internal static Optional <ITrade> AttemptTrade(IEnumerable <BidAskCandle> candles, double entry, double stop,
double target, TimeSpan startTime, TimeSpan endTime, double risk, bool trialStop, double trialedStopSize)
{
var executed = false;
var openTime = DateTime.MaxValue;
var lastCandle = new BidAskCandle(new DateTime(1, 1, 1), 1, 1, 1, 1, 1, Timezone.Uk);
double openLevel = 0;
var stopSize = Math.Abs(entry - stop);
var positionSize = risk / stopSize;
var direction = target > stop ? TradeDirection.Long : TradeDirection.Short;
var high = double.NegativeInfinity;
var low = double.PositiveInfinity;
var originalStop = stop;
var maximumAdverseExcursion = 0.0;
var maximumFavourableExcursion = 0.0;
var stopTrailed = false;
foreach (var candle in candles)
{
if (candle.DateTime.TimeOfDay >= startTime && candle.DateTime.TimeOfDay <= endTime)
{
if (direction == TradeDirection.Long)
{
if (trialStop && executed)
{
if (candle.BidOpen > high)
{
high = candle.BidOpen;
}
// Trail stop only if in profit by at least the size of the trailed stop
if (high > stop + trialedStopSize && high > openLevel + trialedStopSize)
{
stop = candle.BidOpen - trialedStopSize;
stopTrailed = true;
}
}
// When not starting at the first candle of the day,
// if the first candle opens past the initial intended entry (positive slippage),
// enter the trade on the open of that candle and update stop level accordingly
if (candle.AskOpen <= entry && !executed)
{
openLevel = candle.AskOpen;
stop = openLevel - stopSize;
originalStop = openLevel - stopSize;
executed = true;
openTime = candle.DateTime;
}
if (candle.AskLow < entry && !executed)
{
openLevel = entry;
executed = true;
openTime = candle.DateTime;
}
if (executed)
{
var adverseExcursion = openLevel - candle.AskLow;
if (adverseExcursion > maximumAdverseExcursion)
{
maximumAdverseExcursion = adverseExcursion;
}
var favourableExcursion = candle.BidHigh - openLevel;
if (favourableExcursion > maximumAdverseExcursion)
{
maximumFavourableExcursion = favourableExcursion;
}
// Ensure MFA is 100% if target is hit
if (candle.BidHigh > target)
{
maximumFavourableExcursion = target - openLevel;
}
}
if (candle.BidLow < stop && executed)
{
// Ensure MAE is 100% if full original stop is hit
if (!stopTrailed)
{
maximumAdverseExcursion = stopSize;
}
return(Option.Some((ITrade) new Trade(entry, originalStop, target, openLevel, Option.Some(stop), openTime, Option.Some(candle.DateTime), positionSize, Option.Some(maximumAdverseExcursion), Option.Some(maximumFavourableExcursion))));
}
if (candle.BidHigh > target && executed)
{
return(Option.Some((ITrade) new Trade(entry, originalStop, target, openLevel, Option.Some(target), openTime, Option.Some(candle.DateTime), positionSize, Option.Some(maximumAdverseExcursion), Option.Some(maximumFavourableExcursion))));
}
}
else if (direction == TradeDirection.Short)
{
if (trialStop && executed)
{
if (candle.AskOpen < low)
{
low = candle.AskOpen;
}
if (low < stop - trialedStopSize && low < openLevel - trialedStopSize)
{
stop = candle.AskOpen + trialedStopSize;
stopTrailed = true;
}
}
// See above comment on opposite direction trade
if (candle.BidOpen >= entry && !executed)
{
openLevel = candle.BidOpen;
stop = openLevel + stopSize;
originalStop = openLevel + stopSize;
executed = true;
openTime = candle.DateTime;
}
if (candle.BidHigh > entry && !executed)
{
openLevel = entry;
executed = true;
openTime = candle.DateTime;
}
if (executed)
{
var adverseExcursion = candle.BidHigh - openLevel;
if (adverseExcursion > maximumAdverseExcursion)
{
maximumAdverseExcursion = adverseExcursion;
}
var favourableExcursion = openLevel - candle.AskLow;
if (favourableExcursion > maximumAdverseExcursion)
{
maximumFavourableExcursion = favourableExcursion;
}
// Ensure MFA is 100% if target is hit
if (candle.AskLow < target)
{
maximumFavourableExcursion = openLevel - target;
