protected override List <ResponseModel> getmodels()
{
List <ResponseModel> mods = new List <ResponseModel>();
if (!isValid)
{
debug("Can't add models when response is not loaded.");
symbols2add = new string[0];
return(mods);
}
var indcount = mygvi.Count;
foreach (var sym in symbols2add)
{
// get index
var idx = sym2modidx.getindex(sym);
// skip if already have it
if (idx >= 0)
{
continue;
}
dynamic mod = new ResponseModel(indcount);
mod.symbol = sym;
mod.responseowner = ResponseName;
mods.Add(mod);
idx = sym2modidx.addindex(sym, models.Count);
sym2lastupdatetime.addindex(sym, -1);
}
return(mods);
}
void GotNewBar(string symbol, int interval)
{
// get current barlist for this symbol+interval
BarList bl = track_barlists[symbol, interval];
// get index for symbol
int idx = track_symbols.getindex(symbol);
// check for first cross on first interval
if (interval == (int)BarInterval.Minute)
{
//
D("(int)BarInterval.Minute interval=" + interval);
return;
}
// check second cross
if (interval == (int)BarInterval.FiveMin)
{
//
D("(int)BarInterval.FiveMin interval=" + interval);
return;
}
D("else.. interval=" + interval);
return;
// // nice way to notify of current tracker values
// sendindicators(gt.GetIndicatorValues(idx, gens()));
}
public void Basics()
{
// reset count
newtxt = 0;
// track something
GenericTracker <object> gt = new GenericTracker <object>();
// count new items
gt.NewTxt += new TextIdxDelegate(gt_NewTxt);
// get some symbols
string[] syms = new string[] { "IBM", "LVS", "IBM", "WAG", "GOOG" };
// add them
foreach (string sym in syms)
{
gt.addindex(sym, sym == "IBM" ? null : new object());
}
// ensure we have them
Assert.AreEqual(4, newtxt);
Assert.AreNotEqual(gt.Count, syms.Length);
// test fetching by label
Assert.IsNull(gt["IBM"]);
Assert.IsNotNull(gt["GOOG"]);
Assert.AreEqual(0, gt.getindex("IBM"));
// get label from index
Assert.AreEqual("GOOG", gt.getlabel(3));
}
/// <summary>
/// Called whenever we got a trade signal
/// </summary>
/// <param name="f"></param>
public override void GotFill(Trade fill)
{
// make sure every fill is tracked against a position
int sizebefore = _pt[fill.symbol].Size;
_pt.Adjust(fill);
bool isclosing = (sizebefore) * fill.xsize < 0;
if (isclosing)
{
decimal pl = Calc.Sum(Calc.AbsoluteReturn(_pt));
TotalProfit = pl;
}
// get index for this symbol
int idx = _wait.getindex(fill.symbol);
// ignore unknown symbols
if (idx < 0)
{
return;
}
// stop waiting
_wait[fill.symbol] = false;
#if DEBUG
string line = FormatLog(_pt[0].ToString());
debugWriter.WriteLine(line);
#endif
}
/// <summary>
/// This function will be delegated in "Reset" method
/// and will be called whenever the system got a new bar
/// The stratege should be contained in this method
/// </summary>
/// <param name="symbol"></param>
/// <param name="interval"></param>
void blt_GotNewBar(string symbol, int interval)
{
BarList myBars = _blt[symbol, interval];
// If we only get one bar, exit
if (myBars.Count <= 1)
{
return;
}
// make sure the lastBar is full
_lastBar = myBars[myBars.Count - 2];
// Update lastBars
if (_lastBars.getindex(symbol) < 0)
{
_lastBars.addindex(symbol);
}
_lastBars[symbol] = _lastBar;
// Update indicators
ComputeSignal();
string[] indicators = GetDisplayIndicators();
sendindicators(indicators);
// Buy or sell
// Strategy based on computed ATR indicator
//DoStrategy(symbol, signal);
DoStrategy();
}
void GotNewBar(string symbol, int interval)
{
// get current barlist for this symbol+interval
BarList bl = blt[symbol, interval];
// get index for symbol
int idx = PRIMARY.getindex(symbol);
// check for first cross on first interval
if (interval == (int)BarInterval.Minute)
{
// update the cross state
indicatorcross1[symbol] = bl.RecentBar.Close > Calc.Avg(bl.Close());
}
// check second cross
if (interval == (int)BarInterval.FiveMin)
{
// update the cross state
indicatorcross2[symbol] = bl.RecentBar.Close > Calc.Avg(bl.Close());
}
// update first1then2
if (first1then2ok[symbol] && indicatorcross2[symbol] && !indicatorcross1[symbol])
{
first1then2ok[symbol] = false;
}
// send order if everything looks good
if (first1then2ok[symbol] && indicatorcross2[symbol] && indicatorcross1[symbol])
{
sendorder(new BuyMarket(symbol, 100));
}
// notify of current tracker values
sendindicators(gt.GetIndicatorValues(idx, gens()));
}
internal static string gethelpercode(string fname, GenericTracker <List <Token> > functionname2body)
{
var fidx = functionname2body.getindex(fname);
var stublessimplementation = getstublessfunction(fidx, functionname2body);
var funccode = gettokencode(stublessimplementation.ToArray());
return(funccode);
}
/// <summary>
/// Called whenever we got a tick signal
/// </summary>
/// <param name="k"></param>
public override void GotTick(Tick k)
{
// Sync symbols
if (_symbols.getindex(k.symbol) < 0)
{
_symbols.addindex(k.symbol, k.symbol);
}
SyncDateTime(k);
// ensure response is active
if (!isValid)
{
return;
}
// ensure we are tracking active status for this symbol
int idx = _active.addindex(k.symbol, true);
// if we're not active, quit
if (!_active[idx])
{
return;
}
//// check for shutdown time
//if (k.time > Shutdown)
//{
// // if so, shutdown the system
// if (!_isShutDown)
// {
// shutdown();
// }
// // and quit
// return;
//}
//else
//{
// // make sure the flag is on
// _isShutDown = false;
//}
// apply bar tracking to all ticks that enter
_kt.newTick(k);
_blt.newTick(k);
// ignore anything that is not a trade
if (!k.isTrade)
{
return;
}
}
public override void GotFill(Trade fill)
{
// make sure every fill is tracked against a position
pt.Adjust(fill);
// get index for this symbol
int idx = _wait.getindex(fill.symbol);
// ignore unknown symbols
if (idx < 0)
{
return;
}
// stop waiting
_wait[fill.symbol] = false;
// chart fills
sendchartlabel(fill.xprice, time, TradeImpl.ToChartLabel(fill), fill.side ? System.Drawing.Color.Green : System.Drawing.Color.Red);
}
/// <summary>
/// returns absolute return of all positions in order they are listed in position tracker
/// both closed and open pl may be included
/// </summary>
/// <param name="pt"></param>
/// <param name="marketprices"></param>
/// <param name="countClosedPL"></param>
/// <returns></returns>
public static decimal[] AbsoluteReturn(PositionTracker pt, GenericTracker<decimal> marketprices, bool countClosedPL)
{
decimal[] aret = new decimal[pt.Count];
bool countOpenPL = marketprices.Count >= pt.Count;
for (int i = 0; i < pt.Count; i++)
{
// get position
Position p = pt[i];
// get index
int idx = marketprices.getindex(p.Symbol);
// see if we're doing open
