protected override bool Process(MarketData indicator, DateTime updateTime, Price value, ref Signal.Tick tradingOrder)
{
KeyValuePair <DateTime, Price>?timeValueLow = _low.TimeSeries[updateTime];
KeyValuePair <DateTime, Price>?timeValueHigh = _high.TimeSeries[updateTime];
if (timeValueLow == null || timeValueHigh == null)
{
return(false);
}
if (_high.TimeSeries.TotalMinutes(updateTime) < _high.Period / 60)
{
return(false);
}
Price lowWMA = timeValueLow.Value.Value;
Price highWMA = timeValueHigh.Value.Value;
var signalValue = lowWMA - highWMA;
SIGNAL_CODE oldSignalCode = _signalCode;
if (signalValue.Offer > 0)
{
tradingOrder = _onBuy;
_signalCode = SIGNAL_CODE.BUY;
}
else if (signalValue.Bid < 0)
{
tradingOrder = _onSell;
_signalCode = SIGNAL_CODE.SELL;
}
else
{
return(false);
}
return(oldSignalCode != SIGNAL_CODE.UNKNOWN && oldSignalCode != SIGNAL_CODE.HOLD && oldSignalCode != _signalCode);
}
public Trade(DateTime tradingTime, string epic, SIGNAL_CODE direction, int size, decimal price, int placeHolder = 0)
{
_tradingTime = tradingTime;
_epic = epic;
_direction = direction;
_size = size;
_price = price;
_placeHolder = placeHolder;
}
public override void Insert(DateTime updateTime, Signal signal, SIGNAL_CODE code, decimal stockvalue)
{
check(updateTime, signal.Id);
string tradeRef = signal.Trade == null ? "" : " " + signal.Trade.Reference;
var newLine = string.Format("{0},{1},{2},{3},{4},{5}{6}",
DATATYPE_SIGNAL, signal.Id,
formatDateTime(updateTime), tradeRef, (int)code, stockvalue, Environment.NewLine);
_csvSignalStringBuilder.Append(newLine);
}
public Trade(DateTime tradingTime, string epic, SIGNAL_CODE direction, int size, decimal price, int placeHolder = 0, TradeCancelled onTradeCancelled = null)
{
_tradingTime = tradingTime;
_epic = epic;
_direction = direction;
_size = size;
_price = price;
_placeHolder = placeHolder;
_tradeCancelled = onTradeCancelled;
}
public Trade(Row row)
{
_id = (string)row[0];
_confirmationTime = new DateTime(((DateTimeOffset)row[1]).Ticks, DateTimeKind.Local);
_direction = (SIGNAL_CODE)(int)row[2];
_epic = (string)row[3];
_price = (decimal)row[4];
_size = (int)row[5];
_reference = (string)row[6];
_tradingTime = new DateTime(((DateTimeOffset)row[7]).Ticks, DateTimeKind.Local);
}
public Trade(Row row)
{
_id = (string)row.GetValue(typeof(string).GetType(), "tradeid");
_confirmationTime = new DateTime(((DateTime)row.GetValue(typeof(DateTimeOffset).GetType(), "confirmation_time")).Ticks, DateTimeKind.Local);
_direction = (SIGNAL_CODE)(int)row.GetValue(typeof(int).GetType(), "direction");
_epic = (string)row.GetValue(typeof(string).GetType(), "mktdataid");
_price = (decimal)row.GetValue(typeof(decimal).GetType(), "price");
_size = (int)row.GetValue(typeof(int).GetType(), "size");
_reference = (string)row.GetValue(typeof(string).GetType(), "traderef");
_tradingTime = new DateTime(((DateTime)row.GetValue(typeof(DateTimeOffset).GetType(), "trading_time")).Ticks, DateTimeKind.Local);
}
public ModelMacD(MarketData index, int lowPeriod = 2, int midPeriod = 10, int highPeriod = 60, MarketData tradingIndex = null)
{
if (Config.Settings.ContainsKey("ASSUMPTION_TREND"))
_trendAssumption = Config.Settings["ASSUMPTION_TREND"] == "BULL" ? SIGNAL_CODE.BUY : SIGNAL_CODE.SELL;
List<MarketData> mktData = new List<MarketData>();
mktData.Add(index);
_mktData = mktData;
_index = index;
_tradingIndex = tradingIndex == null ? index : tradingIndex;
_lowPeriod = lowPeriod;
_midPeriod = midPeriod;
_highPeriod = highPeriod;
}
public IndicatorWatershed(MarketData mktData, int resolutionMinutes, int nbPools, IndicatorRSI rsi)
: base("Water_" + resolutionMinutes + "_" + nbPools + "_", new List <MarketData> {
mktData
