protected override void OnBarUpdate()
{
// Reset for every session
if (sessionIterator.IsNewSession(Time[0], false))
{
sessionIterator.GetNextSession(Time[0], false);
}
// Sometimes CurrentDayOHL is not initialized yet for new session. IDKW
if (CurrentDayOHL().CurrentHigh[0] == 0 || CurrentDayOHL().CurrentLow[0] == 0)
{
return;
}
MidPoint[0] = ((CurrentDayOHL().CurrentHigh[0] - CurrentDayOHL().CurrentLow[0]) / 2) + CurrentDayOHL().CurrentLow[0];
// Set brush to Transparent on first tick of new session
// to disconnect indicator plot between sesions. Plots are
// relative to current bar and last bar.
if (Bars.IsFirstBarOfSession && IsFirstTickOfBar)
{
PlotBrushes[0][0] = Brushes.Transparent;
}
// Draw line between start of session and first bar since the
// plot is set to transparent for the session disconnect effect
if (Bars.IsFirstBarOfSession)
{
RemoveDrawObject(Time[0].Date.ToString() + "mid");
Draw.Line(this, Time[0].Date.ToString() + "mid", true, sessionIterator.ActualSessionBegin, MidPoint[0], Time[0], MidPoint[0], Plots[0].Brush, Plots[0].DashStyleHelper, (int)Plots[0].Pen.Thickness);
}
}
protected override void OnDataPoint(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isBar, double bid, double ask)
{
if (SessionIterator == null)
{
SessionIterator = new SessionIterator(bars);
}
bool isNewSession = SessionIterator.IsNewSession(time, isBar);
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar);
}
if (bars.BarsPeriod.Value == 1)
{
AddBar(bars, open, high, low, close, time, volume, bid, ask);
}
else if (bars.Count == 0)
{
AddBar(bars, open, high, low, close, time, volume);
}
else if (bars.Count > 0 && (!bars.IsResetOnNewTradingDay || !isNewSession) && bars.BarsPeriod.Value > 1 && bars.TickCount < bars.BarsPeriod.Value)
{
UpdateBar(bars, high, low, close, time, volume);
}
else
{
AddBar(bars, open, high, low, close, time, volume);
}
}
private DateTime GetLastBarSessionDate(DateTime time, PivotRange pivotRange)
{
// Check the time[0] against the previous session end
if (time > cacheSessionEnd)
{
if (Bars.BarsType.IsIntraday)
{
// Make use of the stored session iterator to find the next session...
storedSession.GetNextSession(time, true);
// Store the actual session's end datetime as the session
cacheSessionEnd = storedSession.ActualSessionEnd;
// We need to convert that time from the session to the users time zone settings
sessionDateTmp = TimeZoneInfo.ConvertTime(cacheSessionEnd.AddSeconds(-1), Globals.GeneralOptions.TimeZoneInfo, Bars.TradingHours.TimeZoneInfo).Date;
}
else
{
sessionDateTmp = time.Date;
}
}
if (pivotRange == PivotRange.Daily)
{
if (sessionDateTmp != cacheSessionDate)
{
if (newSessionBarIdxArr.Count == 0 || newSessionBarIdxArr.Count > 0 && CurrentBar > newSessionBarIdxArr[newSessionBarIdxArr.Count - 1])
{
newSessionBarIdxArr.Add(CurrentBar);
}
cacheSessionDate = sessionDateTmp;
}
return(sessionDateTmp);
}
DateTime tmpWeeklyEndDate = RoundUpTimeToPeriodTime(sessionDateTmp, PivotRange.Weekly);
if (pivotRange == PivotRange.Weekly)
{
if (tmpWeeklyEndDate != cacheWeeklyEndDate)
{
if (newSessionBarIdxArr.Count == 0 || newSessionBarIdxArr.Count > 0 && CurrentBar > newSessionBarIdxArr[newSessionBarIdxArr.Count - 1])
{
newSessionBarIdxArr.Add(CurrentBar);
}
cacheWeeklyEndDate = tmpWeeklyEndDate;
}
return(tmpWeeklyEndDate);
}
DateTime tmpMonthlyEndDate = RoundUpTimeToPeriodTime(sessionDateTmp, PivotRange.Monthly);
if (tmpMonthlyEndDate != cacheMonthlyEndDate)
{
if (newSessionBarIdxArr.Count == 0 || newSessionBarIdxArr.Count > 0 && CurrentBar > newSessionBarIdxArr[newSessionBarIdxArr.Count - 1])
{
newSessionBarIdxArr.Add(CurrentBar);
}
cacheMonthlyEndDate = tmpMonthlyEndDate;
}
return(tmpMonthlyEndDate);
}
private DateTime TimeToBarTime(Bars bars, DateTime time, bool isBar)
{
if (SessionIterator.IsNewSession(time, isBar))
{
SessionIterator.GetNextSession(time, isBar);
}
if (bars.IsResetOnNewTradingDay || !bars.IsResetOnNewTradingDay && bars.Count == 0)
{
DateTime barTimeStamp = isBar
? SessionIterator.ActualSessionBegin.AddSeconds(Math.Ceiling(Math.Ceiling(Math.Max(0, time.Subtract(SessionIterator.ActualSessionBegin).TotalSeconds)) / bars.BarsPeriod.Value) * bars.BarsPeriod.Value)
: SessionIterator.ActualSessionBegin.AddSeconds(bars.BarsPeriod.Value + Math.Floor(Math.Floor(Math.Max(0, time.Subtract(SessionIterator.ActualSessionBegin).TotalSeconds)) / bars.BarsPeriod.Value) * bars.BarsPeriod.Value);
if (bars.TradingHours.Sessions.Count > 0 && barTimeStamp > SessionIterator.ActualSessionEnd) // Cut last bar in session down to session end on odd session end time
{
barTimeStamp = SessionIterator.ActualSessionEnd;
}
return(barTimeStamp);
}
else
{
DateTime lastBarTime = bars.GetTime(bars.Count - 1);
DateTime barTimeStamp = isBar
? lastBarTime.AddSeconds(Math.Ceiling(Math.Ceiling(Math.Max(0, time.Subtract(lastBarTime).TotalSeconds)) / bars.BarsPeriod.Value) * bars.BarsPeriod.Value)
: lastBarTime.AddSeconds(bars.BarsPeriod.Value + Math.Floor(Math.Floor(Math.Max(0, time.Subtract(lastBarTime).TotalSeconds)) / bars.BarsPeriod.Value) * bars.BarsPeriod.Value);
if (bars.TradingHours.Sessions.Count > 0 && barTimeStamp > SessionIterator.ActualSessionEnd)
{
DateTime saveActualSessionEnd = SessionIterator.ActualSessionEnd;
SessionIterator.GetNextSession(SessionIterator.ActualSessionEnd.AddSeconds(1), isBar);
barTimeStamp = SessionIterator.ActualSessionBegin.AddSeconds((int)barTimeStamp.Subtract(saveActualSessionEnd).TotalSeconds);
}
return(barTimeStamp);
}
}
public void RecalculateSession(DateTime time)
{
if (sessionIterator == null)
{
if (BarsArray != null)
{
sessionIterator = new SessionIterator(BarsArray[1]);
}
}
sessionIterator.GetNextSession(time, false);
}
protected override void OnDataPoint(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isBar, double bid, double ask)
{
if (SessionIterator == null)
{
SessionIterator = new SessionIterator(bars);
}
bool isNewSession = SessionIterator.IsNewSession(time, isBar);
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar);
}
long barsPeriodValue = bars.BarsPeriod.Value;
if (bars.Instrument.MasterInstrument.InstrumentType == InstrumentType.CryptoCurrency)
{
barsPeriodValue = Core.Globals.FromCryptocurrencyVolume(bars.BarsPeriod.Value);
}
if (bars.Count == 0)
{
while (volume > barsPeriodValue)
{
AddBar(bars, open, high, low, close, time, barsPeriodValue);
volume -= barsPeriodValue;
}
if (volume > 0)
{
AddBar(bars, open, high, low, close, time, volume);
}
}
else
{
long volumeTmp = 0;
if (!bars.IsResetOnNewTradingDay || !isNewSession)
{
volumeTmp = Math.Min(barsPeriodValue - bars.GetVolume(bars.Count - 1), volume);
if (volumeTmp > 0)
{
UpdateBar(bars, high, low, close, time, volumeTmp);
}
}
volumeTmp = volume - volumeTmp;
while (volumeTmp > 0)
{
AddBar(bars, open, high, low, close, time, Math.Min(volumeTmp, barsPeriodValue));
volumeTmp -= barsPeriodValue;
}
}
}
protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
{
// Workaround for market replay backfilling all of replay sessions data(as historical data)
// Replay should only backfill history up to replay time, so make sure any historical ticks
// are before the current replay time.
