public static void CorvergenceCheck(List <ProbaStruct> ZigZagCollectionMain, List <ProbaStruct> ZigZagCollectionOff,
ProbaStruct NewZigZagValue, double converGap, double converPrice,
DateTime time, ref ProbaStruct CorvergenceHandle, ref int convergence_counter,
double gap, double RatioConver, ref List <Position> Position, object locker,
ModelsAT.BrokerMT tradeTerminal, ref OpenPosition openpos, ILogger logger, string name, bool LoggNeeded)
{
if (ZigZagCollectionMain.Last().GapValue < NewZigZagValue.GapValue && ZigZagCollectionMain.Last().price < NewZigZagValue.price)
{
convergence_counter++;
CorvergenceHandle.GapValue = converGap;
CorvergenceHandle.price = converPrice;
CorvergenceHandle.time = time;
if (ZigZagCollectionOff.Count != 0)
{
double R = Math.Abs(NewZigZagValue.GapValue - gap);
double R1 = Math.Abs(NewZigZagValue.GapValue - ZigZagCollectionOff.Last().GapValue);
double Ratio = R / R1;
/* if (LoggNeeded)
* logger.LogEvent(time, name + " Ratio: " + Ratio);
* if (RatioConver <= Ratio)
* {
* if (Position.Count > 0)
* {
* lock (locker)
* {
* logger.LogEvent(time, name + " Аварийный выход с рынка");
* tradeTerminal.ClosePosition(Position[0].index);
* openpos = OpenPosition.NONE;
* }
* Position.Clear();
* }
* }*/
}
//if (LoggNeeded)
// logger.LogEvent(time, name + " Медвежья конвергенция ");
}
else
{
convergence_counter = 0;
}
}
static void AddPositionVolumeAssist(ref LastPosition last_pos, double gap, double price, List <Position> Position,
object locker, ModelsAT.BrokerMT tradeTerminal, ArbitrageTradeWF.OrderType order_type,
ILogger logger, DateTime time, string name, bool LoggNeeded)
{
last_pos.gap = gap;
last_pos.price = price;
int ind = Position.Last().index;
lock (locker)
{
tradeTerminal.OpenOrder(order_type, ind);
}
Position.Add(new Processors.Position()
{
index = ind, value = price
});
if (LoggNeeded)
{
logger.LogEvent(time, name + " Увеличиваем объем позиции " + ind + " req price : " + price);
}
}
public static bool ClosePosition(bool fast_exit, List <Position> Position, ModelsAT.BrokerMT tradeTerminal, bool LongShort, double price, ref double all_profit,
object locker, ILogger logger, DateTime time, string name, bool LoggNeeded)
{
if (Position.Count > 0)
{
lock (locker)
{
if (LoggNeeded && fast_exit)
{
logger.LogEvent(time, name + " Аварийный выход с рынка");
}
tradeTerminal.ClosePosition(Position[0].index);
foreach (var item in Position)
{
string order;
double profit = 0;
if (!LongShort)
{
profit = item.value - price;
order = "buy";
}
else
{
profit = price - item.value;
order = "sell";
}
all_profit += profit;
if (LoggNeeded)
{
logger.LogEvent(time, name + " send " + order + " order " + item.index + " req price : " + price + " Profit: " + profit);
}
}
}
Position.Clear();
return(true);
}
return(false);
}
public static void AddPositionVolume_New(bool LongShort, List <ProbaStruct> MainZigZagCollection, List <ProbaStruct> OfZigZagCollection, double gap, double price,
double ratio_exp, List <Position> Position, ref bool expand_position, object locker, ModelsAT.BrokerMT tradeTerminal,
ILogger logger, DateTime time, string name, bool LoggNeeded)
{
if (expand_position)
{
double last_knee = Math.Abs(MainZigZagCollection.Last().GapValue - OfZigZagCollection.Last().GapValue);
double temp_knee = Math.Abs(OfZigZagCollection.Last().GapValue - gap);
