private void CalculateTradeParams(Position position)
{
_tradeindexer++;
//string positionstr = Math.Round(position.FPL, 2).ToString();
string price = FormatNumber(position.Price);
string last = FormatNumber(position.Last);
string fpl = FormatNumber(Math.Round(position.Trades, 2));
string clPnl = FormatNumber(Math.Round(position.ClosePNL, 2));
string comission = FormatNumber(Math.Round(position.Commission, 2));
string posPNL = FormatNumber(Math.Round(position.PosPNL, 2));
string margin = FormatNumber(Math.Round(position.Margin, 2));
if (position.Operation == Operation.PNL)
{
_dayOpenPrice = position.Price;
_dayClosePrice = position.Last;
//_nextDayOpenPrice = position.Price;
//_nextDayClosePrice = position.Last;
last = " ";
price = "";
}
var trValues = new ArrayList
{
null,
_dayindexer,
position.TimeOpen.ToString(DateFormatsManager.CurrentShortDateFormat + " HH:mm:ss"),
position.TimeClose.ToString(DateFormatsManager.CurrentShortDateFormat + " HH:mm:ss"),
position.Operation,
position.Price,
position.Last,
Math.Round(position.Trades, 2),
Math.Round(position.Commission, 2),
Math.Round(position.PosPNL, 2),
Math.Round(position.ClosePNL, 2),
position.Comment,
};
DataRow row = _weeklyData.tableTrades.NewRow();
row.ItemArray = trValues.ToArray();
_weeklyData.tableTrades.Rows.Add(row);
_weeklyData.AcceptChanges();
}
private void AddEndDayPnl(int isExistDayTrade, double summaryChangedProfit, double lastOrderPriceChange, double dayChangedPrice, Tick tick)
{
DateTime temp = new DateTime(tick.Time.Year, tick.Time.Month, tick.Time.Day, 17, 0, 0);
if (temp > tick.Time) temp = temp.AddDays(-1);
Position endDayPNL = new Position(parameters.Account, parameters.Symbol, -1, temp,
Operation.PNL, 1, _startPrice, tick.Close, "", "", true);
double _dailyCommision = -isExistDayTrade * _commission * _contractSize * _ZIM;
endDayPNL.TimeClose = tick.Time;
endDayPNL.Trades = summaryChangedProfit; //Trades
endDayPNL.Commission = _dailyCommision;
endDayPNL.PosPNL = dayChangedPrice;
endDayPNL.ClosePNL = lastOrderPriceChange;
trades.Add(endDayPNL);
/*
*
* _lastOrderPriceChange = (Math.Pow(bar.Close - _lastOrderPrice, 2)*_contractSize*_multiplier*
_pointValue)/2;
}
_summaryChangedProfit = _dayChangedPrice + _lastOrderPriceChange;
* */
Log("{0} - Was added summary profit - summary profit {1} = summarySqrValue ( {4} + {5}) - commission {3}", tick.Time, Math.Round(endDayPNL.Trades, 2), Math.Round(summaryChangedProfit, 2), Math.Round(endDayPNL.Commission, 2), dayChangedPrice, lastOrderPriceChange);
}
private void AddPremium(DateTime open)
{
Position startHolidayPremium = new Position(parameters.Account, parameters.Symbol, -1, open, Operation.Premium, 1, 0, 0, "", "", true);
startHolidayPremium.Trades = _TV;
startHolidayPremium.TimeClose = open;
trades.Add(startHolidayPremium);
Log("{0} - was added premium = {1}", startHolidayPremium.TimeOpen, _TV);
}
public override void Start(int startBarIndex)
{
InitializeMainParameters();
int _isExistDayTrade = 0;
if (ticks.Count == 0)
return;
double percent = ticks.Count/100;
double current_tick = 0;
for (int i = startBarIndex; i < ticks.Count; i++)
{
if (i >= current_tick)
{
NotifyProgress();
current_tick += percent;
}
Tick tick = ticks[i];
if (i == startBarIndex)
{
Log("~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~");
Log("| NEW TEST |");
Log("|step 1 = {0} step 2 = {1} |", _step1, _step2);
Log("~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~");
}
Tick prevTick = null;
if (i - 1 >= startBarIndex)
prevTick = ticks[i - 1];
else
{
Log(" ");
Log(" NEW DAY ");
Log(" ");
_startPrice = tick.Close;