if ((Connection.PlaybackConnection != null) &&
(State == State.Historical) &&
(marketDataUpdate.Time >= Connection.PlaybackConnection.Now))
{
if (PrintDebug)
{
Print("Filter Hit - MarketDataEvent Time :" + marketDataUpdate.Time.ToString() +
" Playback Time: " + Connection.PlaybackConnection.Now.ToString() +
" Event Type: " + marketDataUpdate.MarketDataType +
" State: " + State);
}
return;
}
// Reset for every session
if (sessionIterator.IsNewSession(marketDataUpdate.Time, false))
{
if (PrintDebug)
{
Print("NewSession: " + marketDataUpdate.Time.ToString());
}
totalShares = 0;
totalDollars = 0;
sessionIterator.GetNextSession(marketDataUpdate.Time, false);
}
// Check session time
if (!sessionIterator.IsInSession(marketDataUpdate.Time, false, true))
{
return;
}
// Is this a trade(not bid or ask)
if (marketDataUpdate.MarketDataType == MarketDataType.Last)
{
totalShares += marketDataUpdate.Volume;
totalDollars += marketDataUpdate.Volume * marketDataUpdate.Price;
Vwap[0] = totalDollars / totalShares;
if (PrintDebug)
{
Print(marketDataUpdate.Time.ToString() + " Session total shares: " + totalShares.ToString() + " " + State);
}
}
}
private DateTime TimeToBarTimeSecond(Bars bars, DateTime time, bool isBar)
{
if (SessionIterator.IsNewSession(time, isBar))
{
SessionIterator.GetNextSession(time, isBar);
}
DateTime barTimeStamp = SessionIterator.ActualSessionBegin.AddSeconds(Math.Ceiling(Math.Ceiling(Math.Max(0, time.Subtract(SessionIterator.ActualSessionBegin).TotalSeconds)) / bars.BarsPeriod.BaseBarsPeriodValue) * bars.BarsPeriod.BaseBarsPeriodValue);
if (bars.TradingHours.Sessions.Count > 0 && barTimeStamp > SessionIterator.ActualSessionEnd)
{
barTimeStamp = SessionIterator.ActualSessionEnd <= Core.Globals.MinDate ? barTimeStamp : SessionIterator.ActualSessionEnd;
}
return(barTimeStamp);
}
private DateTime GetLastBarSessionDate(DateTime time)
{
if (time <= cacheSessionEnd)
{
return(sessionDateTmp);
}
if (!Bars.BarsType.IsIntraday)
{
return(sessionDateTmp);
}
storedSession.GetNextSession(time, true);
cacheSessionEnd = storedSession.ActualSessionEnd;
sessionDateTmp = TimeZoneInfo.ConvertTime(cacheSessionEnd.AddSeconds(-1), Globals.GeneralOptions.TimeZoneInfo, Bars.TradingHours.TimeZoneInfo).Date;
if (newSessionBarIdx.Count == 0 || newSessionBarIdx.Count > 0 && CurrentBar > newSessionBarIdx[newSessionBarIdx.Count - 1])
{
newSessionBarIdx.Add(CurrentBar);
}
return(sessionDateTmp);
}
protected override void OnDataPoint(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isBar, double bid, double ask)
{
if (SessionIterator == null)
{
SessionIterator = new SessionIterator(bars);
}
bool isNewSession = SessionIterator.IsNewSession(time, isBar);
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar);
}
if (bars.Count == 0 || bars.IsResetOnNewTradingDay && isNewSession)
{
AddBar(bars, open, high, low, close, time, volume);
}
else
{
double barClose = bars.GetClose(bars.Count - 1);
double barHigh = bars.GetHigh(bars.Count - 1);
double barLow = bars.GetLow(bars.Count - 1);
double tickSize = bars.Instrument.MasterInstrument.TickSize;
double rangeValue = Math.Floor(10000000.0 * bars.BarsPeriod.Value * tickSize) / 10000000.0;
if (close.ApproxCompare(barLow + rangeValue) > 0)
{
double newClose = barLow + rangeValue; // Every bar closes either with high or low
if (newClose.ApproxCompare(barClose) > 0)
{
UpdateBar(bars, newClose, barLow, newClose, time, 0);
}
// If there's still a gap, fill with phantom bars
double newBarOpen = newClose + tickSize;
while (close.ApproxCompare(newClose) > 0)
{
newClose = Math.Min(close, newBarOpen + rangeValue);
AddBar(bars, newBarOpen, newClose, newBarOpen, newClose, time, close.ApproxCompare(newClose) > 0 ? 0 : volume);
newBarOpen = newClose + tickSize;
}
}
else if ((barHigh - rangeValue).ApproxCompare(close) > 0)
{
double newClose = barHigh - rangeValue; // Every bar closes either with high or low
if (barClose.ApproxCompare(newClose) > 0)
{
UpdateBar(bars, barHigh, newClose, newClose, time, 0);
}
// if there's still a gap, fill with phantom bars
double newBarOpen = newClose - tickSize;
while (newClose.ApproxCompare(close) > 0)
{
newClose = Math.Max(close, newBarOpen - rangeValue);
AddBar(bars, newBarOpen, newBarOpen, newClose, newClose, time, newClose.ApproxCompare(close) > 0 ? 0 : volume);
newBarOpen = newClose - tickSize;
}
}
else
{
UpdateBar(bars, close > barHigh ? close : barHigh, close < barLow ? close : barLow, close, time, volume);
}
}
bars.LastPrice = close;
}
protected override void OnBarUpdate()
{
if (CurrentBars[0] < BarsRequiredToTrade || CurrentBars[1] < BarsRequiredToTrade)
{
return;
}
if (BarsInProgress == 0)
{
sessionIterator.GetNextSession(Time[0], true);
}
// if after the exit on close, prevent new orders until the new session
if (Times[1][0] >= sessionIterator.ActualSessionEnd.AddSeconds(-ExitOnSessionCloseSeconds) && Times[1][0] <= sessionIterator.ActualSessionEnd)
{
exitOnCloseWait = true;
}
// an exit on close occurred in the previous session, reset for a new entry on the first bar of a new session
if (exitOnCloseWait && Bars.IsFirstBarOfSession)
{
entryOrder = null;
profitTarget = null;
stopLoss = null;
exitFlat = null;
exitSession = null;
exitOnCloseWait = false;
}
// the entry logic can be done when the primary series is processing
if (BarsInProgress == 0)
{
// Reset the trade profitability counter every day and get the number of trades taken in total.
