/// <summary>Called when new data is received</summary>
public override void Step()
{
base.Step();
if (!Instrument.NewCandle)
{
return;
}
var mcs = Instrument.MCS;
// If there is an existing position, wait for it to close
if (Positions.Count() >= MaxPositions)
{
return;
}
// If there is no price channel
if (Channel == null)
{
return;
}
// Cancel any pending orders and replace them with new ones based on this channel
Broker.CancelAllPendingOrders(Label);
Dump();
// The Channel
var chan = Channel.Value;
var risk = Risk / MaxPositions;
var sign = chan.PrecedingTrendSign;
// // Create a pending order on the side opposite the preceding trend
// var ep = sign > 0 ? chan.Price.End + 0.5*mcs : chan.Price.Beg - 0.5*mcs;
// var sl = (QuoteCurrency?)null;//sign > 0 ? chan.Price.Beg : chan.Price.End;
// var tp = (QuoteCurrency?)null;//ep + sign * Math.Abs(ep - sl);
// var sl_rel = 5*mcs;//Math.Abs(ep - sl);
// var vol = Broker.ChooseVolume(Instrument, sl_rel, risk:risk);
// var trade = new Trade(Instrument, CAlgo.SignToTradeType(chan.PrecedingTrendSign), Label, ep, sl, tp, vol);
// trade.Expiration = Instrument.ExpirationTime(5);
// Broker.CreatePendingOrder(trade);
// Create pending orders on either side of the channel
{
var ep = chan.Price.End + 0.5 * mcs;
var sl = chan.Price.Beg;
var tp = (QuoteCurrency?)null; // ep + chan.Price.Size * 5;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk: risk);
var trade = new Trade(Instrument, TradeType.Buy, Label, ep, sl, tp, vol);
trade.Expiration = Instrument.ExpirationTime(5);
Broker.CreatePendingOrder(trade);
}
{
var ep = chan.Price.Beg - 0.5 * mcs;
var sl = chan.Price.End;
var tp = (QuoteCurrency?)null; // ep - chan.Price.Size * 5;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk: risk);
var trade = new Trade(Instrument, TradeType.Sell, Label, ep, sl, tp, vol);
trade.Expiration = Instrument.ExpirationTime(5);
Broker.CreatePendingOrder(trade);
}
// Debugging
{
var c = chan;
for (; Channels.Count != 0 && c.Idx.Contains(Channels.Back().Idx);)
{
Channels.PopBack();
}
Channels.Add(c);
}
}