/// <summary>
/// Add Dom snapshot from dde server data
/// </summary>
/// <param name="table"></param>
public static void AddSnapShotFromDde(string symbol, object[][] table)
{
// Create level 2 shapshot from table
Level2 snapShot = new Level2(symbol, table, DateTime.Now);
// Get level2 history for symbol
Level2History history;
if (Level2Histories.ContainsKey(symbol))
{
// Add snapshot to existing
history = Level2Histories[symbol];
}
else
{
history = new Level2History(symbol) { SaveOnExit = true };
Level2Histories.Add(symbol, history);
// Add this history to bars
if(QuikQuotesLoader.HistoryBars.ContainsKey(symbol))
QuikQuotesLoader.HistoryBars[symbol].Level2History = history;
}
if (history.Count != 0
&& snapShot.Time.Minute % 5 == 1
&& history.Last().Time.Minute != snapShot.Time.Minute)
{
// Save history
history.Save();
}
// Add to history
history.Add(snapShot);
//history.Save();
//history.Load(snapShot.Time);
}
/// <summary>
/// Main function - robot Entry point
/// </summary>
protected override void Execute()
{
base.Execute();
lastSignalTime = DateTime.MinValue;
if (Bars.Count > 1)
{
Level2History.LoadIfNotLoaded(Date[1]);
}
for (int bar = 1; bar < Bars.Count; bar++)
{
// Calculate signal
SignalType signal = GetSignal(bar);
// Close opened
if (IsLastPositionActive)
{
// If isn't closed by stops
if (IsLastPositionActive)
{
CloseStops(bar);
// Close long if go below low level
if (LastPosition.PositionType == PositionType.Long &&
signal == SignalType.Sell)
{
ExitAtMarket(bar + 1, LastPosition, "Sell signal");
ShortAtMarket(bar + 1, "Sell signal");
}
// Close short if go upper high level
else if (LastPosition.PositionType == PositionType.Short &&
signal == SignalType.Buy)
{
ExitAtMarket(bar + 1, LastPosition, "Buy signal");
BuyAtMarket(bar + 1, "Buy signal");
}
}
}
// Open new positions
else //if(bar > 1)
{
// Buy if go up more then deltaUp
if (signal == SignalType.Buy)
{
BuyAtMarket(bar + 1, "Buy signal");
}
else if (signal == SignalType.Sell)
{
ShortAtMarket(bar + 1, "Sell signal");
}
}
}
// Export Equity and Drawdown to Excel
//Export export = new Export(this.Bars, this.Positions, this.MarketPosition);
//export.OpenExcel();
}
/// <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>
/// Constructor
/// </summary>
/// <param name="symbol"></param>
/// <param name="scale"></param>
/// <param name="interval"></param>
public BarsAndDom(string symbol, BarScale scale, int interval)
: base(symbol, scale, interval)
{
Level2History = new Level2History(Symbol);
}
