public LiqInjT(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
beta = symbol.relatedPrefix("LIB" + "10").doubles(bars);
betaShort = symbol.relatedPrefix("LIO" + "10").doubles(bars);
residual = symbol.relatedPrefix("LIV" + "10").doubles(bars);
zScore = symbol.relatedPrefix("LIZ" + "10").doubles(bars, 0);
tc = symbol.relatedPrefix("LIC" + "10").doublesNoLive(bars);
acf = new EWAcf(zScore, parameter <double>("acfHalfLife"), parameter <int>("acfLag"));
zScoreMin = parameter <double>("zScoreMin");
pScoreMin = parameter <double>("pScoreMin");
betaMin = parameter <double>("betaMin");
betaMax = parameter <double>("betaMax");
acfTrigger = parameter <double>("acfTrigger");
risk = parameter <long>("risk");
stopMultiple = parameter <double>("stopMultiple");
targetNetProfit = stopMultiple * risk;
}
public LiqInj(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
version = symbol.name.Substring(3, 2);
residual = symbol.relatedPrefix("PTV" + version).doubles(bars);
tc = symbol.relatedPrefix("PTC" + version).doublesNoLive(bars);
rSquare = symbol.relatedPrefix("PTR" + version).doubles(bars);
hedge = symbol.relatedPrefix("PTH" + version).doubles(bars);
scale = symbol.relatedPrefix("PTS" + version).doublesNoLive(bars, 0);
var atrLength = parameter <int>("ATRLength");
nATR = parameter <double>("nATR");
if (nATR != 0 && atrLength != 0)
{
atr = new AverageTrueRange(bars, atrLength);
}
zScore = symbol.relatedPrefix("PTZ" + version).doubles(bars, 0);
acf = new EWAcf(zScore, parameter <double>("acfHalfLife"), parameter <int>("acfLag"));
zScoreMin = parameter <double>("zScoreMin");
pScoreMin = parameter <double>("pScoreMin");
rSquareMin = parameter <double>("rSquareMin");
hedgeSwitch = parameter <int>("hedgeSwitch");
hedgeMin = parameter <double>("hedgeMin");
hedgeMax = parameter <double>("hedgeMax");
acfTrigger = parameter <double>("acfTrigger");
scaleMin = parameter <double>("scaleMin");
startSize = parameter <long>("startSize");
stopMultiple = parameter <double>("stopMultiple");
bridge.manager.onLive += () => {
if (startOfDayPosition != null)
{
livePosition = startOfDayPosition;
}
if (startOfDayTargetNetProfit.HasValue)
{
liveTargetNetProfit = startOfDayTargetNetProfit;
}
};
addToPlot(zScore, "zScore", Color.Red, "zScore");
}
