// private void ProcessTradeEntry(List<string> results, BarDay barday, ref bool inPosition, ref bool orderInForce, double enterLimitPrice, ref double exitLimitPrice, ref double enterExecPrice, ref int stopTime)
private void ProcessTradeEntry(List <string> results, IBarDay barday) //, ref bool inPosition, ref bool orderInForce, double enterLimitPrice, ref double exitLimitPrice, ref double enterExecPrice, ref int stopTime)
{
IBar b = bd.GetMinuteBar(i, 1, 1);
if (b.Open < enterLimitPrice)
{
DateTime barTime = barday.Date.AddHours(9.5).AddMinutes(i);
inPosition = true;
inPositionDays = 0;
enterExecPrice = b.Open;
exitLimitPrice = enterExecPrice + profitExit;
b = bd.GetMinuteBar(i, 1, 0);
string str = $"{bd.Symbol} enter:{barTime.ToString("MM-dd-yy HH:mm:ss")} {i} {b.ToString()} enterExecPrice={enterExecPrice} exitLimitPrice={exitLimitPrice}";
results.Add(str);
results.AddRange(Container.messages);
orderInForce = false;
stopTime = i + StopTimeInterval;
//File.AppendAllText(@"c:\src\diag.txt", $"stopTime={stopTime} i={i}\r\n");
}
}
private void CheckEntryCriteria(List <string> results, IBarDay barday, ref bool orderInForce, ref int orderInForceExpiry, ref double enterLimitPrice, int i)
{
if (t(i))
{
IBar b = bd.GetMinuteBar(i, 1, 0);
if (b == null)
{
underflow = true;
}
if (!underflow)
{
DateTime barTime = barday.Date.AddHours(9.5).AddMinutes(i);
entering = true;
enterLimitPrice = exec();
//double d = MinuteClose(5, 0);
//double dd = bars[i].Close;
entering = false;
string str = $"{bd.Symbol} met: {barTime.ToString("MM-dd-yy HH:mm:ss")} {i} {b.ToString()} enterLimitPrice={enterLimitPrice}";
results.Add(str);
results.AddRange(Container.messages);
orderInForce = true;
orderInForceExpiry = i + tif;
//File.AppendAllText(@"c:\src\diag.txt", $"profitExit={profitExit} tif={tif}\r\n");
}
}
}
// private void ProcessTradeExit(List<string> results, BarDay barday, ref bool inPosition, double exitLimitPrice, double enterExecPrice, ref double exitExecPrice, int stopTime)
private void ProcessTradeExit(List <string> results, IBarDay barday) //, ref bool inPosition, double exitLimitPrice, double enterExecPrice, ref double exitExecPrice, int stopTime)
{
IBar b = bd.GetMinuteBar(i, 1, 0);
//File.AppendAllText(@"c:\src\diag.txt", $"profitExit={profitExit} tif={tif} exitLimitPrice{exitLimitPrice}\r\n");
if (b != null)
{
if (b.Open > exitLimitPrice)
{
DateTime barTime = barday.Date.AddHours(9.5).AddMinutes(i);
exitExecPrice = exitLimitPrice;
double pandl = exitExecPrice - enterExecPrice;
Container.testResult.NumTrades++;
Container.testResult.PandL += pandl;
//testResults.Add(testResult);
string str = $"{bd.Symbol} exit:{barTime.ToString("MM-dd-yy HH:mm:ss")} {i} {b.ToString()} exitExecPrice={exitExecPrice} p&l={(exitExecPrice - enterExecPrice).ToString("0.00")}";
results.Add(str);
results.AddRange(Container.messages);
inPosition = false;
}
else if (i >= stopTime || (i >= CloseAll && inPositionDays >= maxOvernights))
{
//File.AppendAllText(@"c:\src\diag.txt", $"profitExit={profitExit} tif={tif} exitLimitPrice{exitLimitPrice} \r\n");
DateTime barTime = barday.Date.AddHours(9.5).AddMinutes(i);
exitExecPrice = b.Open;
double pandl = exitExecPrice - enterExecPrice;
Container.testResult.NumTrades++;
Container.testResult.PandL += pandl;
//testResults.Add(testResult);
string str = $"{bd.Symbol} Stop Exit:{barTime.ToString("MM-dd-yy HH:mm:ss")} {i} {b.ToString()} exitExecPrice={exitExecPrice} p&l={(exitExecPrice - enterExecPrice).ToString("0.00")}";
results.Add(str);
results.AddRange(Container.messages);
inPosition = false;
}
}
}