internal void ProcessTicks(TickInfo tick)
{
if (FirstTrade)
{
//Make one Buy and Make one Sell
OpenNewTrade(tick);
FirstTrade = false;
}
else
{
//On Every Tick this block will be called
if (tick.Bid >= currentBuy.TargetPrice || tick.Ask <= currentShort.TargetPrice)//TP Met for either
{
TradeCompletedRecord tc = new TradeCompletedRecord();
tc.EntryPrice = tick.Bid >= currentBuy.TargetPrice ? currentBuy.EntryPrice : currentShort.EntryPrice;
tc.OrderOpenTimeStamp = tick.Bid >= currentBuy.TargetPrice ? currentBuy.OrderOpenTimeStamp : currentShort.OrderOpenTimeStamp;
tc.OrderCloseTimeStamp = tick.PriceTimeStamp;
tc.TradeGroupId = TradeGroupCounter;
tc.TradeDirection = tick.Bid >= currentBuy.TargetPrice ? BidOrAsk.Ask : BidOrAsk.Bid;
tc.ExitPrice = tick.Bid >= currentBuy.TargetPrice ? currentBuy.TargetPrice : currentShort.TargetPrice;
tc.MaximumDrawDownPips = tick.Bid >= currentBuy.TargetPrice ? currentBuy.MaxDrawDownPips : currentShort.MaxDrawDownPips;
if (LastWonTrade == BidOrAsk.NotSet)//Very first win (No previous trades exists
{
tc.ConsecutiveWinNumber = 1;
tc.WinAfterConsecutiveLoses = 0;
LastWonTrade = tick.Bid >= currentBuy.TargetPrice ? BidOrAsk.Ask : BidOrAsk.Bid;
GroupCompleted.Add(tc);
OpenNewTrade(tick);
}
else
{
if (tick.Bid >= currentBuy.TargetPrice && LastWonTrade == BidOrAsk.Ask)//Buy won now and last win is buy (consecutive Win)
{
ConsecutiveWinCounter++;
tc.ConsecutiveWinNumber = ConsecutiveWinCounter;
LastWonTrade = BidOrAsk.Ask;
GroupCompleted.Add(tc);
OpenNewTrade(tick);
}
else if (tick.Bid >= currentBuy.TargetPrice && LastWonTrade == BidOrAsk.Bid)//Buy won now and last win is sell (Direction Reversal)
{
tc.ConsecutiveWinNumber = 1;
tc.WinAfterConsecutiveLoses = ConsecutiveWinCounter;
tc.TradeGroupId = TradeGroupCounter;
//As Direction reversed, Reset All Counters
ConsecutiveWinCounter = 1;
TradeGroupCounter++;//Move the Group Counter +1;
LastWonTrade = BidOrAsk.Ask;
//Create New Buy and Sell Order at this point (Make a generic function)
GroupCompleted.Add(tc);
OpenNewTrade(tick);
}
else if (tick.Ask <= currentShort.TargetPrice && LastWonTrade == BidOrAsk.Bid)//Sell won now and last win is Sell (consecutive Win)
{
ConsecutiveWinCounter++;
tc.ConsecutiveWinNumber = ConsecutiveWinCounter;
tc.TradeGroupId = TradeGroupCounter;
LastWonTrade = BidOrAsk.Bid;
GroupCompleted.Add(tc);
OpenNewTrade(tick);
}
else if (tick.Ask <= currentShort.TargetPrice && LastWonTrade == BidOrAsk.Ask)//Sell won now and last win is Buy (Direction Reversal)
{
tc.ConsecutiveWinNumber = 1;
tc.WinAfterConsecutiveLoses = ConsecutiveWinCounter;
//As Direction reversed, Reset All Counters
ConsecutiveWinCounter = 1;
TradeGroupCounter++;//Move the Group Counter +1;
tc.TradeGroupId = TradeGroupCounter;
LastWonTrade = BidOrAsk.Bid;
//Create New Buy and Sell Order at this point (Make a generic function)
GroupCompleted.Add(tc);
OpenNewTrade(tick);
}
}
}
else
{
//track the max drawdown
currentBuy.MaxDrawDownPips = (currentBuy.EntryPrice - tick.Bid) * 100000 > currentBuy.MaxDrawDownPips ? (currentBuy.EntryPrice - tick.Bid) * 100000 : currentBuy.MaxDrawDownPips;
currentShort.MaxDrawDownPips = (tick.Ask - currentShort.EntryPrice) * 100000 > currentShort.MaxDrawDownPips ? (tick.Ask - currentShort.EntryPrice) * 100000 : currentShort.MaxDrawDownPips;
}
}
}
public void OneBuyAndOneSell(string inputpath)
{
bool firstTrade = true;
using (StreamReader sr = File.OpenText(inputpath))
{
//Buy at Ask Price
//Sell at Bid Price
sr.ReadLine();//Ignore Header
string s = String.Empty;
int consecutiveWinCounter = 1;
int tradeGroupCounter = 1;
List <TradeCompletedRecord> groupCompleted = new List <TradeCompletedRecord>();
BidOrAsk lastWonTrade = BidOrAsk.NotSet;
while ((s = sr.ReadLine()) != null)
{
TickInfo tickPrice = new TickInfo();
var elements = s.Split(',');
try
{
tickPrice.PriceTimeStamp = DateTime.ParseExact(elements[0], "yyyyMMdd HH:mm:ss:fff", CultureInfo.InvariantCulture);
