/// <summary>Strategy step</summary>
protected override void Step()
{
var price = Instrument.LatestPrice;
var mcs = Instrument.MCS;
var slope = MACD.FirstDerivative(0) / Instrument.PipSize;
// Hold a trade in the direction of the MACD slope
// Use hysteresis to switch
var position = Positions.FirstOrDefault();
if (position == null)
{
if (Math.Abs(slope) > SlopeThreshold)
{
var sign = Math.Sign(slope);
var vol = Instrument.Symbol.VolumeMin;
var trade = new Trade(Instrument, CAlgo.SignToTradeType(sign), Label, price.Price(sign), null, null, vol);
Broker.CreateOrder(trade);
}
}
else if (Instrument.NewCandle)
{
var sign = position.Sign();
if (Math.Abs(slope) < SlopeThreshold - Hysteresis)
{
Broker.ClosePosition(position, "{0} - Slope Changed".Fmt(R <Rylobot_MACD> .NameOf));
}
}
}
/// <summary>Increase the position size of winning trades</summary>
private void IncreasePosition()
{
var mcs = Instrument.MCS;
var price = Instrument.LatestPrice;
foreach (var set in PositionSets.Values)
{
// Base position increases off the initial position
// The initial position may be closed just before the other positions (hence null is possible)
var pos0 = Positions.FirstOrDefault(x => x.Id == set[0]);
if (pos0 == null)
{
continue;
}
var sign = pos0.Sign();
// Get the positions at are the increases
var positions = Positions.Where(x => set.Contains(x.Id) && x.Sign() == sign).ToArray();
if (positions.Length >= MaxPositionsPerSet)
{
continue;
}
// Get the initial entry price
var initial_ep = pos0.EntryPrice;
// Get the level the price needs to have crossed
var ep = initial_ep + sign * positions.Length * mcs * PositionIncreaseStep;
// Add to the position every if 'ep' is crossed
if (Math.Sign(price.Price(sign) - ep) == sign)
{
Dump();
// Adjust the SL on existing trades
foreach (var pos in positions)
{
var adj_sl = pos.StopLoss + sign * mcs * PositionIncreaseStep;
Broker.ModifyOrder(Instrument, pos, sl: adj_sl);
}
// Add to the position
var sl = ep - sign * mcs * SLFrac;
var vol = Broker.ChooseVolume(Instrument, mcs, risk: Risk / MaxPositionsPerSet);
var trade = new Trade(Instrument, CAlgo.SignToTradeType(sign), Label, ep, sl, pos0.TakeProfit, vol, comment: pos0.Comment);
Broker.CreateOrder(trade);
}
}
}
/// <summary>Called when new data is received</summary>
public override void Step()
{
base.Step();
if (Instrument.NewCandle || Positions.Any() || PendingOrders.Any())
{
Dump();
}
var sign0 = Math.Sign(EMA0[0].CompareTo(EMA1[0]));
var sign1 = Math.Sign(EMA0[-1].CompareTo(EMA1[-1]));
var order = PendingOrders.FirstOrDefault();
var position = Positions.FirstOrDefault();
// Cancel or close positions/orders that are against the trend
if (order != null && order.Sign() != sign0)
{
Broker.CancelPendingOrder(order);
order = null;
}
if (position != null && position.Sign() != sign0)
{
Broker.CloseAt(Instrument, position, EMA0[0]);
}
// Look for EMA crosses
if (sign0 != sign1)
{
var mcs = Instrument.MCS;
var price = EMA0[0] - sign0 * Instrument.Spread;
if (order == null || Math.Abs(order.TargetPrice - price) > 2)
{
// Cancel any previous pending orders
Broker.CancelAllPendingOrders(Label);
// Create a pending order at the cross price
var sl = price - sign0 * mcs * 5;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(price - sl), risk: Risk);
var trade = new Trade(Instrument, CAlgo.SignToTradeType(sign0), Label, price, sl, null, vol);
Broker.CreatePendingOrder(trade);
}
}
}
protected override void OnPositionOpened(Position position)
{
// Prevent positions being entered on the same bulge
EntryCooldown = NonIntersectingCount;
{ // Adjust the stop loss to allow for slip
var mcs = Instrument.MCS;
var sign = position.Sign();
var ep = position.EntryPrice;
var sl = ep - sign * mcs * SLFrac;
Broker.ModifyOrder(Instrument, position, sl: sl);
}
// If the main position of a position set opens, create a pending order in the opposite direction.
