public void OnTick(Tick tick, int signal, bool isClosePos, double riskLev)
{
PerformanceTick pTick = new PerformanceTick()
{
Time = tick.Time,
Last = tick.Last,
Balance = _balance,
Equity = _balance,
IsBalanceUpdated = false,
CurrentSignal = _currPosSignal,
CurrentPosOpenRate = _posOpenRate,
CurrentPosOpenTime = _posOpenTime,
IsPosClosed = false
};
if (_currPosSignal.HasValue)
{
int dollar = _currRiskLev.HasValue && _currRiskLev > 0 ? Convert.ToInt32(30 / (_currRiskLev * 4.5)) : _lotSize;
//int dollar = riskLev > 0 ? Convert.ToInt32(30 / (riskLev * 6)) : _lotSize;
int size = (int) (dollar/1000)*1000;
double profit = _calcProfit(_currPosSignal.Value, size, _posOpenRate,
_currPosSignal == -1 ? tick.Ask : tick.Bid);
double margin = _lotSize/(_currPosSignal == 1 ? _posOpenRate : 1)/_leverage;
var equityOnTick = _balance + profit + margin;
pTick.Equity = equityOnTick;
//close current position
if (isClosePos)
{
_balance = equityOnTick;
pTick.Balance = _balance;
pTick.IsBalanceUpdated = true;
pTick.IsPosClosed = true;
_profits.Add(profit);
_updatePerformanceSummary(profit, tick);
DispatcherHelper.CheckBeginInvokeOnUI(() => Messenger.Default.Send(_performanceSummary));
_currPosSignal = null;
_currRiskLev = null;
_posOpenRate = -1;
_posOpenTime = null;
}
}
else
{
//open new position
if (Math.Abs(signal) == 1)
{
_posOpenRate = signal == 1 ? tick.Ask : tick.Bid;
_posOpenTime = tick.Time;
_currPosSignal = signal;
_currRiskLev = riskLev;
double margin = _lotSize/(_currPosSignal == 1 ? _posOpenRate : 1)/_leverage;
_balance = _balance - margin;
pTick.Balance = _balance;
pTick.IsBalanceUpdated = true;
}
}
//only update graph each x hours
if (pTick.Time.Minute == 0 || pTick.Time.Hour % 4 == 0)
DispatcherHelper.CheckBeginInvokeOnUI(() => Messenger.Default.Send(pTick));
}
private void _updatePerformanceSummary(double profit, Tick tick)
{
_performanceSummary.Profit += profit;
if (profit >= 0)
{
_performanceSummary.TotalWin += profit;
if (profit > _performanceSummary.MaxWin)
_performanceSummary.MaxWin = profit;
_performanceSummary.NoWinPos++;
if (_currPosSignal.Value == 1)
_performanceSummary.NoWinLong++;
else
_performanceSummary.NoWinShort++;
}
else
{
_performanceSummary.NoLossPos++;
_performanceSummary.TotalLoss += profit;
if (profit < _performanceSummary.MaxLoss)
_performanceSummary.MaxLoss = profit;
}
if (_currPosSignal.Value == 1)
_performanceSummary.NoLong++;
else
_performanceSummary.NoShort++;
_performanceSummary.TotalHoldSec += (tick.Time - _posOpenTime).Value.TotalSeconds;
_performanceSummary.SharpeR = _calcSharpe();
}
public int OnTick(Tick t, out bool isClosePos, out double risk, double sl)
{
return(_process_tick(_algo_p, t.TimeStr, t.Ask, t.Bid, t.Last,
(IntPtr)t.Volume, sl, out isClosePos, out risk,
_callbackInstance));
}
public void OnTick(Tick tick, int signal, bool isClosePos, double riskLev)
{
PerformanceTick pTick = new PerformanceTick()
{
Time = tick.Time,
Last = tick.Last,
Balance = _balance,
Equity = _balance,
IsBalanceUpdated = false,
CurrentSignal = _currPosSignal,
CurrentPosOpenRate = _posOpenRate,
CurrentPosOpenTime = _posOpenTime,
IsPosClosed = false
};
if (_currPosSignal.HasValue)
{
int dollar = _currRiskLev.HasValue && _currRiskLev > 0 ? Convert.ToInt32(30 / (_currRiskLev * 4.5)) : _lotSize;
//int dollar = riskLev > 0 ? Convert.ToInt32(30 / (riskLev * 6)) : _lotSize;
int size = (int)(dollar / 1000) * 1000;
double profit = _calcProfit(_currPosSignal.Value, size, _posOpenRate,
_currPosSignal == -1 ? tick.Ask : tick.Bid);
double margin = _lotSize / (_currPosSignal == 1 ? _posOpenRate : 1) / _leverage;
var equityOnTick = _balance + profit + margin;
pTick.Equity = equityOnTick;
//close current position
if (isClosePos)
{
_balance = equityOnTick;
pTick.Balance = _balance;
pTick.IsBalanceUpdated = true;
pTick.IsPosClosed = true;
_profits.Add(profit);
_updatePerformanceSummary(profit, tick);
DispatcherHelper.CheckBeginInvokeOnUI(() => Messenger.Default.Send(_performanceSummary));
_currPosSignal = null;
_currRiskLev = null;
_posOpenRate = -1;
_posOpenTime = null;
}
}
else
{
//open new position
if (Math.Abs(signal) == 1)
{
_posOpenRate = signal == 1 ? tick.Ask : tick.Bid;
_posOpenTime = tick.Time;
_currPosSignal = signal;
_currRiskLev = riskLev;
double margin = _lotSize / (_currPosSignal == 1 ? _posOpenRate : 1) / _leverage;
_balance = _balance - margin;
pTick.Balance = _balance;
pTick.IsBalanceUpdated = true;
}
}
//only update graph each x hours
if (pTick.Time.Minute == 0 || pTick.Time.Hour % 4 == 0)
{
DispatcherHelper.CheckBeginInvokeOnUI(() => Messenger.Default.Send(pTick));
}
}
public int OnTick(Tick t, out bool isClosePos, out double risk, double sl)
{
return _process_tick(_algo_p, t.TimeStr, t.Ask, t.Bid, t.Last,
(IntPtr)t.Volume, sl, out isClosePos, out risk,
_callbackInstance);
}
