public void MinutePriceAction(TickerReference tickerReference, IPriceBar priceBar)
{
if (_bars.ContainsKey(tickerReference.Symbol.Id) && _bars[tickerReference.Symbol.Id].ContainsKey(tickerReference.Interval.UnitId))
{
UpdatePrice(_bars[tickerReference.Symbol.Id][tickerReference.Interval.UnitId], tickerReference, priceBar);
}
}
public void LoadPriceBars(Bookmark <IPriceBar> priceBars)
{
int maxIndex = priceBars.Count;
double[] opens = new double[maxIndex];
double[] highs = new double[maxIndex];
double[] lows = new double[maxIndex];
double[] closes = new double[maxIndex];
double[] times = new double[maxIndex];
for (int i = 0; i < maxIndex; i++)
{
IPriceBar priceBar = priceBars[i];
opens[i] = priceBar.Open;
highs[i] = priceBar.High;
lows[i] = priceBar.Low;
closes[i] = priceBar.Close;
times[i] = i;
}
CandlePlot cp = new CandlePlot();
cp.OpenData = opens;
cp.HighData = highs;
cp.LowData = lows;
cp.CloseData = closes;
cp.AbscissaData = times;
plotSurface.Clear();
plotSurface.Add(cp);
plotSurface.Refresh();
}
private Frame CreateChartFrame(IPriceBar bar, Chart chart)
{
Frame frame = chart.CreateStandardFrame(bar);
int indicatorCount = frame.Indicators.Count;
var list = new List <IIndicator>()
{
new DisplacedMovingAverage(3, 3)
{
Ordinal = indicatorCount + 1
},
new DetrendedOscillator()
{
Ordinal = indicatorCount + 2
},
new MACD(8, 17, 9)
{
Ordinal = indicatorCount + 3
}
};
frame.AddIndicators(list);
return(frame);
}
protected void MinutePriceAction(TickerReference tickerReference, IPriceBar priceBar)
{
if (MinutePriceBarFeed != null)
{
MinutePriceBarFeed(tickerReference, priceBar);
}
}
protected virtual Thrust SetThrustFocus(Chart chart, Thrust thrust)
{
Frame reactionFrame = chart.Frames.Where(f => f.Bar.time == thrust.SignalTime).FirstOrDefault();
int reactionIndex = chart.Frames.IndexOf(reactionFrame);
IPriceBar focusBar = null;
double focusPrice = thrust.Direction == EPatternDirection.Up ? reactionFrame.Bar.highMid : reactionFrame.Bar.lowMid;
List <Frame> afterFocusFrames = new List <Frame>();
for (int i = reactionIndex + 1; i < chart.Frames.Count; i++)
{
Frame frame = chart.Frames[i];
if (thrust.Direction == EPatternDirection.Up)
{
if (frame.Bar.highMid > focusPrice)
{
thrust.ReactionToFocusSpan = i - reactionIndex;
focusBar = frame.Bar;
focusPrice = frame.Bar.highMid;
afterFocusFrames.Clear();
}
else
{
afterFocusFrames.Add(frame);
}
}
else
{
if (frame.Bar.lowMid < focusPrice)
{
thrust.ReactionToFocusSpan = i - reactionIndex;
focusBar = frame.Bar;
focusPrice = frame.Bar.lowMid;
afterFocusFrames.Clear();
}
else
{
afterFocusFrames.Add(frame);
}
}
}
// update FocusTime and FocusPrice
bool reactionBarIsFocusBar = focusBar == null;
thrust.FocusTime = reactionBarIsFocusBar ? reactionFrame.Bar.time : focusBar.time;
thrust.FocusPrice = focusPrice;
return(thrust);
}
public Frame CreateStandardFrame(IPriceBar bar)
{
var frame = new Frame()
{
Bar = bar
};
var list = new List <IIndicator>()
{
new SimpleMovingAverage(50)
{
Ordinal = 1
},
new SimpleMovingAverage(200)
{
Ordinal = 2
},
};
frame.AddIndicators(list);
return(frame);
}
public void Write(IPriceBar priceBar)
{
Write(priceBar.Timestamp, priceBar.Open, priceBar.High, priceBar.Low, priceBar.Close);
}
/*
* upThrust
* traverse >= 10 bars
* >= 7 bars have low bid above the 3x3
* >= 5 consecutive bars must have low bid above the 3x3
* sequence may not start with > 3 bars with low bid below 3x3
* if (any of?) top 3 bars of sequence have low bid below 3x3 then lowest low bid of those below the 3x3 must be > .386 ask price
* thrust range must be >= (.06 x thrust ReactionPrice)
* MACD histogram value of all thrust frames must be > 0
*
* downThrust
* traverse >= 10 bars
* >= 7 bars have low bid above the 3x3
* >= 5 consecutive bars must have low bid above the 3x3
* sequence may not start with > 3 bars with low bid below 3x3
* if (any of?) top 3 bars of sequence have low bid below 3x3 then lowest low bid of those below the 3x3 must be > .386 ask price
* thrust range must be >= (.06 x thrust ReactionPrice)
* MACD histogram value of all thrust frames must be > 0
* above or below the 3x3?