if (countOpenPL && (idx >= 0))
aret[i] += Calc.OpenPL(marketprices[idx], p);
if (countClosedPL)
aret[i] += p.ClosedPL;
}
return aret;
}
void newbar(string symbol, int interval)
{
// get tracker index for our symbol
int idx = MA.getindex(symbol);
// get some data
BarList bl = blt[symbol, interval];
// convert it to form that ta-lib understands
double[] closes = Calc.Decimal2Double(bl.Close());
// call your indicator
double[] ma = new double[closes.Length];
int bi, oi;
Core.Sma(0, closes.Length - 1, closes, LOOKBACK[idx], out bi, out oi, ma);
// populate your tracker with most recent value
Calc.TAPopulateGT(idx, oi, ref ma, MA);
// display our indicators
sendindicators(gt.GetIndicatorValues(idx, MA, LOOKBACK));
}
public override void GotFill(TradeLink.API.Trade fill)
{
// keep track of position
D(fill.symbol + " fill: " + fill.ToString());
_pt.Adjust(fill);
// ensure fill comes from this response
int idx = _entrysignal.getindex(fill.symbol);
if (idx < 0)
{
return;
}
// reset signals if we're flat (allows re-entry)
if (_pt[fill.symbol].isFlat)
{
_entrysignal[fill.symbol] = false;
_exitsignal[fill.symbol] = false;
}
}
public void GotTick(Tick k)
{
// skip if disabled
if (!isReady)
{
return;
}
// ensure tick is desired by this response
var idx = sym2lastupdatetime.getindex(k.symbol);
if (idx < 0)
{
return;
}
// update time
_lastticktime = k.time;
// pass tick
response.GotTick(k);
}
int getindex(string iname)
{
var idx = iname2validx.getindex(iname);
// build index first time
if (idx < 0)
{
var inds = getgvi().itemnames;
for (int i = 0; i < inds.Count; i++)
{
var tmpiname = inds[i];
if (tmpiname == iname)
{
idx = i;
}
iname2validx.addindex(tmpiname, i);
}
}
return(idx);
}
internal static Token[] gethelperconstants(Token[] ftoks, GenericTracker <Token[]> const2toks)
{
List <Token> usedconstants = new List <Token>();
// keep track of what has been added
bool[] constadded = new bool[const2toks.Count];
// go through every function token
foreach (var tok in ftoks)
{
// skip anything that is not a symbol
if (!tok.isSymbol)
{
continue;
}
// see if this token is a constant
int idx = const2toks.getindex(tok.data);
// it's not, so we don't need to declare it's implementation
if (idx < 0)
{
continue;
}
else if (constadded[idx]) // it's already been added
{
continue;
}
else // otherwise we likely need to define it
{
// define it
usedconstants.AddRange(const2toks[idx]);
// add new line
usedconstants.Add(new Token(tokentype.line));
// mark it as defined
constadded[idx] = true;
}
}
// return all the likely helpers
return(usedconstants.ToArray());
}
void client_gotUnknownMessage(MessageTypes type, long source, long dest, long msgid, string request, ref string response)
{
if (type == MessageTypes.BARRESPONSE)
{
lastbarraw = response;
var b = BarImpl.Deserialize(response);
var label = b.Symbol + b.Interval.ToString() + b.CustomInterval.ToString();
var symintidx = symintcount.getindex(label);
if (symintidx < 0)
{
symintidx = symintcount.addindex(label, new List <Bar>());
g.d("got new symbol/interval: " + b.Symbol + " " + b.Interval + b.CustomInterval + " bar:" + b.ToString());
}
symintcount[symintidx].Add(b);
if (!recvsyms.Contains(b.Symbol))
{
recvsyms.Add(b.Symbol);
}
recvbarcount++;
}
else if (type == MessageTypes.BARRESPONSE_FINAL)
{
var br = BarRequest.Deserialize(response);
reccomplete++;
g.d("completed: " + br.symbol + " " + br.Interval + " " + br.ID);
}
else
{
g.d("got unknown message: " + type + request + response);
}
var ok = mt.GotMessage(type, source, dest, msgid, request, ref response);
if (!ok)
{
g.d("error processing: " + type + " request: " + request + " response: " + response);
}
msgok &= ok;
}
public void Basics()
{
// reset count
newtxt = 0;
// track something
GenericTracker<object> gt = new GenericTracker<object>();
// count new items
gt.NewTxt += new TextIdxDelegate(gt_NewTxt);
// get some symbols
string[] syms = new string[] { "IBM", "LVS", "IBM", "WAG", "GOOG" };
// add them
foreach (string sym in syms)
gt.addindex(sym, sym == "IBM" ? null : new object());
// ensure we have them
Assert.AreEqual(4, newtxt);
Assert.AreNotEqual(gt.Count, syms.Length);
// test fetching by label
Assert.IsNull(gt["IBM"]);
Assert.IsNotNull(gt["GOOG"]);
Assert.AreEqual(0, gt.getindex("IBM"));
// get label from index
Assert.AreEqual("GOOG", gt.getlabel(3));
}
/// <summary>
/// Called whenever we got a trade signal
/// </summary>
/// <param name="f"></param>
public override void GotFill(Trade fill)
{
// make sure every fill is tracked against a position
int sizebefore = _pt[fill.symbol].Size;
_pt.Adjust(fill);
bool isclosing = (sizebefore) * fill.xsize < 0;
if (isclosing)
{
decimal pl = Calc.Sum(Calc.AbsoluteReturn(_pt));
_totalprofit = pl;
}
// get index for this symbol
int idx = _wait.getindex(fill.symbol);
// ignore unknown symbols
if (idx < 0)
{
return;
}
// stop waiting
_wait[fill.symbol] = false;
}
protected override List <Quote> getmodels()
{
// add them
var mods = new List <Quote>();
foreach (var sym in symbols2add)
{
// skip if we already have the symbol
var idx = symidx.getindex(sym);
if (idx < 0)
{
Quote q = new Quote();
q.symbol = sym;
mods.Add(q);
idx = symidx.addindex(sym, mods.Count - 1);
sym2lasttime.addindex(sym, -1);
debug(sym + " added quote.");
}
}
return(mods);
}
public static bool TAPopulateGT(string sym, int nb, ref int[] res, GenericTracker<int> gt) { int idx = gt.getindex(sym); return TAPopulateGT(idx, nb, 0, ref res, gt); }
void blt_GotNewBar(string symbol, int interval)
{
int idx = _active.getindex(symbol);
BarList myBarList = blt[symbol];
Bar curBar = myBarList.RecentBar;
int barCount = myBarList.Count; int lastBar = barCount - 1;
decimal oneTick = tickValue; //this is hard-coded for ES contracts
tradeLog curTrade = new tradeLog();
turtleSignal curSignal = new turtleSignal();
//doing manual sizing here
int units = manualTradeUnit;
if (myBarList.Count < myParams.ATRLen)
{
D("Error: waiting for more bars. or you can request more history data"); return;
}
// calculate the SMA using closing prices for so many bars back
//decimal SMA = MyCalc.Avg(Calc.EndSlice(blt[symbol].Close(), _barsback));
//TODO: optimize this one calculation
curSignal.ATR = MyCalc.AverageTrueRange(blt[symbol], myParams.ATRLen);
if (curSignal.ATR < 0)
{
D("Error calc ATR"); return;
}
switch (myParams.TurtleSystem)
{
case SystemType.System_One:
if (myTrades.Count == 0) //essentially trade.Init
{
lastTrade = 0;
entry = 0; exit = 0;
curTrade = trade.Flat;
myTrades.Add(curTrade);
tradeProfitPoints = 0;
stop = 0;
entryUnits = units; //using this for now.
