public override void WriteJson(JsonWriter writer, object value, JsonSerializer serializer)
{
var tm = value as TradingMacro;
if (tm != null)
{
var categories = TradingMacro.GetActiveSettings2(excludeNotStrategy, tm, (c, i) => new { c, i }, (n, v) => new { n, v }, (key, values) => new { key, values = values.ToArray() }).ToArray();
writer.WriteStartObject();
foreach (var category in categories.OrderBy(c => c.key.i).ThenBy(c => c.key.c))
{
writer.WriteWhitespace("\r\n");
writer.WriteComment(category.key.c);
foreach (var v in category.values.OrderBy(v => v.n))
{
writer.WritePropertyName(v.n);
serializer.Serialize(writer, v.v);
}
}
writer.WriteEndObject();
}
else
{
JToken t = JToken.FromObject(value);
if (t.Type != JTokenType.Object)
{
t.WriteTo(writer);
}
}
}
private static void SetCorrelations(TradingMacro tm, List <Rate> rates, CorridorStatistics csFirst, PriceBar[] priceBars)
{
var pbs = priceBars /*.Where(pb => pb.StartDate > csFirst.StartDate)*/.OrderBy(pb => pb.StartDate).Select(pb => pb.Power).ToArray();
var rs = rates /*.Where(r => r.StartDate > csFirst.StartDate)*/.Select(r => r.PriceAvg).ToArray();
tm.Correlation_P = global::alglib.pearsoncorrelation(pbs, rs);
tm.Correlation_R = global::alglib.spearmancorr2(pbs, rs, Math.Min(pbs.Length, rs.Length));
}
protected PriceBar[] FetchPriceBars(TradingMacro tradingMacro, int rowOffset, bool reversePower, DateTime dateStart)
{
var isLong = dateStart == DateTime.MinValue;
var rs = tradingMacro.UseRates(ra => ra.Where(r => r.StartDate >= dateStart).GroupTicksToRates()).Concat();
var ratesForDensity = (reversePower ? rs.OrderBarsDescending() : rs.OrderBars()).ToArray();
SetPriceBars(tradingMacro, isLong, ratesForDensity.GetPriceBars(TradesManager.GetPipSize(tradingMacro.Pair), rowOffset));
return(GetPriceBars(tradingMacro, isLong));
}
private static void OnCloseTradeLocal(IList<Trade> trades, TradingMacro tm) {
tm.BuyCloseLevel.InManual = tm.SellCloseLevel.InManual = false;
if(trades.Any(t => t.Pair == tm.Pair) && trades.Select(t => t.PL).DefaultIfEmpty().Sum() >= -tm.PriceSpreadAverage) {
tm.BuyLevel.CanTradeEx = tm.SellLevel.CanTradeEx = false;
if(!tm.IsInVirtualTrading && !tm.IsAutoStrategy)
tm.IsTradingActive = false;
}
if(tm.CurrentGrossInPipTotal > 0) {
tm.BuyLevel.CanTrade = tm.SellLevel.CanTrade = false;
if(!tm.IsInVirtualTrading)
tm.IsTradingActive = false;
}
}
void SyncStraddleHistoryT1(TradingMacro tm)
{
var zip = (from shs in UseStraddleHistory(straddleHistory =>
(from sh in straddleHistory
orderby sh.time
select new { bid = sh.bid, time = sh.time.ToLocalTime() }
).ToList())
from endDate in shs.BackwardsIterator().Take(1).Select(t => t.time.ToLocalTime())
from z in tm.UseRates(ra => ra.TakeWhile(r => r.StartDate <= endDate).Zip(r => r.StartDate, shs, sh => sh.time, (r, sh) => (r, sh)).ToArray())
from t in z
select t
).ToArray();
zip.ForEach(t => SetVoltage(t.r, t.sh.bid));
}
protected void SetPriceBars(TradingMacro tradingMacro, bool isLong, PriceBar[] priceBars)
{
if (!priceBarsDictionary.ContainsKey(tradingMacro))
{
priceBarsDictionary.Add(tradingMacro, new PriceBarsDuplex());
}
if (isLong)
{
priceBarsDictionary[tradingMacro].Long = priceBars;
}
else
{
priceBarsDictionary[tradingMacro].Short = priceBars;
}
}
protected override IList <JsonProperty> CreateProperties(Type type, MemberSerialization memberSerialization)
{
IList <JsonProperty> properties = base.CreateProperties(type, memberSerialization);
// only serializer properties that start with the specified character
var saveAttrs = new Type[] { typeof(DataMemberAttribute), typeof(WwwSettingAttribute) };
Func <PropertyInfo, bool> ok = pi => {
var attrs = pi.GetCustomAttributes().ToArray();
var should = (from a in attrs
join sa in saveAttrs on a.GetType() equals sa
select true);
return(should.Any());
};
var activeSettings = TradingMacro.GetActiveProprties(true, (pi, category) => new { pi, category });