*/
#endregion
/// <summary>
/// Searches the chart for a thrust pattern.
/// </summary>
/// <param name="chart">Chart object containing at least 20 frames</param>
/// <returns>A tradeable thrust object, if found.</returns>
protected override Thrust DetectThrust()
{
Thrust thrust = null;
if (_chart.Frames.Count >= 20)
{
Frame frame;
bool upThrustFound = false, downThrustFound = false;
short above3x3Count = 0, above3x3Links = 0, below3x3Count = 0, below3x3Links = 0, across3x3Count = 0;
Func <short> sequentialAbove3x3Count = () => { return(above3x3Links > 0 ? (short)(above3x3Links + 1) : (short)0); };
Func <short> sequentialBelow3x3Count = () => { return(below3x3Links > 0 ? (short)(below3x3Links + 1) : (short)0); };
AboveBelowDMA previousCandleSide = AboveBelowDMA.Unknown, currentCandleSide = AboveBelowDMA.Unknown;
List <AboveBelowDMA> leaderSides = new List <AboveBelowDMA>();
// only need to sniff 20 frames to find thrust
// if not in 20 frames, whatever thrust exists has yielded to a consolidation period .. no good
short loopCount = 0;
while (loopCount < 20)
{
loopCount++;
int i = _chart.Frames.Count - loopCount;
frame = _chart.Frames[i];
IPriceBar candle = frame.Bar;
IIndicator displaced3x3 = frame.Indicators.First(k => k.Type == IndicatorType.DisplacedMovingAverage && k.ParentOrdinal == 0);
if (candle.lowMid >= displaced3x3.Value)
{
above3x3Count++;
if (previousCandleSide == AboveBelowDMA.Above)
{
above3x3Links++;
}
currentCandleSide = previousCandleSide = AboveBelowDMA.Above;
}
else if (candle.highMid <= displaced3x3.Value)
{
below3x3Count++;
if (previousCandleSide == AboveBelowDMA.Below)
{
below3x3Links++;
}
currentCandleSide = previousCandleSide = AboveBelowDMA.Below;
}
else
{
across3x3Count++;
currentCandleSide = previousCandleSide = AboveBelowDMA.Across;
}
// save the first 3 bar sides
if (leaderSides.Count < 3)
{
leaderSides.Add(currentCandleSide);
}
// start thrust parsing once 10 bars have been examined
if (loopCount > 9)
{
upThrustFound = sequentialAbove3x3Count() >= 6 && sequentialBelow3x3Count() <= 3 &&
CheckLeaders(leaderSides, AboveBelowDMA.Above) && !Displaced3x3HasDoubleDip(i, EPatternDirection.Up);
downThrustFound = sequentialBelow3x3Count() >= 6 && sequentialAbove3x3Count() <= 3 &&
CheckLeaders(leaderSides, AboveBelowDMA.Below) && !Displaced3x3HasDoubleDip(i, EPatternDirection.Down);
if (upThrustFound || downThrustFound)
{
EPatternDirection direction = upThrustFound ? EPatternDirection.Up : EPatternDirection.Down;
Frame reactionFrame = FindReactionFrame(frame, i, direction);
if (reactionFrame != null)
{
int checkAcrossIndex = GetCheckAcrossIndex(reactionFrame, direction);
AboveBelowDMA checkAcrossSide = upThrustFound ? AboveBelowDMA.Above : AboveBelowDMA.Below;
if (CheckAcrossFrames(checkAcrossIndex, checkAcrossSide))
{
thrust = BuildThrust(reactionFrame, direction);
}
}
break;
}
}
}
}
return(thrust);
}
/// <summary>
/// Finds the reaction frame of a detected thrust
/// </summary>
/// <param name="pilotFrame">Frame at which a valid thrust was confirmed</param>
/// <param name="frameIndex">The _chart index of the pilot frame</param>
/// <param name="direction">The direction of the confirmed thrust</param>
/// <returns>The reaction frame of the thrust</returns>