}
break;
switch (myTrades[myTrades.Count - 1])
{
case trade.Init:
{
lastTrade = 0;
}
case trade.Flat:
if ((curBar.High > longEntry && lastTrade == 1 && curBar.High < failSafeLongEntry) && skipConsecutiveTrades)
{
entry = Math.Max(longEntry + oneTick, curBar.Low);
exit = 0;
curTrade = trade.SkipLong;
tradeProfitPoints = 0;
stop = entry - ATRMultiplier * ATR;
entryUnits = units;
lastTrade = 0;
}
else if (((curBar.Low < shortEntry && lastTrade == 1 && curBar.Low > failSafeShortEntry)) && skipConsecutiveTrades)
{
entry = Math.Min(shortEntry - oneTick, curBar.High);
exit = 0;
curTrade = trade.SkipShort;
tradeProfitPoints = 0;
stop = entry + ATRMultiplier * ATR;
entryUnits = units;
lastTrade = 0;
}
else if (curBar.High > longEntry)
{
entry = Math.Max(longEntry + oneTick, curBar.Low);
exit = 0;
curTrade = trade.GoLong;
tradeProfitPoints = 0;
stop = entry - ATRMultiplier * ATR;
entryUnits = units;
lastTrade = 0;
}
else if (curBar.Low < shortEntry)
{
entry = Math.Min(shortEntry - oneTick, curBar.High);
exit = 0;
curTrade = trade.GoShort;
tradeProfitPoints = 0;
stop = entry + ATRMultiplier * ATR;
entryUnits = units;
lastTrade = 0;
}
else
{
entry = 0;
exit = 0;
curTrade = trade.Flat;
tradeProfitPoints = 0;
stop = -1.0m;
entryUnits = entryUnits[1];
lastTrade = lastTrade[1];
}
case trade.GoLong:
entryUnits = entryUnits[1];
if (curBar.Low < longExit || curBar.Low < stop[1])
{
exit = Math.Min(curBar.Open, Math.Max(longExit - oneTick, stop[1] - oneTick));
entry = entry[1];
curTrade = trade.Flat;
tradeProfitPoints = exit - entry[1];
stop = -1m;
lastTrade = tradeProfitPoints > 0 ? 1 : 0;
}
else
{
exit = 0;
entry = entry[1];
curTrade = trade.GoLong;
tradeProfitPoints = 0;
stop = stop[1];
lastTrade = lastTrade[1];
}
case trade.GoShort:
entryUnits = entryUnits[1];
if (curBar.High > shortExit || curBar.High > stop[1])
{
exit = Math.Max(curBar.Open, Math.Min(shortExit + oneTick, stop[1] + oneTick));
entry = entry[1];
curTrade = trade.Flat;
tradeProfitPoints = entry[1] - exit;
stop = -1m;
lastTrade = tradeProfitPoints > ? 1 : 0;
}
else
{
exit = 0;
entry = entry[1];
curTrade = trade.GoShort;
tradeProfitPoints = 0;
stop = stop[1];
lastTrade = lastTrade[1];
}
case trade.SkipLong:
if (curBar.Low < longExit || curBar.Low < stop[1])
{
exit = Math.Min(curBar.Open, Math.Max(longExit - oneTick, stop[1] - oneTick));
entry = entry[1];
curTrade = trade.Flat;
tradeProfitPoints = exit - entry[1];
stop = -1m;
lastTrade = 0;
entryUnits = 0;
}
else if (curBar.High > failSafeLongEntry)
{
entry = Math.Max(failSafeLongEntry + oneTick, curBar.Low);
exit = 0;
curTrade = trade.GoLong;
tradeProfitPoints = 0;
stop = Math.Max(failSafeLongEntry + oneTick, curBar.Low) - ATRMultiplier * ATR;
entryUnits = units;
lastTrade = 0;
}
else
{
exit = 0;
entry = entry[1];
curTrade = trade.SkipLong;
tradeProfitPoints = 0;
stop = stop[1];
lastTrade = lastTrade[1];
entryUnits = 0;
}
case trade.SkipShort:
if (curBar.High > shortExit || curBar.High > stop[1])
{
entryUnits = 0;
exit = Math.Max(curBar.Open, Math.Min(shortExit + oneTick, stop[1] + oneTick));
entry = entry[1];
curTrade = trade.Flat;
tradeProfitPoints = entry[1] - exit;
stop = -1m;
lastTrade = 0;
}
else if (curBar.Low < failSafeShortEntry)
{
entry = Math.Min(failSafeShortEntry - oneTick, curBar.High);
exit = 0;
curTrade = trade.GoShort;
tradeProfitPoints = 0;
stop = entry + ATRMultiplier * ATR;
entryUnits = units;
lastTrade = 0;
}
else
{
exit = 0;
entry = entry[1];
curTrade = trade.SkipShort;
tradeProfitPoints = 0;
stop = stop[1];
lastTrade = lastTrade[1];
entryUnits = 0;
}
}
break;
case SystemType.System_Two:
switch (trade[1])
{
case trade.Init:
lastTrade = 0;
entry = 0;
exit = 0;
curTrade = barNumber() >= 1 ? trade.Flat : trade.Init;
tradeProfitPoints = 0;
stop = 0;
entryUnits = unit;
case trade.Flat:
if (curBar.High > failSafeLongEntry)
{
entry = Math.Max(failSafeLongEntry + oneTick, curBar.Low);
exit = 0;
curTrade = trade.GoLong;
tradeProfitPoints = 0;
stop = entry - ATRMultiplier * ATR;
entryUnits = units;
lastTrade = 0;
}
else if (curBar.Low < failSafeShortEntry)
{
entry = Math.Min(failSafeShortEntry - oneTick, curBar.High);
exit = 0;
curTrade = trade.GoShort;
tradeProfitPoints = 0;
stop = entry + ATRMultiplier * ATR;
entryUnits = unit;
lastTrade = 0;
}
else
{
entry = 0;
exit = 0;
curTrade = trade.Flat;
tradeProfitPoints = 0;
stop = -1m;
entryUnits = entryUnits[1];
lastTrade = 0;
}
case trade.GoLong:
entryUnits = entryUnits[1];
if (curBar.Low < longExit || curBar.Low < stop[1])
{
exit = Math.Min(curBar.Open, Math.Max(longExit - oneTick, stop[1] - oneTick));
entry = entry[1];
curTrade = trade.Flat;
tradeProfitPoints = exit - entry[1];
stop = -1m;
lastTrade = 0;
}
else
{
exit = 0;
entry = entry[1];
curTrade = trade.GoLong;
tradeProfitPoints = 0;
stop = stop[1];
lastTrade = 0;
}
case trade.GoShort:
entryUnits = entryUnits[1];
if (curBar.High > shortExit || curBar.High > stop[1])
{
exit = Math.Max(curBar.Open, Math.Min(shortExit + oneTick, stop[1] + oneTick));
entry = entry[1];
curTrade = trade.Flat;
tradeProfitPoints = entry[1] - exit;
stop = -1m;