if (Bars.IsFirstBarOfSession && IsFirstTickOfBar)
{
InitializeTradeAccounting();
}
// because this is a demonstration, this code will cause any historical position
// to be exited on the last historical bar so the strategy will always start flat in real-time
if (State == State.Historical && CurrentBar == BarsArray[0].Count - 2)
{
if (entryOrder != null)
{
ExitToStartFlat();
}
}
// if this is not the last historical bar, and entryOrder is null, then place an entry order
//else if (!exitOnCloseWait && entryOrder == null && profitTarget == null && stopLoss == null)
else if (!exitOnCloseWait)
{
suppressOco = false;
entryOrder = placeHolderOrder;
ReversalTrade();
AfterLunchBollingerTrade();
PullbackTrade();
}
}
// all code below this point takes places during BarsInProgress 1 when the tick series is processing
if (BarsInProgress != 1)
{
return;
}
if (ordersCancelled)
{
message = string.Format("{0} | OBU | stop and/or target cancelled or rejected", Times[1][0]);
// if the orders were cancelled due to the exit on close, do not submit an order to flatten
if (!exitOnCloseWait && entryOrder != null && entryOrder.OrderState == OrderState.Filled)
{
ExitForCancel();
}
if (entryOrder == null || entryOrder.OrderState != OrderState.Filled)
{
Print(string.Format("{0} | OBU | entry not filled or is null", Times[1][0]));
}
ordersCancelled = false;
return;
}
// trailing logic
// the profitTarget/stopLoss is first created when the entry order fills. If it exists then move it.
// trigger the chase action when the current price is further than the set distance to the profit target
if (ChaseProfitTarget &&
profitTarget != null && (profitTarget.OrderState == OrderState.Accepted || profitTarget.OrderState == OrderState.Working) &&
Close[0] < currentPtPrice - ProfitTargetDistance * tickSizeSecondary)
{
// setting chase profit target
if (isLongTrade)
{
currentPtPrice = Close[0] + ProfitTargetDistance * tickSizeSecondary;
ExitLongLimit(1, true, entryOrder.Quantity, currentPtPrice, "profit target", entryOrder.Name);
}
else
{
currentPtPrice = Close[0] - ProfitTargetDistance * tickSizeSecondary;
ExitLongLimit(1, true, entryOrder.Quantity, currentPtPrice, "profit target", entryOrder.Name);
}
}
// trigger the trail action when the current price is further than the set distance to the stop loss
if (TrailStopLoss &&
stopLoss != null && (stopLoss.OrderState == OrderState.Accepted || stopLoss.OrderState == OrderState.Working) &&
Close[0] > currentSlPrice + StopLossDistance * tickSizeSecondary)
{
// setting trailing stop loss
if (isLongTrade)
{
currentSlPrice = Close[0] - StopLossDistance * tickSizeSecondary;
ExitLongStopMarket(1, true, entryOrder.Quantity, currentSlPrice, "stop loss", entryOrder.Name);
}
else
{
currentSlPrice = Close[0] + StopLossDistance * tickSizeSecondary;
ExitLongStopMarket(1, true, entryOrder.Quantity, currentSlPrice, "stop loss", entryOrder.Name);
}
}
}
protected override void OnBarUpdate()
{
if (CurrentBars[0] < BarsRequiredToTrade || CurrentBars[1] < BarsRequiredToTrade)
{
return;
}
if (BarsInProgress == 0)
{
if (CurrentBar == 0 || Bars.IsFirstBarOfSession)
{
sessionIterator.GetNextSession(Time[0], true);
}
// if after the exit on close time, prevent new orders until the new session
if (Times[1][0] >= sessionIterator.ActualSessionEnd.AddSeconds(-ExitOnSessionCloseSeconds) && Times[1][0] <= sessionIterator.ActualSessionEnd)
{
exitOnCloseWait = true;
}
// reset for a new entry on the first bar of a new session
else if (exitOnCloseWait && Bars.IsFirstBarOfSession)
{
exitOnCloseWait = false;
}
if (State == State.Historical && CurrentBar == BarsArray[0].Count - 2 && Position.MarketPosition == MarketPosition.Long)
{
ExitLong(1, 1, "exit to start flat", string.Empty);
}
else if (!exitOnCloseWait && Position.MarketPosition == MarketPosition.Flat)
{
// Reset the stop loss to the original distance when all positions are closed before placing a new entry
currentPtPrice = Close[0] + ProfitTargetDistance * TickSize;
currentSlPrice = Close[0] - StopLossDistance * TickSize;
if (UseProfitTarget)
{
SetProfitTarget(CalculationMode.Price, currentPtPrice);
}
if (UseStopLoss)
{
SetStopLoss(CalculationMode.Price, currentSlPrice);
}
Print(string.Format("ProfitChaseStopTrailSetMethodsExample:: tradeCount {0}", tradeCount++));
EnterLong(1, 1, string.Empty);
}
}
if (BarsInProgress == 1 && Position.MarketPosition == MarketPosition.Long)
{
if (UseProfitTarget && ChaseProfitTarget && Close[0] < currentPtPrice - ProfitTargetDistance * TickSize)
{
currentPtPrice = Close[0] + ProfitTargetDistance * TickSize;
SetProfitTarget(CalculationMode.Price, currentPtPrice);
}
if (UseStopLoss && TrailStopLoss && Close[0] > currentSlPrice + StopLossDistance * TickSize)
{
currentSlPrice = Close[0] - StopLossDistance * TickSize;
SetStopLoss(CalculationMode.Price, currentSlPrice);
}
}
}
protected override void OnBarUpdate()
{
//Print(Times[BarsInProgress][0]+" "+BarsInProgress);
if (isStartOfNewSessionRTH())
{
//Print("RTH "+Times[RTH][0]);
//Print(Times[BarsInProgress][0]+" "+BarsInProgress);
//Print(Times[ETH][0]+" session: "+ethSessionIterator.ActualSessionBegin+" "+CurrentBars[ETH]);
rthSessionIterator.GetNextSession(Times[RTH][0], false);
if (tpoProfile != null)
{
update(tpoProfile);
tpoProfiles.Add(tpoProfile);
}
tpoProfile = new JBTPOProfile(RTH, rthSessionIterator.ActualSessionBegin);
}
else if (isStartOfNewSessionETH())
{
//Print("ETH "+Times[ETH][0]);
//Print(Times[BarsInProgress][0]+" "+BarsInProgress);
//Print(Times[ETH][0]+" session: "+ethSessionIterator.ActualSessionBegin+" "+CurrentBars[ETH]);
ethSessionIterator.GetNextSession(Times[ETH][0], false);
if (tpoProfile != null)
{
update(tpoProfile);
tpoProfiles.Add(tpoProfile);
}
tpoProfile = new JBTPOProfile(ETH, ethSessionIterator.ActualSessionBegin);
}
if (BarsInProgress == RTH && CurrentBars[RTH] != activeBarRTH)
{
if (tpoProfile != null)
{
if (State == State.Realtime)
{
update(tpoProfile);
}
tpoId = (Times[RTH][0] - tpoProfile.sessionStart).TotalSeconds;
}
activeBarRTH = CurrentBars[RTH];
