protected override void CalcBar()
{
// strategy logic
spread_diff_func.Call(); // force calculation
// data_1 = series 1
// data_2 = series 2
// data_3 = series 1 bid
// data_4 = series 1 ask
double ask, bid;
if (price_signal == price_signal_enum.Bid_Ask)
{
bid = BarsOfData(3).Close[0];
ask = BarsOfData(4).Close[0];
}
else
{
bid = BarsOfData(1).Close[0];
ask = BarsOfData(1).Close[0];
}
// lift the ask
if (ask < spread_diff_func.ErrorLow)
{
if (this.StrategyInfo.MarketPosition >= 0 && enable_long)
{
long_order.Send();
}
else if (!liquidate_at_midpoint && this.StrategyInfo.MarketPosition < 0)
{
close_short_order.Send();
}
}
if (liquidate_at_midpoint && this.StrategyInfo.MarketPosition < 0 && ask <= spread_diff_func.spread_value)
{
close_short_order.Send();
}
// hit the bid
else if (bid > spread_diff_func.ErrorHigh)
{
if (!liquidate_at_midpoint && this.StrategyInfo.MarketPosition > 0)
{
close_long_order.Send();
}
else if (this.StrategyInfo.MarketPosition <= 0 && enable_short)
{
short_order.Send();
}
}
if (liquidate_at_midpoint && this.StrategyInfo.MarketPosition > 0 && bid >= spread_diff_func.spread_value)
{
close_long_order.Send();
}
}
protected override void CalcBar()
{
// strategy logic
spread_diff_func.Call(); // force calculation
// data_1 = series 1
// data_2 = series 2
// data_3 = series 1 bid
// data_4 = series 1 ask
// ask is less than the the lowest we think is reasonable - close short
if (BarsOfData(4).Close[0] < spread_diff_func.ErrorLow)
{
entry_order.Send();
}
}
protected override void CalcBar()
{
// strategy logic
spread_diff_func.Call(); // force calculation
// data_1 = series 1
// data_2 = series 2
// data_3 = series 1 bid
// data_4 = series 1 ask
// bid is more than the the highest we think is reasonable - go short
if (BarsOfData(3).Close[0] > spread_diff_func.ErrorHigh)
{
entry_order.Send();
}
}