lastTrade = 0;
}
else
{
exit = 0;
entry = entry[1];
curTrade = trade.GoShort;
tradeProfitPoints = 0;
stop = stop[1];
lastTrade = 0;
}
case trade.SkipShort:
entryUnits = 0;
exit = 0;
entry = 0;
curTrade = trade.GoShort;
tradeProfitPoints = 0;
stop = 0;
lastTrade = 0;
case trade.SkipLong:
entryUnits = 0;
exit = 0;
entry = 0;
trade = trade.GoShort;
tradeProfitPoints = 0;
stop = 0;
lastTrade = 0;
}
break;
}
//
// D("received new bar. close is "+ (blt[symbol].RecentBar.Close).ToString() +"SMA is "+SMA.ToString());
/* for the moment let me assume we always get a fill
* //ensure we aren't waiting for previous order to fill
* if (!_wait[symbol])
* {
*
* // if we're flat and not waiting
* if (pt[symbol].isFlat)
* {
* // if our current price is above SMA, buy
* if (blt[symbol].RecentBar.Close > ATR)
* {
* D("crosses above MA, buy");
* sendorder(new BuyMarket(symbol, EntrySize));
* // wait for fill
* _wait[symbol] = true;
* }
* // otherwise if it's less than SMA, sell
* if (blt[symbol].RecentBar.Close < ATR)
* {
* D("crosses below MA, sell");
* sendorder(new SellMarket(symbol, EntrySize));
* // wait for fill
* _wait[symbol] = true;
* }
* }
* else if ((pt[symbol].isLong && (blt[symbol].RecentBar.Close < SMA))
|| (pt[symbol].isShort && (blt[symbol].RecentBar.Close > SMA)))
|| {
|| D("counter trend, exit.");
|| sendorder(new MarketOrderFlat(pt[symbol]));
|| // wait for fill
|| _wait[symbol] = true;
|| }
|| }
|| else
|| {
|| D("no action, waiting for previous order to fill");
|| }
*/
// this way we can debug our indicators during development
// indicators are sent in the same order as they are named above
sendindicators(new string[] { time.ToString(), SMA.ToString("N2") });
// draw the MA as a line
sendchartlabel(SMA, time);
}
void blt_GotNewBar(string symbol, int interval)
{
// lets do our entries.
int idx = _active.getindex(symbol);
// calculate the SMA using closign prices for so many bars back
decimal SMA = Calc.Avg(Calc.EndSlice(blt[symbol].Close(), _barsback));
// uncomment to use TA-lib indicators
//int num,si;
//double[] result = new double[blt[symbol].Count];
//Core.Sma(0, blt[symbol].Last,
// Calc.Decimal2Double(blt[symbol].Close()),
// _barsback,out si, out num, result);
//Calc.TAPopulateGT(idx, num, ref result, _sma);
//decimal SMA = _sma[idx];
// wait until we have an SMA
if (SMA == 0)
{
return;
}
//ensure we aren't waiting for previous order to fill
if (!_wait[symbol])
{
// if we're flat and not waiting
if (pt[symbol].isFlat)
{
// if our current price is above SMA, buy
if (blt[symbol].RecentBar.Close > SMA)
{
D("crosses above MA, buy");
sendorder(new BuyMarket(symbol, EntrySize));
// wait for fill
_wait[symbol] = true;
}
// otherwise if it's less than SMA, sell
if (blt[symbol].RecentBar.Close < SMA)
{
D("crosses below MA, sell");
sendorder(new SellMarket(symbol, EntrySize));
// wait for fill
_wait[symbol] = true;
}
}
else if ((pt[symbol].isLong && (blt[symbol].RecentBar.Close < SMA)) ||
(pt[symbol].isShort && (blt[symbol].RecentBar.Close > SMA)))
{
D("counter trend, exit.");
sendorder(new MarketOrderFlat(pt[symbol]));
// wait for fill
_wait[symbol] = true;
}
}
// this way we can debug our indicators during development
// indicators are sent in the same order as they are named above
sendindicators(new string[] { time.ToString(), SMA.ToString("F2", System.Globalization.CultureInfo.InvariantCulture) });
// draw the MA as a line
sendchartlabel(SMA, time);
}
internal static bool transform_assist_helpers(List <string> sourcetypes, GenericTracker <Token[]> const2tokens, ref GenericTracker <List <Token> > function2functoks)
{
// get destination class symbols
var templateclasssym = RD_AssistTemplate.GetClassSymbols();
// process every token
for (int i = 0; i < tokstream.Count; i++)
{
// get our building blocks
var tok = tokstream[i];
// look for symbols
if (!tok.isSymbol)
{
continue;
}
// ignore constructors
if (sourcetypes.Contains(tok.data))
{
continue;
}
// skip methods we have overridden in destination class (eg GetSymbolDecimal)
if (templateclasssym.Contains(tok.data))
{
continue;
}
// get previous token symbol
var ptok = getprevioussymbol(tok);
// verify we return an assist
if (ptok.data != "AssistI")
{
continue;
}
// update other states
//bool isvoidmethod = issymbolvoidargumentmethod(tok);
//if (isvoidmethod)
// continue;
bool ismethod = issymbolmethod(tok);
// take the non-void static methods which return assists and place them as helpers
if (ismethod)
{
// get name of function
var fname = tok.data;
// get function tokens including the argument list (but not the static token)
var allfunction = new List <Token>();
// save this name
var ftokens = getfunctiontokens(i);
// get the constants used by this helper
var consttoks = gethelperconstants(ftokens, const2tokens);
// build entire function starting with return arguments
allfunction.Add(new Token(tokentype.symbol, "AssistI"));
allfunction.Add(new Token(tokentype.space, " "));
// name
allfunction.Add(tok);
// arguments
allfunction.AddRange(getfunctionarguments(i));
// re-write any functions not present in destination