protected virtual Frame FindReactionFrame(Frame pilotFrame, int frameIndex, EPatternDirection direction)
{
#region reaction frame logic
/// for up thrust
/// tentative rxn frame is the one with lowBid < 3x3 and 2 preceding candles has a higher chained lowBid
/// do a forward search of the chart bars to confirm the rxn frame has lowest lowBid
/// the confirmed reaction frame is the one with the lowest lowBid
/// for down thrust
/// tentative rxn frame is the one with highBid > 3x3 and 2 preceding candles has a lower chained highBid
/// do a forward search of the chart bars to confirm the rxn frame has highest highBid
/// the confirmed reaction frame is the one with the highest highBid
/// do not sweat the breakouts from consolidation (see type G in notes)
/// these should yield deeper rxn at worst meaning a missed trade
/// the timekill of the trade will mop these up
#endregion
// find reaction candle
Frame horizonFrame = pilotFrame;
IPriceBar horizonCandle = horizonFrame.Bar;
bool horizonFrameConfirmed = false;
while (!horizonFrameConfirmed)
{
Frame precedingFrame = _chart.Frames[frameIndex - 1];
IPriceBar precedingCandle01 = _chart.Frames[frameIndex - 1].Bar;
IPriceBar precedingCandle02 = _chart.Frames[frameIndex - 2].Bar;
IIndicator horizon3x3 = horizonFrame.Indicators.First(k => k.Type == IndicatorType.DisplacedMovingAverage);
if (direction == EPatternDirection.Up)
{
if (horizonCandle.lowMid < horizon3x3.Value &&
precedingCandle01.lowMid > horizonCandle.lowMid &&
precedingCandle02.lowMid > precedingCandle01.lowMid)
{
horizonFrameConfirmed = true;
}
}
if (direction == EPatternDirection.Down)
{
if (horizonCandle.highMid > horizon3x3.Value &&
precedingCandle01.highMid < horizonCandle.highMid &&
precedingCandle02.highMid < precedingCandle01.highMid)
{
horizonFrameConfirmed = true;
}
}
if (!horizonFrameConfirmed)
{
horizonFrame = precedingFrame;
horizonCandle = precedingCandle01;
frameIndex--;
}
}
// forward search to confirm rxn frame
Frame reactionFrame = horizonFrame;
for (int i = frameIndex; i < _chart.Frames.Count; i++)
{
Frame currentFrame = _chart.Frames[i];
if (direction == EPatternDirection.Up)
{
if (currentFrame.Bar.lowMid <= reactionFrame.Bar.lowMid)
{
reactionFrame = currentFrame;
}
}
else
{
if (currentFrame.Bar.highMid >= reactionFrame.Bar.highMid)
{
reactionFrame = currentFrame;
}
}
}
return(reactionFrame);
}
/*
* upThrust
* traverse >= 10 bars
* >= 7 bars have low bid above the 3x3
* >= 5 consecutive bars must have low bid above the 3x3
* sequence may not start with > 3 bars with low bid below 3x3
* if (any of?) top 3 bars of sequence have low bid below 3x3 then lowest low bid of those below the 3x3 must be > .386 ask price
* thrust range must be >= (.06 x thrust ReactionPrice)
* MACD histogram value of all thrust frames must be > 0
*
* downThrust
* traverse >= 10 bars
* >= 7 bars have low bid above the 3x3
* >= 5 consecutive bars must have low bid above the 3x3
* sequence may not start with > 3 bars with low bid below 3x3
* if (any of?) top 3 bars of sequence have low bid below 3x3 then lowest low bid of those below the 3x3 must be > .386 ask price
* thrust range must be >= (.06 x thrust ReactionPrice)
* MACD histogram value of all thrust frames must be > 0
* above or below the 3x3?