//Print("RTH TPO ID "+Times[RTH][0]+" "+rthTPOId);
}
else if (BarsInProgress == ETH && CurrentBars[ETH] != activeBarETH)
{
if (tpoProfile != null)
{
if (State == State.Realtime)
{
update(tpoProfile);
}
tpoId = (Times[ETH][0] - tpoProfile.sessionStart).TotalSeconds;
}
activeBarETH = CurrentBars[ETH];
//Print("ETH TPO ID "+Times[ETH][0]+" "+rthTPOId);
}
if (tpoProfile != null)
{
tpoProfile.add(Closes[BarsInProgress][0], tpoId);
}
}
protected override void OnDataPoint(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isBar, double bid, double ask)
{
if (SessionIterator == null)
{
SessionIterator = new SessionIterator(bars);
}
offset = bars.BarsPeriod.Value * bars.Instrument.MasterInstrument.TickSize;
bool isNewSession = SessionIterator.IsNewSession(time, isBar);
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar);
}
if (bars.Count == 0 || bars.IsResetOnNewTradingDay && isNewSession)
{
if (bars.Count > 0)
{
// Close out last bar in session and set open == close
double lastBarClose = bars.GetClose(bars.Count - 1);
DateTime lastBarTime = bars.GetTime(bars.Count - 1);
long lastBarVolume = bars.GetVolume(bars.Count - 1);
RemoveLastBar(bars);
AddBar(bars, lastBarClose, lastBarClose, lastBarClose, lastBarClose, lastBarTime, lastBarVolume);
}
renkoHigh = close + offset;
renkoLow = close - offset;
isNewSession = SessionIterator.IsNewSession(time, isBar);
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar);
}
AddBar(bars, close, close, close, close, time, volume);
bars.LastPrice = close;
return;
}
double barOpen = bars.GetOpen(bars.Count - 1);
double barHigh = bars.GetHigh(bars.Count - 1);
double barLow = bars.GetLow(bars.Count - 1);
long barVolume = bars.GetVolume(bars.Count - 1);
DateTime barTime = bars.GetTime(bars.Count - 1);
if (renkoHigh.ApproxCompare(0.0) == 0 || renkoLow.ApproxCompare(0.0) == 0)
{
if (bars.Count == 1)
{
renkoHigh = barOpen + offset;
renkoLow = barOpen - offset;
}
else if (bars.GetClose(bars.Count - 2) > bars.GetOpen(bars.Count - 2))
{
renkoHigh = bars.GetClose(bars.Count - 2) + offset;
renkoLow = bars.GetClose(bars.Count - 2) - offset * 2;
}
else
{
renkoHigh = bars.GetClose(bars.Count - 2) + offset * 2;
renkoLow = bars.GetClose(bars.Count - 2) - offset;
}
}
if (close.ApproxCompare(renkoHigh) >= 0)
{
if (barOpen.ApproxCompare(renkoHigh - offset) != 0 ||
barHigh.ApproxCompare(Math.Max(renkoHigh - offset, renkoHigh)) != 0 ||
barLow.ApproxCompare(Math.Min(renkoHigh - offset, renkoHigh)) != 0)
{
RemoveLastBar(bars);
AddBar(bars, renkoHigh - offset, Math.Max(renkoHigh - offset, renkoHigh), Math.Min(renkoHigh - offset, renkoHigh), renkoHigh, barTime, barVolume);
}
renkoLow = renkoHigh - 2.0 * offset;
renkoHigh = renkoHigh + offset;
isNewSession = SessionIterator.IsNewSession(time, isBar);
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar);
}
while (close.ApproxCompare(renkoHigh) >= 0) // Add empty bars to fill gap if price jumps
{
AddBar(bars, renkoHigh - offset, Math.Max(renkoHigh - offset, renkoHigh), Math.Min(renkoHigh - offset, renkoHigh), renkoHigh, time, 0);
renkoLow = renkoHigh - 2.0 * offset;
renkoHigh = renkoHigh + offset;
}
// Add final partial bar
AddBar(bars, renkoHigh - offset, Math.Max(renkoHigh - offset, close), Math.Min(renkoHigh - offset, close), close, time, volume);
}
else
if (close.ApproxCompare(renkoLow) <= 0)
{
if (barOpen.ApproxCompare(renkoLow + offset) != 0 ||
barHigh.ApproxCompare(Math.Max(renkoLow + offset, renkoLow)) != 0 ||
barLow.ApproxCompare(Math.Min(renkoLow + offset, renkoLow)) != 0)
{
RemoveLastBar(bars);
AddBar(bars, renkoLow + offset, Math.Max(renkoLow + offset, renkoLow), Math.Min(renkoLow + offset, renkoLow), renkoLow, barTime, barVolume);
}
renkoHigh = renkoLow + 2.0 * offset;
renkoLow = renkoLow - offset;
isNewSession = SessionIterator.IsNewSession(time, isBar);
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar);
}
while (close.ApproxCompare(renkoLow) <= 0) // Add empty bars to fill gap if price jumps
{
AddBar(bars, renkoLow + offset, Math.Max(renkoLow + offset, renkoLow), Math.Min(renkoLow + offset, renkoLow), renkoLow, time, 0);
renkoHigh = renkoLow + 2.0 * offset;
renkoLow = renkoLow - offset;
}
// Add final partial bar
AddBar(bars, renkoLow + offset, Math.Max(renkoLow + offset, close), Math.Min(renkoLow + offset, close), close, time, volume);
}
else
{
UpdateBar(bars, close, close, close, time, volume);
}
bars.LastPrice = close;
}
protected override void OnDataPoint(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isBar, double bid, double ask)
{
if (SessionIterator == null)
{
SessionIterator = new SessionIterator(bars);
}
double haClose = 0.0;
double haHigh = 0.0;
double haLow = 0.0;
double haOpen = 0.0;
switch (BarsPeriod.BaseBarsPeriodType)
{
case BarsPeriodType.Day:
{
if (bars.Count == 0)
{
if (isBar || bars.TradingHours.Sessions.Count == 0)
{
AddBar(bars, open, high, low, close, time.Date, volume);
}
else
{
SessionIterator.CalculateTradingDay(time, false);
AddBar(bars, open, high, low, close, SessionIterator.ActualTradingDayExchange, volume);
}
}
else
{
DateTime barTime;
if (isBar)
{
barTime = time.Date;
}
else
{
if (bars.TradingHours.Sessions.Count > 0 && SessionIterator.IsNewSession(time, false))
{
SessionIterator.CalculateTradingDay(time, false);
barTime = SessionIterator.ActualTradingDayExchange;
if (barTime < bars.LastBarTime.Date)
{
barTime = bars.LastBarTime.Date; // Make sure timestamps are ascending
}
}
else
{
barTime = bars.LastBarTime.Date; // Make sure timestamps are ascending
}
}
if (bars.DayCount < bars.BarsPeriod.BaseBarsPeriodValue ||
isBar && bars.Count > 0 && barTime == bars.LastBarTime.Date ||
!isBar && bars.Count > 0 && barTime <= bars.LastBarTime.Date)
{
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, bars.GetOpen(bars.Count - 1)));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, bars.GetOpen(bars.Count - 1)));
UpdateBar(bars, haHigh, haLow, haClose, barTime, volume);
}
else
{
haOpen = bars.Instrument.MasterInstrument.RoundToTickSize((bars.GetOpen(bars.Count - 1) + bars.GetClose(bars.Count - 1)) / 2.0);
