void _barlisttracker_GotNewBar(string sym, int interval)
{
//int idx = Array.IndexOf(_symbols, sym);
int idx = _symbols.IndexOf(sym);
if (_isactive && _issymbolactive[idx])
{
BarList bl = _barlisttracker[sym, interval];
double[] closes = Calc.Decimal2Double(bl.Close());
// when NewBar is triggered, the latest bar only has one tick
closes = closes.Take(closes.Length - 1).ToArray();
EMAResult result = AnalysisEngine.EMA(closes, _barslookback, false);
if (result.Values.Count == 0) // Not enough bars
{
return;
}
// check
if (!_waittobefilled[idx])
{
double ema = result.Values.Last();
if (_positiontracker[sym].isFlat)
{
// if our current price is above EMA
if (closes.Last() > ema)
{
SendDebug("Cross above EMA, buy");
_waittobefilled[idx] = true;
SendOrder(new MarketOrder(sym, sym.Contains("STK")?_tradesize:2));
}
// if our current price is below EMA
else if (closes.Last() < ema)
{
SendDebug("Cross below EMA, sell");
_waittobefilled[idx] = true;
SendOrder(new MarketOrder(sym, -(sym.Contains("STK") ? _tradesize : 2)));
}
}
else if ((_positiontracker[sym].isLong && (closes.Last() < ema)) ||
(_positiontracker[sym].isShort && (closes.Last() > ema)))
{
SendDebug("Counter trend, exit.");
_waittobefilled[idx] = true;
SendOrder(new MarketOrderFlat(_positiontracker[sym]));
}
// this way we can debug our indicators during development
// indicators are sent in the same order as they are named above
if (_waittobefilled[idx])
{
SendIndicators(new string[] { "Time: " + _currenttime.ToString(), " EMA:" + ema.ToString("F2", System.Globalization.CultureInfo.InvariantCulture) });
}
}
}
}
//-------------------------------------------------------------------------------------------------------------------------------
/// <summary>
/// Calculates Exponential Moving Average (EMA) indicator
/// </summary>
/// <param name="input">Input signal</param>
/// <param name="period">Number of periods</param>
/// <returns>Object containing operation results</returns>
public static EMAResult EMA(IEnumerable <double> input, int period)
{
var returnValues = new List <double>();
double multiplier = (2.0 / (period + 1));
//double initialSMA = input.Take(period).Average();
//returnValues.Add(initialSMA);
var copyInputValues = input.ToList();
int j = 0;
for (int i = copyInputValues.Count - period; i < copyInputValues.Count; i++)
{
if (j < 1)
{
var resultValue = copyInputValues[i];
returnValues.Add(resultValue);
}
else
{
var resultValue = (copyInputValues[i] * multiplier) + (1 - multiplier) * returnValues.Last();
returnValues.Add(resultValue);
}
j++;
}
var result = new EMAResult()
{
EmaR = returnValues.Last(),
Values = returnValues,
StartIndexOffset = period - 1
};
return(result);
}