*/
#endregion
/// <summary>
/// Searches the chart for a thrust pattern.
/// </summary>
/// <param name="chart">Chart object containing at least 20 frames</param>
/// <returns>A tradeable thrust object, if found.</returns>
protected override Thrust DetectThrust()
{
Thrust thrust = null;
if (_chart.Frames.Count >= 20)
{
Frame frame;
bool upThrustFound = false, downThrustFound = false;
short above3x3Count = 0, below3x3Count = 0, across3x3Count = 0;
AboveBelowDMA currentCandleSide = AboveBelowDMA.Unknown;
List <AboveBelowDMA> leaderSides = new List <AboveBelowDMA>();
List <Frame> acrossFrames = new List <Frame>();
// only need to sniff 20 frames to find thrust
// if not in 20 frames, whatever thrust exists has yielded to a consolidation period .. no good
for (int loopCount = 1; true; loopCount++)
{
int i = _chart.Frames.Count - loopCount;
frame = _chart.Frames[i];
IPriceBar candle = frame.Bar;
IIndicator displaced3x3 = frame.Indicators.First(k => k.Type == IndicatorType.DisplacedMovingAverage && k.ParentOrdinal == 0);
if (candle.lowMid >= displaced3x3.Value)
{
above3x3Count++;
currentCandleSide = AboveBelowDMA.Above;
}
else if (candle.highMid <= displaced3x3.Value)
{
below3x3Count++;
currentCandleSide = AboveBelowDMA.Below;
}
else
{
across3x3Count++;
currentCandleSide = AboveBelowDMA.Across;
acrossFrames.Add(frame);
}
// save the first 3 bar sides
if (leaderSides.Count < 3)
{
leaderSides.Add(currentCandleSide);
}
// start thrust parsing once 10 bars have been examined
if (loopCount == 7)
{
upThrustFound = above3x3Count >= 5 && below3x3Count == 0 && CheckLeaders(leaderSides, AboveBelowDMA.Above) && CheckAcrossFrames(acrossFrames, AboveBelowDMA.Above);
downThrustFound = below3x3Count >= 5 && above3x3Count == 0 && CheckLeaders(leaderSides, AboveBelowDMA.Below) && CheckAcrossFrames(acrossFrames, AboveBelowDMA.Below);
if (upThrustFound || downThrustFound)
{
EPatternDirection direction = upThrustFound ? EPatternDirection.Up : EPatternDirection.Down;
Frame reactionFrame = FindReactionFrame(frame, i, direction);
if (reactionFrame != null)
{
int checkAcrossIndex = GetCheckAcrossIndex(reactionFrame, direction);
AboveBelowDMA checkAcrossSide = upThrustFound ? AboveBelowDMA.Above : AboveBelowDMA.Below;
if (CheckAcrossFrames(checkAcrossIndex, checkAcrossSide))
{
thrust = BuildThrust(reactionFrame, direction);
}
}
}
break;
}
}
}
return(thrust);
}
public override void UpdatePrice(RenkoBars bars, TickerReference tickerReference, IPriceBar priceBar)
{
bars.Write(priceBar.Timestamp, priceBar.Close);
}
public abstract void UpdatePrice(TBars bars, TickerReference tickerReference, IPriceBar priceBar);
public void PriceAction(TickerReference tickerReference, IPriceBar priceBar)
{
throw new NotImplementedException();
}
public override void UpdatePrice(OHLCBars bars, TickerReference tickerReference, IPriceBar priceBar)
{
bars.Write(priceBar);
}
public new void MinutePriceAction(TickerReference tickerReference, IPriceBar priceBar)
{
base.MinutePriceAction(tickerReference, priceBar);
}
private void PriceBarPriceActionItem(TickerReference tickerReference, IPriceBar priceBar)
{
Probe.Evaluate(priceBar.Timestamp, priceBar.Close);
}
private void MinutePriceBarFeed(TickerReference tickerReference, IPriceBar priceBar)
{
OHLC.Aggregator.MinutePriceAction(tickerReference, priceBar);
PriceBar.Aggregator.MinutePriceAction(tickerReference, priceBar);
}
/// <summary>
/// Handler for OANDA rate data received from data stream.
