void EventHelper_2_type2(object[] param, ref List <ProbaStruct> MinValueClose, ref List <ProbaStruct> MaxValueClose)
{
if (MinValueClose.Count == divergenceClose + 1)
{
MinValueClose.RemoveAt(0);
}
if (MaxValueClose.Count == divergenceClose + 1)
{
MaxValueClose.RemoveAt(0);
}
if (param[0].ToString() == "Min")
{
lastvalue = LastZigZagValue.MIN;
double gapValue = (double)param[1];
double price = (double)param[2];
DateTime time = (DateTime)param[3];
ProbaStruct Temp_value = new ProbaStruct()
{
GapValue = gapValue, price = price, time = time
};
if (MinValueClose.Count != 0)
{
if (openpos == OpenPosition.LONG)
{
FunTradeWorker.DivergenceCheck(false, MinValueClose, Temp_value, ref divergence_min_close, ref closelong, logger, name, time, LoggNeeded, false);
}
}
MinValueClose.Add(Temp_value);
if (divergenceClose == 0)
{
if (OpenPosition.LONG == openpos)
{
CloseLong = Temp_value;
closelong = true;
}
}
else
if (divergence_min_close == divergenceClose)
{
closelong = true;
CloseLong = MinValueClose.Last();
string message = String.Format("{0} Решение закрыть позиции Лонг. Ждем локальную дивергенцию... ", name);
//if (LoggNeeded)
// logger.LogEvent(Temp_value.time, message);
divergence_min_close = 0;
}
}
if (param[0].ToString() == "Max")
{
lastvalue = LastZigZagValue.MAX;
double gapValue = (double)param[1];
double price = (double)param[2];
DateTime time = (DateTime)param[3];
ProbaStruct Temp_value = new ProbaStruct()
{
GapValue = gapValue, price = price, time = time
};
if (MaxValueClose.Count != 0)
{
if (openpos == OpenPosition.SHORT)
{
FunTradeWorker.DivergenceCheck(true, MaxValueClose, Temp_value, ref divergence_max_close, ref closeshort, logger, name, time, LoggNeeded, false);
}
}
MaxValueClose.Add(Temp_value);
if (divergenceClose == 0)
{
if (openpos == OpenPosition.SHORT)
{
CloseShort = Temp_value;
closelong = true;
}
}
else
if (divergence_max_close == divergenceClose)
{
closeshort = true;
CloseShort = MaxValueClose.Last();
string message = String.Format("{0} Решение закрыть позиции Шорт. Ждем локальную дивергенцию... ", name);
//if (LoggNeeded)
// logger.LogEvent(Temp_value.time, message);
divergence_max_close = 0;
}
}
}
void EventHelper(object[] param, List <ProbaStruct> MinValueOpen, List <ProbaStruct> MinValueClose, List <ProbaStruct> MaxValueOpen, List <ProbaStruct> MaxValueClose)
{
if (MinValueOpen.Count == divergenceOpen + 1)
{
MinValueOpen.RemoveAt(0);
}
if (MinValueClose.Count == divergenceClose + 1)
{
MinValueClose.RemoveAt(0);
}
if (MaxValueOpen.Count == divergenceOpen + 1)
{
MaxValueOpen.RemoveAt(0);
}
if (MaxValueClose.Count == divergenceClose + 1)
{
MaxValueClose.RemoveAt(0);
}
if (param[0].ToString() == "Min")
{
lastvalue = LastZigZagValue.MIN;
double gapValue = (double)param[1];
double price = (double)param[2];
DateTime time = (DateTime)param[3];
ProbaStruct Temp_value = new ProbaStruct()
{
GapValue = gapValue, price = price, time = time
};
if (MinValueOpen.Count != 0)
{
if (openpos == OpenPosition.SHORT)
{
if (can_expand)
{
if (Temp_value.GapValue > MinValueOpen.Last().GapValue&& Temp_value.price > MinValueOpen.Last().price)
