private void ProcessCandle(Candle candle)
{
// strategy are stopping
if (ProcessState == ProcessStates.Stopping)
{
CancelActiveOrders();
return;
}
this.AddInfoLog(LocalizedStrings.Str3634Params.Put(candle.OpenTime, candle.OpenPrice, candle.HighPrice, candle.LowPrice, candle.ClosePrice, candle.TotalVolume, candle.Security));
// process new candle
var longValue = LongSma.Process(candle);
var shortValue = ShortSma.Process(candle);
// calc new values for short and long
var isShortLessThenLong = ShortSma.GetCurrentValue() < LongSma.GetCurrentValue();
// crossing happened
if (_isShortLessThenLong != isShortLessThenLong)
{
// if short less than long, the sale, otherwise buy
var direction = isShortLessThenLong ? Sides.Sell : Sides.Buy;
// calc size for open position or revert
var volume = Position == 0 ? Volume : Position.Abs().Min(Volume) * 2;
// calc order price as a close price + offset
var price = candle.ClosePrice + ((direction == Sides.Buy ? Security.PriceStep : -Security.PriceStep) ?? 1);
RegisterOrder(this.CreateOrder(direction, price, volume));
// or revert position via market quoting
//var strategy = new MarketQuotingStrategy(direction, volume);
//ChildStrategies.Add(strategy);
// store current values for short and long
_isShortLessThenLong = isShortLessThenLong;
}
var trade = _myTrades.FirstOrDefault();
_myTrades.Clear();
var data = new ChartDrawData();
data
.Group(candle.OpenTime)
.Add(_candlesElem, candle)
.Add(_shortElem, shortValue)
.Add(_longElem, longValue)
.Add(_tradesElem, trade);
_chart.Draw(data);
}
public void OperatorNotEqual_SameValues_IsFalse()
{
// Arrange
var value1 = Position.Abs(100, 100);
var value2 = Position.Abs(100, 100);
// Act
var result = value1 != value2;
// Assert
result.Should().BeFalse();
}
public void OperatorEquals_SameValues_IsTrue()
{
// Arrange
var value1 = Position.Abs(100, 100);
var value2 = Position.Abs(100, 100);
// Act
var result = value1 == value2;
// Assert
result.Should().BeTrue();
}
/// <summary>
/// Calculates the gravitational force that exists between this body and another gravitational body.
/// </summary>
/// <returns>Force (Vector) directed toward this body, i.e. if the other body has higher gravitational strength,
/// the force will be negative (directed away from this body)</returns>
public Vector GravitationalForceToward(GravitationalBody b)
{
double distance = Math.Abs(Position.Abs() - b.Position.Abs());
if (distance < Radius || distance < b.Radius)
{
throw new OverLappingRadiusException("Bodies must not be connected!");
}
Vector direction = b.Position - Position;
double r_squared = direction.Abs() * direction.Abs();
return(direction.Normalised() * Constants.Common.G * Mass * b.Mass / r_squared);
}
private void Process(Candle candle)
{
//this.AddInfoLog("Свеча {0}: {1};{2};{3};{4}; объем {5}", candle.OpenTime, candle.OpenPrice, candle.HighPrice, candle.LowPrice, candle.ClosePrice, candle.TotalVolume);
var isShortWasFormed = _shortSma.IsFormed;
var isLongWasFormed = _longSma.IsFormed;
var currentShort = _shortSma.Process(candle);
var currentLong = _longSma.Process(candle);
if (candle.State == CandleStates.Finished && isShortWasFormed && isLongWasFormed &&
_longSma.Length > 1 && _shortSma.Length > 1 && candle.OpenTime > StartedTime)
{
Order order = null;
var prevShort = _shortSma.GetValue(1);
var prevLong = _longSma.GetValue(1);
if (prevShort < prevLong && currentShort.GetValue <decimal>() > currentLong.GetValue <decimal>() && Position <= 0)
{
this.AddInfoLog(LocalizedStrings.Str3297);
order = this.BuyAtMarket(Position == 0 ? Volume : Position.Abs() * 2);
}
else if (prevShort > prevLong && currentShort.GetValue <decimal>() < currentLong.GetValue <decimal>() && Position >= 0)
{
this.AddInfoLog(LocalizedStrings.Str3298);
order = this.SellAtMarket(Position == 0 ? Volume : Position.Abs() * 2);
}
if (order != null)
{
RegisterOrder(order);
}
}
new ChartDrawCommand(candle.OpenTime, new Dictionary <IChartElement, object>
{
{ _area.Elements[0], candle },
{ _area.Elements[1], currentLong },
{ _area.Elements[2], currentShort },
}).Process(this);
}
private void ProcessCandle(Candle candle)
{
// если наша стратегия в процессе остановки
if (ProcessState == ProcessStates.Stopping)
{
// отменяем активные заявки
CancelActiveOrders();
return;
}
// добавляем новую свечу
LongSma.Process(candle);
ShortSma.Process(candle);
// вычисляем новое положение относительно друг друга
var isShortLessThenLong = ShortSma.GetCurrentValue() < LongSma.GetCurrentValue();
// если произошло пересечение
if (_isShortLessThenLong != isShortLessThenLong)
{
// если короткая меньше чем длинная, то продажа, иначе, покупка.
