/// <summary>
/// User, Please Describe In Short What The Signal Is Doing ...
/// This signal sends alternatly Buy/Sell orders each time its called depending on its start event.
/// </summary>
///
/// <param name="signalBase"> Passed base class of signal usercode engine. </param>
///
/// <param name="historicMarketData"> All marked data of all instrument in signals scope up to latest quotes.
/// ### Use this parameter if your Signal should process historical market data from all provided instruments. ### </param>
///
/// <param name="tradeParams"> Contains all parameters needed to trade the signal.
/// ### Use this parameter to change/override Signal Properties from "InternelGet-/SetParameter()" method. ### </param>
///
/// <param name="trigInstrData"> When start event is NewBar or NewQuote, the instruments market data triggered the event.
/// ### Use this parameter if your Signal should process the updated instument only. ### </param>
///
/// <param name="queuedTicks"> During NewQuote start event, it happens that ticks are missed during calculation.
/// This missed ticks are queued and passed in 'queuedTicks' for next start event.
/// The most recent tick from "Trigger Instrument" is added as LAST element so all recent unprocessed ticks are passed
/// within "queuedTicks" parameter.
/// ### Use this parameter if your Signal works on tick level and you don't want to miss any tick. ### </param>
///
/// <returns> Returns a list of trade signals for execution market or backtest. </returns>
public static List <TradeSignal> DetectSignals(SignalBase signalBase, Dictionary <Selection, IEnumerable <Bar> > historicMarketData,
Auxiliaries.ExecuteTradesParam tradeParams,
Dictionary <Selection, IEnumerable <Bar> > trigInstrData = null,
IEnumerable <Tick> queuedTicks = null)
{
tradeParams.EvalCount++;
var trades = new List <TradeSignal>();
Side side = Side.Sell;
foreach (var item in historicMarketData)
{
if (tradeParams.EvalCount % 2 == 0)
{
side = Side.Buy;
}
else
{
side = Side.Sell;
}
trades.Add(new TradeSignal
{
Instrument = item.Key,
Time = item.Value.Last().Date,
Price = item.Value.Last().MeanClose,
Side = side
});
}
return(trades);
}
public static List <TradeSignal> BacktestPriceSegmentProcessor(SignalBase signalBase, Dictionary <Selection, IEnumerable <Bar> > marketData,
Auxiliaries.ExecuteTradesParam tradeParams,
PriceConstants btBarSegment, Func <Dictionary <Selection, IEnumerable <Bar> >, List <TradeSignal> > detectSignals,
Dictionary <Selection, IEnumerable <Bar> > trigInstrData = null,
IEnumerable <Tick> queuedTicks = null)
{
var modMarketData = marketData.ToDictionary(k => k.Key, v => v.Value.Select(b => new Bar(b)).ToList().AsEnumerable());
var origLast = marketData.Last().Value.Last();
var modLast = modMarketData.Last().Value.Last();
List <TradeSignal> trades = null;
switch (btBarSegment)
{
case PriceConstants.OPEN:
modLast.HighAsk = origLast.OpenAsk;
modLast.HighBid = origLast.OpenBid;
modLast.LowAsk = origLast.OpenAsk;
modLast.LowBid = origLast.OpenBid;
modLast.CloseAsk = origLast.OpenAsk;
modLast.CloseBid = origLast.OpenBid;
modLast.HighAsk = origLast.OpenAsk;
trigInstrData = modMarketData;
trades = detectSignals(modMarketData);
break;
case PriceConstants.HIGH:
modLast.LowAsk = origLast.HighAsk;
modLast.LowBid = origLast.HighBid;
modLast.CloseAsk = origLast.HighAsk;
modLast.CloseBid = origLast.HighBid;
trigInstrData = modMarketData;
trades = detectSignals(modMarketData);
break;
case PriceConstants.LOW:
modLast.CloseAsk = origLast.LowAsk;
modLast.CloseBid = origLast.LowBid;
trigInstrData = modMarketData;
trades = detectSignals(modMarketData);
break;
case PriceConstants.CLOSE:
trigInstrData = modMarketData;
