// -------------- Work in Progress : TEST ------------------------//
protected virtual bool FindPeaksAndOrder150()
{
int numOpenPositions = Math.Abs(S.TotalBuyTrades - S.TotalSellTrades);
bool isFreshOrder = numOpenPositions == 0;
//double percChange =
OrderPlaceAlgoCode orderPlaceCode = OrderPlaceAlgoCode.ALGOLIMITREJECT;
// 1. CHECK NEW TOP (Always occur for square off trade only)
if (S.LastPeakType == PeakType.BOTTOM)
{
if (S.Ticks.PercChangeFromMax < 0 && Math.Abs(S.Ticks.PercChangeFromMax) >= S.PercChangeThreshold)
{
// Record tick abberations
if (Math.Abs(S.Ticks.PercChangeFromMax) - S.PercChangeThreshold > 1)
{
Logger.LogWarningMessage(
string.Format("{0}: At {1} : PriceTick non-continuous {4} times. PercThreshold = {2} S.Ticks.PercChangeFromMax = {3}.",
AlgoParams.I.Symbol, S.Ticks.CurrTick.Di.QuoteTime, S.PercChangeThreshold, S.Ticks.PercChangeFromMax, S.Ticks.PercChangeFromMax / S.PercChangeThreshold));
}
orderPlaceCode = AlgoTryPlaceOrder(false, S.Ticks.CurrTick); // Sell
if (orderPlaceCode == OrderPlaceAlgoCode.SUCCESS)
{
// New TOP found
S.LastPeakType = PeakType.TOP;
S.Ticks.ResetMinMaxAndGetLastPeak(false, out _lastPeak);
}
}
}
// 2. CHECK NEW BOTTOM (Always occur for square off trade only)
else if (S.LastPeakType == PeakType.TOP)
{
// Peak - New trades or pending squareoffs
if (S.Ticks.PercChangeFromMin > 0 && Math.Abs(S.Ticks.PercChangeFromMin) >= S.PercChangeThreshold)
{
// Record tick abberations
if (Math.Abs(S.Ticks.PercChangeFromMin) - S.PercChangeThreshold > 1)
{
Logger.LogWarningMessage(
string.Format("{0}: At {1} : PriceTick non-continuous {4} times. PercThreshold = {2} S.Ticks.PercChangeFromMin = {3}.",
AlgoParams.I.Symbol, S.Ticks.CurrTick.Di.QuoteTime, S.PercChangeThreshold, S.Ticks.PercChangeFromMin, S.Ticks.PercChangeFromMin / S.PercChangeThreshold));
}
orderPlaceCode = AlgoTryPlaceOrder(true, S.Ticks.CurrTick); // Buy
if (orderPlaceCode == OrderPlaceAlgoCode.SUCCESS)
{
// New BOTTTOM found
S.LastPeakType = PeakType.BOTTOM;
S.Ticks.ResetMinMaxAndGetLastPeak(true, out _lastPeak);
}
}
}
// 3. 1st or FRESH position PEAK (TOP/BOTTOM) (Never occurs for square off trade and always occur for fresh trade)
else if (S.LastPeakType == PeakType.NONE)
{
bool isBuy = S.Ticks.PercChangeFromMin > 0 && Math.Abs(S.Ticks.PercChangeFromMin) >= S.PercChangeThreshold;
bool isSell = S.Ticks.PercChangeFromMax < 0 && Math.Abs(S.Ticks.PercChangeFromMax) >= S.PercChangeThreshold;
if (isBuy && isSell)
{
// May occur due to order not getting executed. But in offline analysis should not occur ideally
var msg = string.Format("Error: NONE peak says both buy and sell." +
"Some bug. Overcome is assume buy. max={0}, min={1}, th={2}", S.Ticks.PercChangeFromMax, S.Ticks.PercChangeFromMin, S.PercChangeThreshold);
FileTracing.TraceOut(msg);
isBuy = Math.Abs(S.Ticks.PercChangeFromMin) > Math.Abs(S.Ticks.PercChangeFromMax);
isSell = !isBuy;
}
if (isBuy || isSell)
{
orderPlaceCode = AlgoTryPlaceOrder(isBuy, S.Ticks.CurrTick); // buy or sell
if (orderPlaceCode == OrderPlaceAlgoCode.SUCCESS)
{
// Set last peak as reverse of current tick direction
S.LastPeakType = isBuy ? PeakType.BOTTOM : PeakType.TOP;
if (S.LastPeakType == PeakType.BOTTOM)
{
// 1st peak is BOTTOM
_lastPeak = S.Ticks.MinTick;
}
else
{
// 1st peak is TOP
_lastPeak = S.Ticks.MaxTick;
}
}
}
}
if (orderPlaceCode == OrderPlaceAlgoCode.SUCCESS)
{
var tickNum = S.TotalTickCount;
while (_allPeaks.ContainsKey(tickNum))
{
tickNum += 1;
}
_allPeaks.Add(tickNum, _lastPeak);
}
else if (orderPlaceCode == OrderPlaceAlgoCode.RETRY)
{
S.IsOrderExecutionPending = true;
}
return(orderPlaceCode == OrderPlaceAlgoCode.SUCCESS);
}
public override void AddTick(SymbolTick si)
{
bool marketClosing = false;
if (!AlgoUpdateTick(si))
{
PostProcAddTick();
return;
}
UpdateMinMax();
OrderPlaceAlgoCode isOrderPlaceSuccess = OrderPlaceAlgoCode.ALGORISKREJECT;
// ************** 1. CHECK TOP ********************** //
// detect peaks and square off trigger points
if (S.LastPeakType == PeakType.BOTTOM)
{
bool canOrderThisAnalysis = true; // whether can palce new order on same tick where squareoff is tried