// This is designed to catch the case when we choose a break-out trade but it's actually a reversal, or visa-versa.
var id = Guid_.Parse(position.Comment);
if (id != null && PositionSets[id.Value].Count == 1)
{
var mcs = Instrument.MCS;
var sign = -position.Sign();
var tt = CAlgo.SignToTradeType(sign);
var rel = Math.Abs(position.EntryPrice - position.StopLoss.Value) * 0.75;
var ep = MA0[0] + sign * rel;
var sl = ep - sign * mcs * SLFrac;
var tp = (QuoteCurrency?)null;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk: Risk);
var trade = new Trade(Instrument, tt, Label, ep, sl, tp, vol, comment: Guid.NewGuid().ToString())
{
Expiration = Instrument.ExpirationTime(2)
};
Broker.CreatePendingOrder(trade);
}
// Close positions if there is a breakout in the wrong direction
PositionManagers.Add(new PositionManagerBreakOut(this, position, CloseBreakoutPeriods, only_if_in_profit: true));
// Close positions when they fail to make new peaks
PositionManagers.Add(new PositionManagerTopDrop(this, position, CloseTopDropCount, only_if_in_profit: true));
// Close positions when there's a steady stream of adverse candles
PositionManagers.Add(new PositionManagerAdverseCandles(this, position, CloseAdverseCount));
}
/// <summary>Strategy step</summary>
protected override void Step()
{
// Look for trade entry
var sets_count = PositionSets.Count + PendingOrders.Count();
if (sets_count < MaxPositionSets && EntryCooldown == 0)
{
var mcs = Instrument.MCS;
{
var sign = -1;
var ep = Donchian[0, Bot];
var tt = CAlgo.SignToTradeType(sign);
var sl = ep - sign * mcs * SLFrac;
var tp = (QuoteCurrency?)null;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk: Risk);
var trade = new Trade(Instrument, tt, Label, ep, sl, tp, vol, comment: Guid.NewGuid().ToString())
{
Expiration = Instrument.ExpirationTime(1)
};
Broker.CreatePendingOrder(trade);
}
{
var sign = +1;
var ep = Donchian[0, Top];
var tt = CAlgo.SignToTradeType(sign);
var sl = ep - sign * mcs * SLFrac;
var tp = (QuoteCurrency?)null;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk: Risk);
var trade = new Trade(Instrument, tt, Label, ep, sl, tp, vol, comment: Guid.NewGuid().ToString())
{
Expiration = Instrument.ExpirationTime(1)
};
Broker.CreatePendingOrder(trade);
}
EntryCooldown = 1;
}
}
/// <summary>Called when new data is received</summary>
public override void Step()
{
base.Step();
if (Instrument.NewCandle)
{
Dump();
}
var mcs = Instrument.MCS;
var price = Instrument.LatestPrice;
var trend_sign_slow = TrendSignSlow;
var trend_sign_fast = TrendSignFast;
// On a significantly extreme price level, buy/sell
// For opening positions, use Bid when the price is high, Ask when the price is low.
var sign = -ProbSign;
var prob = Prob(sign);
if (Math.Abs(prob) > OpenPositionProb)
{
// Todo:
// The TrendSignFast is preventing trades being taken
// If this worked it would offset the bad trades at MA crosses
Dump();
// Buy the lows, Sell the highs
var ep = Instrument.CurrentPrice(sign);
var risk = Risk / 2; // Divide the risk amongst the number of positions that can be opened (1 in each direction)
Debugging.Trace("Entry Trigger - {0} - prob={1:N3}".Fmt(sign > 0 ? "Buy" : "Sell", prob));
Debugging.Trace(" FastTrend = {0}, SlowTrend = {1}".Fmt(trend_sign_fast, trend_sign_slow));
for (;;)
{
// Only allow one trade in each direction using this method
if (Positions.Count(x => x.Sign() == sign) != 0)
{
Debugging.Trace(" -Position with this sign already exists");
break;
}
Debugging.Trace(" +No existing {0} position".Fmt(sign));
// Only open positions in the direction of the trend
if (sign == -trend_sign_fast)
{
Debugging.Trace(" -Against the trend ({0})".Fmt(trend_sign_fast));
break;
}
Debugging.Trace(" +Not against the trend ({0} vs. {1})".Fmt(sign, trend_sign_fast));
// Don't open positions too close together
if (Broker.NearbyPositions(Label, ep, Instrument.MCS * MinTradeSeparation, sign))
{
Debugging.Trace(" -Nearby trades with the same sign ({0})".Fmt(sign));
break;
}
Debugging.Trace(" +No nearby trades with the same sign ({0})".Fmt(sign));
// Only open positions when the recent price has been heading in the direction we want to trade
var price_trend = Instrument.HighRes.FirstDerivative(-1) / Instrument.PipSize;
if (Math.Sign(price_trend) == -sign)
{
Debugging.Trace(" -Price trend ({0:N3}) against trade sign ({1})".Fmt(price_trend, sign));
break;
}
Debugging.Trace(" +Price trend ({0:N3} pips/tick) matches trade sign ({1})".Fmt(price_trend, sign));
// Don't open a position if the MA's look like they're about to cross
// in a direction that would make the trade against the trend.