})
{
_resolutionSeconds = resolutionMinutes * 60;
_nbPools = nbPools;
_rsi = rsi;
if (Config.Settings.ContainsKey("ASSUMPTION_TREND"))
{
_trend = Config.Settings["ASSUMPTION_TREND"] == "BEAR" ? SIGNAL_CODE.SELL : SIGNAL_CODE.BUY;
}
}
public SignalMacD(MarketData asset, int lowPeriod, int highPeriod, IndicatorEMA low = null, IndicatorEMA high = null, MarketData tradingAsset = null)
: base("MacD_" + lowPeriod + "_" + highPeriod + "_" + asset.Id, asset, tradingAsset)
{
if (Config.Settings.ContainsKey("ASSUMPTION_TREND"))
_trendAssumption = Config.Settings["ASSUMPTION_TREND"] == "BULL" ? SIGNAL_CODE.BUY : SIGNAL_CODE.SELL;
_low = low == null ? new IndicatorEMA(asset, lowPeriod) : new IndicatorEMA(low);
if (low != null)
_low.PublishingEnabled = false;
_high = high == null ? new IndicatorEMA(asset, highPeriod) : new IndicatorEMA(high);
if (high != null)
_high.PublishingEnabled = false;
_mktIndicator.Add(_low);
_mktIndicator.Add(_high);
}
public ModelMacD(MarketData index, int lowPeriod = 2, int midPeriod = 10, int highPeriod = 60, MarketData tradingIndex = null)
{
if (Config.Settings.ContainsKey("ASSUMPTION_TREND"))
{
_trendAssumption = Config.Settings["ASSUMPTION_TREND"] == "BULL" ? SIGNAL_CODE.BUY : SIGNAL_CODE.SELL;
}
List <MarketData> mktData = new List <MarketData>();
mktData.Add(index);
_mktData = mktData;
_index = index;
_tradingIndex = tradingIndex == null ? index : tradingIndex;
_lowPeriod = lowPeriod;
_midPeriod = midPeriod;
_highPeriod = highPeriod;
}
public SignalMacD(MarketData asset, int lowPeriod, int highPeriod, IndicatorEMA low = null, IndicatorEMA high = null, MarketData tradingAsset = null)
: base("MacD_" + lowPeriod + "_" + highPeriod + "_" + asset.Id, asset, tradingAsset)
{
if (Config.Settings.ContainsKey("ASSUMPTION_TREND"))
{
_trendAssumption = Config.Settings["ASSUMPTION_TREND"] == "BULL" ? SIGNAL_CODE.BUY : SIGNAL_CODE.SELL;
}
_low = low == null ? new IndicatorEMA(asset, lowPeriod) : new IndicatorEMA(low);
if (low != null)
{
_low.PublishingEnabled = false;
}
_high = high == null ? new IndicatorEMA(asset, highPeriod) : new IndicatorEMA(high);
if (high != null)
{
_high.PublishingEnabled = false;
}
_mktIndicator.Add(_low);
_mktIndicator.Add(_high);
}
public Trade(Trade cpy, bool opposite = false, DateTime?trading_time = null)
{
this._epic = cpy._epic;
if (opposite)
{
this._direction = (cpy._direction == SIGNAL_CODE.BUY ? SIGNAL_CODE.SELL : SIGNAL_CODE.BUY);
this._tradingTime = trading_time.Value;
}
else
{
this._direction = cpy._direction;
this._tradingTime = cpy._tradingTime;
this._confirmationTime = cpy._confirmationTime;
}
this._size = cpy._size;
this._reference = cpy._reference;
this._id = cpy._id;
this._price = cpy._price;
this._placeHolder = cpy._placeHolder;
}
public Trade(Trade cpy, bool opposite = false, DateTime? trading_time = null)
{
this._epic = cpy._epic;
if (opposite)
{
this._direction = (cpy._direction == SIGNAL_CODE.BUY ? SIGNAL_CODE.SELL : SIGNAL_CODE.BUY);
this._tradingTime = trading_time.Value;
}
else
{
this._direction = cpy._direction;
this._tradingTime = cpy._tradingTime;
this._confirmationTime = cpy._confirmationTime;
}
this._size = cpy._size;
this._reference = cpy._reference;
this._id = cpy._id;
this._price = cpy._price;
this._placeHolder = cpy._placeHolder;
this._tradeCancelled = cpy._tradeCancelled;
}
public override void Insert(DateTime updateTime, Signal signal, SIGNAL_CODE code, decimal mktdatavalue)
{
if (Config.TradingEnabled)
{
if (signal.Trade == null)
{
return;
}
if (signal.Trade.Reference == "")
{
return;
}
}
if (_session == null)
{
throw new ApplicationException(EXCEPTION_CONNECTION_CLOSED);
}
string tradeRef = signal.Trade == null ? null : " " + signal.Trade.Reference;
