 1 + RightZigZag;
}
else
{
isTrendOnPeriodDown = true;
startBar = highBarPeriod - 1 - LeftZigZag;
endBar = lowBarPeriod - 1 + RightZigZag;
}
periodOfCalculate = endBar - startBar;
if (startBar < endBar && isChangePeriod)
{
sellLevelPrice = GetLowOrHighPriceOfBar(true, startBar, endBar);
buyLevelPrice = GetLowOrHighPriceOfBar(false, startBar, endBar);
zigZagDiapasone.BuyLevel = buyLevelPrice;
zigZagDiapasone.SellLevel = sellLevelPrice;
zigZagDiapasone.LowZigZag = lowZigZagPrice;
zigZagDiapasone.HighZigZag = highZigZagPrice;
Print("zigZagDiapasone.BuyLevel " + zigZagDiapasone.BuyLevel);
Print("zigZagDiapasone.SellLevel " + zigZagDiapasone.SellLevel);
Print("zigZagDiapasone.LowZigZag " + zigZagDiapasone.LowZigZag);
Print("zigZagDiapasone.HighZigZag " + zigZagDiapasone.HighZigZag);
dailyData.ZigZagDiapasoneList.Add(zigZagDiapasone);
zigZagDiapasone = new ZigZagDiapasone(5);
isChangePeriod = false;
}
}
/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
CalculateOnBarClose = true;
//zigzag
zigZagHighSeries = new DataSeries(this, MaximumBarsLookBack.Infinite);
zigZagHighZigZags = new DataSeries(this, MaximumBarsLookBack.Infinite);
zigZagLowSeries = new DataSeries(this, MaximumBarsLookBack.Infinite);
zigZagLowZigZags = new DataSeries(this, MaximumBarsLookBack.Infinite);
Add(PeriodType.Tick, 1);
Add(PeriodType.Day, 1);
historyData = new HistoryData(SaveZigZagDaysOnHistory);
dailyData = new DailyData(Time[0]);
zigZagDiapasone = new ZigZagDiapasone(5);
onBarData = new OnBarData(0);
priceVolume = new PriceVolume();
}
protected override void OnStartUp()
{
//zigzag
zigZagHighSeries = new DataSeries(this, MaximumBarsLookBack.Infinite);
zigZagHighZigZags = new DataSeries(this, MaximumBarsLookBack.Infinite);
zigZagLowSeries = new DataSeries(this, MaximumBarsLookBack.Infinite);
zigZagLowZigZags = new DataSeries(this, MaximumBarsLookBack.Infinite);
historyData = new HistoryData(SaveZigZagDaysOnHistory);
dailyData = new DailyData(Time[0]);
zigZagDiapasone = new ZigZagDiapasone(AddTicksForOrderLevel * TickSize, CurrentBars[0]);
barData = new BarData(0, Time[0]);
//Log
logger = new Logger(LogType.Console, IsLogEnabled);
}
public void AddZigZagDiapasone(ZigZagDiapasone zigZagDiapasone)
{
ZigZagDiapasoneList.Add(zigZagDiapasone);
}
private void EnterOrders(string order1, string order2, double price, double previousPrice, OrderAction orderAction, ZigZagDiapasone zigZag)
{
Log("Текущая цена: " + price);
Log("Предыдущая цена: " + previousPrice);
{
if (orderAction == OrderAction.BUY)
{
EnterLong(order1);
EnterLong(order2);
Log("OrderAction.Buy");
isBuyOrder = true;
Log(zigZag.ToString(OrderAction.BUY));
zigZag.BuyZigZagDiapasone.DeleteZigZagDiapasone();
Log(zigZag.ToString(OrderAction.BUY));
}
else if (orderAction == OrderAction.SELL)
{
EnterShort(order1);
EnterShort(order2);
Log("OrderAction.Sell");
isSellOrder = true;
Log(zigZag.ToString(OrderAction.SELL));
zigZag.SellZigZagDiapasone.DeleteZigZagDiapasone();
Log(zigZag.ToString(OrderAction.SELL));
}
startOrderPrice = price;
SetProfitTarget(order1, CalculationMode.Ticks, ProfitTargetLarge);
SetProfitTarget(order2, CalculationMode.Ticks, ProfitTargetSmall);
SetStopLoss(order1, CalculationMode.Ticks, StopLoss, false);
SetStopLoss(order2, CalculationMode.Ticks, StopLoss, false);
}
}
protected override void OnBarUpdate()
{
if (CurrentBars[0] < 5 && CurrentBars[1] < 5 && CurrentBars[2] < 5)
{
// return;
}
if (BarsInProgress == 0)
{
indexBar = CurrentBars[0];
previousLowBarApex = Lows[0][0];
previousHighBarApex = Highs[0][0];
Log("CurrentBar -> " + indexBar);
ZigZagUpdateOnBar();
if (lowBarPeriod == 0 || highBarPeriod == 0)
{
return;
}
Log("==================================================");
Log("------Старт Обработки дефолтного таймфрейма-------");
smaLine = SMA(SMAPeriod)[0];
Log("Дневная валотильность: " + middleValot);
Log("Текущая цена SMA линии -> " + smaLine);