//var rewrittenbody = rewrite_nonlocalsymbols(ftokens, sourcetype);
// body
allfunction.Add(new Token(tokentype.line, h.line()));
allfunction.Add(new Token(tokentype.block_start, "{"));
allfunction.Add(new Token(tokentype.line, h.line()));
// constants
allfunction.AddRange(consttoks);
// code
allfunction.AddRange(ftokens);
// end body
allfunction.Add(new Token(tokentype.line, h.line()));
allfunction.Add(new Token(tokentype.block_end, "}"));
allfunction.Add(new Token(tokentype.line, h.line()));
// get code from these modified tokens
//var bodycode = gettokencode(allfunction.ToArray());
// see if we have some code already
int tokencodeidx = function2functoks.getindex(tok.data);
// if not, save it
if (tokencodeidx < 0)
{
tokencodeidx = function2functoks.addindex(tok.data, allfunction);
}
else // otherwise it's an overload, append it
{
function2functoks[tokencodeidx].AddRange(allfunction);
}
}
}
return(true);
}
void blt_GotNewBar(string symbol, int interval) //K线的周期是可以自己定的，在Gottick中累计到周期后，就会自动进入GotNewBar中
{
//symbol是合约名字
int idx = _active.getindex(symbol); //系统变量，一般是1
Tick tOther = _kt[symbol]; //取到最新的tick，包含成交价，买1价，卖1价，买卖量等等
// calculate the SMA using closign prices for so many bars back
decimal ShortSMA = decimal.MinValue;
decimal LongSMA = decimal.MinValue;
BarList _myBars = _blt[symbol, interval]; //这一天所有的K线
// make sure the lastBar is full
Bar _lastBar = _myBars[_myBars.Count - 2]; //取倒数第2个，一个是因为零索引，还有一个就是比如现在是10点，
//那么在10点零1分的第1秒组成了10点钟的K线，所以要往回取一个
//-----------调用ATR独有的部分------------------------------
decimal ATR = decimal.MinValue;
Bar _previousBar = _myBars[_myBars.Count - 3]; // 前一个bar
//----------------------------------------------------------
bool isReverse = false; //false
if (UseSMAFromATSGlobalIndicator)
{
_ShortSMAFromATSGlobalIndicator.UpdateValue(_lastBar.Close); //UpdateValue是连接response和indicator的重要函数
//通过UpdateValue把昨天的收盘价传给Indicator
ShortSMA = _ShortSMAFromATSGlobalIndicator.GetSignal(); //把计算好的SMA传回Response中
_LongSMAFromATSGlobalIndicator.UpdateValue(_lastBar.Close); //UpdateValue是连接response和indicator的重要函数
//通过UpdateValue把昨天的收盘价传给Indicator
LongSMA = _LongSMAFromATSGlobalIndicator.GetSignal(); //把计算好的SMA传回Response中
//-----------------------------
decimal firstRange = _lastBar.High - _lastBar.Low;
decimal secondRange = Math.Abs(_lastBar.High - _previousBar.Close);
decimal thirdRange = Math.Abs(_lastBar.Low - _previousBar.Close);
decimal TR = Math.Max(firstRange, Math.Max(secondRange, thirdRange));
// deal with some outlier
if (firstRange < 0)
{
return;
}
_ATRFromATSGlobalIndicator.UpdateValue(TR); // update ATR value
ATR = _ATRFromATSGlobalIndicator.GetSignal(); // get the updated ATR value
//--------------------------------
}
else
{
ShortSMA = Calc.Avg(Calc.EndSlice(_blt[symbol].Open(), _shortbarsback));
LongSMA = Calc.Avg(Calc.EndSlice(_blt[symbol].Open(), _shortbarsback + _incrementbarsback));
}
// wait until we have an SMA
if (ShortSMA == 0 || LongSMA == 0)
{
return;
}
if (_LastLongSMA == decimal.MinValue || _LastShortSMA == decimal.MinValue)
{
_LastShortSMA = ShortSMA;
_LastLongSMA = LongSMA;
return;
}
//---------------给highestprice赋值--------
if (_highestprice < _lastBar.High)
{
_highestprice = _lastBar.High;
}
if (_highestcloseprice < _lastBar.Close)
{
_highestcloseprice = _lastBar.Close;
}
//-----------------------------------------
//ensure we aren't waiting for previous order to fill
if (!_wait[symbol]) //如果有挂单，不要再发信号
{
// if we're flat and not waiting
if (_pt[symbol].isFlat) //空仓
{
// if our current price is above SMA, buy
if (_LastShortSMA < _LastLongSMA && ShortSMA > LongSMA)
{
D("Short SMA crosses above Long SMA , buy");
//sendorder(new BuyMarket(symbol, EntrySize));
_side = true; //true就是买入
_adj = (_side ? -1 : +1) * _quasiMarketOrderAdjSize; //为了达成成交需要的一串代码，先照抄，以后再理解
Int64 _orderidLocal = _idtLocal.AssignId; //记录orderid 照抄
LimitOrder lOrder = new LimitOrder(symbol, _side, EntrySize, tOther.trade - _adj, _orderidLocal); //生成这一个订单，entrysize是下单量，t是价格
sendorder(lOrder); //把订单发出去 系统的空仓和平仓是一样的，如果想从多仓1手变成空仓1手，entrysize乘2就好了
// wait for fill
_wait[symbol] = true; //记录一下这个单已经发出去了
_currentEntry += 1;
}
// otherwise if it's less than SMA, sell
if (_LastShortSMA > _LastLongSMA && ShortSMA < LongSMA)
{
D("Long SMA crosses above Short SMA , sell");
//sendorder(new SellMarket(symbol, EntrySize));
_side = false; //和上面相反
_adj = (_side ? -1 : +1) * _quasiMarketOrderAdjSize;
Int64 _orderidLocal = _idtLocal.AssignId;
LimitOrder lOrder = new LimitOrder(symbol, _side, EntrySize, tOther.trade - _adj, _orderidLocal);
sendorder(lOrder);
// wait for fill
_wait[symbol] = true;
_currentEntry -= 1;
}
}
else if ((_pt[symbol].isLong && (_LastShortSMA > _LastLongSMA && ShortSMA < LongSMA)) ||
(_pt[symbol].isShort && (_LastShortSMA <_LastLongSMA && ShortSMA> LongSMA)))
{
int reverse = 1;
if (isReverse)
{
reverse = Math.Abs(_currentEntry) * 2; //等于1的话恢复算法
}
D("counter trend, exit.");
//sendorder(new MarketOrderFlat(pt[symbol]));
_side = !_pt[symbol].isLong;
_adj = (_side ? -1 : +1) * _quasiMarketOrderAdjSize;
Int64 _orderidLocal = _idtLocal.AssignId;