tickPrice.Bid = Double.Parse(elements[1], CultureInfo.InvariantCulture);
tickPrice.Ask = Double.Parse(elements[2], CultureInfo.InvariantCulture);
tickPrice.BidVolume = Double.Parse(elements[3], CultureInfo.InvariantCulture);
tickPrice.AskVolume = Double.Parse(elements[4], CultureInfo.InvariantCulture);
if (firstTrade)
{
//Make one Buy and Make one Sell
OpenNewTrade(tickPrice);
firstTrade = false;
}
else
{
//On Every Tick this block will be called
if (tickPrice.Bid >= currentBuy.TargetPrice || tickPrice.Ask <= currentShort.TargetPrice)//TP Met for either
{
TradeCompletedRecord tc = new TradeCompletedRecord();
tc.EntryPrice = tickPrice.Bid >= currentBuy.TargetPrice ? currentBuy.EntryPrice : currentShort.EntryPrice;
tc.OrderOpenTimeStamp = tickPrice.Bid >= currentBuy.TargetPrice ? currentBuy.OrderOpenTimeStamp : currentShort.OrderOpenTimeStamp;
tc.OrderCloseTimeStamp = tickPrice.PriceTimeStamp;
tc.TradeGroupId = tradeGroupCounter;
tc.TradeDirection = tickPrice.Bid >= currentBuy.TargetPrice ? BidOrAsk.Ask :BidOrAsk.Bid;
tc.ExitPrice = tickPrice.Bid >= currentBuy.TargetPrice ? currentBuy.TargetPrice : currentShort.TargetPrice;
tc.MaximumDrawDownPips = tickPrice.Bid >= currentBuy.TargetPrice ? currentBuy.MaxDrawDownPips : currentShort.MaxDrawDownPips;
if (lastWonTrade == BidOrAsk.NotSet)//Very first win (No previous trades exists
{
tc.ConsecutiveWinNumber = 1;
tc.WinAfterConsecutiveLoses = 0;
lastWonTrade = tickPrice.Bid >= currentBuy.TargetPrice ? BidOrAsk.Ask : BidOrAsk.Bid;
groupCompleted.Add(tc);
OpenNewTrade(tickPrice);
}
else
{
if (tickPrice.Bid >= currentBuy.TargetPrice && lastWonTrade == BidOrAsk.Ask)//Buy won now and last win is buy (consecutive Win)
{
consecutiveWinCounter++;
tc.ConsecutiveWinNumber = consecutiveWinCounter;
lastWonTrade = BidOrAsk.Ask;
groupCompleted.Add(tc);
OpenNewTrade(tickPrice);
}
else if (tickPrice.Bid >= currentBuy.TargetPrice && lastWonTrade == BidOrAsk.Bid)//Buy won now and last win is sell (Direction Reversal)
{
tc.ConsecutiveWinNumber = 1;
tc.WinAfterConsecutiveLoses = consecutiveWinCounter;
tc.TradeGroupId = tradeGroupCounter;
//As Direction reversed, Reset All Counters
consecutiveWinCounter = 1;
tradeGroupCounter++; //Move the Group Counter +1;
lastWonTrade = BidOrAsk.Ask;
//Create New Buy and Sell Order at this point (Make a generic function)
groupCompleted.Add(tc);
OpenNewTrade(tickPrice);
}
else if (tickPrice.Ask <= currentShort.TargetPrice && lastWonTrade == BidOrAsk.Bid)//Sell won now and last win is Sell (consecutive Win)
{
consecutiveWinCounter++;
tc.ConsecutiveWinNumber = consecutiveWinCounter;
tc.TradeGroupId = tradeGroupCounter;
lastWonTrade = BidOrAsk.Bid;
groupCompleted.Add(tc);
OpenNewTrade(tickPrice);
}
else if (tickPrice.Ask <= currentShort.TargetPrice && lastWonTrade == BidOrAsk.Ask)//Sell won now and last win is Buy (Direction Reversal)
{
tc.ConsecutiveWinNumber = 1;
tc.WinAfterConsecutiveLoses = consecutiveWinCounter;
//As Direction reversed, Reset All Counters
consecutiveWinCounter = 1;
tradeGroupCounter++;//Move the Group Counter +1;
tc.TradeGroupId = tradeGroupCounter;
lastWonTrade = BidOrAsk.Bid;
//Create New Buy and Sell Order at this point (Make a generic function)
groupCompleted.Add(tc);
OpenNewTrade(tickPrice);
}
}
}
else
{
//track the max drawdown
currentBuy.MaxDrawDownPips = (currentBuy.EntryPrice - tickPrice.Bid) * 100000 > currentBuy.MaxDrawDownPips ? (currentBuy.EntryPrice - tickPrice.Bid) * 100000 : currentBuy.MaxDrawDownPips;
currentShort.MaxDrawDownPips = (tickPrice.Ask - currentShort.EntryPrice) * 100000 > currentShort.MaxDrawDownPips ? (tickPrice.Ask - currentShort.EntryPrice) * 100000 : currentShort.MaxDrawDownPips;
}
}
}
catch (Exception ex)
{
Console.WriteLine($"{DateTime.Now}\tData Conversion Issue:{s}");
}
} //End of While Loop Read
} //End of Stream Reader
} //End of function