{
expand_position_short = true;
}
else
{
expand_position_short = false;
}
}
}
FunTradeWorker.CorvergenceCheck(MinValueOpen, MaxValueOpen, Temp_value, gapValue, price, time,
ref ConvergenMin, ref convergen_min, Model.Project.Outputs[gappos].Value,
ratio, ref PositionShort, locker, tradeTerminal, ref openpos, logger, name, LoggNeeded);
if (openpos == OpenPosition.NONE)
{
FunTradeWorker.DivergenceCheck(false, MinValueOpen, Temp_value, ref divergence_min_open, ref openshort, logger, name, time, LoggNeeded, true);
}
}
if (MinValueClose.Count != 0)
{
if (openpos == OpenPosition.LONG)
{
FunTradeWorker.DivergenceCheck(false, MinValueClose, Temp_value, ref divergence_min_close, ref closelong, logger, name, time, LoggNeeded, false);
}
}
MinValueOpen.Add(Temp_value);
MinValueClose.Add(Temp_value);
if (divergenceOpen == 0)
{
if (openpos == OpenPosition.NONE)
{
openshort = true;
OpenShort = Temp_value;
}
if (openpos == OpenPosition.SHORT)
{
expand_position_short = true;
}
}
else
if (divergence_min_open == divergenceOpen)
{
openshort = true;
OpenShort = MinValueOpen.Last();
CrashShort = MinValueOpen[0];
string message = String.Format("{0} Решение открытия позиции Шорт. Ждем локальную дивергенцию... ", name);
//if (LoggNeeded)
// logger.LogEvent(Temp_value.time, message);
divergence_min_open = 0;
}
if (divergenceClose == 0)
{
if (openpos == OpenPosition.LONG)
{
CloseLong = Temp_value;
closelong = true;
}
}
else
if (divergence_min_close == divergenceClose)
{
closelong = true;
CloseLong = MinValueClose.Last();
string message = String.Format("{0} Решение закрыть позиции Лонг. Ждем локальную дивергенцию... ", name);
//if (LoggNeeded)
// logger.LogEvent(Temp_value.time, message);
divergence_min_close = 0;
}
}
if (param[0].ToString() == "Max")
{
lastvalue = LastZigZagValue.MAX;
double gapValue = (double)param[1];
double price = (double)param[2];
DateTime time = (DateTime)param[3];
ProbaStruct Temp_value = new ProbaStruct()
{
GapValue = gapValue, price = price, time = time
};
if (MaxValueOpen.Count != 0)
{
if (openpos == OpenPosition.LONG)
{
if (can_expand)
{
if (Temp_value.GapValue < MaxValueOpen.Last().GapValue&& Temp_value.price < MaxValueOpen.Last().price)
{
expand_position_long = true;
}
else
{
expand_position_long = false;
}
}
}
FunTradeWorker.CorvergenceCheck(MaxValueOpen, MinValueOpen, Temp_value, gapValue, price, time, ref ConvergenMax, ref convergen_max,
Model.Project.Outputs[gappos].Value, ratio, ref PositionLong, locker, tradeTerminal, ref openpos, logger, name, LoggNeeded);
if (openpos == OpenPosition.NONE)
{
FunTradeWorker.DivergenceCheck(true, MaxValueOpen, Temp_value, ref divergence_max_open, ref openlong, logger, name, time, LoggNeeded, true);
}
}
if (MaxValueClose.Count != 0)
{
if (openpos == OpenPosition.SHORT)
{
FunTradeWorker.DivergenceCheck(true, MaxValueClose, Temp_value, ref divergence_max_close, ref closeshort, logger, name, time, LoggNeeded, false);
}
}
MaxValueOpen.Add(Temp_value);
MaxValueClose.Add(Temp_value);
if (divergenceOpen == 0)
{
if (openpos == OpenPosition.NONE)
{
openlong = true;
OpenLong = Temp_value;
}