executeAsyncQuery(string.Format(DB_INSERTION + "(signalid, trading_time, tradeid, value, mktdatavalue) values ('{2}', {3}, '{4}', {5}, {6})",
DB_HISTORICALDATA, DATATYPE_SIGNAL, signal.Id, ToUnixTimestamp(updateTime), tradeRef, Convert.ToInt32(code), mktdatavalue));
}
public override void Insert(DateTime updateTime, Signal signal, SIGNAL_CODE code, decimal stockvalue)
{
var time = new DateTime(updateTime.Year, updateTime.Month, updateTime.Day,
updateTime.Hour, updateTime.Minute, updateTime.Second);
if (((SIGNAL_CODE)_expectedSignalData[signal.Id].Value(time).Value.Value.Bid != code) ||
Math.Abs(_expectedSignalData[signal.Id].Value(time).Value.Value.Offer - stockvalue) > TOLERANCE)
{
string error;
if ((SIGNAL_CODE)_expectedSignalData[signal.Id].Value(time).Value.Value.Bid != code)
{
error = "Test failed: signal " + signal.Name + " time " + time.ToShortTimeString() + " expected value " +
((SIGNAL_CODE)_expectedSignalData[signal.Id].Value(time).Value.Value.Bid).ToString() + " != " + code.ToString();
}
else
{
error = "Test failed: signal stock value " + signal.Name + " time " + time.ToShortTimeString() + " expected value " +
(_expectedSignalData[signal.Id].Value(time).Value.Value.Offer).ToString() + " != " + stockvalue.ToString();
}
Log.Instance.WriteEntry(error, EventLogEntryType.Error);
throw new ApplicationException(error);
}
}
protected void OnUpdate(MarketData mktData, DateTime updateTime, Price value)
{
if (_signalProcessing)
{
return;
}
lock (_mktIndicator)
{
if (_signalProcessing)
{
return;
}
try
{
_signalProcessing = true;
Signal.Tick tradingOrder = _onHold;
bool signaled = Process(mktData, updateTime, value, ref tradingOrder);
if (signaled)
{
// send a signal
var stockValue = _asset.TimeSeries[updateTime].Value.Value;
if (tradingOrder(this, updateTime, stockValue))
{
if (_signalCode == SIGNAL_CODE.BUY)
{
if (_oldSignalCode == SIGNAL_CODE.SELL)
{
PublisherConnection.Instance.Insert(updateTime.AddSeconds(-1), this, _signalCode, stockValue.Offer);
}
PublisherConnection.Instance.Insert(updateTime, this, _signalCode, stockValue.Offer);
}
else if (_signalCode == SIGNAL_CODE.SELL)
{
if (_oldSignalCode == SIGNAL_CODE.BUY)
{
PublisherConnection.Instance.Insert(updateTime.AddSeconds(-1), this, _signalCode, stockValue.Bid);
}
PublisherConnection.Instance.Insert(updateTime, this, _signalCode, stockValue.Bid);
}
else if (_signalCode == SIGNAL_CODE.HOLD)
{
if (_oldSignalCode == SIGNAL_CODE.BUY)
{
PublisherConnection.Instance.Insert(updateTime, this, SIGNAL_CODE.SELL, stockValue.Bid);
}
else if (_oldSignalCode == SIGNAL_CODE.SELL)
{
PublisherConnection.Instance.Insert(updateTime, this, SIGNAL_CODE.BUY, stockValue.Offer);
}
}
else if (_signalCode == SIGNAL_CODE.FAILED)
{
PublisherConnection.Instance.Insert(updateTime, this, _signalCode, stockValue.Bid);
}
_oldSignalCode = _signalCode;
}
}
}
finally
{
_signalProcessing = false;
}
}
}
public bool Update(DateTime updateTime, Price value, Price rsi)
{
var curValue = value.Mid();
if (StartValue == decimal.MinValue)
{
StartValue = curValue;
}
if (GlobalTrend == SIGNAL_CODE.BUY)
{
if (ReachedExtremum)
{
if (curValue > LastValue)
{
PoolTrend = LastValue < StartValue ? SIGNAL_CODE.SELL : SIGNAL_CODE.BUY;
Depth = LastValue < StartValue ? ExtremumValue - StartValue : ExtremumValue - LastValue;
return(true);
}
}
else
{
if (curValue > ExtremumValue)
{
ExtremumValue = curValue;
ExtremumTime = updateTime;
}
else if (curValue < ExtremumValue)
{
ReachedExtremum = true;
}
}
}
else
{
if (ReachedExtremum)
{
if (curValue < LastValue)
{
PoolTrend = LastValue < StartValue ? SIGNAL_CODE.SELL : SIGNAL_CODE.BUY;
Depth = LastValue < StartValue ? LastValue - ExtremumValue : StartValue - ExtremumValue;
