void OnRealTimeTickDataUpdate(string sender, MarketTickData message)
{
//TODO: This depends on the mode of when the trade signal should be run
if (m_TradingModel.IsDaily && !m_IsDailyTradeSignalRan)
{
m_IsDailyTradeSignalRan = true;
RunTradeSignal();
}
if (m_SignalState != TradingModelSignalState.TradeSignal)
{
//signal is already generated, Run Entry/Exit
if (m_SignalState == TradingModelSignalState.TradeEntry)
{
m_TradeEntryInstruction = m_TradingModel.TradeEntry();
if (m_TradeEntryInstruction != null)
{
//add the bar index for entry position
m_TradeEntryInstruction.BarIndex = m_CurrentBarIndex;
m_SignalState = TradingModelSignalState.TradeExit;
//add Trade entry to the money manager
m_moneyMgr.AddTradeEntry(m_TradeEntryInstruction);
}
}
if (m_SignalState == TradingModelSignalState.TradeExit)
{
m_TradeExitInstruction = m_TradingModel.TradeExit(m_TradeEntryInstruction);
if (m_TradeExitInstruction != null)
{
//log the bar index for exit signal
m_TradeExitInstruction.BarIndex = m_CurrentBarIndex;
//add Trade exit to the money manager
m_moneyMgr.AddTradeExit(m_TradeExitInstruction);
//unsubscribe from all events
m_BarDataHandler.BarDataCreatedCompleted -= OnBarDataCreatedCompleted;
m_TickDataHandler.OnRealTimeTickDataUpdate -= OnRealTimeTickDataUpdate;
m_TickDataHandler.OnRealTimeTickDataDateChange -= OnRealTimeTickDataDateChange;
if (CallbackTradePositionCloseReceived != null)
{
CallbackTradePositionCloseReceived.Invoke(m_ref, m_TradeEntryInstruction, m_TradeExitInstruction);
}
}
}
}
if (CallbackTickDataUpdateReceived != null)
{
CallbackTickDataUpdateReceived.Invoke(m_jobId, message, m_CurrentBarIndex);
}
}
public TradingModelRunner(
int reference,
ITradeModel tradeModel,
int jobId,
string instrumentCode,
DateTime regressionEndDate,
BarDataHandler barDataHandler,
TickDataHandler tickDataHandler,
DailyPriceBarDataHandler dailyPriceBarDataHandler,
BarCompleted callBackBarCompleted,
EntrySignalReceived callBackEntrySignalReceived,
TradePositionCloseReceived callBackTradePositionCloseReceived,
RegressionJobFinished callbackRegressionJobFinished,
TickDataUpdateReceived callbackTickDataUpdateReceived,
IMoneyManager moneyManager)
{
m_ref = reference;
m_TradingModel = tradeModel;
m_BarDataHandler = barDataHandler;
m_TickDataHandler = tickDataHandler;
m_DailyBarDataHandler = dailyPriceBarDataHandler;
m_jobId = jobId;
m_instrumentCode = instrumentCode;
m_RegressionEndDate = regressionEndDate;
m_moneyMgr = moneyManager;
CallbackOnEntrySignalReceived = callBackEntrySignalReceived;
CallbackTradePositionCloseReceived = callBackTradePositionCloseReceived;
CallbackRegressionJobFinished = callbackRegressionJobFinished;
CallbackBarCompleted = callBackBarCompleted;
CallbackTickDataUpdateReceived = callbackTickDataUpdateReceived;
m_SignalState = TradingModelSignalState.TradeSignal;
m_TradingModel.SetHandlers(barDataHandler, tickDataHandler, dailyPriceBarDataHandler, moneyManager);
m_BarDataHandler.BarDataCreatedCompleted += OnBarDataCreatedCompleted;
m_TickDataHandler.OnRealTimeTickDataUpdate += OnRealTimeTickDataUpdate;
m_TickDataHandler.OnRealTimeTickDataDateChange += OnRealTimeTickDataDateChange;
}
private void RunTradeSignal()
{
//Console.WriteLine("Bar completed: {0}", args.Bar);
if (m_SignalState == TradingModelSignalState.TradeSignal)
{
if (m_TradingModel.TradeSignal())
{
m_SignalState = TradingModelSignalState.TradeEntry;
if (m_TradingModel.IsDaily)
{
m_IsDailyTradeSignalRan = true;
}
if (CallbackOnEntrySignalReceived != null)
{
CallbackOnEntrySignalReceived.Invoke(m_ref, m_CurrentBarIndex);
}
}
}
}
