/// <summary>
/// Get signal for the bar
/// </summary>
/// <returns></returns>
protected SignalType GetSignal(int bar)
{
SignalType result = SignalType.None;
TradeRobotics.DataProviders.Quik.Dom.Order fatOrder = GetFatOrder(Date[bar]);
if (fatOrder == null ||
fatOrder == lastProcessedFatOrder ||
(Date[bar] - lastSignalTime).Minutes < 1
)
{
return(SignalType.None);
}
else if (fatOrder.OrderType == TradeRobotics.DataProviders.Quik.Dom.OrderType.Ask)
{
lastProcessedFatOrder = fatOrder;
lastSignalTime = Date[bar];
return(SignalType.Sell);
}
else if (fatOrder.OrderType == TradeRobotics.DataProviders.Quik.Dom.OrderType.Bid)
{
lastProcessedFatOrder = fatOrder;
lastSignalTime = Date[bar];
return(SignalType.Buy);
}
return(result);
}
/// <summary>
/// Constructor from DDE table
/// </summary>
/// <param name="table"></param>
public Level2(string symbol, object[][] table, DateTime time)
: this()
{
Symbol = symbol;
Time = time;
// Parse rows to bars
foreach (object[] row in table)
{
try
{
Order order = new Order(row);
Orders.Add(order);
}
catch (Exception ex)
{
// First row Exception when processing table with header
}
}
}
/// <summary>
/// Get order with largest volume
/// </summary>
/// <returns></returns>
protected TradeRobotics.DataProviders.Quik.Dom.Order GetFatOrder(DateTime time)
{
if (Level2History.Count == 0)
{
return(null);
}
// Get latest level 2
Level2 level2 = Level2History.LastOrDefault(curLevel2 => curLevel2.Time <= time);
if (level2 == null)
{
return(null);
}
TradeRobotics.DataProviders.Quik.Dom.Order firstRequest = new TradeRobotics.DataProviders.Quik.Dom.Order();
TradeRobotics.DataProviders.Quik.Dom.Order secondRequest = new TradeRobotics.DataProviders.Quik.Dom.Order();
foreach (TradeRobotics.DataProviders.Quik.Dom.Order request in level2.Orders)
{
if (request.Volume > firstRequest.Volume)
{
secondRequest = firstRequest;
firstRequest = request;
}
}
//double averageVolume = level2.Orders.Average(curLevel2 => curLevel2.Volume);
// If order is fat, return it
if (firstRequest.Volume >= secondRequest.Volume * fatOrderCriteria.Value)
{
return(firstRequest);
}
return(null);
}
/// <summary>
/// Get signal for the bar
/// </summary>
/// <returns></returns>
protected SignalType GetSignal(int bar)
{
SignalType result = SignalType.None;
TradeRobotics.DataProviders.Quik.Dom.Order fatOrder = GetFatOrder(Date[bar]);
if (fatOrder == null
|| fatOrder == lastProcessedFatOrder
|| (Date[bar] - lastSignalTime).Minutes <1
)
{
return SignalType.None;
}
else if (fatOrder.OrderType == TradeRobotics.DataProviders.Quik.Dom.OrderType.Ask)
{
lastProcessedFatOrder = fatOrder;
lastSignalTime = Date[bar];
return SignalType.Sell;
}
else if (fatOrder.OrderType == TradeRobotics.DataProviders.Quik.Dom.OrderType.Bid)
{
lastProcessedFatOrder = fatOrder;
lastSignalTime = Date[bar];
return SignalType.Buy;
}
return result;
}
/// <summary>
/// Get order with largest volume
/// </summary>
/// <returns></returns>
protected TradeRobotics.DataProviders.Quik.Dom.Order GetFatOrder(DateTime time)
{
if (Level2History.Count == 0)
return null;
// Get latest level 2
Level2 level2 = Level2History.LastOrDefault(curLevel2 => curLevel2.Time <= time);
if (level2 == null)
return null;
TradeRobotics.DataProviders.Quik.Dom.Order firstRequest = new TradeRobotics.DataProviders.Quik.Dom.Order();
TradeRobotics.DataProviders.Quik.Dom.Order secondRequest = new TradeRobotics.DataProviders.Quik.Dom.Order();
foreach(TradeRobotics.DataProviders.Quik.Dom.Order request in level2.Orders)
{
if (request.Volume > firstRequest.Volume)
{
secondRequest = firstRequest;
firstRequest = request;
}
}
//double averageVolume = level2.Orders.Average(curLevel2 => curLevel2.Volume);
// If order is fat, return it
if(firstRequest.Volume >= secondRequest.Volume * fatOrderCriteria.Value)
{
return firstRequest;
}
return null;
}