trades = detectSignals(modMarketData);
break;
case PriceConstants.OHLC:
signalBase.Alert($"origin openAsk: {origLast.OpenAsk}");
signalBase.Alert($"origin openBid: {origLast.OpenBid}");
signalBase.Alert($"origin mean: {origLast.MeanOpen}");
signalBase.Alert($"origin highAsk: {origLast.HighAsk}");
signalBase.Alert($"origin highBid: {origLast.HighBid}");
signalBase.Alert($"origin mean: {origLast.MeanHigh}");
signalBase.Alert($"origin lowAsk: {origLast.LowAsk}");
signalBase.Alert($"origin lowBid: {origLast.LowBid}");
signalBase.Alert($"origin mean: {origLast.MeanLow}");
signalBase.Alert($"origin closeAsk: {origLast.CloseAsk}");
signalBase.Alert($"origin closeBid: {origLast.CloseBid}");
signalBase.Alert($"origin mean: {origLast.MeanClose}");
modLast.HighAsk = origLast.OpenAsk;
modLast.HighBid = origLast.OpenBid;
modLast.LowAsk = origLast.OpenAsk;
modLast.LowBid = origLast.OpenBid;
modLast.CloseAsk = origLast.OpenAsk;
modLast.CloseBid = origLast.OpenBid;
trigInstrData = modMarketData;
signalBase.Alert($"mod openAsk: {modLast.OpenAsk}");
signalBase.Alert($"mod openBid: {modLast.OpenBid}");
signalBase.Alert($"mod mean: {modLast.MeanOpen}");
signalBase.Alert($"mod highAsk: {modLast.HighAsk}");
signalBase.Alert($"mod highBid: {modLast.HighBid}");
signalBase.Alert($"mod mean: {modLast.MeanHigh}");
signalBase.Alert($"mod lowAsk: {modLast.LowAsk}");
signalBase.Alert($"mod lowBid: {modLast.LowBid}");
signalBase.Alert($"mod mean: {modLast.MeanLow}");
signalBase.Alert($"mod closeAsk: {modLast.CloseAsk}");
signalBase.Alert($"mod closeBid: {modLast.CloseBid}");
signalBase.Alert($"mod mean: {modLast.MeanClose}");
var trades1 = detectSignals(modMarketData);
trades = trades1;
//signalBase.Alert($"origin openAsk: {origLast.OpenAsk}");
//signalBase.Alert($"origin openBid: {origLast.OpenBid}");
//signalBase.Alert($"origin mean: {origLast.MeanOpen}");
//signalBase.Alert($"origin highAsk: {origLast.HighAsk}");
//signalBase.Alert($"origin highBid: {origLast.HighBid}");
//signalBase.Alert($"origin mean: {origLast.MeanHigh}");
//signalBase.Alert($"origin lowAsk: {origLast.LowAsk}");
//signalBase.Alert($"origin lowBid: {origLast.LowBid}");
//signalBase.Alert($"origin mean: {origLast.MeanLow}");
//signalBase.Alert($"origin closeAsk: {origLast.CloseAsk}");
//signalBase.Alert($"origin closeBid: {origLast.CloseBid}");
//signalBase.Alert($"origin mean: {origLast.MeanClose}");
modLast.HighAsk = origLast.HighAsk;
modLast.HighBid = origLast.HighBid;
modLast.LowAsk = origLast.HighAsk;
modLast.LowBid = origLast.HighBid;
modLast.CloseAsk = origLast.HighAsk;
modLast.CloseBid = origLast.HighBid;
trigInstrData = modMarketData;
//signalBase.Alert($"mod openAsk: {modLast.OpenAsk}");
//signalBase.Alert($"mod openBid: {modLast.OpenBid}");
//signalBase.Alert($"mod mean: {modLast.MeanOpen}");
//signalBase.Alert($"mod highAsk: {modLast.HighAsk}");
//signalBase.Alert($"mod highBid: {modLast.HighBid}");
//signalBase.Alert($"mod mean: {modLast.MeanHigh}");
//signalBase.Alert($"mod lowAsk: {modLast.LowAsk}");
//signalBase.Alert($"mod lowBid: {modLast.LowBid}");
//signalBase.Alert($"mod mean: {modLast.MeanLow}");
//signalBase.Alert($"mod closeAsk: {modLast.CloseAsk}");
//signalBase.Alert($"mod closeBid: {modLast.CloseBid}");
//signalBase.Alert($"mod mean: {modLast.MeanClose}");
var trades2 = detectSignals(modMarketData);
trades.AddRange(trades2);
//signalBase.Alert($"origin openAsk: {origLast.OpenAsk}");
//signalBase.Alert($"origin openBid: {origLast.OpenBid}");
//signalBase.Alert($"origin mean: {origLast.MeanOpen}");
//signalBase.Alert($"origin highAsk: {origLast.HighAsk}");
//signalBase.Alert($"origin highBid: {origLast.HighBid}");