var next_cross_idx = NextCrossIndex;
var ma_cross_sign = MA0[0].CompareTo(MA1[0]);
if (next_cross_idx != null && next_cross_idx.Value < 2.5 && ma_cross_sign == sign)
{
Debugging.Trace(" -MA cross predicted in {0:N3} candles".Fmt(next_cross_idx.Value));
break;
}
Debugging.Trace(" +No MA cross from {0} to {1} predicted soon ({2})".Fmt(ma_cross_sign, -ma_cross_sign, next_cross_idx != null ? ((double)next_cross_idx.Value).ToString("N3") : ">5"));
// Choose a SL based on SnR levels and the slow MA
var rel = Math.Abs(ep - MA1[0]) + mcs;
// Create the positions
var tt = CAlgo.SignToTradeType(sign);
var sl = ep - sign * rel;
var tp = ep + sign * rel * 1.5;
var vol = Broker.ChooseVolume(Instrument, rel, risk: risk);
var trade = new Trade(Instrument, tt, Label, ep, sl, tp, vol, result: Trade.EResult.Open);
//Debugging.LogTrade(trade);
Broker.CreateOrder(trade);
break;
}
}
}
protected override void Step()
{
// Look for trade entry
var sets_count = PositionSets.Count + PendingOrders.Count();
if (sets_count < MaxPositionSets && EntryCooldown == 0)
{
var mcs = Instrument.MCS;
var price = Instrument.LatestPrice;
var trend_sign = Math.Sign(MA0[0].CompareTo(MA1[0]));
for (;;)
{
if (Math.Abs(MA1[0] - MA0[0]) < 0.5 * mcs)
{
break;
}
{
var sign = trend_sign;
var ep = MA1[0];
var tt = CAlgo.SignToTradeType(sign);
var sl = ep - sign * mcs * SLFrac;
var tp = MA0[0]; //(QuoteCurrency?)null;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk: Risk);
var trade = new Trade(Instrument, tt, Label, ep, sl, tp, vol)
{
Expiration = Instrument.ExpirationTime(1)
};
Broker.CreatePendingOrder(trade);
break;
}
}
//var dist_ask = MA0[0] - price.Ask;
//var dist_bid = price.Bid - MA0[0];
//var trend0 = ((Monic)MA0.Extrapolate(1, 5).Curve).A;
//var trend1 = Instrument.EMASlope(0);
// //((Monic)MA1.Extrapolate(1, 5).Curve).A;
//// Bias the price distance from the MA by the trend
//dist_ask += trend0 * TrendWeight;
//dist_bid -= trend0 * TrendWeight;
//if (dist_ask > OpenDistance*mcs && Math.Sign(trend1) > 0)
//{
// var sign = +1;
// var ep = price.Ask;
// var tt = TradeType.Buy;
// var sl = ep - sign * mcs * SLFrac;
// var tp = (QuoteCurrency?)null;
// var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk:Risk);
// var trade = new Trade(Instrument, tt, Label, price.Ask, sl, tp, vol);
// Broker.CreateOrder(trade);
//}
//if (dist_bid > OpenDistance*mcs && Math.Sign(trend1) < 0)
//{
// var sign = -1;
// var ep = price.Bid;
// var tt = TradeType.Sell;
// var sl = ep - sign * mcs * SLFrac;
// var tp = (QuoteCurrency?)null;
// var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk:Risk);
// var trade = new Trade(Instrument, tt, Label, price.Bid, sl, tp, vol);
// Broker.CreateOrder(trade);
//}
}
// Break point helper
if (Instrument.NewCandle)
{
Dump();
}
}
protected override void Step()
{
if (!Instrument.NewCandle)
{
return;
}
// Look for trade entry