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, haOpen));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, haOpen));
AddBar(bars, haOpen, haHigh, haLow, haClose, barTime, volume);
}
}
break;
}
case BarsPeriodType.Minute:
{
if (bars.Count == 0)
{
AddBar(bars, open, high, low, close, TimeToBarTimeMinute(bars, time, isBar), volume);
}
else if (!isBar && time < bars.LastBarTime)
{
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, bars.GetOpen(bars.Count - 1)));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, bars.GetOpen(bars.Count - 1)));
UpdateBar(bars, haHigh, haLow, haClose, bars.LastBarTime, volume);
}
else if (isBar && time <= bars.LastBarTime)
{
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, bars.GetOpen(bars.Count - 1)));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, bars.GetOpen(bars.Count - 1)));
UpdateBar(bars, haHigh, haLow, haClose, bars.LastBarTime, volume);
}
else
{
haOpen = bars.Instrument.MasterInstrument.RoundToTickSize((bars.GetOpen(bars.Count - 1) + bars.GetClose(bars.Count - 1)) / 2.0);
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, haOpen));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, haOpen));
time = TimeToBarTimeMinute(bars, time, isBar);
AddBar(bars, haOpen, haHigh, haLow, haClose, time, volume);
}
break;
}
case BarsPeriodType.Month:
{
if (bars.Count == 0)
{
AddBar(bars, open, high, low, close, TimeToBarTimeMonth(time, bars.BarsPeriod.BaseBarsPeriodValue), volume);
}
else if (time.Month <= bars.LastBarTime.Month && time.Year == bars.LastBarTime.Year || time.Year < bars.LastBarTime.Year)
{
if (high.ApproxCompare(bars.GetHigh(bars.Count - 1)) != 0 || low.ApproxCompare(bars.GetLow(bars.Count - 1)) != 0 || close.ApproxCompare(bars.GetClose(bars.Count - 1)) != 0 || volume > 0)
{
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, bars.GetOpen(bars.Count - 1)));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, bars.GetOpen(bars.Count - 1)));
UpdateBar(bars, haHigh, haLow, haClose, bars.LastBarTime, volume);
}
}
else
{
haOpen = bars.Instrument.MasterInstrument.RoundToTickSize((bars.GetOpen(bars.Count - 1) + bars.GetClose(bars.Count - 1)) / 2.0);
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, haOpen));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, haOpen));
AddBar(bars, haOpen, haHigh, haLow, haClose, TimeToBarTimeMonth(time, bars.BarsPeriod.BaseBarsPeriodValue), volume);
}
break;
}
case BarsPeriodType.Second:
{
if (bars.Count == 0)
{
DateTime barTime = TimeToBarTimeSecond(bars, time, isBar);
AddBar(bars, open, high, low, close, barTime, volume);
}
else
{
if (bars.BarsPeriod.BaseBarsPeriodValue > 1 && time < bars.LastBarTime || bars.BarsPeriod.BaseBarsPeriodValue == 1 && time <= bars.LastBarTime)
{
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, bars.GetOpen(bars.Count - 1)));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, bars.GetOpen(bars.Count - 1)));
UpdateBar(bars, haHigh, haLow, haClose, bars.LastBarTime, volume);
}
else
{
haOpen = bars.Instrument.MasterInstrument.RoundToTickSize((bars.GetOpen(bars.Count - 1) + bars.GetClose(bars.Count - 1)) / 2.0);
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, haOpen));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, haOpen));
time = TimeToBarTimeSecond(bars, time, isBar);
AddBar(bars, haOpen, haHigh, haLow, haClose, time, volume);
}
}
break;
}
case BarsPeriodType.Tick:
{
bool isNewSession = SessionIterator.IsNewSession(time, isBar);
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar);
}
if (bars.BarsPeriod.BaseBarsPeriodValue == 1)
{
haOpen = haOpen.ApproxCompare(0.0) == 0 ? open : (haOpen + haClose) / 2.0;
haClose = haClose.ApproxCompare(0.0) == 0 ? close : bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, haOpen));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, haOpen));
AddBar(bars, haOpen, haHigh, haLow, haClose, time, volume);
}
else if (bars.Count == 0)
{
AddBar(bars, open, high, low, close, time, volume);
}
else if (bars.Count > 0 && (!isNewSession || !bars.IsResetOnNewTradingDay) && bars.BarsPeriod.BaseBarsPeriodValue > 1 && bars.TickCount < bars.BarsPeriod.BaseBarsPeriodValue)
{
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, bars.GetOpen(bars.Count - 1)));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, bars.GetOpen(bars.Count - 1)));
UpdateBar(bars, haHigh, haLow, haClose, time, volume);
}
else
{
haOpen = bars.Instrument.MasterInstrument.RoundToTickSize((bars.GetOpen(bars.Count - 1) + bars.GetClose(bars.Count - 1)) / 2.0);
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, haOpen));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, haOpen));
AddBar(bars, haOpen, haHigh, haLow, haClose, time, volume);
}
break;
}
case BarsPeriodType.Volume:
{
if (bars.Count == 0)
{
while (volume > bars.BarsPeriod.BaseBarsPeriodValue)
{
haOpen = haOpen.ApproxCompare(0.0) == 0 ? open : (haOpen + haClose) / 2.0;
haClose = haClose.ApproxCompare(0) == 0 ? close : bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, haOpen));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, haOpen));
AddBar(bars, haOpen, haHigh, haLow, haClose, time, bars.BarsPeriod.BaseBarsPeriodValue);
volume -= bars.BarsPeriod.BaseBarsPeriodValue;
}
if (volume > 0)
{
haOpen = haOpen.ApproxCompare(0.0) == 0 ? open : bars.Instrument.MasterInstrument.RoundToTickSize((haOpen + haClose) / 2.0);
haClose = haClose.ApproxCompare(0.0) == 0 ? close : bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, haOpen));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, haOpen));
AddBar(bars, haOpen, haHigh, haLow, haClose, time, volume);
}
}
else
{
long volumeTmp = 0;
bool isNewSession = SessionIterator.IsNewSession(time, isBar);
if (!bars.IsResetOnNewTradingDay || !isNewSession)
{
volumeTmp = Math.Min(bars.BarsPeriod.BaseBarsPeriodValue - bars.GetVolume(bars.Count - 1), volume);
if (volumeTmp > 0)
{
