/// <summary>
/// BuySignal; the details of the buy signal are filled in by the concrete
/// implementations.
/// </summary>
/// <param name="eventArgs">incoming market tick event arguments</param>
/// <returns><c>possibly</c> a buy event; may be null to do hold or do nothing</returns>
public override BuyEventArgs BuySignal(MarketTickEventArgs eventArgs)
{
if (skipFirst)
{
skipFirst = false;
return(null);
}
var numSecurities = eventArgs.SecuritiesData.Keys.Count;
var security = eventArgs.Symbol;
if (numSecurities <= 0)
{
return(null);
}
var numShares = (int)Math.Floor((eventArgs.StrategyInfo.Cash / numSecurities) / eventArgs.MarketData.Close);
var retVal = numShares > 0 ? new BuyEventArgs(eventArgs, numShares) : null;
if (!inMarket.ContainsKey(security))
{
inMarket.Add(security, new BuyHoldTracking()
{
Shares = numShares,
Symbol = security,
InMarket = true,
});
}
else
{
retVal = null;
}
return(retVal);
}
public override Events.StrategyMarketTickResult MarketTick(object sender, MarketTickEventArgs e)
{
string symbol = e.Symbol;
this[symbol].Process(e);
return(base.MarketTick(sender, e));
}
/// <summary>
/// TradeEventArgs given a market tick and some Shares
/// </summary>
/// <param name="e">market tick</param>
/// <param name="Shares">Shares</param>
public TradeEventArgs(TradeType tradeType, MarketTickEventArgs e, int shares)
{
TradeType = tradeType;
MarketData = e.MarketData;
Symbol = e.Symbol;
Shares = shares;
Price = e.MarketData.Close;
}
/// <summary>
/// BuySignal
/// </summary>
/// <param name="eventArgs"></param>
/// <returns></returns>
public override Events.BuyEventArgs BuySignal(MarketTickEventArgs eventArgs)
{
if (R.Random.Next(0, 100) <= 1)
{
return(Buy(10));
}
return(null);
}
public override void MarketTick(object sender, MarketTickEventArgs e)
{
base.MarketTick(sender, e);
Idx++;
previous13EMA = e.EMA13;
previousMACD = e.MACDHistogram;
}
/// <summary>
/// SellSignal
/// </summary>
/// <param name="eventArgs"></param>
/// <returns></returns>
public override Events.SellEventArgs SellSignal(MarketTickEventArgs eventArgs)
{
if (R.Random.Next(0, 100) <= 1)
{
return(Sell(10));
}
return(null);
}
/// <summary>
/// Market tick event invocator
/// </summary>
/// <param name="e">market tick event args</param>
public MarketTickEventArgs OnMarketTickEvent(MarketTickEventArgs e)
{
if (MarketTickEvent != null && e != null)
{
MarketTickEvent(this, e);
}
return(e);
}
/// <summary>
///
/// </summary>
/// <param name="eventArgs"></param>
/// <returns></returns>
private static SellEventArgs SellCondition(MarketTickEventArgs eventArgs)
{
if (eventArgs.RSI > 90)
{
return(new SellEventArgs(eventArgs.MarketData, MarketSimulator.Instance.Shares));
}
return(null);
}
/// <summary>
/// SellSignal
/// </summary>
/// <param name="eventArgs"></param>
/// <returns></returns>
public override Events.SellEventArgs SellSignal(MarketTickEventArgs eventArgs)
{
var sma50 = GetTechnicalValue <SMA50, double>();
if (Math.Abs(sma50 - 0) > 0.001 && eventArgs.MarketData.Close < sma50)
{
return(new SellEventArgs(eventArgs, eventArgs.StrategyInfo.PositionData.SecurityShares(eventArgs.MarketData.Date, eventArgs.Symbol)));
}
return(null);
}
/// <summary>
/// OnMarketTickEvent
/// </summary>
/// <param name="sender">event sender</param>
/// <param name="eventArgs">event args</param>
public void OnMarketTickEvent(object sender, MarketTickEventArgs eventArgs)
{
if (eventArgs.MarketData != null)
{
if (eventArgs.MarketData.IsValid)
{
Date = eventArgs.MarketData.Date;
MarketTicks.Add(eventArgs);
}
}
}
/// <summary>
/// SellWhenDoubled
/// </summary>
/// <param name="e"></param>
/// <returns></returns>
public static SellEventArgs SellWhenNAVDoubledForSecurity(MarketTickEventArgs e)
{
var startingCash = e.StrategyInfo.ParentSandbox.StartingCash;
var securityNAV = e.StrategyInfo.PositionData.SecurityValue(e.MarketData.Date, e.Symbol);
var securityShares = e.StrategyInfo.PositionData.SecurityShares(e.MarketData.Date, e.Symbol);
if (securityNAV > startingCash * 2)
{
return(new SellEventArgs(e, securityShares));
}
return(null);
}
/// <summary>
/// SellSignal; the details of the sell signal are filled in by the concrete
/// implementations.