var sets_count = PositionSets.Count + PendingOrders.Count();
if (sets_count < MaxPositionSets && EntryCooldown == 0)
{
// Wait for a Doji candle
var mcs = Instrument.MCS;
var A = Instrument[-1];
var a_type = A.Type(mcs);
if (!a_type.IsIndecision())
{
return;
}
// Look for strong trade direction indications
var trade_sign = (int?)null;
for (;;)
{
// Divergent extrapolation
var q0 = (Quadratic)MA0.Future.Curve;
var q1 = (Quadratic)MA1.Future.Curve;
var intersect = Maths.Intersection(q0, q1);
if (Math.Sign(q0.A) != Math.Sign(q1.A) || intersect.Length == 0) // || intersect.FirstOrDefault() >= 0)
{
break;
}
trade_sign = Math.Sign(q0.A);
break;
}
// Look for Marubozu followed by doji
for (;;)
{
// Find the preceding non-doji
var i = -2;
var B = Instrument[i];
var b_type = B.Type(mcs);
for (; i > Instrument.IdxFirst && b_type.IsIndecision(); --i, B = Instrument[i], b_type = B.Type(mcs))
{
}
if (!b_type.IsTrend())
{
break;
}
{
var sign = trade_sign ?? -B.Sign;
var ep = A.Close;
var tt = CAlgo.SignToTradeType(sign);
var sl = ep - sign * mcs * SLFrac;
var tp = ep + sign * mcs * SLFrac * 4;
//var tp = (QuoteCurrency?)null;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk: Risk);
var trade = new Trade(Instrument, tt, Label, ep, sl, tp, vol)
{
Expiration = Instrument.ExpirationTime(1)
};
Broker.CreateOrder(trade);
Debugging.Trace(" -Doji followed by Marubozu");
return;
}
}
// Look for a strong candle trend followed by a hammer or inverted hammer
for (;;)
{
// Get the candle trend leading up to 'A'
var candle_trend = Instrument.MeasureTrendFromCandles(-3, -1);
if (Math.Abs(candle_trend) < 0.8)
{
break;
}
// Look for a hammer pattern
if (a_type == Candle.EType.Hammer && Math.Sign(candle_trend) > 0)
{
break;
}
if (a_type == Candle.EType.InvHammer && Math.Sign(candle_trend) < 0)
{
break;
}
{
var sign = trade_sign ?? -Math.Sign(candle_trend);
var ep = A.Close;
var tt = CAlgo.SignToTradeType(sign);
var sl = ep - sign * mcs * SLFrac;
var tp = ep + sign * mcs * SLFrac * 4;
//var tp = (QuoteCurrency?)null;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk: Risk);
var trade = new Trade(Instrument, tt, Label, ep, sl, tp, vol)
{
Expiration = Instrument.ExpirationTime(1)
};
Broker.CreateOrder(trade);
Debugging.Trace(" -{0} pattern".Fmt(a_type));
return;
}
}
//var trend_sign = Math.Sign(MA0[0].CompareTo(MA1[0]));
//var price_range = Instrument.PriceRange(i, 1).Inflate(1.05);
}
}
/// <summary>Strategy step</summary>
protected override void Step()
{
// MCS = 20-period EMA of the true range.
// 1-Unit = Volume for a 1xMCS move equalling 1% equity
// N-period break-out = the price exceeding the high or low of the last N periods.
// N-period exit = the price making a new N-period low (for long positions) or high (for short positions)
// System 1:
// Enter on 20-period break-out if the prior break-out was not a winner.
// Exit on 10-period break-out against the position.