if (openpos == OpenPosition.LONG)
{
expand_position_short = true;
}
}
else
if (divergence_max_open == divergenceOpen)
{
openlong = true;
OpenLong = MaxValueOpen.Last();
CrashLong = MaxValueOpen[0];
string message = String.Format("{0} Решение открытия позиции Лонг. Ждем локальную дивергенцию... ", name);
//if (LoggNeeded)
// logger.LogEvent(Temp_value.time, message);
divergence_max_open = 0;
}
if (divergenceClose == 0)
{
if (openpos == OpenPosition.SHORT)
{
CloseShort = Temp_value;
closelong = true;
}
}
else
if (divergence_max_close == divergenceClose)
{
closeshort = true;
CloseShort = MaxValueClose.Last();
string message = String.Format("{0} Решение закрыть позиции Шорт. Ждем локальную дивергенцию... ", name);
//if (LoggNeeded)
// logger.LogEvent(Temp_value.time, message);
divergence_max_close = 0;
}
}
}
public void EventHandler_1_type2(object[] param)
{
if (MinValueOpen_1.Count == divergenceOpen + 1)
{
MinValueOpen_1.RemoveAt(0);
}
if (MaxValueOpen_1.Count == divergenceOpen + 1)
{
MaxValueOpen_1.RemoveAt(0);
}
if (param[0].ToString() == "Min")
{
lastvalue = LastZigZagValue.MIN;
double gapValue = (double)param[1];
double price = (double)param[2];
DateTime time = (DateTime)param[3];
ProbaStruct Temp_value = new ProbaStruct()
{
GapValue = gapValue, price = price, time = time
};
if (MinValueOpen_1.Count != 0)
{
if (openpos == OpenPosition.SHORT)
{
if (can_expand)
{
if (Temp_value.GapValue > MinValueOpen_1.Last().GapValue&& Temp_value.price > MinValueOpen_1.Last().price)
{
expand_position_short = true;
}
else
{
expand_position_short = false;
}
}
}
if (openpos == OpenPosition.NONE)
{
FunTradeWorker.DivergenceCheck(false, MinValueOpen_1, Temp_value, ref divergence_min_open, ref openshort, logger, name, time, LoggNeeded, true);
}
}
MinValueOpen_1.Add(Temp_value);
MinValueClose_1.Add(Temp_value);
if (divergenceOpen == 0)
{
if (openpos == OpenPosition.NONE)
{
openshort = true;
OpenShort = Temp_value;
}
if (openpos == OpenPosition.SHORT)
{
expand_position_short = true;
}
}
else
if (divergence_min_open == divergenceOpen)
{
openshort = true;
OpenShort = MinValueOpen_1.Last();
CrashShort = MinValueOpen_1[0];
string message = String.Format("{0} Решение открытия позиции Шорт. Ждем локальную дивергенцию... ", name);
//if (LoggNeeded)
// logger.LogEvent(Temp_value.time, message);
divergence_min_open = 0;
}
}
if (param[0].ToString() == "Max")
{
lastvalue = LastZigZagValue.MAX;
double gapValue = (double)param[1];
double price = (double)param[2];
DateTime time = (DateTime)param[3];
ProbaStruct Temp_value = new ProbaStruct()
{
GapValue = gapValue, price = price, time = time
};
if (MaxValueOpen_1.Count != 0)
{
if (openpos == OpenPosition.LONG)
{
if (can_expand)
{
if (Temp_value.GapValue < MaxValueOpen_1.Last().GapValue&& Temp_value.price < MaxValueOpen_1.Last().price)
{
expand_position_long = true;
}
else
{
expand_position_long = false;
}
}
}
if (openpos == OpenPosition.NONE)
{
FunTradeWorker.DivergenceCheck(true, MaxValueOpen_1, Temp_value, ref divergence_max_open, ref openlong, logger, name, time, LoggNeeded, true);
}
}
MaxValueOpen_1.Add(Temp_value);