double procentOfMiddleValot = middleValot * ProcentFromMiddleValot / 100;
lowLineRSIAnalog = smaLine - procentOfMiddleValot;
highLineRSIAnalog = smaLine + procentOfMiddleValot;
Log("Уровень RSIA на покупку: " + lowLineRSIAnalog);
Log("Уровень RSIA на продажу: " + highLineRSIAnalog);
if (highBarPeriod > lowBarPeriod)
{
isTrendOnPeriodDown = false;
startBar = lowBarPeriod - 1 - LeftZigZag;
endBar = highBarPeriod - 1 + RightZigZag;
}
else
{
isTrendOnPeriodDown = true;
startBar = highBarPeriod - 1 - LeftZigZag;
endBar = lowBarPeriod - 1 + RightZigZag;
}
if (startBar < endBar && isChangePeriod)
{
sellLevelPrice = GetLowOrHighPriceOfBar(true, startBar, endBar);
buyLevelPrice = GetLowOrHighPriceOfBar(false, startBar, endBar);
zigZagDiapasone.AddedDateTime = Time[0];
zigZagDiapasone.BuyZigZagDiapasone.Level = buyLevelPrice;
zigZagDiapasone.SellZigZagDiapasone.Level = sellLevelPrice;
zigZagDiapasone.BuyZigZagDiapasone.ZigZagApex = lowZigZagPrice;
zigZagDiapasone.SellZigZagDiapasone.ZigZagApex = highZigZagPrice;
zigZagDiapasone.HighApexPrice = Highs[0][CurrentBars[0] - highBarPeriod + 1];
zigZagDiapasone.LowApexPrice = Lows[0][CurrentBars[0] - lowBarPeriod + 1];
Log(zigZagDiapasone.ToString());
if (IsChangePriceAfterLastZigZagApexEnabled)
{
lastCompletedZigZagApexPriceDistance = 0;
int zigZagIndex = 0;
foreach (DailyData day in historyData.DailyDataList.Reverse <DailyData>())
{
foreach (ZigZagDiapasone zigZag in day.ZigZagDiapasoneList.Reverse <ZigZagDiapasone>())
{
if (zigZagIndex <= ChangePriceAfterZigZagCount)
{
lastCompletedZigZagApexPriceDistance = lastCompletedZigZagApexPriceDistance + zigZag.DifferenceBetweenApex;
zigZagIndex++;
Log("zigZag.DifferenceBetweenApex -> " + zigZag.DifferenceBetweenApex);
}
else
{
break;
break;
}
}
}
Log("lastCompletedZigZagApexPriceDistance -> " + lastCompletedZigZagApexPriceDistance);
Log("zigZagIndex -> " + zigZagIndex.ToString());
lastCompletedZigZagApexPriceDistance = lastCompletedZigZagApexPriceDistance / zigZagIndex;
Log("lastCompletedZigZagApexPriceDistance after-> " + lastCompletedZigZagApexPriceDistance);
if (isTrendOnPeriodDown)
{
lastApexPrice = zigZagDiapasone.HighApexPrice;
}
else if (!isTrendOnPeriodDown)
{
lastApexPrice = zigZagDiapasone.LowApexPrice;
}
}
Log("Добавлен новый уровень на покупку: " + zigZagDiapasone.ToString(OrderAction.BUY));
Log("Добавлен новый уровень на продажу: " + zigZagDiapasone.ToString(OrderAction.SELL));
dailyData.AddZigZagDiapasone(zigZagDiapasone);
zigZagDiapasone = new ZigZagDiapasone(AddTicksForOrderLevel * TickSize, CurrentBars[0]);
isChangePeriod = false;
}
Log("Текущие уровни для входа в сделки: " + dailyData.ZigZagDiapasoneList.Count);
foreach (DailyData daily in historyData.DailyDataList)
{
foreach (ZigZagDiapasone zigzag in daily.ZigZagDiapasoneList)
{
Log(zigzag.ToString());
}
}
dailyData.OnBarDataList.Add(barData);
barData = new BarData(CurrentBar, Time[0]);
Log("------Конец Обработки дефолтного таймфрейма-------");
Log(Time[0].ToString());
Log("==================================================");
}
if (BarsInProgress == 1)
{
double openPrice = Opens[1][0];
_previousPrice = _price;
_price = openPrice;
BuyOrSell(_price, _previousPrice, CurrentBars[0]);
}
if (BarsInProgress == 2)
{
Log("================================================");
Log("------Старт Обработки Дневного таймфрейма-------");
historyData.AddDaylyZigZag(dailyData);
Log("Дней сохранено в истории: " + historyData.DailyDataList.Count);
middleValot = 0;
for (int i = 0; i < DayOfSMAValot; i++)
{
middleValot = middleValot + Highs[2][i] - Lows[2][i];
}
middleValot = middleValot / DayOfSMAValot;
dailyData = new DailyData(Time[0]);
Log("Дневная валотильность: " + middleValot);
Log("------Конец Обработки Дневного таймфрейма-------");
Log(Time[0].ToString());
Log("================================================");
}
}