LimitOrder lOrder = new LimitOrder(symbol, _side, EntrySize * reverse, tOther.trade - _adj, _orderidLocal);
sendorder(lOrder);
// wait for fill
_wait[symbol] = true;
_currentEntry = -_currentEntry;
}
/*//-------------------综合使用YOYO止损法和吊灯止损法--------------------
* if ((!_pt[symbol].isFlat && _lastBar.Close < _highestprice - 3 * ATR)
|| (!_pt[symbol].isFlat && _lastBar.Close < _highestcloseprice - (decimal)2.5 * ATR) ||
|| (!_pt[symbol].isFlat && _lastBar.Close < _previousBar.Close - (decimal)2* ATR))
||{
|| int stop = Math.Abs(_currentEntry);
|| D("It's time to stop.");
|| _side = !_pt[symbol].isLong;
|| _adj = (_side ? -1 : +1) * _quasiMarketOrderAdjSize;
|| Int64 _orderidLocal = _idtLocal.AssignId;
|| LimitOrder lOrder = new LimitOrder(symbol, _side, EntrySize * stop, tOther.trade - _adj, _orderidLocal);
|| sendorder(lOrder);
|| // wait for fill
|| _wait[symbol] = true;
|| _currentEntry = 0;
||}*/
//------------------------------------------------------------------
}
// this way we can debug our indicators during development
// indicators are sent in the same order as they are named above
sendindicators(new string[] { _time.ToString(),
ShortSMA.ToString("F5", System.Globalization.CultureInfo.InvariantCulture),
LongSMA.ToString("F5", System.Globalization.CultureInfo.InvariantCulture),
_lastBar.Close.ToString("F5", System.Globalization.CultureInfo.InvariantCulture) });
//打印在bench的indicator中
_LastLongSMA = LongSMA;
_LastShortSMA = ShortSMA;
}
public void FireTick(string[] actualData)
{
if (actualData.Length < 66)
{
return;
}
try
{
if (actualData[0] == "F")
{
return;
}
Tick tick = new TickImpl();
tick.date = Util.ToTLDate();
DateTime now;
int local = Util.ToTLTime();
if (DateTime.TryParse(actualData[65], out now))
{
tick.time = Util.DT2FT(now);
if (ReportLatency)
{
Int64 latency = 0;
if (lastticktime != 0)
{
latency = DateTime.Now.Ticks - lastticktime;
}
lastticktime = now.Ticks;
latencyavg = (latency + latencyavg) / 2;
tickssincelastlatencyreport++;
// test for peak
if (latency > peaklatency)
{
peaklatency = latency;
}
// test for report
if (tickssincelastlatencyreport > 500000)
{
// convert to ms
double latencyms = latencyavg / 10000;
double peakms = peaklatency / 10000;
debug(string.Format("latency (ms) avg {0:N1} peak: {0:N1}", latencyms, peaklatency));
tickssincelastlatencyreport = 0;
latencyavg = 0;
}
}
}
else
{
tick.time = local;
}
// see if user has tick ignoring enabled
//(this is because in early AM iqfeed will frequently send ticks with yesterday time stamps
if (usebeforeafterignoretime)
{
// ensure that ordering works across multiple days
if (lasttickdate != tick.date)
{
lasttickordertime = 0;
lasttickdate = tick.date;
}
// see if tick should be ignored
if ((local < IfBeforeTimeUseIgnoreAfter) &&
(tick.time > IgnoreAfterTimeWithBefore))
{
return;
}
// allow ignoring for ignoring other ticks that are out of order
else if (ignoreoutoforder && (tick.time < lasttickordertime))
{
return;
}
lasttickordertime = tick.time;
}
int v = 0;
if (int.TryParse(actualData[64], out v))
{
tick.oe = getmarket(v);
}
if (int.TryParse(actualData[63], out v))
{
tick.be = getmarket(v);
}
if (int.TryParse(actualData[62], out v))
{
tick.ex = getmarket(v);
}
tick.symbol = actualData[1];
tick.bid = Convert.ToDecimal(actualData[10]);
tick.ask = Convert.ToDecimal(actualData[11]);
tick.trade = Convert.ToDecimal(actualData[3]);
tick.size = Convert.ToInt32(actualData[7]);
tick.BidSize = Convert.ToInt32(actualData[12]);
tick.AskSize = Convert.ToInt32(actualData[13]);
// get symbol index for custom data requests
int idx = _highs.getindex(tick.symbol);
// update custom data (tryparse is faster than convert)
decimal d = 0;
if (decimal.TryParse(actualData[8], out d))
{
_highs[idx] = d;
}
if (decimal.TryParse(actualData[9], out d))
{
_lows[idx] = d;
}
if (isPaperTradeEnabled)
{
ptt.newTick(tick);
}
tl.newTick(tick);
}
catch (Exception ex)
{
debug("Tick error: " + string.Join(",", actualData));
debug(ex.Message + ex.StackTrace);
}
}
static unsafe void OnNxCoreTrade(NxCoreSystem *pNxCoreSys, NxCoreMessage *pNxCoreMsg)
{
if (keepcurrent && (STATUS < 4))
{
return;
}
if (DOLIVESKIPTEST)
{
if (pNxCoreSys->nxTime.MsOfDay < (DateTime.UtcNow.TimeOfDay.TotalMilliseconds - (DateTime.Now.IsDaylightSavingTime() ? (1000 * 60 * 60 * 4) : (1000 * 60 * 60 * 5))))
{
return;
}
DOLIVESKIPTEST = false;
D("NxCore starting realtime data");
}
// Get the symbol for category message
int idx = _nxsyms.getindex(new string(&pNxCoreMsg->coreHeader.pnxStringSymbol->String));
if (idx < 0)
{
return;
}
if (!_nxsyms[idx])
{
return;
}
// Assign a pointer to the Trade data
NxCoreTrade *Trade = &pNxCoreMsg->coreData.Trade;
// Get the price and net change
double Price = NxCore.PriceToDouble(Trade->Price, Trade->PriceType);
//double NetChange = NxCore.PriceToDouble(Trade->NetChange, Trade->PriceType);
NxTime time = pNxCoreMsg->coreHeader.nxExgTimestamp;
int tltime = time.Hour * 10000 + time.Minute * 100 + time.Second;
NxDate date = pNxCoreMsg->coreHeader.nxSessionDate;
int tldate = (int)date.Year * 10000 + (int)date.Month * 100 + (int)date.Day;