/// </summary>
/// <param name="data">The price tick data received.</param>
protected virtual void OnRateReceived(RateStreamResponse data)
{
if (!data.IsHeartbeat())
{
if (_chartsInitialized)
{
string instrument = data.tick.instrument;
Chart instrumentChart = _charts.FirstOrDefault(c => c.Value.Instrument == instrument).Value;
IPriceBar lastFrameBar = instrumentChart.Frames.Last().Bar;
double bidPrice = data.tick.bid;
double askPrice = data.tick.ask;
double midPrice = (data.tick.ask - data.tick.bid) / 2;
if (Convert.ToDateTime(data.tick.time).ToUniversalTime() < instrumentChart.CreateNewFrameTime)
{
lastFrameBar.volume++;
lastFrameBar.closeBid = bidPrice;
lastFrameBar.closeAsk = askPrice;
lastFrameBar.closeMid = midPrice;
if (lastFrameBar.closeBid <= lastFrameBar.lowBid)
{
lastFrameBar.lowBid = lastFrameBar.closeBid;
}
if (lastFrameBar.closeAsk <= lastFrameBar.lowAsk)
{
lastFrameBar.lowAsk = lastFrameBar.closeAsk;
}
if (lastFrameBar.closeMid <= lastFrameBar.lowMid)
{
lastFrameBar.lowMid = lastFrameBar.closeMid;
}
if (lastFrameBar.closeBid >= lastFrameBar.highBid)
{
lastFrameBar.highBid = lastFrameBar.closeBid;
}
if (lastFrameBar.closeAsk >= lastFrameBar.highAsk)
{
lastFrameBar.highAsk = lastFrameBar.closeAsk;
}
if (lastFrameBar.closeMid >= lastFrameBar.highMid)
{
lastFrameBar.highMid = lastFrameBar.closeMid;
}
}
else
{
lastFrameBar.complete = true;
PriceBar newBar = new PriceBar()
{
time = MAOE.Utilities.GetTimeAsXmlSerializedUtc(instrumentChart.CreateNewFrameTime.Value),
openBid = bidPrice,
highBid = bidPrice,
lowBid = bidPrice,
closeBid = bidPrice,
openAsk = askPrice,
highAsk = askPrice,
lowAsk = askPrice,
closeAsk = askPrice,
openMid = midPrice,
highMid = midPrice,
lowMid = midPrice,
closeMid = midPrice,
volume = 1
};
instrumentChart.Frames.Add(CreateChartFrame(newBar, instrumentChart));
}
}
MAOE.Utilities.ReleaseTick();
}
}
/// <summary>
///
/// </summary>
/// <param name="chart"></param>
/// <param name="thrust"></param>
/// <param name="retracement"></param>
protected virtual async void ManageOrder(Chart chart, Thrust thrust)
{
StrategyTransaction[] transactions = null;
StrategyTransaction orderTransaction, fillTransaction, cancelTransaction, exitTransaction;
// get transaction collection from db
int orderTransactionID = thrust.StrategyTransactionID.GetValueOrDefault();
transactions = await StrategyCaller.Instance().GetStrategyTransactionsCollectionAsync(orderTransactionID);
orderTransaction = transactions.FirstOrDefault(t => t.StrategyTransactionID == orderTransactionID);
fillTransaction = transactions.FirstOrDefault(t => t.BrokerOrderID != null && t.Type == MACC.Constants.TransactionTypes.OrderFilled);
cancelTransaction = transactions.FirstOrDefault(t => t.BrokerOrderID != null && t.Type == MACC.Constants.TransactionTypes.OrderCancel);
exitTransaction = transactions.FirstOrDefault(t => t.BrokerTradeID != null && t.Type != MACC.Constants.TransactionTypes.TradeUpdate);
bool purgeInActiveThrust = true;
if (fillTransaction == null)
{
if (cancelTransaction != null)
{
// order cancelled
thrust.Active = false;
}
else
{
// order open
if (!thrust.Active)
{
// cancel the order
// the cancel transaction will be written to the db by the event stream handler
await Rest.DeleteOrderAsync(_accountId, Convert.ToInt64(orderTransaction.BrokerTransactionID));
}
else
{
if (thrust.FocusChanged() || (thrust.FillZoneReached() && thrust.TakeProfitZoneReached()))
{
