public override void onTick(Tick <int> currTick)
{
try
{
spreadAnalyzer.EvaluateSpread(currTick);
ShowComment(currTick);
if (currTime.Ticks / TickHistory.tickInOneMinute == currTick.DateTime.Ticks / TickHistory.tickInOneMinute)
{
return;
}
currTime = currTick.DateTime;
ExtremumPoint.Process(Math.Max(currTick.Bid, Meta.High(this.Symbol, 1)), Math.Min(currTick.Bid, Meta.Low(this.Symbol, 1)), currTick.DateTime);
fluctuationList.Update(ExtremumPoint);
for (int i = fluctuationList.StartIndex; i < fluctuationList.EndIndex; i++)
{
Meta.ObjectMove(GetHLineName(i), 0, DateTime.Now, fluctuationList[i].AveragePrice);
}
if (!strategyTime.IsSystemON(currTick) || newsPeriod.IsNewsTime(currTick.DateTime))
{
OrderOperation.CloseAllOrders();
return;
}
//open/modify tp
AddModifyLimitOrder(fluctuationList.GetHighest(param["OpenOrderPercent"]), param["SL"], fluctuationList.GetHighest(param["TPOrderPercent"]) + spreadAnalyzer.AverageSpread, OrderSide.Sell);
AddModifyLimitOrder(fluctuationList.GetLowest(param["OpenOrderPercent"]) + spreadAnalyzer.AverageSpread, param["SL"], fluctuationList.GetLowest(param["TPOrderPercent"]), OrderSide.Buy);
ModifyMarketOrders(OrderSide.Buy, fluctuationList.GetLowest(param["TPOrderPercent"]));
ModifyMarketOrders(OrderSide.Sell, fluctuationList.GetHighest(param["TPOrderPercent"]) + spreadAnalyzer.AverageSpread);
//close limit orders
//move tp
// //check condition to close order
//int sign = fluctuationList.GetSignDistanceFromAverageInPercent(currTick.Bid);
//if (sign >= 0)
// CloseOrders(OrderSide.Buy, marketOrders);
//if (sign <= 0)
// CloseOrders(OrderSide.Sell, marketOrders);
//int peakDistanceFromAverageMinAbs = fluctuationList.GetMinDistanceFromAverageInPercent(currTick.Bid);
//if (Math.Abs(peakDistanceFromAverageMinAbs) > param["OpenOrderPercent"])
// OpenNewMarketOrder(peakDistanceFromAverageMinAbs < 0 ? OrderSide.Buy : OrderSide.Sell, marketOrders, currTick);
}
catch (HistoryNotAvailableExceptions exc)
{
return;
}
}
public override void onTick(Tick <int> currTick)
{
Spread = spreadAnalyzer.EvaluateSpread(currTick);
ExtremumPoint.Process(Math.Max(currTick.Bid, Meta.High(this.Symbol, 1)), Math.Min(currTick.Bid, Meta.Low(this.Symbol, 1)), currTick.DateTime);
ExtremumPoint2.Process(Math.Max(currTick.Bid, Meta.High(this.Symbol, 1)), Math.Min(currTick.Bid, Meta.Low(this.Symbol, 1)), currTick.DateTime);
if (currTime.Ticks / TickHistory.tickInOneMinute == currTick.DateTime.Ticks / TickHistory.tickInOneMinute)
{
return;
}
currTime = currTick.DateTime;
if (!TestingMode)
{
ShowComment();
}
try
{
int PriceBidHighest = Math.Max(currTick.Bid, Meta.High(this.Symbol, 1));
int PriceBidLowest = Math.Min(currTick.Bid, Meta.Low(this.Symbol, 1));
int PriceAskHighest = PriceBidHighest + Spread;
int PriceAskLowest = PriceBidLowest + Spread;
IEnumerable <Order> marketOrders = this.OrderOperation.GetMarketOrders();
IEnumerable <Order> limitOrders = this.OrderOperation.GetLimitOrders();
foreach (Order currOrder in marketOrders)
{
if (currOrder.Side == OrderSide.Buy)
{
if (currOrder.TP - PriceAskLowest > param["TP"])
{
OrderOperation.ModifyMarketOrder(currOrder.ID, currOrder.SL, PriceAskLowest + param["TP"]);
}
}
else
{
if (PriceBidHighest - currOrder.TP > param["TP"])
{
OrderOperation.ModifyMarketOrder(currOrder.ID, currOrder.SL, PriceBidHighest - param["TP"]);
}
}
}
foreach (Order currOrder in limitOrders)
{
if (!strategyTime.IsSystemON(currTick))
{
OrderOperation.CloseOrder(currOrder);
break;
}
if (currOrder.Side == OrderSide.Buy)
{
if (PriceAskHighest - currOrder.OpenPrice > param["LimitOpen"])
{
int openPrice = PriceAskHighest - param["LimitOpen"];
OrderOperation.ModifyLimitOrder(currOrder.ID, openPrice, openPrice - param["SL"], openPrice + param["TP"]);
}
if (!ExtremumPoint.FlagUP)
{
OrderOperation.CloseOrder(currOrder);
}
}
else
{
if (currOrder.OpenPrice - PriceBidLowest > param["LimitOpen"])
{
int openPrice = PriceBidLowest + param["LimitOpen"];
OrderOperation.ModifyLimitOrder(currOrder.ID, openPrice, openPrice + param["SL"], openPrice - param["TP"]);
}
if (ExtremumPoint.FlagUP)
{
OrderOperation.CloseOrder(currOrder);
}
}
}
if (strategyTime.IsSystemON(currTick) && limitOrders.Count() == 0 && marketOrders.Count() == 0)
{
if (ExtremumPoint2.FlagUP == ExtremumPoint.FlagUP)
{
OrderSide side = ExtremumPoint.FlagUP ? OrderSide.Buy : OrderSide.Sell;
int openPrice = side == OrderSide.Buy ? PriceAskHighest - param["LimitOpen"] : PriceBidLowest + param["LimitOpen"];
OrderOperation.AddOrder(Order.NewLimitOrder(Meta.Symbol(), side, GetVolume(), openPrice, param["SL"], param["TP"]));
}
}
}
catch (Exception exc)
{
logger.AddMessage(exc.ToString());
}
}