/// <summary>Watch for position closed</summary>
protected override void OnPositionClosed(Position position)
{
if (PosMgr != null && position == PosMgr.Position)
{
PosMgr = null;
}
}
/// <summary>Called when new data is received</summary>
public override void Step()
{
// Only on new candles
Position = FindLivePosition(Position);
if (!Instrument.NewCandle)
{
return;
}
if (Debugger.IsAttached)
{
Debugging.Dump(Instrument, high_res: 20.0, emas: new[] { 100 });
if (Instrument.Count == 230)
{
Debug.WriteLine("Break");
}
}
var sym = Instrument.Symbol;
var mcs = Instrument.MedianCandleSize(-10, 0);
var C0 = Instrument[0];
var C1 = Instrument[-1];
var C2 = Instrument[-2];
// One at a time
if (Position == null)
{
TradeType tt;
string msg;
// Look for a reversal
int reversal_direction;
QuoteCurrency target_entry;
if (!Instrument.IsCandlePattern(0, out reversal_direction, out target_entry))
{
return;
}
var preceeding_trend = Instrument.MeasureTrend(-10, 0);
var tt_confirmation = C1.Bullish ? TradeType.Buy : TradeType.Sell;
const double EmaSlopeToMCS = 20;
var ema = Bot.Indicators.ExponentialMovingAverage(Bot.MarketSeries.Close, 100);
var ema_slope = ema.Result.FirstDerivative(ema.Result.Count - 1) * EmaSlopeToMCS / mcs;
// If the EMA slope is flat, look for ranging
if (Math.Abs(ema_slope) < 1.0)
{
// Side of the EMA. Must be significantly to one side of the EMA
var dist = C1.Close - ema.Result.LastValue;
if (Math.Abs(dist) < mcs)
{
return;
}
tt = C1.Close < ema.Result.LastValue ? TradeType.Buy : TradeType.Sell;
msg = "{0} - ranging EMA. Slope = {1}, Distance = {2}".Fmt(tt, ema_slope, dist);
}
// Otherwise look for indecision near the EMA
else
{
var dist = C1.Close - ema.Result.LastValue;
if (Maths.Abs(dist) > mcs)
{
return;
}
tt = ema_slope > 0.0 ? TradeType.Buy : TradeType.Sell;
msg = "{0} - trending EMA. Slope = {1}, Dist = {2}".Fmt(tt, ema_slope, dist);
}
// Check the candle confirms the direction
if (tt != tt_confirmation)
{
return;
}
var sign = tt.Sign();
var rtr = new RangeF(1.0, 2.0);
var trade = new Trade(Bot, Instrument, tt, Label, rtr_range: rtr);
Bot.Print(msg);
Position = Bot.Broker.CreateOrder(trade);
PositionManager = new PositionManager(Instrument, Position);
}
else
{
PositionManager.Step();
}
}
// Trade management
// - Set SL past recent peaks / 00 levels
// - Close trade if signals change
/// <summary>Watch for pending order filled</summary>
protected override void OnPositionOpened(Position position)
{
PosMgr = new PositionManagerNervious(this, position);
}
/// <summary>Called when new data is received</summary>
public override void Step()
{
base.Step();
// Find the position associated with this strategy
Position = FindLivePosition(Position);
switch (State)
{
case EState.FindEntryTrigger:
#region
{
// In this state we're waiting for an entry trigger.
Debug.Assert(Position == null);
// Do nothing unless the conditions are right
if (SuitabilityScore < 0.5)
{
return;
}
if (Instrument.NewCandle)
{
Dump();
}
// Always trade with the trend
var sign = Math.Sign(Trend);
var tt = sign > 0 ? TradeType.Buy : TradeType.Sell;
// Look for a candle pattern that indicates entry
int forecast_direction;
QuoteCurrency target_entry;
if (!Instrument.IsCandlePattern(0, out forecast_direction, out target_entry) ||
forecast_direction != sign)
{
return;
}
// Switch to the 'EnterOnPullBack' state
State = EState.EnterOnPullBack;
TargetEntry = new TargetEntryData(target_entry, tt);
Dump();
break;
}
#endregion
case EState.EnterOnPullBack:
#region
{
if (Instrument.NewCandle)
{
Dump();
}
// In this state we're waiting for the price to pull back
// to the target entry. Check this on every tick.
var tt = TargetEntry.TT;
var cp = Instrument.CurrentPrice(tt.Sign());
if (Misc.Sign(cp - TargetEntry.Price) != tt.Sign())
{
var trade = new Trade(Bot, Instrument, tt, Label);
Position = Bot.Broker.CreateOrder(trade);
Dump();
}
break;
}
#endregion
case EState.ManagePosition:
#region
{
if (Instrument.NewCandle)
{
Dump();
}
// Manage a trade position
PositionManager.Step();
break;
}
#endregion
}
}