_fixedPrice = tick.Close;
//AddPremium(bar.Time);
_isExistDayTrade = trades.Count;
continue;
}
bool firstTickAfter17 = false;
switch (tick.Time.DayOfWeek)
{
case DayOfWeek.Sunday:
case DayOfWeek.Saturday:
{
firstTickAfter17 = false;
break;
}
case DayOfWeek.Monday:
case DayOfWeek.Tuesday:
case DayOfWeek.Wednesday:
case DayOfWeek.Thursday:
case DayOfWeek.Friday:
{
if (tick.Time.DayOfWeek == prevTick.Time.DayOfWeek)
{
if (tick.IntradayIndex >= 170000 && prevTick.IntradayIndex < 170000)
firstTickAfter17 = true;
else
{
firstTickAfter17 = false;
}
}
else
{
double _dayDiff = (tick.Time.Date - prevTick.Time.Date).TotalDays;
if (_dayDiff > 1)
{
if (tick.Time.DayOfWeek == DayOfWeek.Monday && tick.IntradayIndex < 170000)
firstTickAfter17 = false;
else
firstTickAfter17 = true;
// GAP
if (_lastFridayOperation == Operation.Buy && Math.Round(tick.Close - _fixedPrice, 2) < 0)
{
int contract = (int)(Math.Abs(tick.Close - _fixedPrice) / Math.Round(_step2, 2));
if (contract >= 1)
{
contract = 1;
_fixedPrice -= Math.Round(_step2, 2);
contract += (int)(Math.Abs(tick.Close - _fixedPrice) / Math.Round(_step1, 2));
if (contract > 1)
{
_fixedPrice -= (contract - 1) * Math.Round(_step1, 2);
CreateOrder(Operation.Sell, tick, true, positions.Count + contract);
}
}
}
else
if (_lastFridayOperation == Operation.Sell && Math.Round(_fixedPrice - tick.Close, 2) < 0)
{
int contract = (int)(Math.Abs(tick.Close - _fixedPrice) / Math.Round(_step2, 2));
if (contract >= 1)
{
contract = 1;
_fixedPrice += Math.Round(_step2, 2);
contract += (int)(Math.Abs(tick.Close - _fixedPrice) / Math.Round(_step1, 2));
if (contract > 1)
{
_fixedPrice += (contract - 1) * Math.Round(_step1, 2);
CreateOrder(Operation.Buy, tick, true, positions.Count + contract);
}
}
}
else
{
int _contract = (int)(Math.Abs(tick.Close - _fixedPrice) / Math.Round(_step1, 2));
if (_contract > 1)
{
if (tick.Close > _fixedPrice)
{
_fixedPrice += _contract * Math.Round(_step1, 2);
CreateOrder(Operation.Buy, tick, false, _contract);
}
else
{
_fixedPrice -= _contract * Math.Round(_step1, 2);
CreateOrder(Operation.Sell, tick, false, _contract);
}
DispatchOrders(tick);
}
}
}
else
{
if (tick.IntradayIndex < 170000)
firstTickAfter17 = false;
else
firstTickAfter17 = true;
}
}
break;
}
}
if (firstTickAfter17)
{
// END TRADING DAY
Trade(ref positions, tick);
positions.Clear();
orders.Clear();
_isExistDayTrade = trades.Count - _isExistDayTrade;
//PosPNL
if (_isExistDayTrade > 0)
{
double _dayChangedPrice = Math.Pow(tick.Close - _startPrice, 2)*_contractSize*_multiplier*_pointValue/2;
double _lastOrderPriceChange = 0.0;
if (_lastOrderPrice != 0.0)
{
_lastOrderPriceChange = Math.Pow(tick.Close - _lastOrderPrice, 2)*_contractSize*_multiplier*
_pointValue/2;
}
double _summaryChangedProfit = _dayChangedPrice + _lastOrderPriceChange;
AddEndDayPnl(_isExistDayTrade, _summaryChangedProfit, _lastOrderPriceChange, _dayChangedPrice, tick);
}
else
{
AddEndDayPnl(0, 0, 0, 0, tick);
}
// START TRADING DAY
//AddPremium(bar.Time);
_lastFridayOrderPrice = 0.0;
_lastOrderPrice = 0.0;
_startPrice = tick.Close;
_fixedPrice = tick.Close;
_isExistDayTrade = trades.Count;
}
// TRADING
if (tick.Time.DayOfWeek == DayOfWeek.Saturday || tick.Time.DayOfWeek == DayOfWeek.Sunday)
continue;
if (_lastOrderOperation == Operation.Buy && positions.Count != 0 && Math.Round(tick.Close - _fixedPrice, 2) < 0 && Math.Round(_fixedPrice - tick.Close, 2) >= Math.Round(_step2, 2))
{
_fixedPrice -= Math.Round(_step2, 2);
CreateOrder(Operation.Sell, tick, true, positions.Count + 1);
if (tick.Time.DayOfWeek == DayOfWeek.Friday && tick.IntradayIndex >= 170000)