// Open 1 unit at entry, and add 1 unit every 0.5*MCS above entry, move all stops to 2*MCS below
var price = Instrument.LatestPrice;
var mcs = Instrument.MCS;
var positions = Positions.ToArray();
if (positions.Length == 0)
{
// System 1 - look for a short period breakout
var tt = Instrument.IsBreakOut(System1_Entry);
if (tt != null)
{
var sign = tt.Value.Sign();
var ep = price.Price(sign);
var sl = ep - sign * mcs * StopLossFrac;
var vol = Broker.ChooseVolume(Instrument, 1 * mcs, risk: 1.0 / MaxPositions);
var trade = new Trade(Instrument, tt.Value, Label, ep, sl, null, vol);
// Enter if the last breakout was not a winner
// var last = BreakoutsHistory.LastOrDefault();
// if (last == null || last.NetProfit < 0)
{
Dump();
Broker.CreateOrder(trade);
ActiveBreakout = trade;
}
// else if (ActiveBreakout == null)
// {
// Dump();
//
// // Save each breakout, so we can tell if they are winners
// ActiveBreakout = trade;
// }
}
}
// Look to increase the position size
else if (positions.Length > 0 && positions.Length < MaxPositions)
{
var sign = positions[0].Sign();
// Get the initial entry price
var initial_ep = sign > 0 ? positions.Min(x => x.EntryPrice) : positions.Max(x => x.EntryPrice);
// Get the level the price needs to have crossed
var ep = initial_ep + sign * positions.Length * mcs * AddPositionFrac;
// Add to the position every AddPositionFrac*N gain
if (Math.Sign(Instrument.LatestPrice.Price(sign) - ep) == sign)
{
Dump();
var sl = ep - sign * mcs * StopLossFrac;
var vol = Broker.ChooseVolume(Instrument, 1 * mcs, risk: 1.0 / MaxPositions);
// Adjust the SL on existing trades
foreach (var pos in positions)
{
Broker.ModifyOrder(Instrument, pos, sl: pos.StopLoss + sign * mcs * AddPositionFrac);
}
// Add to the position
var trade = new Trade(Instrument, CAlgo.SignToTradeType(sign), Label, ep, sl, null, vol);
Broker.CreateOrder(trade);
}
}
// Simulate each active 'trade'
if (ActiveBreakout != null)
{
ActiveBreakout.Simulate(Instrument.LatestPrice);
// Look for exits on the simulated trade
var exit_tt = Instrument.IsBreakOut(System1_Exit);
if (exit_tt != null && ActiveBreakout.TradeType != exit_tt.Value)
{
Dump();
// Close any trades where 'exit_tt' is opposes the trade direction
ActiveBreakout.Close();
BreakoutsHistory.Add(ActiveBreakout);
ActiveBreakout = null;
}
}
}
protected override void Step()
{
// Look for trade entry
var sets_count = PositionSets.Count + PendingOrders.Count();
if (sets_count < MaxPositionSets && EntryCooldown == 0)
{
// Wait for a sequence of candles entirely above or below the MA
var price = Instrument.LatestPrice;
var mcs = Instrument.MCS;
// Look for a sequence of candles that are entirely above or below the MA
var bulge = FindBulges(0, MA0).FirstOrDefault();
if (bulge.Sign != 0 && Instrument.IdxLast - bulge.Range.End <= NonIntersectingCount)
{
Debugging.AreaOfInterest(bulge.Range, append: false);
// Decide the direction
int sign = 0;
//// Trade in the direction of the slow MA if it is trending strongly
//var ma_slope = MA1.FirstDerivative(0) / Instrument.PipSize;
//if (Math.Abs(ma_slope) > MATrendSlope)
//{
// sign = Math.Sign(ma_slope);
//}
//else
{
// Using measured stats of bulge sequences, the probabilities are:
// 0 = below the MA, 1 = above the MA
var next_bulge_sign = new []
{
-1, // 000: -0.168091168091168 (count=351)
+1, // 001: 0.224489795918367 (count=245)
-1, // 010: -0.069767441860465 (count=172)
+1, // 011: 0.158730158730159 (count=252)
-1, // 100: -0.195121951219512 (count=246)
+1, // 101: 0.139664804469274 (count=179)
-1, // 110: -0.217391304347826 (count=253)
+1, // 111: 0.064102564102564 (count=312)
};
// Include the current bulge because the trade triggers when this bulge closes
var bulge_signs = new List <int>();
FindBulges(0, MA0).Take(3).ForEach(b => bulge_signs.Insert(0, b.Sign)); // Careful with order
sign = next_bulge_sign[Bit.SignsToIndex(bulge_signs)];
}
{ // Create a pending order
var ep = MA0[0];
var tt = CAlgo.SignToTradeType(sign);
var sl = ep - sign * mcs * SLFrac; // Note: the SL needs to be big enough that a paired order is triggered before this trade is closed
var tp = (QuoteCurrency?)null;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk: Risk);
var trade = new Trade(Instrument, tt, Label, ep, sl, tp, vol, comment: Guid.NewGuid().ToString())
{
Expiration = Instrument.ExpirationTime(1)
};
Broker.CreatePendingOrder(trade);
}
EntryCooldown = 1;
}
}
// Increase position size on winning positions
//IncreasePosition();
// Break point helper
if (Instrument.NewCandle)
{
Dump();
}
}
/// <summary>Called when new data is received</summary>
public override void Step()
{
base.Step();
using (Broker.SuspendRiskCheck(ignore_risk: true))
{
const double TakeProfitFrac = 1.020;
const double ReverseFrac = 0.998;
Dump();
// The unit of volume to trade
var mcs = Instrument.MCS;
var ep = Instrument.LatestPrice.Mid;
var vol = Broker.ChooseVolume(Instrument, 5.0 * mcs);
// Open a trade in the direction of the trend
if (ProfitSign == 0)
{
Dump();
Debugging.Trace("Idx={0},Tick={1} - Setting profit sign ({2}) - Equity = ${3}".Fmt(Instrument.Count, Bot.TickNumber, TrendSign, Equity));
var tt = CAlgo.SignToTradeType(TrendSign);
var trade = new Trade(Instrument, tt, Label, ep, null, null, vol);
Broker.CreateOrder(trade);
LastEquity = Equity;
}
// While the profit direction is the same as the trend direction
// look for good spots to add hedged pending orders
if (ProfitSign == TrendSign)
{
// If the current price is at a SnR level, add pending orders on either side.