//signalBase.Alert($"origin mean: {origLast.MeanHigh}");
//signalBase.Alert($"origin lowAsk: {origLast.LowAsk}");
//signalBase.Alert($"origin lowBid: {origLast.LowBid}");
//signalBase.Alert($"origin mean: {origLast.MeanLow}");
//signalBase.Alert($"origin closeAsk: {origLast.CloseAsk}");
//signalBase.Alert($"origin closeBid: {origLast.CloseBid}");
//signalBase.Alert($"origin mean: {origLast.MeanClose}");
modLast.LowAsk = origLast.LowAsk;
modLast.LowBid = origLast.LowBid;
modLast.CloseAsk = origLast.LowAsk;
modLast.CloseBid = origLast.LowBid;
trigInstrData = modMarketData;
//signalBase.Alert($"mod openAsk: {modLast.OpenAsk}");
//signalBase.Alert($"mod openBid: {modLast.OpenBid}");
//signalBase.Alert($"mod mean: {modLast.MeanOpen}");
//signalBase.Alert($"mod highAsk: {modLast.HighAsk}");
//signalBase.Alert($"mod highBid: {modLast.HighBid}");
//signalBase.Alert($"mod mean: {modLast.MeanHigh}");
//signalBase.Alert($"mod lowAsk: {modLast.LowAsk}");
//signalBase.Alert($"mod lowBid: {modLast.LowBid}");
//signalBase.Alert($"mod mean: {modLast.MeanLow}");
//signalBase.Alert($"mod closeAsk: {modLast.CloseAsk}");
//signalBase.Alert($"mod closeBid: {modLast.CloseBid}");
//signalBase.Alert($"mod mean: {modLast.MeanClose}");
var trades3 = detectSignals(modMarketData);
trades.AddRange(trades3);
modLast.CloseAsk = origLast.CloseAsk;
modLast.CloseBid = origLast.CloseBid;
modMarketData = marketData;
trigInstrData = modMarketData;
signalBase.Alert($"origin openAsk: {origLast.OpenAsk}");
signalBase.Alert($"origin openBid: {origLast.OpenBid}");
signalBase.Alert($"origin mean: {origLast.MeanOpen}");
signalBase.Alert($"origin highAsk: {origLast.HighAsk}");
signalBase.Alert($"origin highBid: {origLast.HighBid}");
signalBase.Alert($"origin mean: {origLast.MeanHigh}");
signalBase.Alert($"origin lowAsk: {origLast.LowAsk}");
signalBase.Alert($"origin lowBid: {origLast.LowBid}");
signalBase.Alert($"origin mean: {origLast.MeanLow}");
signalBase.Alert($"origin closeAsk: {origLast.CloseAsk}");
signalBase.Alert($"origin closeBid: {origLast.CloseBid}");
signalBase.Alert($"origin mean: {origLast.MeanClose}");
signalBase.Alert($"mod openAsk: {modLast.OpenAsk}");
signalBase.Alert($"mod openBid: {modLast.OpenBid}");
signalBase.Alert($"mod mean: {modLast.MeanOpen}");
signalBase.Alert($"mod highAsk: {modLast.HighAsk}");
signalBase.Alert($"mod highBid: {modLast.HighBid}");
signalBase.Alert($"mod mean: {modLast.MeanHigh}");
signalBase.Alert($"mod lowAsk: {modLast.LowAsk}");
signalBase.Alert($"mod lowBid: {modLast.LowBid}");
signalBase.Alert($"mod mean: {modLast.MeanLow}");
signalBase.Alert($"mod closeAsk: {modLast.CloseAsk}");
signalBase.Alert($"mod closeBid: {modLast.CloseBid}");
signalBase.Alert($"mod mean: {modLast.MeanClose}");
var trades4 = detectSignals(modMarketData);
trades.AddRange(trades4);
break;
case PriceConstants.OLHC:
modLast.HighAsk = origLast.OpenAsk;
modLast.HighBid = origLast.OpenBid;
modLast.LowAsk = origLast.OpenAsk;
modLast.LowBid = origLast.OpenBid;
modLast.CloseAsk = origLast.OpenAsk;
modLast.CloseBid = origLast.OpenBid;
trigInstrData = modMarketData;
trades1 = detectSignals(modMarketData);
trades = trades1;
modLast.HighAsk = origLast.LowAsk;
modLast.HighBid = origLast.LowBid;
modLast.CloseAsk = origLast.LowAsk;
modLast.CloseBid = origLast.LowBid;
trigInstrData = modMarketData;
trades3 = detectSignals(modMarketData);
trades.AddRange(trades3);
modLast.CloseAsk = origLast.HighAsk;
modLast.CloseBid = origLast.HighBid;
trigInstrData = modMarketData;
trades2 = detectSignals(modMarketData);
trades.AddRange(trades2);
trigInstrData = modMarketData;
trades4 = detectSignals(modMarketData);
trades.AddRange(trades4);
break;
}
return(trades);
}