double r_exp = temp_knee / last_knee;
if (r_exp >= ratio_exp)
{
if (LoggNeeded)
{
logger.LogEvent(time, name + " Размер ratio_O " + r_exp);
}
int ind = Position.Last().index;
lock (locker)
{
if (!LongShort)
{
tradeTerminal.OpenOrder(ArbitrageTradeWF.OrderType.MKT_Sell, ind);
}
else
{
tradeTerminal.OpenOrder(ArbitrageTradeWF.OrderType.MKT_Buy, ind);
}
}
expand_position = false;
if (LoggNeeded)
{
logger.LogEvent(time, name + " Увеличиваем объем позиции " + ind + " req price : " + price);
}
}
}
}
public static void AddPositionVolume_Old(bool LongShort, ref LastPosition last_pos, double gap, double price, List <Position> Position,
ref bool expand_position, object locker, ModelsAT.BrokerMT tradeTerminal, ILogger logger,
DateTime time, string name, bool LoggNeeded)
{
if (expand_position)
{
if (!LongShort)
{
if (gap > last_pos.gap && price > last_pos.price)
{
AddPositionVolumeAssist(ref last_pos, gap, price, Position, locker, tradeTerminal, ArbitrageTradeWF.OrderType.MKT_Sell, logger, time, name, LoggNeeded);
expand_position = false;
}
}
else
{
if (gap < last_pos.gap && price < last_pos.price)
{
AddPositionVolumeAssist(ref last_pos, gap, price, Position, locker, tradeTerminal, ArbitrageTradeWF.OrderType.MKT_Buy, logger, time, name, LoggNeeded);
expand_position = false;
}
}
}
}
public override bool Initialize(List <IProcessorInput> inputs, string parameters, ILogger logger)
{
ClosePositionStopTrade += Stop;
if (Models.InputItemInteractivBrokerModel.IB == null)
{
return(false);
}
this.logger = logger;
ParametersParser parser = CreateParser(parameters);
zigzagid = parser.GetInt("ZigZag_ID");
zigzagidsmall = parser.GetInt("ZigZagSmall_ID");
if (zigzagid < 0 || zigzagid > Model.Project.Outputs.Count)
{
return(false);
}
if (zigzagidsmall < 0 || zigzagidsmall > Model.Project.Outputs.Count)
{
return(false);
}
gappos = parser.GetInt("Gap");
if (gappos < 0 || gappos > Model.Project.Outputs.Count)
{
return(false);
}
//Gap = Model.Project.Proccesors[gappos];
//Gap.ProcessorAction += PositionHandler;
//ZigZag = Model.Project.Proccesors[zigzagid];
//ZigZag.ProcessorAction += EventHandler;
MinValueSmall = new List <ProbaStruct>();
MaxValueSmall = new List <ProbaStruct>();
MinValueBig = new List <ProbaStruct>();
MaxValueBig = new List <ProbaStruct>();
PositionShort = new Position();
PositionLong = new Position();
name = parser.GetString("Name");
ratio = parser.GetDouble("Ratio");
tradeTerminal = new ModelsAT.BrokerMT(parser.GetInt("tradeTerminalID"));
tradeTerminal.setBrokerParam("Name", parser.GetString("ServerName"));
tradeTerminal.SetServer();
Size = parser.GetInt("Size");
if (parser.GetInt("IsReal") == 1)
{
tradeTerminal.isReal = true;
}
if (parser.GetInt("Logg") == 1)
{
LoggNeeded = true;
}
else
{
LoggNeeded = false;
}
//if (divergence > size || divergence == 0) return false;
openlongcloseshort = false;
openshortcloselong = false;
longlock = false;
shortlock = false;
profit_to_close = parser.GetInt("TakeProfit") * Math.Pow(10, -Model.Project.Outputs[gappos].Digits);
lose_to_close = parser.GetInt("StopLoss") * Math.Pow(10, -Model.Project.Outputs[gappos].Digits);
convergenceshort = false;
convergencelong = false;
divergenceshort = false;
divergencelong = false;
lastvalue = LastZigZagValue.NONE;
all_profit = 0;
openpos = OpenPosition.NONE;
ConvergenMin = new ProbaStruct();
ConvergenMax = new ProbaStruct();