{
_lastFridayOrderPrice = _fixedPrice;
_lastFridayOperation = Operation.Sell;
}
}
else if (_lastOrderOperation == Operation.Sell && positions.Count != 0 && Math.Round(_fixedPrice - tick.Close, 2) < 0 && Math.Round(tick.Close - _fixedPrice, 2) >= Math.Round(_step2, 2))
{
_fixedPrice += Math.Round(_step2, 2);
CreateOrder(Operation.Buy, tick, true, positions.Count + 1);
if (tick.Time.DayOfWeek == DayOfWeek.Friday && tick.IntradayIndex >= 170000)
{
_lastFridayOrderPrice = _fixedPrice;
_lastFridayOperation = Operation.Buy;
}
}
else
{
if (Math.Round(tick.Close - _fixedPrice, 2) >= Math.Round(_step1, 2) && _lastOrderOperation != Operation.Sell)
{
CreateOrder(Operation.Buy, tick, false, 1);
if (tick.Time.DayOfWeek == DayOfWeek.Friday && tick.IntradayIndex >= 170000)
{
_lastFridayOrderPrice = _fixedPrice;
_lastFridayOperation = Operation.Buy;
}
}
else if (Math.Round(_fixedPrice - tick.Close, 2) >= Math.Round(_step1, 2) && _lastOrderOperation != Operation.Buy)
{
CreateOrder(Operation.Sell, tick, false, 1);
if (tick.Time.DayOfWeek == DayOfWeek.Friday && tick.IntradayIndex >= 170000)
{
_lastFridayOrderPrice = _fixedPrice;
_lastFridayOperation = Operation.Sell;
}
}
}
DispatchOrders(tick);
}
_isExistDayTrade = trades.Count - _isExistDayTrade;
if (trades[trades.Count - 1].Operation != Operation.PNL)
{
if (_isExistDayTrade > 0)
{
double _dayChangedPrice = Math.Pow(ticks[ticks.Count-1].Close - _startPrice, 2) * _contractSize * _multiplier * _pointValue / 2;
double _lastOrderPriceChange = 0.0;
if (_lastOrderPrice != 0.0)
{
_lastOrderPriceChange = Math.Pow(ticks[ticks.Count - 1].Close - _lastOrderPrice, 2) * _contractSize * _multiplier *
_pointValue / 2;
}
double _summaryChangedProfit = _dayChangedPrice + _lastOrderPriceChange;
//AddEndDayPnl(_isExistDayTrade, _summaryChangedProfit, _lastOrderPriceChange, _dayChangedPrice, bars[bars.Count - 1]);
Position endDayPNL = new Position(parameters.Account, parameters.Symbol, -1, ticks[ticks.Count - 1].Time,
Operation.PNL, 1, _startPrice, ticks[ticks.Count - 1].Close, "", "", true);
double _dailyCommision = -_isExistDayTrade * _commission * _contractSize * _ZIM;
endDayPNL.TimeClose = ticks[ticks.Count - 1].Time;
endDayPNL.Trades = _summaryChangedProfit; //Trades
endDayPNL.Commission = _dailyCommision;
endDayPNL.PosPNL = _dayChangedPrice;
endDayPNL.ClosePNL = _lastOrderPriceChange;
trades.Add(endDayPNL);
}
else
{
AddEndDayPnl(0, 0, 0, 0, ticks[ticks.Count - 1]);
}
}
if (ticks[0].IntradayIndex < 170000)
{
Tick tick = ticks[0];
AddPremium(new DateTime(tick.Time.Year, tick.Time.Month, tick.Time.Day, 17, 00, 00));
}
DateTime _premiumTime = new DateTime(ticks[0].Time.Year,
ticks[0].Time.Month,
ticks[0].Time.AddDays(1).Day,//bars[0].IntradayIndex < 170000 ? bars[0].Time.AddDays(-1).Day : bars[0].Time.Day,
17, 0, 0);
while (_premiumTime <= ticks[ticks.Count - 1].Time)
{
AddPremium(_premiumTime);
_premiumTime = _premiumTime.AddDays(1);
}
if (ticks[ticks.Count - 1].IntradayIndex < 170000 && ticks[ticks.Count - 1].Time.Day > trades[trades.Count - 1].TimeOpen.Day)
{
Tick tick = ticks[ticks.Count - 1];
AddPremium(new DateTime(tick.Time.Year, tick.Time.Month, tick.Time.Day, 17, 00, 00));
}
if (ticks[ticks.Count - 1].IntradayIndex > 170000 && ticks[ticks.Count - 1].Time.Day == trades[trades.Count - 1].TimeOpen.Day)
{
Tick tick = ticks[ticks.Count - 1];
AddPremium(new DateTime(tick.Time.Year, tick.Time.Month, tick.Time.Day+1, 17, 00, 00));
}
for (int i = 0; i < trades.Count; i++)
{
if (!trades[i].IsPremium)
{
trades[i].Trades *= -1 * _ZIM * _contractSize;
}
}
Log("{0}", trades.Count);
}
