private void initialSetup()
{
if (_StartUp == true)
{
_StartUp = false;
//_instr.SendOrder("BUY", 1, "MKT");
//_instr.SendOrder("SELL", 1, "MKT");
double[] m2IS = new double[12];
m2IS = MassFuncs.mass2(AskPriList, BidPriList, AskSizeList, BidSizeList);
int percentageChange = Math.Abs(percentDecision(m2IS));
// Here we place the order
if (percentageChange > 0)
{
_instr.SendOrder("BUY", 1, "MKT"); //Using Oddlots to preserve
}
if (percentageChange < 0)
{
_instr.SendOrder("SELL", 1, "MKT");
}
else if (percentageChange == 0)
{
_instr.SendOrder("BUY", 1, "MKT");
}
}
}
private void OnTimedEvent(object sender, ElapsedEventArgs e)
{
if (_PriceChangeCounter > 52)
{
// this is where we make mass1, depending on the MAs calculated above
double[] m1 = new double[12];
double[] m2 = new double[12];
m1 = MassFuncs.mass1(MA100_old, MA100_new, MA200_old, MA200_new, MA500_old, MA500_new);
// Bid m2m = new Bid();
m2 = MassFuncs.mass2(AskPriList, BidPriList, AskSizeList, BidSizeList);
// now we call the DST fusion. You need to insert the other mass function somewhere
double[] M = new double[12];
// MassFuncs.massFusion Mass = new massFusion();
M = MassFuncs.massFusionFunc(m1, m2);
//Timer DSTtime = new Timer();
// Here we figure out what are position decision will be, i.e. increase/decrease and by what percentage
//percentageChange = percentDecision(M);
int percentageChange = percentDecision(M);
for (int i = 0; i < 12; i++)
{
Debug.WriteLine(M[i]);
}
Debug.WriteLine("im working nooooooooooooooooooooooooooooooooooooooooooooooooooooooooooooooooooooooooooooo0000000000w" + _Counter + " " + percentageChange);
Debug.WriteLine(percentageChange);
// Here we place the order
if (percentageChange > 0)
{
_instr.SendOrder("BUY", (Math.Abs(percentageChange)), "MKT");
}
if (percentageChange < 0)
{
_instr.SendOrder("SELL", (Math.Abs(percentageChange)), "MKT");
}
orderPlaced++;
}
}
public static double[] mass1(double MA100_old, double MA100_new, double MA200_old, double MA200_new, double MA500_old, double MA500_new)
{
double[] EMAs = new double[6];
EMAs[0] = MA100_old;
EMAs[1] = MA100_new;
EMAs[2] = MA200_old;
EMAs[3] = MA200_new;
EMAs[4] = MA500_old;
EMAs[5] = MA500_new;
double[] m1 = new double[12];
int cross_bull = 0;
int cross_bear = 0;
// checking for crossover types
double cross_100_200_prev = Math.Sign(EMAs[0] - EMAs[2]);
double cross_100_200_now = Math.Sign(EMAs[1] - EMAs[3]);
double cross_200_500_prev = Math.Sign(EMAs[2] - EMAs[4]);
double cross_200_500_now = Math.Sign(EMAs[3] - EMAs[5]);
double cross_100_500_prev = Math.Sign(EMAs[0] - EMAs[4]);
double cross_100_500_now = Math.Sign(EMAs[1] - EMAs[5]);
// 100-200 crossovers
if (cross_100_200_prev < cross_100_200_now)
{
cross_bull++;
}
else if (cross_100_200_prev > cross_100_200_now)
{
cross_bear++;
}
// 200-500 crossovers;
if (cross_200_500_prev < cross_200_500_now)
{
cross_bull++;
}
else if (cross_200_500_prev > cross_200_500_now)
{
cross_bear++;
}
// 100-500 crossovers;
if (cross_100_500_prev < cross_100_500_now)
{
cross_bull++;
}
else if (cross_100_500_prev > cross_100_500_now)
{
cross_bear++;
}
// now we check the possible scenarios
if (cross_bull == 0 && cross_bear == 0)
{
double diff_now_100_200 = EMAs[1] - EMAs[3];
double diff_prev_100_200 = EMAs[0] - EMAs[2];
double diff_now_200_500 = EMAs[3] - EMAs[5];
double diff_prev_200_500 = EMAs[2] - EMAs[4];
double diff_now_100_500 = EMAs[1] - EMAs[5];
double diff_prev_100_500 = EMAs[0] - EMAs[4];
// looking at the interval lenghts
double shrinks = Math.Sign(diff_prev_100_200 - diff_now_100_200)
+ Math.Sign(diff_prev_200_500 - diff_now_200_500)
+ Math.Sign(diff_prev_100_500 - diff_now_100_500);
if (diff_now_100_200 > 0)
{
if (shrinks == 3)
{
m1 = MassFuncs.massAssignFunc(3, 7.5, -7, 0);
}
else if (shrinks == 2)
{
m1 = MassFuncs.massAssignFunc(3, 5, -5, 0);
}
else if (shrinks == 1)
{
m1 = MassFuncs.massAssignFunc(3, 5, -4, 0);
}
else
{
m1 = MassFuncs.massAssignFunc(3, 3, -2, 0);
}
}
else if (diff_now_100_200 < 0)
{
if (shrinks == 3)
{
m1 = MassFuncs.massAssignFunc(3, 7.5, -7, 1);
}
else if (shrinks == 2)
{
m1 = MassFuncs.massAssignFunc(3, 5, -5, 1);
}
else if (shrinks == 1)
{
m1 = MassFuncs.massAssignFunc(3, 5, -4, 1);
}
else
{
m1 = MassFuncs.massAssignFunc(3, 3, -2, 1);
}
}
}
else if (cross_bull == 1 && cross_bear == 0) // one bullish
{
m1 = MassFuncs.massAssignFunc(3, 5, -4.5, 0);
}
else if (cross_bull == 2 && cross_bear == 0) // two bullish
{
m1 = MassFuncs.massAssignFunc(3, 2, -2.5, 0);
}
else if (cross_bull == 3 && cross_bear == 0) // three bullish, as good as life gets
{
m1 = MassFuncs.massAssignFunc(2, 4, -2, 0);
}
else if (cross_bull == 0 && cross_bear == 1) // one bear
{
m1 = MassFuncs.massAssignFunc(3, 5, -4.5, 1);
}
else if (cross_bull == 0 && cross_bear == 2) // two bear
{
m1 = MassFuncs.massAssignFunc(3, 2, -2.5, 1);
}
else if (cross_bull == 0 && cross_bear == 3) // three bear, the worst!
{
m1 = MassFuncs.massAssignFunc(2, 4, -2, 1);
}
else if (cross_bull == 1 && cross_bear == 1)
{
m1 = MassFuncs.massAssignFunc(8, 18, -18, 0);
}
else if (cross_bull == 2 && cross_bear == 1)
{
m1 = MassFuncs.massAssignFunc(1, 1, -2, 0);
}
else if (cross_bull == 1 && cross_bear == 2)
{
m1 = MassFuncs.massAssignFunc(1, 1, -2, 1);
}
Debug.WriteLine("m1 bull: " + cross_bull + "m1 bear: " + cross_bear);
return(m1);
}