// Hopefully price will reverse at the SnR level and only trigger one of the pending orders.
// If price then reverses we can sell an existing profitable trade and be left with the
// profit direction going in the right direction
var snr = new SnR(Instrument, ep);
var lvl_above = snr.Nearest(ep, +1, min_dist: 0.5 * mcs, min_strength: 0.7);
var lvl_below = snr.Nearest(ep, -1, min_dist: 0.5 * mcs, min_strength: 0.7);
// Choose price levels for the pending orders
var above = lvl_above != null ? lvl_above.Price + 0.5 * mcs : ep + mcs;
var below = lvl_below != null ? lvl_below.Price - 0.5 * mcs : ep - mcs;
// Only recreate if necessary
if (!PendingOrders.Any(x => x.TradeType == TradeType.Buy && Maths.FEql(x.TargetPrice, above, 5 * Instrument.PipSize)) ||
!PendingOrders.Any(x => x.TradeType == TradeType.Sell && Maths.FEql(x.TargetPrice, below, 5 * Instrument.PipSize)))
{
Dump();
Debugging.Dump(snr);
Debugging.Trace("Idx={0},Tick={1} - Adjusting pending orders - Equity = ${2}".Fmt(Instrument.Count, Bot.TickNumber, Equity));
// Cancel any other pending orders further away than these too
Broker.CancelAllPendingOrders(Label);
var buy = new Trade(Instrument, TradeType.Buy, Label, above, null, null, vol);
var sel = new Trade(Instrument, TradeType.Sell, Label, below, null, null, vol);
Broker.CreatePendingOrder(buy);
Broker.CreatePendingOrder(sel);
}
}
// If the profit is against the Trend, do nothing until losing a fraction of last equity
if (ProfitSign != TrendSign && Equity < ReverseFrac * LastEquity)
{
Dump();
Debugging.Trace("Idx={0},Tick={1} - Changing profit sign to ({2}) - Equity = ${3}".Fmt(Instrument.Count, Bot.TickNumber, TrendSign, Equity));
var sign = -ProfitSign;
// Try to reverse the sign by closing profitable positions
foreach (var pos in Positions.Where(x => x.Sign() != sign && x.NetProfit > 0).OrderBy(x => - x.NetProfit).ToArray())
{
Broker.ClosePosition(pos);
// Break out when the profit direction has been reversed
if (ProfitSign == sign)
{
break;
}
}
// Couldn't reverse the sign by closing positions, open a new one
if (ProfitSign != sign)
{
var tt = CAlgo.SignToTradeType(sign);
var reverse_vol = Math.Abs(NetVolume) + vol;
var trade = new Trade(Instrument, tt, Label, ep, null, null, reverse_vol);
Broker.CreateOrder(trade);
}
LastEquity = Equity;
}
// If equity is greater than a threshold, take profits
if (Equity > TakeProfitFrac * LastEquity)
{
Dump();
Debugging.Trace("Idx={0},Tick={1} - Profit taking - Equity = ${2}".Fmt(Instrument.Count, Bot.TickNumber, Equity));
var sign = ProfitSign;
foreach (var pos in Positions.Where(x => x.Sign() == sign && x.NetProfit > 0).OrderBy(x => - x.NetProfit).ToArray())
{
if (pos.Volume >= Math.Abs(NetVolume))
{
continue;
}
Broker.ClosePosition(pos);
}
LastEquity = Equity;
}
}
}