if (divergenceOpen == 0)
{
if (openpos == OpenPosition.NONE)
{
OpenLong = Temp_value;
openlong = true;
}
if (openpos == OpenPosition.LONG)
{
expand_position_short = true;
}
}
else
if (divergence_max_open == divergenceOpen)
{
openlong = true;
OpenLong = MaxValueOpen_1.Last();
CrashLong = MaxValueOpen_1[0];
string message = String.Format("{0} Решение открытия позиции Лонг. Ждем локальную дивергенцию... ", name);
//if (LoggNeeded)
// logger.LogEvent(Temp_value.time, message);
divergence_max_open = 0;
}
}
}
public void PositionHandler(object[] param)
{
double gap = (double)param[0];
double ask = (double)param[1];
double bid = (double)param[2];
DateTime time = (DateTime)param[3];
if (openpos == OpenPosition.LONG)
{
if (profit_to_close > 0)
{
if (bid >= PositionLong.Last().value + profit_to_close)
{
if (LoggNeeded)
{
logger.LogEvent(time, "Close long due to TakeProfit condition");
}
FunTradeWorker.ClosePosition(false, PositionLong, tradeTerminal, true, bid, ref all_profit, locker, logger, time, name, LoggNeeded);
openpos = OpenPosition.NONE;
return;
}
}
if (lose_to_close > 0)
{
if (bid <= PositionLong.Last().value - lose_to_close)
{
if (LoggNeeded)
{
logger.LogEvent(time, "Close long due to StopLose condition");
}
FunTradeWorker.ClosePosition(false, PositionLong, tradeTerminal, true, bid, ref all_profit, locker, logger, time, name, LoggNeeded);
openpos = OpenPosition.NONE;
return;
}
}
}
if (openpos == OpenPosition.SHORT)
{
if (profit_to_close > 0)
{
if (PositionShort.Last().value - profit_to_close >= ask)
{
if (LoggNeeded)
{
logger.LogEvent(time, "Close short due to TakeProfit condition");
}
FunTradeWorker.ClosePosition(false, PositionShort, tradeTerminal, false, ask, ref all_profit, locker, logger, time, name, LoggNeeded);
openpos = OpenPosition.NONE;
return;
}
}
if (lose_to_close > 0)
{
if (ask >= PositionShort.Last().value + lose_to_close)
{
if (LoggNeeded)
{
logger.LogEvent(time, "Close short due to StopLose condition");
}
FunTradeWorker.ClosePosition(false, PositionShort, tradeTerminal, false, ask, ref all_profit, locker, logger, time, name, LoggNeeded);
openpos = OpenPosition.NONE;
return;
}
}
}
//if(convergen_min)
if (lastvalue == LastZigZagValue.MIN)
{
if (openpos == OpenPosition.LONG)
{
if (gap > CrashLong.GapValue)
{
if (LoggNeeded)
{
logger.LogEvent(time, "Close long due to crash divergence condition");
}
FunTradeWorker.ClosePosition(false, PositionLong, tradeTerminal, true, bid, ref all_profit, locker, logger, time, name, LoggNeeded);
openpos = OpenPosition.NONE;
return;
}
}
if (convergen_max == convergen_counter)
{
if (gap > ConvergenMax.GapValue && ask > ConvergenMax.price)
{
//if (LoggNeeded)
// logger.LogEvent(time, name + " Вторая конвергенция Long");
convergen_max = 0;
//FunTradeWorker.ClosePosition(true, PositionLong, tradeTerminal, true, bid, ref all_profit, locker, logger, time, name, LoggNeeded);
//openpos = OpenPosition.NONE;
}
}
if (openpos == OpenPosition.LONG)
{
FunTradeWorker.AddPositionVolume_Old(true, ref last_pos, gap, ask, PositionLong, ref expand_position_long, locker, tradeTerminal, logger, time, name, LoggNeeded);