/// </summary>
/// <param name="eventArgs">incoming market tick event arguments</param>
/// <returns><c>possibly</c> a buy event; may be null to do hold or do nothing</returns>
public override SellEventArgs SellSignal(MarketTickEventArgs eventArgs)
{
if (eventArgs.MarketData.HasNext && eventArgs.MarketData.Next.HasNext)
{
return(null);
}
else
{
if (inMarket.ContainsKey(eventArgs.Symbol) && inMarket[eventArgs.Symbol].InMarket)
{
return(Sell(inMarket[eventArgs.Symbol].Shares));
}
}
return(null);
}
public override Events.BuyEventArgs BuySignal(MarketTickEventArgs eventArgs)
{
int maxShares = (int)(eventArgs.StrategyInfo.Cash / eventArgs.MarketData.Close);
string symbol = eventArgs.Symbol;
if (this[symbol].UpDays > this[symbol].StreakAverage)
{
if (maxShares > this[symbol].Streak)
{
return(Buy(this[symbol].Streak));
}
}
return(null);
}
/// <summary>
/// BuySignal
/// </summary>
/// <param name="eventArgs"></param>
/// <returns></returns>
public override Events.BuyEventArgs BuySignal(MarketTickEventArgs eventArgs)
{
var sma50 = GetTechnicalValue <SMA50, double>();
if (Math.Abs(sma50 - 0) > 0.001)
{
if (eventArgs.MarketData.Close > sma50)
{
var cashPerSecurity = eventArgs.StrategyInfo.Cash / eventArgs.SecuritiesData.Count;
var sharesToBuy = (int)(cashPerSecurity / eventArgs.MarketData.Close);
return(new BuyEventArgs(eventArgs, sharesToBuy));
}
}
return(null);
}
private static SellEventArgs SellCondition(MarketTickEventArgs eventArgs)
{
if (Idx % 5 != 0)
{
return(null);
}
if (eventArgs.EMA13 < previous13EMA && eventArgs.MACDHistogram < previousMACD)
{
bought = false;
return(new SellEventArgs(eventArgs.MarketData, MarketSimulator.Instance.Shares));
}
else
{
return(null);
}
}
/// <summary>
///
/// </summary>
/// <param name="eventArgs"></param>
/// <returns></returns>
private static BuyEventArgs BuyCondition(MarketTickEventArgs eventArgs)
{
BuyEventArgs buyEventArgs = null;
if (eventArgs.RSI < 20)
{
buyEventArgs = new BuyEventArgs(eventArgs.MarketData, (int)eventArgs.RSI);
}
if (buyEventArgs != null && buyEventArgs.Shares == 0)
{
return(null);
}
return(buyEventArgs);
}
private static BuyEventArgs BuyCondition(MarketTickEventArgs eventArgs)
{
if (Idx % 5 != 0)
{
return(null);
}
if (!bought && eventArgs.EMA13 > previous13EMA && eventArgs.MACDHistogram > previousMACD)
{
var shares = (int)(MarketSimulator.Instance.Balance / eventArgs.MarketData.Close);
bought = true;
return(new BuyEventArgs(eventArgs.MarketData, shares));
}
else
{
return(null);
}
}
/// <summary>
/// MarketTick
/// </summary>
/// <param name="sender">event sender</param>
/// <param name="e">market Tick event arguments</param>
public virtual StrategyMarketTickResult MarketTick(object sender, MarketTickEventArgs e)
{
// TODO: Determine if strategies should be prevented from buying AND selling in the same tick.