return(true);
}
}
else
{
if (curValue < ExtremumValue)
{
ExtremumValue = curValue;
ExtremumTime = updateTime;
}
else if (curValue > ExtremumValue)
{
ReachedExtremum = true;
}
}
}
LastTime = updateTime;
LastValue = curValue;
LastRsi = rsi.Bid;
return(false);
}
public Pool(SIGNAL_CODE globalTrend, DateTime startTime)
{
GlobalTrend = globalTrend;
StartTime = startTime;
ExtremumValue = GlobalTrend == SIGNAL_CODE.BUY ? decimal.MinValue : decimal.MaxValue;
}
public abstract void Insert(DateTime updateTime, Signal signal, SIGNAL_CODE code, decimal stockvalue);
public override void Insert(DateTime updateTime, Signal signal, SIGNAL_CODE code, decimal stockvalue)
{
var time = new DateTime(updateTime.Year, updateTime.Month, updateTime.Day,
updateTime.Hour, updateTime.Minute, updateTime.Second);
if (((SIGNAL_CODE)_expectedSignalData[signal.Id].Value(time).Value.Value.Bid != code) ||
Math.Abs(_expectedSignalData[signal.Id].Value(time).Value.Value.Offer - stockvalue) > TOLERANCE)
{
string error;
if ((SIGNAL_CODE)_expectedSignalData[signal.Id].Value(time).Value.Value.Bid != code)
error = "Test failed: signal " + signal.Name + " time " + time.ToShortTimeString() + " expected value " +
((SIGNAL_CODE)_expectedSignalData[signal.Id].Value(time).Value.Value.Bid).ToString() + " != " + code.ToString();
else
error = "Test failed: signal stock value " + signal.Name + " time " + time.ToShortTimeString() + " expected value " +
(_expectedSignalData[signal.Id].Value(time).Value.Value.Offer).ToString() + " != " + stockvalue.ToString();
Log.Instance.WriteEntry(error, EventLogEntryType.Error);
throw new ApplicationException(error);
}
}
public ReplayPositionUpdateInfo(DateTime timestamp, string epic, string dealId, string dealRef, string status, string dealStatus, int size, decimal level, SIGNAL_CODE direction)
: base(null)
{
_name = epic;
_id = dealId;
_itemData["timestamp"] = string.Format("{0}-{1}-{2}T {3}:{4}:{5}.{6}", timestamp.Year, timestamp.Month, timestamp.Day,
timestamp.Hour, timestamp.Minute, timestamp.Second, timestamp.Millisecond);
_itemData["dealReference"] = dealRef;
_itemData["status"] = status;
_itemData["dealStatus"] = dealStatus;
_itemData["size"] = size.ToString();
_itemData["level"] = level.ToString();
_itemData["channel"] = "PublicRestOTC";
_itemData["direction"] = direction == SIGNAL_CODE.BUY ? "BUY" : (direction == SIGNAL_CODE.SELL ? "SELL" : "UNKNOWN");
}
public ReplayPositionUpdateInfo(DateTime timestamp, string epic, string dealId, string dealRef, string status, string dealStatus, int size, decimal level, SIGNAL_CODE direction)
: base(null)
{
_name = epic;
_id = dealId;
_itemData["timestamp"] = string.Format("{0}-{1}-{2}T {3}:{4}:{5}.{6}", timestamp.Year, timestamp.Month, timestamp.Day,
timestamp.Hour, timestamp.Minute, timestamp.Second, timestamp.Millisecond);
_itemData["dealReference"] = dealRef;
_itemData["status"] = status;
_itemData["dealStatus"] = dealStatus;
_itemData["size"] = size.ToString();
_itemData["level"] = level.ToString();
_itemData["channel"] = "PublicRestOTC";
_itemData["direction"] = direction == SIGNAL_CODE.BUY ? "BUY" : (direction == SIGNAL_CODE.SELL ? "SELL" : "UNKNOWN");
}
public override void Insert(DateTime updateTime, Signal signal, SIGNAL_CODE code, decimal stockvalue)
{
check(updateTime, signal.Id);
string tradeRef = signal.Trade == null ? "" : " " + signal.Trade.Reference;
var newLine = string.Format("{0},{1},{2},{3},{4},{5}{6}",
DATATYPE_SIGNAL, signal.Id,
formatDateTime(updateTime), tradeRef, (int)code, stockvalue, Environment.NewLine);
_csvSignalStringBuilder.Append(newLine);
}
public abstract void Insert(DateTime updateTime, Signal signal, SIGNAL_CODE code, decimal stockvalue);