AddAlgorithmMessage(string.Format("UPDATE ORDER: {0}: FCH-{1}: FZR-{2}: TPR-{3}", orderTransaction.Instrument, thrust.FocusChanged(), thrust.FillZoneReached(), thrust.TakeProfitZoneReached()));
UpdateEntryOrder(orderTransaction, chart, thrust);
}
}
}
}
else
{
if (exitTransaction == null)
{
// order filled
purgeInActiveThrust = false;
FibonacciRetracement retracement = (FibonacciRetracement)thrust.Study;
#region get open trade info
long tradeId = Convert.ToInt64(fillTransaction.BrokerTransactionID);
Frame fillFrame = chart.Frames.LastOrDefault(f => Convert.ToDateTime(f.Bar.time).ToUniversalTime() <= fillTransaction.Time);
int fillIndex = chart.Frames.IndexOf(fillFrame);
#endregion
#region get takeProfitPrice and stopLossPrice
int profitWaitPeriods = Parameters.GetInteger("thrustProfitWaitPeriods") ?? 6;
thrust.ProfitWindowClosed = (fillIndex + profitWaitPeriods) < chart.Frames.Count;
IPriceBar lastBar = chart.Frames.Last().Bar;
bool hasProfit = orderTransaction.Side == MACC.Constants.SignalSide.Buy ? lastBar.closeMid > fillTransaction.Price : lastBar.closeMid < fillTransaction.Price;
#region stopLossPrice & takeProfitPrice logic
// adjust stopLossPrice and takeProfitPrice
// if a buy ...
// move the stop to the lower of the .500 fib price or [patern lowMid price set by the post-fill price action]
// move the profit target to 1 or 2 pips under .618 * (thrust.FocusPrice - [pattern lowMid price set by the post-fill price action])
// if a sell ...
// move the stop to the higher of the .500 fib price or [patern highMid price set by the post-fill price action]
// move the profit target to 1 or 2 pips above .618 * ([pattern lowMid price set by the post-fill price action] - thrust.FocusPrice)
#endregion
double?takeProfitPrice = GetAdjustedTakeProfitPrice(chart, thrust.Side, retracement);
AddAlgorithmMessage(string.Format("GET SLP: {0}: TPZ-{1}: PWC-{2}: XTP-{3}: CLP-{4}: PFT-{5}", fillTransaction.Instrument, thrust.TakeProfitZoneReached(), thrust.ProfitWindowClosed, retracement.ExtremaPrice, lastBar.closeMid, hasProfit));
double?stopLossPrice = GetAdjustedStopLossPrice(chart, thrust.Side, thrust, hasProfit);
#endregion
#region kill or update the trade
// not profitable && beyond r500 .. kill it
if (stopLossPrice.GetValueOrDefault() == -1)
{
thrust.Active = false;
purgeInActiveThrust = true;
try
{
await Rest.DeleteTradeAsync(_accountId, tradeId);
}
catch (Exception e)
{
AddAlgorithmMessage(string.Format("CLOSE TRADE {0} Failed: {1}", tradeId, e.Message), true, TraceEventType.Error);
}
}
else
{
if ((takeProfitPrice ?? thrust.TakeProfitPrice) != thrust.TakeProfitPrice || (stopLossPrice ?? thrust.StopLossPrice) != thrust.StopLossPrice)
{
AddAlgorithmMessage(string.Format("UPDATE TRADE: {0}: TPZ-{1}: PWC-{2}: XTP-{3}: CLP-{4}: TP-{5}: TTP-{6}: SL-{7}: TSL-{8}", fillTransaction.Instrument, thrust.TakeProfitZoneReached(), thrust.ProfitWindowClosed, retracement.ExtremaPrice, lastBar.closeMid, takeProfitPrice, thrust.TakeProfitPrice, stopLossPrice, thrust.StopLossPrice));
UpdateOpenTrade(thrust, tradeId, takeProfitPrice, stopLossPrice, retracement.LevelPlaces());
}
}
#endregion
}
else
{
// trade closed
#region about closed trades
// if coll includes a stopLossFilled or takeProfitFilled ..
// set thrust.Active = false
// this be done server side when the strategyTransaction from the stream is saved
// the signal should be found on the server and signal.Active should be set to false
// do it here also
#endregion
thrust.Active = false;
}
}
if (!thrust.Active && purgeInActiveThrust)
{
await PurgeThrust(chart, thrust);
}
}