var direction = isShortLessThenLong ? Sides.Sell : Sides.Buy;
// вычисляем размер для открытия или переворота позы
var volume = Position == 0 ? Volume : Position.Abs() * 2;
// регистрируем заявку (обычным способом - лимитированной заявкой)
//RegisterOrder(this.CreateOrder(direction, (decimal)Security.GetCurrentPrice(direction), volume));
// переворачиваем позицию через котирование
var strategy = new MarketQuotingStrategy(direction, volume);
ChildStrategies.Add(strategy);
// запоминаем текущее положение относительно друг друга
_isShortLessThenLong = isShortLessThenLong;
}
}
private void ProcessCandle(Candle candle)
{
// strategy are stopping
if (ProcessState == ProcessStates.Stopping)
{
CancelActiveOrders();
return;
}
// process new candle
LongSma.Process(candle);
ShortSma.Process(candle);
// calc new values for short and long
var isShortLessThenLong = ShortSma.GetCurrentValue() < LongSma.GetCurrentValue();
// crossing happened
if (_isShortLessThenLong != isShortLessThenLong)
{
// if short less than long, the sale, otherwise buy
var direction = isShortLessThenLong ? Sides.Sell : Sides.Buy;
// calc size for open position or revert
var volume = Position == 0 ? Volume : Position.Abs() * 2;
// register order (limit order)
RegisterOrder(this.CreateOrder(direction, (decimal)(Security.GetCurrentPrice(this, direction) ?? 0), volume));
// or revert position via market quoting
//var strategy = new MarketQuotingStrategy(direction, volume);
//ChildStrategies.Add(strategy);
// store current values for short and long
_isShortLessThenLong = isShortLessThenLong;
}
}
private void ProcessCandle(Candle candle)
{
// strategy are stopping
if (ProcessState == ProcessStates.Stopping)
{
CancelActiveOrders();
return;
}
this.AddInfoLog(LocalizedStrings.Str3634Params.Put(candle.OpenTime, candle.OpenPrice, candle.HighPrice, candle.LowPrice, candle.ClosePrice, candle.TotalVolume, candle.Security));
// process new candle
var longValue = LongSma.Process(candle);
var shortValue = ShortSma.Process(candle);
// calc new values for short and long
var isShortLessThenLong = ShortSma.GetCurrentValue() < LongSma.GetCurrentValue();
// crossing happened
if (_isShortLessThenLong != isShortLessThenLong)
{
// if short less than long, the sale, otherwise buy
var direction = isShortLessThenLong ? Sides.Sell : Sides.Buy;
// calc size for open position or revert
var volume = Position == 0 ? Volume : Position.Abs().Min(Volume) * 2;
if (!SafeGetConnector().RegisteredMarketDepths.Contains(Security))
{
var price = Security.GetMarketPrice(Connector, direction);
// register "market" order (limit order with guaranteed execution price)
if (price != null)
{
RegisterOrder(this.CreateOrder(direction, price.Value, volume));
}
}
else
{
// register order (limit order)
RegisterOrder(this.CreateOrder(direction, (decimal)(Security.GetCurrentPrice(this, direction) ?? 0), volume));
// or revert position via market quoting
//var strategy = new MarketQuotingStrategy(direction, volume)
//{
// WaitAllTrades = true,
//};
//ChildStrategies.Add(strategy);
}
// store current values for short and long
_isShortLessThenLong = isShortLessThenLong;
}
var trade = _myTrades.FirstOrDefault();
_myTrades.Clear();
var dict = new Dictionary <IChartElement, object>
{
{ _candlesElem, candle },
{ _shortElem, shortValue },
{ _longElem, longValue },
{ _tradesElem, trade }
};
_chart.Draw(candle.OpenTime, dict);
}
private void ProcessCandle(Candle candle)
{
// если наша стратегия в процессе остановки
if (ProcessState == ProcessStates.Stopping)
{
// отменяем активные заявки
CancelActiveOrders();
return;
}
this.AddInfoLog(LocalizedStrings.Str2177Params.Put(candle.OpenTime, candle.OpenPrice, candle.HighPrice, candle.LowPrice, candle.ClosePrice, candle.TotalVolume));
// добавляем новую свечу
var longValue = LongSma.Process(candle);
var shortValue = ShortSma.Process(candle);
// вычисляем новое положение относительно друг друга
var isShortLessThenLong = ShortSma.GetCurrentValue() < LongSma.GetCurrentValue();
// если произошло пересечение
if (_isShortLessThenLong != isShortLessThenLong)
{
// если короткая меньше чем длинная, то продажа, иначе, покупка.
var direction = isShortLessThenLong ? Sides.Sell : Sides.Buy;
// вычисляем размер для открытия или переворота позы
var volume = Position == 0 ? Volume : Position.Abs().Min(Volume) * 2;
if (!SafeGetConnector().RegisteredMarketDepths.Contains(Security))
{
var price = Security.GetMarketPrice(Connector, direction);
// регистрируем псевдо-маркетную заявку - лимитная заявка с ценой гарантирующей немедленное исполнение.
if (price != null)
{
RegisterOrder(this.CreateOrder(direction, price.Value, volume));
}
}
else
{
// регистрируем заявку (обычным способом - лимитированной заявкой)
RegisterOrder(this.CreateOrder(direction, (decimal)(Security.GetCurrentPrice(this, direction) ?? 0), volume));
// переворачиваем позицию через котирование
//var strategy = new MarketQuotingStrategy(direction, volume)
//{
// WaitAllTrades = true,
//};
//ChildStrategies.Add(strategy);
}
// запоминаем текущее положение относительно друг друга
_isShortLessThenLong = isShortLessThenLong;
}
var trade = _myTrades.FirstOrDefault();
_myTrades.Clear();
var dict = new Dictionary <IChartElement, object>
{
{ _candlesElem, candle },
{ _shortElem, shortValue },
{ _longElem, longValue },
{ _tradesElem, trade }
};
_chart.Draw(candle.OpenTime, dict);
}
