/// <summary>Called when new data is received</summary>
public override void Step()
{
base.Step();
if (Instrument.NewCandle)
{
Debugging.LogInstrument();
Debugging.BreakOnPointOfInterest();
}
// Run the position manager
if (PosMgr != null)
{
PosMgr.Step();
}
// If there is a pending order, wait for it to trigger or expire
var pending = PendingOrders.FirstOrDefault();
if (pending != null)
{
// If the price is more than the SL/TP distance from the EP then give up on the order
var dist = Math.Abs(Instrument.LatestPrice.Mid - pending.TargetPrice);
if (dist > Math.Abs(pending.TakeProfitRel()) ||
dist > Math.Abs(pending.StopLossRel()))
{
Broker.CancelPendingOrder(pending);
}
else
{
return;
}
}
// Look for an existing trade for this strategy.
var position = Positions.FirstOrDefault();
if (position == null)
{
// Look for indicators to say "enter" and which direction.
QuoteCurrency?ep, tp;
var tt = Instrument.FindTradeEntry(out ep, out tp);
if (tt == null)
{
return;
}
// Create a trade in the suggested direction
var trade = new Trade(Instrument, tt.Value, Label, ep: ep, tp: tp);
trade.Expiration = (Bot.UtcNow + Instrument.TimeFrame.ToTimeSpan(10)).DateTime;
if (trade.RtR < 0.2)
{
return;
}
// Create a pending order
Broker.CreatePendingOrder(trade);
//Broker.CreateOrder(trade);
}
}
/// <summary>Called when new data is received</summary>
public override void Step()
{
base.Step();
// Find the position associated with this strategy
Position = FindLivePosition(Position);
switch (State)
{
case EState.FindEntryTrigger:
#region
{
// In this state we're waiting for an entry trigger.
Debug.Assert(Position == null);
// Do nothing unless the conditions are right
if (SuitabilityScore < 0.5)
{
return;
}
if (Instrument.NewCandle)
{
Dump();
}
// Always trade with the trend
var sign = Math.Sign(Trend);
var tt = sign > 0 ? TradeType.Buy : TradeType.Sell;
// Look for a candle pattern that indicates entry
int forecast_direction;
QuoteCurrency target_entry;
if (!Instrument.IsCandlePattern(0, out forecast_direction, out target_entry) ||
forecast_direction != sign)
{
return;
}
// Switch to the 'EnterOnPullBack' state
State = EState.EnterOnPullBack;
TargetEntry = new TargetEntryData(target_entry, tt);
Dump();
break;
}
#endregion
case EState.EnterOnPullBack:
#region
{
if (Instrument.NewCandle)
{
Dump();
}
// In this state we're waiting for the price to pull back
// to the target entry. Check this on every tick.
var tt = TargetEntry.TT;
var cp = Instrument.CurrentPrice(tt.Sign());
if (Misc.Sign(cp - TargetEntry.Price) != tt.Sign())
{
var trade = new Trade(Bot, Instrument, tt, Label);
Position = Bot.Broker.CreateOrder(trade);
Dump();
}
break;
}
#endregion
case EState.ManagePosition:
#region
{
if (Instrument.NewCandle)
{
Dump();
}
// Manage a trade position
PositionManager.Step();
break;
}
#endregion
}
}