string ex = excode2name(pNxCoreMsg->coreHeader.ReportingExg);
int size = (int)Trade->Size;
// check for index
if (size <= 0)
{
return;
}
Tick k = new TickImpl();
k.symbol = _realsym2nxidx.getlabel(idx);
k.date = tldate;
k.time = tltime;
k.trade = (decimal)Price;
k.ex = ex;
k.size = size;
try
{
tl.newTick(k);
}
catch (Exception e)
{
D("bad tick: " + k.symbol + " " + Price + " " + size + " " + ex + " " + e.Message + e.StackTrace);
}
}
private void FireTick(string[] actualData)
{
if (actualData.Length < 66)
{
return;
}
try
{
if (actualData[0] == "F")
{
return;
}
Tick tick = new TickImpl();
tick.date = Util.ToTLDate();
DateTime now;
if (DateTime.TryParse(actualData[65], out now))
{
tick.time = Util.DT2FT(now);
}
else
{
tick.time = Util.ToTLTime();
}
int v = 0;
if (int.TryParse(actualData[64], out v))
{
tick.oe = getmarket(v);
}
if (int.TryParse(actualData[63], out v))
{
tick.be = getmarket(v);
}
if (int.TryParse(actualData[62], out v))
{
tick.ex = getmarket(v);
}
tick.symbol = actualData[1];
tick.bid = Convert.ToDecimal(actualData[10]);
tick.ask = Convert.ToDecimal(actualData[11]);
tick.trade = Convert.ToDecimal(actualData[3]);
tick.size = Convert.ToInt32(actualData[7]);
tick.BidSize = Convert.ToInt32(actualData[12]);
tick.AskSize = Convert.ToInt32(actualData[13]);
// get symbol index for custom data requests
int idx = _highs.getindex(tick.symbol);
// update custom data (tryparse is faster than convert)
decimal d = 0;
if (decimal.TryParse(actualData[8], out d))
{
_highs[idx] = d;
}
if (decimal.TryParse(actualData[9], out d))
{
_lows[idx] = d;
}
if (isPaperTradeEnabled)
{
tl.newTick(tick);
}
tl.newTick(tick);
}
catch (Exception ex)
{
debug("Tick error: " + string.Join(",", actualData));
debug(ex.Message + ex.StackTrace);
}
}
/// <summary>
/// populate generic tracker with most recent TA-lib result
/// </summary>
/// <param name="sym"></param>
/// <param name="nb"></param>
/// <param name="res"></param>
/// <param name="gt"></param>
/// <returns></returns>
public static bool TAPopulateGT(string sym, int nb, ref double[] res, GenericTracker<decimal> gt)
{
int idx = gt.getindex(sym);
return TAPopulateGT(idx, nb, 2, ref res, gt);
}
void tl_newRegisterSymbols(string client, string symbols)
{
D("got subscribe request: " + client + ": " + symbols);
// ensure new symbols are added
Basket newb = tl.AllClientBasket;
// ensure we have an id
foreach (string sym in newb.ToSymArray())
{
Security sec = SecurityImpl.Parse(sym);
char p;
if (sec.Type == SecurityType.STK)
{
p = 'e';
}
else if (sec.Type == SecurityType.BND)
{
p = 'b';
}
else if (sec.Type == SecurityType.FUT)
{
p = 'f';
}
else if (sec.Type == SecurityType.IDX)
{
p = 'i';
}
else if (sec.Type == SecurityType.OPT)
{
p = 'o';
}
else if (sec.Type == SecurityType.CASH)
{
p = 'c';
}
else if (sec.Type == SecurityType.FOP)
{
p = 'p';
}
else
{
p = 'e';
}
string nxsym = p + sec.symbol;
int idx = _nxsyms.addindex(nxsym, true);
_realsym2nxidx.addindex(sec.symbol, idx);
}
// ensure old symbols are removed
if (old.Count > 0)
{
Basket rem = BasketImpl.Subtract(old, newb);
foreach (Security s in rem)
{
int idx = _realsym2nxidx.getindex(s.symbol);
if (idx < 0)
{
debug("Unable to locate subscription for: " + s.symbol);
continue;
}
_nxsyms[idx] = false;
}
}
// save new as old
old = newb;
}
void GotNewBar(string symbol, int interval)
{
// get current barlist for this symbol+interval
BarList bl = track_barlists[symbol, interval];
// issue an event (todo: should I put this functionality into MessageResponseTemplate.cs? or should I get rid of GotNewBar at all? hmm...) will stay here for a while..
BsonDocument bson_doc = new BsonDocument();
bson_doc = new BsonDocument();
bson_doc["Symbol"] = bl.RecentBar.Symbol;
bson_doc["High"] = bl.RecentBar.High.ToString();
bson_doc["Low"] = bl.RecentBar.Low.ToString();
bson_doc["Open"] = bl.RecentBar.Open.ToString();
bson_doc["Close"] = bl.RecentBar.Close.ToString();
bson_doc["Volume"] = bl.RecentBar.Volume.ToString();
bson_doc["isNew"] = bl.RecentBar.isNew;
bson_doc["Bartime"] = bl.RecentBar.Bartime;
bson_doc["Bardate"] = bl.RecentBar.Bardate;
bson_doc["isValid"] = bl.RecentBar.isValid;
bson_doc["Interval"] = bl.RecentBar.Interval;
bson_doc["time"] = bl.RecentBar.time;
//send_event(MimeType.got_new_bar, "bar", bson_doc.ToString());
log_file.WriteLine("got_new_bar" + bson_doc.ToString());
// get index for symbol
int idx = track_symbols.getindex(symbol);
string dbg_msg = "GotNewBar(" + symbol + ", " + interval + "):";
// check for first cross on first interval
if (interval == _response_barsize_s)
{
decimal ema = Calc.Avg(Calc.EndSlice(bl.Close(), _ema_bar));
track_ema[symbol].Add(ema);
// drawings...
if (bl.Close().Length > _ema_bar)
{
// draw 2 sma lines:
sendchartlabel(ema, time, System.Drawing.Color.FromArgb(0xff, 0x01, 0x01));
// do the trade (if required)
decimal[] ema_arr = track_ema[symbol].ToArray();
decimal prev_ema = ema_arr[ema_arr.Length - 2];
decimal curr_ema = ema_arr[ema_arr.Length - 1];
decimal delta_ema = curr_ema - prev_ema;
// sma just crossed?