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, bars.GetOpen(bars.Count - 1)));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, bars.GetOpen(bars.Count - 1)));
UpdateBar(bars, haHigh, haLow, haClose, time, volumeTmp);
}
}
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar);
}
volumeTmp = volume - volumeTmp;
while (volumeTmp > 0)
{
haOpen = bars.Instrument.MasterInstrument.RoundToTickSize((bars.GetOpen(bars.Count - 1) + bars.GetClose(bars.Count - 1)) / 2.0);
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, haOpen));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, haOpen));
AddBar(bars, haOpen, haHigh, haLow, haClose, time, Math.Min(volumeTmp, bars.BarsPeriod.BaseBarsPeriodValue));
volumeTmp -= bars.BarsPeriod.BaseBarsPeriodValue;
}
}
break;
}
case BarsPeriodType.Week:
{
if (bars.Count == 0)
{
AddBar(bars, open, high, low, close, TimeToBarTimeWeek(time, time.AddDays(6 - ((int)time.DayOfWeek + 1) % 7 + (bars.BarsPeriod.BaseBarsPeriodValue - 1) * 7), bars.BarsPeriod.BaseBarsPeriodValue), volume);
}
else if (time.Date <= bars.LastBarTime.Date)
{
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, bars.GetOpen(bars.Count - 1)));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, bars.GetOpen(bars.Count - 1)));
UpdateBar(bars, haHigh, haLow, haClose, bars.LastBarTime, volume);
}
else
{
haOpen = bars.Instrument.MasterInstrument.RoundToTickSize((bars.GetOpen(bars.Count - 1) + bars.GetClose(bars.Count - 1)) / 2.0);
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, haOpen));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, haOpen));
AddBar(bars, haOpen, haHigh, haLow, haClose, TimeToBarTimeWeek(time.Date, bars.LastBarTime.Date, bars.BarsPeriod.BaseBarsPeriodValue), volume);
}
break;
}
case BarsPeriodType.Year:
{
if (bars.Count == 0)
{
AddBar(bars, open, high, low, close, TimeToBarTimeYear(time, bars.BarsPeriod.BaseBarsPeriodValue), volume);
}
else
{
if (time.Year <= bars.LastBarTime.Year)
{
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, bars.GetOpen(bars.Count - 1)));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, bars.GetOpen(bars.Count - 1)));
UpdateBar(bars, haHigh, haLow, haClose, bars.LastBarTime, volume);
}
else
{
haOpen = bars.Instrument.MasterInstrument.RoundToTickSize((bars.GetOpen(bars.Count - 1) + bars.GetClose(bars.Count - 1)) / 2.0);
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, haOpen));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, haOpen));
AddBar(bars, haOpen, haHigh, haLow, haClose, TimeToBarTimeYear(time.Date, bars.BarsPeriod.BaseBarsPeriodValue), volume);
}
}
break;
}
}
bars.LastPrice = haClose;
}
protected override void OnDataPoint(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isBar, double bid, double ask)
{
if (SessionIterator == null)
{
SessionIterator = new SessionIterator(bars);
}
bool isNewSession = SessionIterator.IsNewSession(time, isBar);
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar);
}
#region Building Bars from Base Period
if (bars.Count != tmpCount) // Reset cache when bars are trimmed
{
if (bars.Count == 0)
{
tmpTime = Core.Globals.MinDate;
tmpVolume = 0;
tmpDayCount = 0;
tmpTickCount = 0;
}
else
{
tmpTime = bars.GetTime(bars.Count - 1);
tmpVolume = bars.GetVolume(bars.Count - 1);
tmpTickCount = bars.TickCount;
tmpDayCount = bars.DayCount;
bars.LastPrice = anchorPrice = bars.GetClose(bars.Count - 1);
}
}
switch (BarsPeriod.BaseBarsPeriodType)
{
case BarsPeriodType.Day:
tmpTime = time.Date;
if (!isBar)
{
tmpDayCount++;
if (tmpTime < time.Date)
{
tmpTime = time.Date; // Make sure timestamps are ascending
}
}
if (isBar && prevTimeD != tmpTime)
{
tmpDayCount++;
}
if (isBar && bars.Count > 0 && tmpTime == bars.LastBarTime.Date ||
!isBar && bars.Count > 0 && tmpTime <= bars.LastBarTime.Date ||
tmpDayCount < BarsPeriod.BaseBarsPeriodValue)
{
endOfBar = false;
}
else
{
prevTime = prevTimeD == Core.Globals.MinDate ? tmpTime : prevTimeD;
prevTimeD = tmpTime;
endOfBar = true;
}
break;
case BarsPeriodType.Minute:
if (tmpTime == Core.Globals.MinDate)
{
prevTime = tmpTime = TimeToBarTimeMinute(bars, time, isBar);
}
if (isBar && time <= tmpTime || !isBar && time < tmpTime)
{
endOfBar = false;
}
else
{
prevTime = tmpTime;
tmpTime = TimeToBarTimeMinute(bars, time, isBar);
endOfBar = true;
}
break;
case BarsPeriodType.Volume:
if (tmpTime == Core.Globals.MinDate)
{
tmpVolume = volume;
endOfBar = tmpVolume >= BarsPeriod.BaseBarsPeriodValue;
prevTime = tmpTime = time;
if (endOfBar)
{
tmpVolume = 0;
}
break;
}
tmpVolume += volume;
endOfBar = tmpVolume >= BarsPeriod.BaseBarsPeriodValue;
if (endOfBar)
{
prevTime = tmpTime;
tmpVolume = 0;
tmpTime = time;
}
break;
case BarsPeriodType.Month:
if (tmpTime == Core.Globals.MinDate)
{
prevTime = tmpTime = TimeToBarTimeMonth(time, BarsPeriod.BaseBarsPeriodValue);
}
if (time.Month <= tmpTime.Month && time.Year == tmpTime.Year || time.Year < tmpTime.Year)
{
endOfBar = false;
}
else
{
prevTime = tmpTime;
endOfBar = true;
tmpTime = TimeToBarTimeMonth(time, BarsPeriod.BaseBarsPeriodValue);
}
break;
case BarsPeriodType.Second:
if (tmpTime == Core.Globals.MinDate)
{
prevTime = tmpTime = TimeToBarTimeSecond(bars, time, isBar);
}
if (time <= tmpTime)
{
endOfBar = false;
}
else
{
prevTime = tmpTime;
tmpTime = TimeToBarTimeSecond(bars, time, isBar);
endOfBar = true;
}
break;
case BarsPeriodType.Tick:
if (tmpTime == Core.Globals.MinDate || BarsPeriod.BaseBarsPeriodValue == 1)
{
prevTime = tmpTime;
if (prevTime == Core.Globals.MinDate)
{
prevTime = time;
}
tmpTime = time;
endOfBar = BarsPeriod.BaseBarsPeriodValue == 1;
break;
}
if (tmpTickCount < BarsPeriod.BaseBarsPeriodValue)
{
tmpTime = time;
endOfBar = false;
tmpTickCount++;
}
else
{
prevTime = tmpTime;
tmpTime = time;
endOfBar = true;
tmpTickCount = 1;
}
break;
case BarsPeriodType.Week:
if (tmpTime == Core.Globals.MinDate)
{
prevTime = tmpTime = TimeToBarTimeWeek(time.Date, tmpTime.Date, BarsPeriod.BaseBarsPeriodValue);
}
if (time.Date <= tmpTime.Date)
{
endOfBar = false;
}
else
{
prevTime = tmpTime;
endOfBar = true;
tmpTime = TimeToBarTimeWeek(time.Date, tmpTime.Date, BarsPeriod.BaseBarsPeriodValue);
