//homes of the strategy
private void OnInstrumentUpdate(Tick m_Tick)
{
//Debug::WriteLine( m_Tick.Price );
//Add the tick object to the SortedList.
m_TickList.Add(m_Tick);
m_LongMA = 0;
m_ShortMA = 0;
if (m_Go)
{
// If we already have a position on, and have either met our target or stop price, get out.
if (m_Position > 0 && (m_Tick.Price > m_Target || m_Tick.Price < m_Stop))
{
bool m_Bool = m_Instrument.EnterOrder("S", m_Qty, "TARGET/STOP OUT");
}
if (m_Position < 0 && (m_Tick.Price < m_Target || m_Tick.Price > m_Stop))
{
bool m_Bool = m_Instrument.EnterOrder("B", m_Qty, "TARGET/STOP OUT");
}
if (m_TickList.Count > m_LongMATicks)
{
//Calculate the long moving average.
for (int x = m_TickList.Count - m_LongMATicks; x <= m_TickList.Count - 1; x++)
{
m_LongMA += m_TickList[x].Price;
}
m_LongMA /= m_LongMATicks;
//Calculate the short moving average.
for (int x = m_TickList.Count - m_ShortMATicks; x <= m_TickList.Count - 1; x++)
{
m_ShortMA += m_TickList[x].Price;
}
m_ShortMA /= m_ShortMATicks;
// First time only and on reset, set initial state.
if (m_Start)
{
if (m_ShortMA > m_LongMA)
{
m_State = MA_State.ABOVE;
}
else
{
m_State = MA_State.BELOW;
}
m_Start = false;
}
// Has there been a crossover up?
if (m_ShortMA > m_LongMA && m_State == MA_State.BELOW)
{
// Change state.
m_State = MA_State.ABOVE;
// If we are already short, first get flat.
if (m_Position < 0)
{
m_Bool = m_Instrument.EnterOrder("B", m_Qty, "GET OUT");
}
// Go long.
m_Bool = m_Instrument.EnterOrder("B", m_Qty, "OPEN");
// Set target price and stop loss price.
m_Target = m_Tick.Price + m_TargetTicks * m_Instrument.TickSize();
m_Stop = m_Tick.Price - m_StopTicks * m_Instrument.TickSize();
}
// Has there been a crossover down?
if (m_ShortMA < m_LongMA && m_State == MA_State.ABOVE)
{
// Change state.
m_State = MA_State.BELOW;
// If we are already long, first get flat.
if (m_Position > 0)
{
m_Bool = m_Instrument.EnterOrder("S", m_Qty, "GET OUT");
}
// Go short.
m_Bool = m_Instrument.EnterOrder("S", m_Qty, "OPEN");
// Set target price and stop loss price.
m_Target = m_Tick.Price - m_TargetTicks * m_Instrument.TickSize();
m_Stop = m_Tick.Price + m_StopTicks * m_Instrument.TickSize();
}
}
}
//Send the data to the GUI.
OnSystemUpdate(m_Tick.Price, m_Tick.Qty, m_LongMA, m_ShortMA, m_Target, m_Stop);
}
private void OnNotifyUpdate(InstrNotifyClass pNotify, InstrObjClass pInstr)
{
Tick m_Tick = new Tick(DateTime.Now, Convert.ToDouble(pInstr.get_Get("LAST")), Convert.ToDouble(pInstr.get_Get("LASTQTY")));
OnInstrumentUpdate(m_Tick);
}