bool should_buy = track_positions[symbol].isFlat && delta_ema >= 0.002m;
bool should_sell = false;
dbg_msg += " delta_ema=" + delta_ema.ToString("000.000");
/*
* dbg_msg += " fast=" + curr_sma_fast.ToString("000.000");
* dbg_msg += " pr_slow=" + prev_sma_slow.ToString("000.000");
* dbg_msg += " pr_fast=" + prev_sma_fast.ToString("000.000");
* dbg_msg += " [" + symbol + "].isFlat=" + track_positions[symbol].isFlat.ToString();
* dbg_msg += " track_positions[symbol].ToString=" + track_positions[symbol].ToString();
* dbg_msg += " should_buy=" + should_buy.ToString();
* dbg_msg += " should_sell=" + should_sell.ToString();
*/
//senddebug("GotNewBar(): " + debug_position_tracker(symbol));
if (should_buy)
{
// come buy some! (c) Duke Nukem
string comment = " BuyMarket(" + symbol + ", " + EntrySize.ToString() + ")";
sendorder(new BuyMarket(symbol, EntrySize, comment));
log_file.WriteLine("close position: " + comment);
dbg_msg += comment;
}
if (false) // we do all the selling on tick()
{
if (!track_positions[symbol].isFlat && should_sell) // we don't short, so also check if !flat
//if ( should_sell) // we don't short, so also check if !flat
{
sendorder(new SellMarket(symbol, EntrySize));
dbg_msg += " SellMarket(" + symbol + ", " + EntrySize.ToString() + ")";
}
}
}
}
//else
//{
// //
// dbg_msg += "GotNewBar() other interval=" + interval;
//}
// spit out one dbg message line per bar
D(dbg_msg);
// nice way to notify of current tracker values
sendindicators(gt.GetIndicatorValues(idx, gens()));
return;
}
public static bool PlayHistoricalTicks(Response r, GenericTracker<string> symbols, DateTime start, DateTime endexclusive, int expecteddays, DebugDelegate deb)
{
bool skipexpected = expecteddays == 0;
// prepare to track actual days for each symbol
GenericTracker<int> actualdays = new GenericTracker<int>();
foreach (string sym in symbols)
actualdays.addindex(sym, 0);
// prepare to track all tickfiles
Dictionary<string, List<string>> files = new Dictionary<string, List<string>>();
// get all required tickfiles for each symbol on each date
DateTime now = new DateTime(start.Ticks);
int tfc = 0;
while (now < endexclusive)
{
// get the tick files
List<string> allfiles = TikUtil.GetFilesFromDate(Util.TLTickDir, Util.ToTLDate(now));
// go through them all and see if we find expected number
foreach (string fn in allfiles)
{
// get security
SecurityImpl sec = SecurityImpl.FromTIK(fn);
// see if we want this symbol
int idx = symbols.getindex(sec.HistSource.RealSymbol);
if (idx < 0)
idx = symbols.getindex(sec.Symbol);
sec.HistSource.Close();
// skip if we don't
if (idx < 0)
continue;
string sym = symbols.getlabel(idx);
// if we have it, count actual day
actualdays[idx]++;
// save file and symbol
if (!files.ContainsKey(sym))
files.Add(sym, new List<string>());
files[sym].Add(fn);
// count files
tfc++;
}
// add one day
now = now.AddDays(1);
}
// notify
if (deb != null)
{
deb("found " + tfc + " tick files matching dates: " + Util.ToTLDate(start) + "->" + Util.ToTLDate(endexclusive) + " for: " + string.Join(",", symbols.ToArray()));
}
// playback when actual meets expected
bool allok = true;
foreach (string sym in symbols)
{
if (skipexpected || (actualdays[sym] >= expecteddays))
{
// get tick files
string[] tf = files[sym].ToArray();
// notify
if (deb != null)
{
deb(sym + " playing back " + tf.Length + " tick files.");
}
// playback
HistSim h = new SingleSimImpl(tf);
h.GotTick += new TickDelegate(r.GotTick);
h.PlayTo(MultiSimImpl.ENDSIM);
h.Stop();
// notify
if (deb != null)
{
deb(sym + " completed playback. ");
}
}
else
allok = false;
}
return allok;
}
void GotNewBar(string symbol, int interval)
{
//if (symbol.ToUpper() != "ABX") return;
// get current barlist for this symbol+interval
BarList bl = track_barlists[symbol, interval];
// get index for symbol
int idx = track_symbols.getindex(symbol);
string dbg_msg = "GotNewBar(" + symbol + ", " + interval + "):";
// check for first cross on first interval
if (interval == (int)BarInterval.Minute)
{
decimal no_tracker_slow_ma = Calc.Avg(Calc.EndSlice(bl.Close(), _slow_ma_bar));
decimal no_tracker_fast_ma = Calc.Avg(Calc.EndSlice(bl.Close(), _fast_ma_bar));
track_sma_slow[symbol].Add(no_tracker_slow_ma);
track_sma_fast[symbol].Add(no_tracker_fast_ma);
// drawings...
if (bl.Close().Length > 1)
{
// this is how we draw line, which connects all bars close.
//decimal val = bl.Close()[bl.Close().Length - 2]; // length-1 would be last, so length-2 is our previus bar
//int time_prev = bl.Time()[bl.Time().Length - 2];
//sendchartlabel(val, time_prev, System.Drawing.Color.Green);
// draw 2 sma lines:
sendchartlabel(no_tracker_slow_ma, time, System.Drawing.Color.Blue);
sendchartlabel(no_tracker_fast_ma, time, System.Drawing.Color.FromArgb(0xff, 0x01, 0x01)); // wtf? why red line multiplies after each sell order?!
//sendchartlabel(bl.Close()[bl.Close().Length - 2],
// time,
// (time - 60).ToString(),
// System.Drawing.Color.Green);
// do the trade (if required)
decimal[] sma_slow = track_sma_slow[symbol].ToArray();
decimal[] sma_fast = track_sma_fast[symbol].ToArray();
decimal prev_sma_slow = sma_slow[sma_slow.Length - 2];
decimal prev_sma_fast = sma_fast[sma_fast.Length - 2];
decimal curr_sma_slow = sma_slow[sma_slow.Length - 1]; // imho quite ugly..
decimal curr_sma_fast = sma_fast[sma_fast.Length - 1]; // todo: read more on how to work with Lists
// sma just crossed?
bool should_buy = prev_sma_slow > prev_sma_fast && curr_sma_slow < curr_sma_fast;
bool should_sell = prev_sma_slow <prev_sma_fast && curr_sma_slow> curr_sma_fast;
dbg_msg += " slow=" + curr_sma_slow.ToString("000.000");
dbg_msg += " fast=" + curr_sma_fast.ToString("000.000");
dbg_msg += " pr_slow=" + prev_sma_slow.ToString("000.000");
dbg_msg += " pr_fast=" + prev_sma_fast.ToString("000.000");
dbg_msg += " [" + symbol + "].isFlat=" + track_positions[symbol].isFlat.ToString();
dbg_msg += " track_positions[symbol].ToString=" + track_positions[symbol].ToString();
dbg_msg += " should_buy=" + should_buy.ToString();
dbg_msg += " should_sell=" + should_sell.ToString();
//senddebug("GotNewBar(): " + debug_position_tracker(symbol));
if (should_buy)
{
// come buy some! (c) Duke Nukem
sendorder(new BuyMarket(symbol, EntrySize));
dbg_msg += " BuyMarket(" + symbol + ", " + EntrySize.ToString() + ")";
}
if (!track_positions[symbol].isFlat && should_sell) // we don't short, so also check if !flat
//if ( should_sell) // we don't short, so also check if !flat
{
sendorder(new SellMarket(symbol, EntrySize));
dbg_msg += " SellMarket(" + symbol + ", " + EntrySize.ToString() + ")";
}
}
}
//else
//{
// //
// dbg_msg += "GotNewBar() other interval=" + interval;
//}
// spit out one dbg message line per bar
//senddebug(dbg_msg);
// nice way to notify of current tracker values
sendindicators(gt.GetIndicatorValues(idx, gens()));
return;
}