}
break;
case BarsPeriodType.Year:
if (tmpTime == Core.Globals.MinDate)
{
prevTime = tmpTime = TimeToBarTimeYear(time, BarsPeriod.BaseBarsPeriodValue);
}
if (time.Year <= tmpTime.Year)
{
endOfBar = false;
}
else
{
prevTime = tmpTime;
endOfBar = true;
tmpTime = TimeToBarTimeYear(time, BarsPeriod.BaseBarsPeriodValue);
}
break;
}
#endregion
#region P&F logic
double tickSize = bars.Instrument.MasterInstrument.TickSize;
boxSize = Math.Floor(10000000.0 * BarsPeriod.Value * tickSize) / 10000000.0;
reversalSize = BarsPeriod.Value2 * boxSize;
if (bars.Count == 0 || IsIntraday && bars.IsResetOnNewTradingDay && isNewSession)
{
if (bars.Count > 0)
{
double lastHigh = bars.GetHigh(bars.Count - 1);
double lastLow = bars.GetLow(bars.Count - 1);
double lastClose = bars.GetClose(bars.Count - 1);
DateTime lastTime = bars.GetTime(bars.Count - 1);
bars.LastPrice = anchorPrice = lastClose;
if (bars.Count == tmpCount)
{
CalculatePfBar(bars, lastHigh, lastLow, lastClose, prevTime == Core.Globals.MinDate ? time : prevTime, lastTime);
}
}
AddBar(bars, close, close, close, close, tmpTime, volume);
anchorPrice = close;
trend = Trend.Undetermined;
prevTime = tmpTime;
volumeCount = 0;
bars.LastPrice = close;
tmpCount = bars.Count;
tmpHigh = high;
tmpLow = low;
return;
}
double c = bars.GetClose(bars.Count - 1);
double h = bars.GetHigh(bars.Count - 1);
double l = bars.GetLow(bars.Count - 1);
DateTime t = bars.GetTime(bars.Count - 1);
if (endOfBar)
{
CalculatePfBar(bars, h, l, c, prevTime, t);
volumeCount = volume;
tmpHigh = high;
tmpLow = low;
}
else
{
tmpHigh = high > tmpHigh ? high : tmpHigh;
tmpLow = low < tmpLow ? low : tmpLow;
volumeCount += volume;
}
bars.LastPrice = close;
tmpCount = bars.Count;
#endregion
}
protected override void OnDataPoint(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isBar, double bid, double ask)
{
double lastBarClose = bars.GetClose(bars.Count - 1); // Trae el último precio de cierre
if (SessionIterator == null)
{
SessionIterator = new SessionIterator(bars);
}
offset = bars.BarsPeriod.Value * bars.Instrument.MasterInstrument.TickSize; // Periocidad * tick (Tamaño de la caja)
bool isNewSession = SessionIterator.IsNewSession(time, isBar);
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar);
}
// Si es una gráfica nueva o una sesión nueva y está en un nuevo día
if (bars.Count == 0 || bars.IsResetOnNewTradingDay && isNewSession)
{
// una sesión nueva y está en un nuevo día
if (bars.Count > 0)
{
// Close out last bar in session and set open == close
DateTime lastBarTime = bars.GetTime(bars.Count - 1); // Trae la última fecha del precio de cierre
long lastBarVolume = bars.GetVolume(bars.Count - 1); // Trae el último volumen de precio de cierre
RemoveLastBar(bars); // Elimina la última barra
AddBar(bars, lastBarClose, lastBarClose, lastBarClose, lastBarClose, lastBarTime, lastBarVolume); // Crea una nueva barra con la información obtenida
}
renkoHigh = close + offset; // Suma el valor de cierre y tamaño de la caja
renkoLow = close - offset; // Diferencia del valor de cierre y el tamaño de la caja
// ¿Hay un nuevo precio negociado?
isNewSession = SessionIterator.IsNewSession(time, isBar);
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar); // Entonces traiga el último precio
}
// Pinte el último precio negociado
AddBar(bars, close, close, close, close, time, volume);
bars.LastPrice = close;
return;
}
double barOpen = bars.GetOpen(bars.Count - 1); // Obtiene el valor de apertura de la última barra
double barHigh = bars.GetHigh(bars.Count - 1); // Obtiene el valor más alto negociado de la última barra
double barLow = bars.GetLow(bars.Count - 1); // Obtiene el valor más bajo negociado de la última barra
long barVolume = bars.GetVolume(bars.Count - 1); // Obtiene el volumen de la última barra
DateTime barTime = bars.GetTime(bars.Count - 1); // Obtiene la fecha de la última barra
// renkoHigh == 0 || renkoLow == 0
// ApproxCompare: Compares two double or float values for equality or being greater than / less than the compared to value.
if (renkoHigh.ApproxCompare(0.0) == 0 || renkoLow.ApproxCompare(0.0) == 0)
{
if (bars.Count == 1)
{
renkoHigh = barOpen + offset; // suma = valor de apertura de la última barra + el tamaño de la caja
renkoLow = barOpen - offset; // diferencia = valor de apertura de la última barra - el tamaño de la caja
}
// Penultimo valor de cierre es mayor al penultimo valor de apertura?
else if (bars.GetClose(bars.Count - 2) > bars.GetOpen(bars.Count - 2))
{
renkoHigh = bars.GetClose(bars.Count - 2) + offset; // Suma tamaño de la caja + el penultimo valor de cierre
renkoLow = bars.GetClose(bars.Count - 2) - offset * 2; // Resta el doble del tamaño de la caja - el penultimo valor de cierre
}
else
{
renkoHigh = bars.GetClose(bars.Count - 2) + offset * 2; // Suma el doble tamaño de la caja + el penultimo valor de cierre
renkoLow = bars.GetClose(bars.Count - 2) - offset; // Resta el tamaño de la caja - el penultimo valor de cierre
}
}
bool isRail2Rail = false;
// Hay cambio de tendencia hacia bajista?
if (close <= (renkoHigh))
{
// Elimina la barra de Update
RemoveLastBar(bars);
// Agrega la nueva barra con los nuevos valores
renkoLow = renkoHigh - 2.0 * offset; // RenkoHigh - el doble del tamaño de la caja
renkoHigh = renkoHigh + offset; // Renkohigh + el tamaño de la caja
// Agrega barra alcista
//AddBar(bars, _renkoLow - offset, Math.Max(_renkoLow - offset, _renkoLow), Math.Min(_renkoLow - offset, _renkoLow), _renkoLow, barTime, barVolume);
//AddBar(bars, _renkoHigh + offset, Math.Max(_renkoHigh + offset, _renkoHigh), Math.Min(_renkoHigh + offset, _renkoHigh), _renkoHigh, barTime, barVolume);
//AddBar(Bars bars, double open, double high, double low, double close, DateTime time, long volume)
//Barra de una gráfica bajista
AddBar(bars, renkoLow + offset, Math.Max(renkoLow + offset, renkoLow), Math.Min(renkoLow + offset, renkoLow), renkoLow, barTime, barVolume);
isRail2Rail = true;
}
//bool isRail2Rail = false;
// Hay cambio de tendencia hacia alcista?