}
}
if (candle.AskHigh > stop && executed)
{
// Ensure MAE is 100% if full original stop is hit
if (!stopTrailed)
{
maximumAdverseExcursion = stopSize;
}
return(Option.Some((ITrade) new Trade(entry, originalStop, target, openLevel, Option.Some(stop), openTime, Option.Some(candle.DateTime), positionSize, Option.Some(maximumAdverseExcursion), Option.Some(maximumFavourableExcursion))));
}
if (candle.AskLow < target && executed)
{
return(Option.Some((ITrade) new Trade(entry, originalStop, target, openLevel, Option.Some(target), openTime, Option.Some(candle.DateTime), positionSize, Option.Some(maximumAdverseExcursion), Option.Some(maximumFavourableExcursion))));
}
}
lastCandle = candle;
}
}
if (!executed)
{
return(Option.None <ITrade>());
}
// When trade is executed but neither stop or target is hit close trade at close level of last candle
double close;
close = direction == TradeDirection.Long ? lastCandle.BidClose : lastCandle.AskClose;
return(Option.Some((ITrade) new Trade(entry, originalStop, target, entry, Option.Some(close), openTime, Option.Some(lastCandle.DateTime), positionSize, Option.Some(maximumAdverseExcursion), Option.Some(maximumFavourableExcursion))));
}
internal static Optional <ITrade> AttemptTrade(IEnumerable <BidAskCandle> candles, double entry, double stop,
double target, TimeSpan startTime, TimeSpan endTime, double risk)
{
var executed = false;
var openTime = DateTime.MaxValue;
var lastCandle = new BidAskCandle(new DateTime(1, 1, 1), 1, 1, 1, 1, 1, Timezone.Uk);
double openLevel = 0;
var stopSize = Math.Abs(entry - stop);
var positionSize = risk / stopSize;
var direction = target > stop ? TradeDirection.Long : TradeDirection.Short;
foreach (var candle in candles)
{
if (candle.DateTime.TimeOfDay >= startTime && candle.DateTime.TimeOfDay <= endTime)
{
if (direction == TradeDirection.Long)
{
// When not starting at the first candle of the day,
// if the first candle opens past the initial intended entry (positive slippage),
// enter the trade on the open of that candle and update stop level accordingly
if (candle.AskOpen <= entry && !executed)
{
openLevel = candle.AskOpen;
stop = entry - stopSize;
executed = true;
openTime = candle.DateTime;
}
if (candle.AskLow < entry && !executed)
{
openLevel = entry;
executed = true;
openTime = candle.DateTime;
}
if (candle.BidLow < stop && executed)
{
return(Option.Some((ITrade) new Trade(entry, stop, target, openLevel, Option.Some(stop), openTime, Option.Some(candle.DateTime), positionSize)));
}
if (candle.BidHigh > target && executed)
{
return(Option.Some((ITrade) new Trade(entry, stop, target, openLevel, Option.Some(target), openTime, Option.Some(candle.DateTime), positionSize)));
}
}
else if (direction == TradeDirection.Short)
{
// See above comment on opposite direction trade
if (candle.BidOpen >= entry && !executed)
{
openLevel = candle.BidOpen;
stop = openLevel + stopSize;
executed = true;
openTime = candle.DateTime;
}
if (candle.BidHigh > entry && !executed)
{
openLevel = entry;
executed = true;
openTime = candle.DateTime;
}
if (candle.AskHigh > stop && executed)
{
return(Option.Some((ITrade) new Trade(entry, stop, target, openLevel, Option.Some(stop), openTime, Option.Some(candle.DateTime), positionSize)));
}
if (candle.AskLow < target && executed)
{
return(Option.Some((ITrade) new Trade(entry, stop, target, openLevel, Option.Some(target), openTime, Option.Some(candle.DateTime), positionSize)));
}
}
lastCandle = candle;
}
}
if (!executed)
{
return(Option.None <ITrade>());
}
// When trade is executed but neither stop or target is hit close trade at close level of last candle
var close = direction == TradeDirection.Long ? lastCandle.BidClose : lastCandle.AskClose;
return(Option.Some((ITrade) new Trade(entry, stop, target, entry, Option.Some(close), openTime, Option.Some(lastCandle.DateTime), positionSize)));
}