// if not; determine precedence; for now it's sell first (for liquidity) and purchase 2nd.
currentMarketTick = e;
foreach (var technicalIndicator in TechnicalIndicators)
{
technicalIndicator.Value.MarketTick(e);
}
var s = SellSignal(e);
var b = BuySignal(e);
var thisHistory = new StrategyMarketTickResult(OnMarketTickEvent(e), OnBuyEvent(b), OnSellEvent(s));
StrategyTickHistory.Add(thisHistory);
return(thisHistory);
}
/// <summary>
/// MarketTick
/// </summary>
/// <returns></returns>
public override void MarketTick(MarketTickEventArgs mktTickEventArgs)
{
if (historical.ContainsKey(mktTickEventArgs.MarketData.Date))
{
return;
}
#region FIFO Closing Price Queue of Period Size
if (values.Count >= _period)
{
values.Dequeue();
}
values.Enqueue(mktTickEventArgs.MarketData.Close);
#endregion
// trap historical value for this tick
historical.Add(mktTickEventArgs.MarketData.Date, Value);
}
/// <summary>
/// Process
/// </summary>
/// <param name="e"></param>
public void Process(MarketTickEventArgs e)
{
if (!e.Symbol.Equals(Security))
{
return;
}
if (MarketData == null)
{
MarketData = e.MarketData;
return;
}
if (e.MarketData.Close >= MarketData.Close)
{
if (DownDays > 0)
{
Reset();
}
UpDays++;
}
else
{
if (UpDays > 0)
{
Reset();
}
DownDays++;
}
StreakList.Add(Streak);
MarketData = e.MarketData;
}
/// <summary>
/// StrategyMarketTickResult
/// </summary>
/// <param name="e">market tick</param>
/// <param name="b">buy result</param>
/// <param name="s">sell result</param>
public StrategyMarketTickResult(MarketTickEventArgs e, BuyEventArgs b, SellEventArgs s)
{
MarketTickEventArgs = e;
BuyEventArgs = b;
SellEventArgs = s;
}
public override Events.BuyEventArgs BuySignal(MarketTickEventArgs eventArgs)
{
return(Buy(10));
}
/// <summary>
/// BuyEventArgs
/// </summary>
/// <param name="marketTickEventArgs">the market tick event args</param>
/// <param name="Shares">the number of Shares</param>
public BuyEventArgs(MarketTickEventArgs marketTickEventArgs, int shares)
: base(TradeType.Buy, marketTickEventArgs, shares)
{
}
/// <summary> /// SellSignal; the details of the sell signal are filled in by the concrete /// implementations. /// </summary> /// <param name="eventArgs">incoming market tick event arguments</param> /// <returns><c>possibly</c> a buy event; may be null to do hold or do nothing</returns> public abstract SellEventArgs SellSignal(MarketTickEventArgs eventArgs);
/// <summary> /// BuySignal; the details of the buy signal are filled in by the concrete /// implementations. /// </summary> /// <param name="eventArgs">incoming market tick event arguments</param> /// <returns><c>possibly</c> a buy event; may be null to do hold or do nothing</returns> public abstract BuyEventArgs BuySignal(MarketTickEventArgs eventArgs);
/// <summary> /// MarketTick /// </summary> /// <returns></returns> public abstract void MarketTick(MarketTickEventArgs mktTickEventArgs);
/// <summary>
/// BuyEventArgs
/// </summary>
/// <param name="marketTickEventArgs">the market tick event args</param>
/// <param name="Shares">the number of Shares</param>
public SellEventArgs(MarketTickEventArgs marketTickEventArgs, int shares)
: base(TradeType.Sell, marketTickEventArgs, shares)
{
}
/// <summary>
///
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
/// <returns></returns>
public override StrategyMarketTickResult MarketTick(object sender, MarketTickEventArgs e)
{
return(base.MarketTick(sender, e));
}
/// <summary>
///
/// </summary>
/// <param name="eventArgs"></param>
/// <returns></returns>
public override Events.SellEventArgs SellSignal(MarketTickEventArgs eventArgs)
{
return(Signals.SellWhenNAVDoubledForSecurity(eventArgs));
}
public override Events.SellEventArgs SellSignal(MarketTickEventArgs eventArgs)
{
return(Sell(10));
}
