private void StrategyProcess(MessageQuote message)
{
if (historicalData.Count <= maxPeriod)
{
return;
}
// Calculation of trend
Trend trend = (Trend)threeMaIndicator.GetValue();
switch (trend)
{
case Trend.Up:
// Up trend detected. If we were in short position, first closing it
if (tradingState == TradingState.EnteredSell)
{
// If request for closing has been sent, setting the current state -
// we have already exit the market
Position position = Core.Instance.GetPositionById(currentOrderResult.OrderId, symbol.ConnectionId);
if (position == null)
{
return;
}
var result = position.Close();
if (result.Status == TradingOperationResultStatus.Success)
{
tradingState = TradingState.ExitMarket;
Log($"{currentOrderResult.Status}. Position was closed.", StrategyLoggingLevel.Trading);
}
// exitting the program to give some time to
// the system for processing the order. Entrance will
// be performed on the next quote
return;
}
// If we haven't aleady entered the market, do it
if (tradingState != TradingState.EnteredBuy)
{
var orderPrice = symbol.Bid;
if (message is Last last)
{
orderPrice = last.Price;
}
if (message is Quote quote)
{
orderPrice = quote.Ask;
}
// Sending request for opening long position, and
// setting the state - "Entered long position"
currentOrderResult = Core.PlaceOrder(new PlaceOrderRequestParameters
{
Account = account,
Symbol = this.symbol,
Price = orderPrice,
OrderTypeId = OrderType.Market,
Quantity = quantity,
Side = Side.Buy,
});
longOrdersCount++;
tradingState = TradingState.EnteredBuy;
if (currentOrderResult.Status == TradingOperationResultStatus.Success)
{
Log($"{currentOrderResult.Status}. Long position was placed.", StrategyLoggingLevel.Trading);
}
else
{
Log($"{currentOrderResult.Status}. {currentOrderResult.Message}", StrategyLoggingLevel.Trading);
}
}
break;
case Trend.Down:
//Down trend detected. If we were in long position, firstly closing it
if (tradingState == TradingState.EnteredBuy)
{
// If request for closing has been sent, setting the current state -
// we have already exit the market
Position position = Core.Instance.GetPositionById(currentOrderResult.OrderId, symbol.ConnectionId);
if (position == null)
{
return;
}
var result = position.Close();
if (result.Status == TradingOperationResultStatus.Success)
{
tradingState = TradingState.ExitMarket;
Log($"{currentOrderResult.Status}. Position was closed.", StrategyLoggingLevel.Trading);
}
// exitting the program to give some time to
// the system for processing the order. Entrance will
// be performed on the next quote
return;
}
// If we haven't aleady entered the market, do it
if (tradingState != TradingState.EnteredSell)
{
var orderPrice = symbol.Bid;
if (message is Last last)
{
orderPrice = last.Price;
}
if (message is Quote quote)
{
orderPrice = quote.Bid;
}
// Sending request for opening long position, and
// if request is sent, then setting the state - "Entered short position"
currentOrderResult = Core.PlaceOrder(new PlaceOrderRequestParameters
{
Account = account,
Symbol = this.symbol,
Price = orderPrice,
OrderTypeId = OrderType.Market,
Quantity = quantity,
Side = Side.Sell,
});
shortOrdersCount++;
tradingState = TradingState.EnteredSell;
if (currentOrderResult.Status == TradingOperationResultStatus.Success)
{
Log($"{currentOrderResult.Status}. Short position was placed.", StrategyLoggingLevel.Trading);
}
else
{
Log($"{currentOrderResult.Status}. {currentOrderResult.Message}", StrategyLoggingLevel.Trading);
}
}
break;
}
}
private void Strike_NewMessage(Symbol symbol, MessageQuote quote)
{
}