Model.OutputsInitializeEnd += InitializeHandler;
Model.LoadSimulation += LoadSec;
return(true);
}
public override bool Initialize(List <IProcessorInput> inputs, string parameters, ILogger logger)
{
ClosePositionStopTrade += Stop;
if (Models.InputItemInteractivBrokerModel.IB == null)
{
return(false);
}
this.logger = logger;
ParametersParser parser = CreateParser(parameters);
zigzagid_1 = parser.GetInt("ZigZag_ID1");
if (zigzagid_1 < 0 || zigzagid_1 > Model.Project.Outputs.Count)
{
return(false);
}
zigzagid_2 = parser.GetInt("ZigZag_ID2");
if (zigzagid_2 < 0 || zigzagid_2 > Model.Project.Outputs.Count)
{
return(false);
}
zigzagid_2_2 = parser.GetInt("ZigZag_ID2_2");
gappos = parser.GetInt("Gap");
if (gappos < 0 || gappos > Model.Project.Outputs.Count)
{
return(false);
}
int t_t = parser.GetInt("type");
switch (t_t)
{
case (0):
trader_type = TradeType.STANDART;
break;
case (1):
trader_type = TradeType.IN_OUT;
break;
default:
trader_type = TradeType.ONE_IN_TWO_OUT;
break;
}
//Gap = Model.Project.Proccesors[gappos];
//Gap.ProcessorAction += PositionHandler;
//ZigZag = Model.Project.Proccesors[zigzagid];
//ZigZag.ProcessorAction += EventHandler;
divergenceOpen = parser.GetInt("DivergenceOpen");
divergenceClose = parser.GetInt("DivergenceClose");
convergen_counter = parser.GetInt("Convergence");
if (divergenceOpen < 0 || divergenceClose < 0 || convergen_counter < 0)
{
return(false);
}
MinValueOpen_1 = new List <ProbaStruct>();
MaxValueOpen_1 = new List <ProbaStruct>();
MinValueClose_1 = new List <ProbaStruct>();
MaxValueClose_1 = new List <ProbaStruct>();
MinValueOpen_2 = new List <ProbaStruct>();
MaxValueOpen_2 = new List <ProbaStruct>();
MinValueClose_2 = new List <ProbaStruct>();
MaxValueClose_2 = new List <ProbaStruct>();
MinValueOpen_2_2 = new List <ProbaStruct>();
MaxValueOpen_2_2 = new List <ProbaStruct>();
MinValueClose_2_2 = new List <ProbaStruct>();
MaxValueClose_2_2 = new List <ProbaStruct>();
PositionShort = new List <Position>();
PositionLong = new List <Position>();
name = parser.GetString("Name");
ratio = parser.GetDouble("Ratio");
profit_to_close = parser.GetInt("TakeProfit") * Math.Pow(10, -Model.Project.Outputs[gappos].Digits);
lose_to_close = parser.GetInt("StopLoss") * Math.Pow(10, -Model.Project.Outputs[gappos].Digits);
ratio_exp = parser.GetDouble("Ratio_O");
tradeTerminal = new ModelsAT.BrokerMT(parser.GetInt("tradeTerminalID"));
tradeTerminal.setBrokerParam("Name", parser.GetString("ServerName"));
tradeTerminal.SetServer();
if (parser.GetInt("IsReal") == 1)
{
tradeTerminal.isReal = true;
}
else
{
tradeTerminal.isReal = false;
}
if (parser.GetInt("Logg") == 1)
{
LoggNeeded = true;
}
else
{
LoggNeeded = false;
}
if (parser.GetInt("Expand") == 1)
{
can_expand = true;
}
else
{
can_expand = false;
}
divergence_max_open = 0;
divergence_min_open = 0;
divergence_max_close = 0;
divergence_min_close = 0;
openlong = false;
openshort = false;
closelong = false;
expand_position_short = false;
expand_position_long = false;
closeshort = false;
lastvalue = LastZigZagValue.NONE;
all_profit = 0;
openpos = OpenPosition.NONE;
convergen_min = 0;
convergen_max = 0;
ConvergenMin = new ProbaStruct();
ConvergenMax = new ProbaStruct();
last_pos = new LastPosition();
Model.OutputsInitializeEnd += InitializeHandler;
Model.LoadSimulation += LoadSec;
return(true);
}
