protected sealed override void OnTick()
{
++TickNumber;
Debugging.BreakOnPointOfInterest();
// Emergency stop on large draw-down
BalanceMinimum = Math.Max((double)BalanceMinimum, Account.Balance * (1.0 - Settings.MaxDrawDownFrac));
if (Account.Equity < BalanceMinimum)
{
Debugging.Trace("Account equity (${0}) dropped below the balance minimum (${1}). Stopping".Fmt(Account.Equity, BalanceMinimum));
Print("Account equity (${0}) dropped below the balance minimum (${1}). Stopping".Fmt(Account.Equity, BalanceMinimum));
CloseAllPositions("Emergency Stop");
Stop();
return;
}
// Raise the Bot.Tick event before stepping the bot
// Instruments are signed up to the Tick event so they will be updated first
base.OnTick();
Tick.Raise(this);
try
{
// Update the account info
Broker.Update();
// Remove position sets that don't have any active positions
var set_ids = Positions.Select(x => Guid_.Parse(x.Comment)).NotNull().ToHashSet(x => x.Value);
foreach (var set_id in PositionSets.Keys.ToArray())
{
if (set_ids.Contains(set_id))
{
continue;
}
PositionSets.Remove(set_id);
}
// Step active position managers
foreach (var pm in PositionManagers)
{
pm.Step();
}
// Entry cool down
if (EntryCooldown != 0 && Instrument.NewCandle)
{
--EntryCooldown;
}
// Step the bot
Step();
}
catch (Exception ex)
{
Debugging.Trace(ex.Message);
Debugging.Trace(ex.StackTrace);
}
}
protected override void OnPositionOpened(Position position)
{
// Prevent positions being entered on the same bulge
EntryCooldown = NonIntersectingCount;
{ // Adjust the stop loss to allow for slip
var mcs = Instrument.MCS;
var sign = position.Sign();
var ep = position.EntryPrice;
var sl = ep - sign * mcs * SLFrac;
Broker.ModifyOrder(Instrument, position, sl: sl);
}
// If the main position of a position set opens, create a pending order in the opposite direction.
// This is designed to catch the case when we choose a break-out trade but it's actually a reversal, or visa-versa.
var id = Guid_.Parse(position.Comment);
if (id != null && PositionSets[id.Value].Count == 1)
{
var mcs = Instrument.MCS;
var sign = -position.Sign();
var tt = CAlgo.SignToTradeType(sign);
var rel = Math.Abs(position.EntryPrice - position.StopLoss.Value) * 0.75;
var ep = MA0[0] + sign * rel;
var sl = ep - sign * mcs * SLFrac;
var tp = (QuoteCurrency?)null;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk: Risk);
var trade = new Trade(Instrument, tt, Label, ep, sl, tp, vol, comment: Guid.NewGuid().ToString())
{
Expiration = Instrument.ExpirationTime(2)
};
Broker.CreatePendingOrder(trade);
}
// Close positions if there is a breakout in the wrong direction
PositionManagers.Add(new PositionManagerBreakOut(this, position, CloseBreakoutPeriods, only_if_in_profit: true));
// Close positions when they fail to make new peaks
PositionManagers.Add(new PositionManagerTopDrop(this, position, CloseTopDropCount, only_if_in_profit: true));
// Close positions when there's a steady stream of adverse candles
PositionManagers.Add(new PositionManagerAdverseCandles(this, position, CloseAdverseCount));
}
private void HandlePositionOpened(PositionOpenedEventArgs args)
{
// Only watch positions created by this bot
var position = args.Position;
if (position.Label != Label)
{
return;
}
try
{
// Add the position to the set it belongs to, or begin a new set
var id = Guid_.Parse(position.Comment);
if (id != null)
{
if (PositionSets.ContainsKey(id.Value))
{
PositionSets[id.Value].Add(position.Id);
}
else
{
PositionSets[id.Value] = new List <int>(new[] { position.Id });
}
}
// Notify position closed
if (PositionOpened != null)
{
PositionOpened(this, args);
}
OnPositionOpened(position);
}
catch (Exception ex)
{
Debugging.Trace(ex.Message);
Debugging.Trace(ex.StackTrace);
}
}
private void HandlePositionClosed(PositionClosedEventArgs args)
{
// Only watch positions created by this strategy
var position = args.Position;
if (position.Label != Label)
{
return;
}
// Close all positions in the same set
var id = Guid_.Parse(position.Comment);
if (id != null && PositionSets.ContainsKey(id.Value))
{
var set = PositionSets[id.Value];
Broker.ClosePositions(Positions.Where(x => set.Contains(x.Id)), "Closing Set");
PositionSets.Remove(id.Value);
}
// Remove any position managers that are managing 'position'
PositionManagers.RemoveIf(x => x.Position.Id == position.Id);
try
{
// Notify position closed
if (PositionClosed != null)
{
PositionClosed(this, args);
}
OnPositionClosed(position);
}
catch (Exception ex)
{
Debugging.Trace(ex.Message);
Debugging.Trace(ex.StackTrace);
}
}