//FunTradeWorker.AddPositionVolume_New(true, MaxValueOpen, MinValueOpen, gap, ask, ratio_exp, PositionLong, ref expand_position_long, locker, tradeTerminal, logger, time, name, LoggNeeded);
}
if (openlong)
{
if (openpos == OpenPosition.NONE)
{
if (gap < OpenLong.GapValue && ask < OpenLong.price)
{
Position pos = new Position();
pos.index = ind++;
pos.value = ask;
last_pos.gap = gap;
last_pos.price = ask;
PositionLong.Add(pos);
openpos = OpenPosition.LONG;
lock (locker)
{
tradeTerminal.OpenOrder(ArbitrageTradeWF.OrderType.MKT_Buy, pos.index);
}
if (LoggNeeded)
{
logger.LogEvent(time, name + " send buy order " + pos.index + " req price : " + pos.value);
}
openlong = false;
return;
}
}
}
if (closeshort)
{
if (gap < CloseShort.GapValue && ask < CloseShort.price)
{
if (LoggNeeded)
{
logger.LogEvent(time, "Close short due to divergence condition");
}
if (FunTradeWorker.ClosePosition(false, PositionShort, tradeTerminal, false, ask, ref all_profit, locker, logger, time, name, LoggNeeded))
{
openpos = OpenPosition.NONE;
}
closeshort = false;
return;
}
}
}
if (lastvalue == LastZigZagValue.MAX)
{
if (openpos == OpenPosition.SHORT)
{
if (gap < CrashShort.GapValue)
{
if (LoggNeeded)
{
logger.LogEvent(time, "Close short due to crash divergence condition");
}
FunTradeWorker.ClosePosition(false, PositionShort, tradeTerminal, false, ask, ref all_profit, locker, logger, time, name, LoggNeeded);
openpos = OpenPosition.NONE;
return;
}
}
if (convergen_min == convergen_counter)
{
if (gap < ConvergenMin.GapValue && bid < ConvergenMin.price)
{
//if (LoggNeeded)
// logger.LogEvent(time, name + " Вторая конвергенция Short");
convergen_min = 0;
//if(FunTradeWorker.ClosePosition(true, PositionShort, tradeTerminal, false, ask, ref all_profit, locker, logger, time, name, LoggNeeded))
// openpos = OpenPosition.NONE;
}
}
if (openpos == OpenPosition.SHORT)
{
FunTradeWorker.AddPositionVolume_Old(false, ref last_pos, gap, bid, PositionShort, ref expand_position_short, locker, tradeTerminal, logger, time, name, LoggNeeded);
//FunTradeWorker.AddPositionVolume_New(false, MinValueOpen, MaxValueOpen, gap, bid, ratio_exp, PositionShort, ref expand_position_short, locker, tradeTerminal, logger, time, name, LoggNeeded);
}
if (closelong)
{
if (gap > CloseLong.GapValue && bid > CloseLong.price)
{
if (LoggNeeded)
{
logger.LogEvent(time, "Close long due to divergence condition");
}
FunTradeWorker.ClosePosition(false, PositionLong, tradeTerminal, true, bid, ref all_profit, locker, logger, time, name, LoggNeeded);
openpos = OpenPosition.NONE;
closelong = false;
return;
}
}
if (openshort)
{
if (openpos == OpenPosition.NONE)
{
if (gap > OpenShort.GapValue && bid > OpenShort.price)
{
Position pos = new Position();
pos.index = ind++;
pos.value = bid;
last_pos.gap = gap;
last_pos.price = bid;
PositionShort.Add(pos);
openpos = OpenPosition.SHORT;
lock (locker)
{
tradeTerminal.OpenOrder(ArbitrageTradeWF.OrderType.MKT_Sell, pos.index);
}
if (LoggNeeded)
{
logger.LogEvent(time, name + " send sell order " + pos.index + " req price : " + pos.value);
}
openshort = false;
return;
}
}
}
}
}