return((from s in activeSettings
join p in properties on s.pi.Name equals p.PropertyName
orderby s.category, s.pi.Name
select p).ToList());
}
public CorridorStatistics(TradingMacro tm, List <Rate> rates, double stDev, double[] coeffs)
{
this.TradingMacro = tm;
Init(rates, stDev, coeffs, stDev, stDev, stDev * 2, stDev * 2, 0, 0);
}
protected void TradingMacrosCopy_Add(TradingMacro tm)
{
_tradingMacrosCopy.Add(tm);
ResetTradingMacros();
}
public static IEnumerable <TOut> GetActiveSettings2 <TKey, TValue, TOut>(bool excludeNotStrategy, TradingMacro tm, Func <string, int, TKey> grouper, Func <string, object, TValue> valuer, Func <TKey, IEnumerable <TValue>, TOut> outer)
{
var gr = MonoidsCore.ToFunc("", 0, (Category, s) => new { Category, s });
var type = typeof(TradingMacro);
var cat = type.GetPropertiesByAttibute(() => (CategoryAttribute)null, (c, pi) => new { c.Category, pi, s = 0 });
var dm = type.GetPropertiesByAttibute(() => (EdmScalarPropertyAttribute)null, (c, pi) => new { Category = "DataMember", pi, s = 1, key = c.EntityKeyProperty })
.Where(x => !x.key /*&& !IsMemberExcluded(x.pi.Name)*/)
.Select(x => new { x.Category, x.pi, x.s });
var nonStrategy = GetNotStrategyActiveSettings();
return
(from setting in cat.Concat(dm).Distinct(x => x.pi)
join ns in nonStrategy on setting.pi.Name equals ns into gss
where !excludeNotStrategy || gss.IsEmpty()
where IsNotDnr(setting.pi) && (!excludeNotStrategy || IsStrategy(setting.pi))
group setting by grouper(setting.Category, setting.s) into gs
select outer(gs.Key, gs.Select(v => valuer(v.pi.Name, v.pi.GetValue(tm, null))))
);
}
public static IEnumerable <string> GetActiveSettings(bool excludeNotStrategy, TradingMacro tm)
{
var type = typeof(TradingMacro);
var cat = type.GetPropertiesByAttibute(() => (CategoryAttribute)null, (c, pi) => new { c.Category, pi, s = 0 });
var dm = type.GetPropertiesByAttibute(() => (EdmScalarPropertyAttribute)null, (c, pi) => new { Category = "DataMember", pi, s = 1, key = c.EntityKeyProperty })
.Where(x => !x.key /*&& !IsMemberExcluded(x.pi.Name)*/)
.Select(x => new { x.Category, x.pi, x.s });
var nonStrategy = GetNotStrategyActiveSettings();
return
(from setting in cat.Concat(dm).Distinct(x => x.pi)
join ns in nonStrategy on setting.pi.Name equals ns into gss
where !(excludeNotStrategy && gss.Any())
where IsNotDnr(setting.pi) && (!excludeNotStrategy || IsStrategy(setting.pi))
group setting by new { setting.Category, setting.s } into g
orderby g.Key.s, g.Key.Category
from g2 in new[] { "//{0}//".Formater(g.Key.Category) }
.Concat(g
.Select(p => new { p, v = p.pi.GetValue(tm, null) })
.Where(x => x.v != null)
.Select(x => "{0}={1}".Formater(x.p.pi.Name, x.v))
.OrderBy(s => s))
.Concat(new[] { Lib.TestParametersRowDelimiter })
select g2);
}
private static void BroadcastCloseAllTrades(TradingMacro tm, Action<TradingMacro> onClose) {
GalaSoft.MvvmLight.Messaging.Messenger.Default.Send(new CloseAllTradesMessage<TradingMacro>(tm, onClose));
}
protected void TradingMacrosCopy_Delete(TradingMacro tm)
{
_tradingMacrosCopy.Remove(tm);
ResetTradingMacros();
}
protected IEnumerable <TradingMacro> GetTradingMacrosByGroup(TradingMacro tm, Func <TradingMacro, bool> predicate)
{
return(GetTradingMacrosByGroup(tm).Where(predicate));
}
protected PriceBar[] GetPriceBars(TradingMacro tradingMacro, bool isLong)
{
return(priceBarsDictionary.ContainsKey(tradingMacro) ? priceBarsDictionary[tradingMacro].GetPriceBars(isLong) : new PriceBar[0]);
}
protected PriceBar[] FetchPriceBars(TradingMacro tradingMacro, int rowOffset, bool reversePower)
{
return(FetchPriceBars(tradingMacro, rowOffset, reversePower, DateTime.MinValue));
}
protected IEnumerable <TradingMacro> GetTradingMacrosByGroup(TradingMacro tm)
{
return(TradingMacrosCopy.Where(tm1 => tm1.TradingGroup == tm.TradingGroup && tm.IsActive));
}