/// <summary>Called when new data is received</summary>
public override void Step()
{
base.Step();
if (!Instrument.NewCandle)
{
return;
}
var position = Positions.FirstOrDefault();
if (position == null)
{
var snr = new SnR(Instrument, tf: TimeFrame.Hour8);
var mcs = Instrument.MCS;
// Look for price being near an SnR level
var price = Instrument.LatestPrice;
var near = snr.Nearest(price.Mid, 0);
if (near == null || Math.Abs(near.Price - price.Mid) > 0.5 * mcs)
{
return;
}
// Get the preceding trend
var trend = Instrument.MeasureTrendFromCandles(-5, 1);
}
}
/// <summary></summary>
protected override void StepCore()
{
// If the SL is on the winning side, let the trade run its course
var sl_rel = Position.StopLossRel();
if (sl_rel < 0)
{
return;
}
var mcs = Instrument.MCS;
var sign = Position.Sign();
var price = Instrument.LatestPrice;
var trend_sign_slow = Strategy.TrendSignSlow;
var trend_sign_fast = Strategy.TrendSignFast;
// If the position opposes the slow trend, try to close it at break even
if (sign == -trend_sign_slow && sign == -trend_sign_fast)
{
var cp = price.Price(-sign);
// Choose a SL based on SnR levels
var snr = new SnR(Instrument); Debugging.Dump(snr);
var near = snr.Nearest(cp, -sign, min_dist: mcs * 0.5);
var sl = near != null ? near.Price : cp - sign * mcs;
if (Math.Abs(sl - Position.EntryPrice) < sl_rel)
{
Broker.ModifyOrder(Instrument, Position, sl: sl);
Debugging.Trace(" +Position opposes the trend (trend={0}), closing at break even".Fmt(trend_sign_slow));
return;
}
}
// If the trade is better than RtR=1:1, and the close probability is high close the trade
// For closing positions, use Ask when the price is high, Bit when the price is low
var prob_sign = Strategy.ProbSign;
var prob = Strategy.Prob(prob_sign);
if (sign == prob_sign && Math.Abs(prob) > StrategyPriceDistribution.ClosePositionProb)
{
// If the price gradient is in the direction of the trade, don't close it
var d = Instrument.HighRes.FirstDerivative(-1);
if (Math.Sign(d) == sign)
{
return;
}
var min_profit = Instrument.Symbol.QuoteToAcct(sl_rel * Position.Volume);
if (Position.NetProfit > min_profit)
{
Debugging.Trace(" +Close Prob: {0}".Fmt(prob));
Broker.ClosePosition(Position);
}
}
}
/// <summary>
/// Update the 'Features' vector with values for the quality of a trade at 'CurrentIndex'.
/// Note: args.Candle is the candle at 'CurrentIndex'</summary>
protected override void UpdateFeatureValues(DataEventArgs args)
{
// Only make predictions on new candle events
if (!args.NewCandle)
{
return;
}
//// Get the candle in question
//var candle = Instrument[neg_idx];
//// Assume 'candle' has just opened, so the current price is the Open price
//var price = candle.Open;
//// Get the average candle size over the history window
//var mcs = Instrument.MeanCandleSize(neg_idx - HistoryWindow, neg_idx);
Features.Clear();
RSIFeatures();
CandlePatterns();
#if false
//{// Preceding candle data
// foreach (var c in Instrument.CandleRange(neg_idx - 3, neg_idx))
// {
// values.Add(c.Open );
// values.Add(c.High );
// values.Add(c.Low );
// values.Add(c.Close);
// }
//}
{ // Preceding trend
var trend = Instrument.MeasureTrend(neg_idx - 5, neg_idx);
values.Add(trend);
}
{ // SnR Levels
// Normalised Distance from the nearest SnR level.
// 'Near' means within the mean candle size of the SnR level
var snr = new SnR(Instrument, neg_idx - HistoryWindow, neg_idx);
var lvl = snr.SnRLevels.MinBy(x => Math.Abs(price - x.Price));
// Normalised distance based on the mean candle size with the candle centred on the SnR level
var d = Math.Abs(lvl.Price - price);
var dist = Math.Min(2 * d / mcs, 1.0);
values.Add(dist);
}
{ // EMA gradients
var ema = new[]
{
Bot.Indicators.ExponentialMovingAverage(Bot.MarketSeries.Close, 21),
Bot.Indicators.ExponentialMovingAverage(Bot.MarketSeries.Close, 55),
Bot.Indicators.ExponentialMovingAverage(Bot.MarketSeries.Close, 144),
};
for (var j = 0; j != ema.Length; ++j)
{
for (var i = 3; i-- != 0;)
{
var index = neg_idx - i - Instrument.FirstIdx;
var dp = ema[j].Result.FirstDerivative(index) / mcs;
var ddp = ema[j].Result.SecondDerivative(index) / mcs;
values.Add(dp);
values.Add(ddp);
}
}
}
{ // MACD
// At Buy points:
// - MACD (blue line) is negative
// - MACD is a minima
// - The histogram has a positive gradient (opposite to the MACD)
// - The gap between MACD and the signal line (red line) is large
// At Sell points:
// - inverse of buy
var macd = Bot.Indicators.MacdCrossOver(Bot.MarketSeries.Close, 26, 12, 9);
values.Add(macd.MACD.LastValue / mcs);
values.Add(macd.Histogram.LastValue / mcs);
var index = neg_idx - 1 - Instrument.FirstIdx;
var y1 = macd.MACD.FirstDerivative(index) / mcs;
var y2 = macd.MACD.SecondDerivative(index) / mcs;
values.Add(y1);
values.Add(y2);
var h1 = macd.Histogram.FirstDerivative(index) / mcs;
var h2 = macd.Histogram.SecondDerivative(index) / mcs;
values.Add(h1);
values.Add(h2);
}
{ // Bollinger Bands
// Buy signal when:
// - price touches the centre line during a rising trend
// Sell signal when:
// - price touches the upper band during a falling trend
// Also, the distance between upper/lower bands means something
var bb = Bot.Indicators.BollingerBands(Bot.MarketSeries.Close, 21, 2, MovingAverageType.Exponential);
var index = neg_idx - 1 - Instrument.FirstIdx;
var c1 = bb.Main.FirstDerivative(index) / mcs;
values.Add(c1);
// Signed distance from the upper/lower bands. Positive means outside the bands
var dist_upper = (price - bb.Top.LastValue) / (bb.Top.LastValue - bb.Main.LastValue);
var dist_lower = (bb.Bottom.LastValue - price) / (bb.Main.LastValue - bb.Bottom.LastValue);
values.Add(dist_upper);
values.Add(dist_lower);
var dist = (bb.Top.LastValue - bb.Bottom.LastValue) / mcs;
values.Add(dist);
}
return(values);
#endif
}
/// <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;
}
}
}