// Sell Squareoff check
if (AlgoParams.IsSquareOffTrigger && S.PercChangeFromMax < 0 &&
Math.Abs(S.PercChangeFromMax) >= AlgoParams.PercSquareOffThreshold)
{
int numOpenPositions = Math.Abs(S.TotalBuyTrades - S.TotalSellTrades);
if (numOpenPositions != 0)
{
// May be add quantity also to all these calculations
double profitPerc = GetSquareOffProfitPerc();
if (!AlgoParams.IsMinProfitMust || profitPerc > AlgoParams.PercMinProfit)
{
// SquareOff point reached
canOrderThisAnalysis = AlgoTryPlaceOrder(false, S.Ticks.CurrTick) != OrderPlaceAlgoCode.SUCCESS;
}
}
}
// New sell order
if (S.PercChangeFromMax < 0 && Math.Abs(S.PercChangeFromMax) >= S.PercChangeThreshold)
{
// Record tick abberations
if (Math.Abs(S.PercChangeFromMax) - S.PercChangeThreshold > 1)
{
Logger.LogWarningMessage(
string.Format("{3}: {0} : PriceTick non-continuous {1}: PercThreshold = {4} S.PercChangeFromMax = {2} times.",
S.Ticks.CurrTick.Di.QuoteTime, _discontinuousMaxTickNum++,
S.PercChangeFromMax / S.PercChangeThreshold, AlgoParams.I.Symbol, S.PercChangeThreshold));
}
// New top found
S.LastPeakType = PeakType.TOP;
_lastPeak = S.Ticks.MaxTick;
S.Ticks.MinTick = S.Ticks.CurrTick;
_allPeaks.Add(S.TotalTickCount, _lastPeak);
if (canOrderThisAnalysis)
{
isOrderPlaceSuccess = AlgoTryPlaceOrder(false, S.Ticks.CurrTick);
}
}
}
// 2. CHECK BOTTOM
else if (S.LastPeakType == PeakType.TOP)
{
bool canOrderThisAnalysis = true; // whether can palce new order on same tick where squareoff is tried
// Look for squareoff
if (AlgoParams.IsSquareOffTrigger && S.PercChangeFromMin > 0 &&
Math.Abs(S.PercChangeFromMin) >= AlgoParams.PercSquareOffThreshold)
{
int numOpenPositions = Math.Abs(S.TotalBuyTrades - S.TotalSellTrades);
if (numOpenPositions != 0)
{
double profitPerc = GetSquareOffProfitPerc();
if (!AlgoParams.IsMinProfitMust || profitPerc > AlgoParams.PercMinProfit)
{
// SquareOff point reached
canOrderThisAnalysis = AlgoTryPlaceOrder(true, S.Ticks.CurrTick) != OrderPlaceAlgoCode.SUCCESS;
}
}
}
// New buy trade
if (S.PercChangeFromMin > 0 && Math.Abs(S.PercChangeFromMin) >= S.PercChangeThreshold)
{
// Record tick abberations
if (Math.Abs(S.PercChangeFromMin) - S.PercChangeThreshold > 1)
{
Logger.LogWarningMessage(
string.Format("{3}: {0} : PriceTick non-continuous {1}: PercThreshold = {4} S.PercChangeFromMin = {2} times.",
S.Ticks.CurrTick.Di.QuoteTime, _discontinuousMaxTickNum++,
S.PercChangeFromMax / S.PercChangeThreshold, AlgoParams.I.Symbol, S.PercChangeThreshold));
}
// New bottom found
S.LastPeakType = PeakType.BOTTOM;
_lastPeak = S.Ticks.MinTick;
S.Ticks.MaxTick = S.Ticks.CurrTick; // range of maxtick set at this point
_allPeaks.Add(S.TotalTickCount, _lastPeak);
if (canOrderThisAnalysis)
{
isOrderPlaceSuccess = AlgoTryPlaceOrder(true, S.Ticks.CurrTick);
}
}
}
// 3. 1st PEAK (TOP/BOTTOM)
else if (S.LastPeakType == PeakType.NONE)
{
// 1st peak
double percDiffMinMax = 100 *
((GetPriceForAnalysis(S.Ticks.MaxTick.Di) - GetPriceForAnalysis(S.Ticks.MinTick.Di)) /
GetPriceForAnalysis(S.Ticks.MinTick.Di)); // should be > than mPercChangeThreshold
bool isBuy = S.PercChangeFromMin > 0 && Math.Abs(S.PercChangeFromMin) >= S.PercChangeThreshold;
bool isSell = S.PercChangeFromMax < 0 && Math.Abs(S.PercChangeFromMax) >= S.PercChangeThreshold;
if (isBuy && isSell)
{
FileTracing.TraceOut("Error , 1st peak says both buy and sell. Bug in order placing, order not getting executed. Still recover from it..");
isBuy = Math.Abs(S.PercChangeFromMin) > Math.Abs(S.PercChangeFromMax);
isSell = !isBuy;
}
//if (Math.Abs(percDiffMinMax) >= mPercChangeThreshold)
if (isBuy || isSell)
{
isOrderPlaceSuccess = AlgoTryPlaceOrder(isBuy, S.Ticks.CurrTick);
if (isOrderPlaceSuccess == OrderPlaceAlgoCode.SUCCESS)
{
// Set last peak as reverse of current tick direction
S.LastPeakType = isBuy ? PeakType.BOTTOM : PeakType.TOP;
if (S.LastPeakType == PeakType.BOTTOM)
{
// 1st peak is BOTTOM
_lastPeak = S.Ticks.MinTick;
}
else
{
// 1st peak is TOP
_lastPeak = S.Ticks.MaxTick;
}
_allPeaks.Add(S.TotalTickCount, _lastPeak);
}
}
}
PostProcAddTick();
}