/// <summary>
/// Executes the Instant Trend strategy
/// </summary>
/// <param name="data">TradeBars - the current OnData</param>
/// <param name="tradesize"></param>
/// <param name="trendCurrent">IndicatorDataPoint - the current trend value trend</param>
/// <param name="current"></param>
public OrderSignal ExecuteStrategy(TradeBars data, int tradesize, IndicatorDataPoint trendCurrent, out string current)
{
OrderTicket ticket;
string comment = string.Empty;
OrderSignal retval = OrderSignal.doNothing;
trendHistory.Add(trendCurrent);
nStatus = 0;
if (_algorithm.Portfolio[_symbol].IsLong)
{
nStatus = 1;
}
if (_algorithm.Portfolio[_symbol].IsShort)
{
nStatus = -1;
}
if (!trendHistory.IsReady)
{
current = "Trend Not Ready";
return(OrderSignal.doNothing);
}
#region "Strategy Execution"
bReverseTrade = false;
try
{
var nTrig = 2 * trendHistory[0].Value - trendHistory[2].Value;
if (nStatus == 1 && nTrig < (Math.Abs(nEntryPrice) / RevPct))
{
if (maketrade)
{
ticket = ReverseToShort();
orderFilled = ticket.OrderId > 0;
}
bReverseTrade = true;
retval = OrderSignal.revertToShort;
comment = string.Format("{0} nStatus == {1} && nTrig {2} < (nEntryPrice {3} * RevPct{4} orderFilled {5})", retval, nStatus, nTrig, nEntryPrice, RevPct, orderFilled);
}
else
{
if (nStatus == -1 && nTrig > (Math.Abs(nEntryPrice) * RevPct))
{
if (maketrade)
{
ticket = ReverseToLong();
orderFilled = ticket.OrderId > 0;
}
bReverseTrade = true;
retval = OrderSignal.revertToLong;
comment = string.Format("{0} nStatus == {1} && nTrig {2} > (nEntryPrice {3} * RevPct{4}, orderFilled {5})", retval, nStatus, nTrig, nEntryPrice, RevPct, orderFilled);
}
}
if (!bReverseTrade)
{
if (nTrig > trendHistory[0].Value)
{
if (xOver == -1 && nStatus != 1)
{
if (!orderFilled)
{
try
{
if (maketrade)
{
ticket = _algorithm.Buy(_symbol, tradesize);
}
}
catch (Exception e)
{
Console.WriteLine(e);
}
retval = OrderSignal.goLong;
comment = string.Format("{0} nStatus {1} nTrig {2} > trendHistory[0].Value {3} xOver {4} orderFilled {5}",
retval, nStatus, nTrig, trendHistory[0].Value, xOver, orderFilled);
}
else
{
nLimitPrice = Math.Round(Math.Max(data[_symbol].Low, (data[_symbol].Close - (data[_symbol].High - data[_symbol].Low) * RngFac)), 2, MidpointRounding.ToEven);
try
{
if (maketrade)
{
ticket = _algorithm.LimitOrder(_symbol, tradesize, nLimitPrice, "Long Limit");
}
}
catch (Exception e)
{
Console.WriteLine(e);
}
retval = OrderSignal.goLongLimit;
comment = string.Format("{0} nStatus {1} nTrig {2} > trendHistory[0].Value {3} xOver {4} Limit Price {5}",
retval, nStatus, nTrig, trendHistory[0].Value, xOver, nLimitPrice);
}
}
if (comment.Length == 0)
{
comment = "Trigger over Trend";
}
xOver = 1;
}
else
{
if (nTrig < trendHistory[0].Value)
{
if (xOver == 1 && nStatus != -1)
{
if (!orderFilled)
{
try
{
if (maketrade)
{
ticket = _algorithm.Sell(_symbol, tradesize);
}
}
catch (Exception e)
{
Console.WriteLine(e);
}
retval = OrderSignal.goShort;
comment = string.Format("{0} Enter Short after cancel trig xunder price down", retval);
}
else
{
nLimitPrice = Math.Round(Math.Min(data[_symbol].High, (data[_symbol].Close + (data[_symbol].High - data[_symbol].Low) * RngFac)), 2, MidpointRounding.ToEven);
try
{
if (maketrade)
{
ticket = _algorithm.LimitOrder(_symbol, -tradesize, nLimitPrice, "Short Limit");
}
//ticket = _algorithm.Sell(_symbol, tradesize);
}
catch (Exception e)
{
Console.WriteLine(e);
}
retval = OrderSignal.goShortLimit;
comment = string.Format("{0} nStatus {1} nTrig {2} < trendHistory[0].Value {3} xOver {4} Limit Price {5}",
retval, nStatus, nTrig, trendHistory[0].Value, xOver, nLimitPrice);
}
}
if (comment.Length == 0)
{
comment = "Trigger under trend";
}
xOver = -1;
}
}
}
}
catch (Exception ex)
{
System.Diagnostics.Debug.WriteLine(ex.StackTrace);
}
#endregion
current = comment;
return(retval);
}
