Ejemplo n.º 1
0
        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);
                }
            }
        }
Ejemplo n.º 2
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        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));
        }
Ejemplo n.º 3
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        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));
        }
Ejemplo n.º 4
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 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));
        }
Ejemplo n.º 6
0
 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;
     }
 }
Ejemplo n.º 7
0
            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());
            }
Ejemplo n.º 8
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 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);
 }
Ejemplo n.º 9
0
 protected void TradingMacrosCopy_Add(TradingMacro tm)
 {
     _tradingMacrosCopy.Add(tm);
     ResetTradingMacros();
 }
Ejemplo n.º 10
0
        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))))
                );
        }
Ejemplo n.º 11
0
        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);
        }
Ejemplo n.º 12
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 private static void BroadcastCloseAllTrades(TradingMacro tm, Action<TradingMacro> onClose) {
   GalaSoft.MvvmLight.Messaging.Messenger.Default.Send(new CloseAllTradesMessage<TradingMacro>(tm, onClose));
 }
Ejemplo n.º 13
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 protected void TradingMacrosCopy_Delete(TradingMacro tm)
 {
     _tradingMacrosCopy.Remove(tm);
     ResetTradingMacros();
 }
Ejemplo n.º 14
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 protected IEnumerable <TradingMacro> GetTradingMacrosByGroup(TradingMacro tm, Func <TradingMacro, bool> predicate)
 {
     return(GetTradingMacrosByGroup(tm).Where(predicate));
 }
Ejemplo n.º 15
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 protected PriceBar[] GetPriceBars(TradingMacro tradingMacro, bool isLong)
 {
     return(priceBarsDictionary.ContainsKey(tradingMacro) ? priceBarsDictionary[tradingMacro].GetPriceBars(isLong) : new PriceBar[0]);
 }
Ejemplo n.º 16
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 protected PriceBar[] FetchPriceBars(TradingMacro tradingMacro, int rowOffset, bool reversePower)
 {
     return(FetchPriceBars(tradingMacro, rowOffset, reversePower, DateTime.MinValue));
 }
Ejemplo n.º 17
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 protected IEnumerable <TradingMacro> GetTradingMacrosByGroup(TradingMacro tm)
 {
     return(TradingMacrosCopy.Where(tm1 => tm1.TradingGroup == tm.TradingGroup && tm.IsActive));
 }