if (close >= (renkoLow))
{
// Elimina la barra la barra de Update
RemoveLastBar(bars);
// Agrega la nueva barra con los nuevos valores
// Original
//AddBar(bars, renkoLow + offset, Math.Max(renkoLow + offset, renkoLow), Math.Min(renkoLow + offset, renkoLow), renkoLow, barTime, barVolume);
// Bajista
renkoHigh = renkoLow + 2.0 * offset; // RenkoLow - el doble del tamaño de la caja
renkoLow = renkoLow - offset; // RenkoLow - el tamaño de la caja
//AddBar(bars, _renkoHigh + offset, Math.Max(_renkoHigh + offset, _renkoHigh), Math.Min(_renkoHigh + offset, _renkoHigh), _renkoHigh, barTime, barVolume);
//AddBar(bars, _renkoLow - offset, Math.Max(_renkoLow - offset, _renkoLow), Math.Min(_renkoLow - offset, _renkoLow), _renkoLow, barTime, barVolume);
//Barra de gráfica alcista
AddBar(bars, renkoHigh - offset, Math.Max(renkoHigh - offset, renkoHigh), Math.Min(renkoHigh - offset, renkoHigh), renkoHigh, barTime, barVolume);
isRail2Rail = true;
}
// el precio de cierre es mayor renkohigh?
// [DETECTA COMPORTAMIENTO ALCISTA]
if (close.ApproxCompare(renkoHigh) >= 0)
{
/* if (trend != 0 && trend != 1) {
* // Elimina la barra de Update
* RemoveLastBar(bars);
*
* // Agrega la nueva barra con los nuevos valores
* var _renkoLow = renkoHigh - 1.0 * offset; // RenkoHigh - el doble del tamaño de la caja
* var _renkoHigh = renkoHigh + offset; // Renkohigh + el tamaño de la caja
* // Agrega barra alcista
* AddBar(bars, _renkoLow - offset, Math.Max(_renkoLow - offset, _renkoLow), Math.Min(_renkoLow - offset, _renkoLow), _renkoLow, barTime, barVolume);
*
* isRail2Rail = true;
* } */
// (1) Obtiene el valor mayor entre renkoHigh y, renkoHigh - tamaño de la caja
// (2) Si el valor de x es igual a y entonces retorna 0
// Si el valor de x es mayor a y entonces retorna 1
// Si el valor de x es menor a y entonces retorna -1
if (barOpen.ApproxCompare(renkoHigh - offset) != 0 || // valor de apertura de la (última barra - el tamño de la caja) es mayor o menor a barOpen?
barHigh.ApproxCompare(Math.Max(renkoHigh - offset, renkoHigh)) != 0 || // Es barHigh mayor o menor a (1)?
barLow.ApproxCompare(Math.Min(renkoHigh - offset, renkoHigh)) != 0) // Es barLow mayor o menor a (1)?
{
// No hubo cambio de tendencia
if (!isRail2Rail)
{
// Elimina la última barra de Update
RemoveLastBar(bars);
}
// Agrega una barra nueva con los nuevos valores
// Alcista
AddBar(bars, renkoHigh - offset, Math.Max(renkoHigh - offset, renkoHigh), Math.Min(renkoHigh - offset, renkoHigh), renkoHigh, barTime, barVolume);
}
renkoLow = renkoHigh - 2.0 * offset; // RenkoHigh - el doble del tamaño de la caja
renkoHigh = renkoHigh + offset; // Renkohigh + el tamaño de la caja
// ¿Hay un nuevo valor negociado?
isNewSession = SessionIterator.IsNewSession(time, isBar);
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar); // Obtiene el último valor negociado
}
// Agrega barras vacías para llenar el gap si el precio salta
while (close.ApproxCompare(renkoHigh) >= 0)
{
AddBar(bars, renkoHigh - offset, Math.Max(renkoHigh - offset, renkoHigh), Math.Min(renkoHigh - offset, renkoHigh), renkoHigh, time, 0);
renkoLow = renkoHigh - 2.0 * offset;
renkoHigh = renkoHigh + offset;
}
// Agrega la barra final parcial
AddBar(bars, renkoHigh - offset, Math.Max(renkoHigh - offset, close), Math.Min(renkoHigh - offset, close), close, time, volume);
trend = 1;
}
// el precio de cierre es menor o igual a renkohigh?
// El precio de cierre es menor o igual al renkolow
// [DETECTA COMPORTAMIENTO BAJISTA]
else if (close.ApproxCompare(renkoLow) <= 0)
{
/* if (trend != 0 && trend != -1) {
* // Elimina la barra la barra de Update
* RemoveLastBar(bars);
* // Agrega la nueva barra con los nuevos valores
* // Original
* //AddBar(bars, renkoLow + offset, Math.Max(renkoLow + offset, renkoLow), Math.Min(renkoLow + offset, renkoLow), renkoLow, barTime, barVolume);
* // Bajista
* var _renkoHigh = renkoLow + 1.0 * offset; // RenkoLow - el doble del tamaño de la caja
* var _renkoLow = renkoLow - offset; // RenkoLow - el tamaño de la caja
* AddBar(bars, _renkoHigh + offset, Math.Max(_renkoHigh + offset, _renkoHigh), Math.Min(_renkoHigh + offset, _renkoHigh), _renkoHigh, barTime, barVolume);
* isRail2Rail = true;
* } */
// (1) Obtiene el valor mayor entre renkoLow y, renkoLow + tamaño de la caja
// (2) Si el valor de x es igual a y entonces retorna 0
// Si el valor de x es mayor a y entonces retorna 1
// Si el valor de x es menor a y entonces retorna -1
if (barOpen.ApproxCompare(renkoLow + offset) != 0 || // Valor de apertura de (renkolow + el tamaño de la caja) es mayor o menor a barOpen?
barHigh.ApproxCompare(Math.Max(renkoLow + offset, renkoLow)) != 0 || // Es barHigh mayor o menor a (1)?
barLow.ApproxCompare(Math.Min(renkoLow + offset, renkoLow)) != 0) // Es barlow mayor o menor a (1)?
{
// TODO: Validar si la condición cambia, si si, entonces no elimine la última barra
if (!isRail2Rail)
{
// Elimine la barra de Update
RemoveLastBar(bars);
}
// Agrega la nueva barra con los nuevos valores
// AddBar(Bars bars, double open, double high, double low, double close, DateTime time, long volume)
//Bajista
AddBar(bars, renkoLow + offset, Math.Max(renkoLow + offset, renkoLow), Math.Min(renkoLow + offset, renkoLow), renkoLow, barTime, barVolume);
}
renkoHigh = renkoLow + 2.0 * offset; // RenkoLow - el doble del tamaño de la caja
renkoLow = renkoLow - offset; // RenkoLow - el tamaño de la caja
// ¿Hay un nuevo valor negociado?
isNewSession = SessionIterator.IsNewSession(time, isBar);
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar); // Obtiene el último valor negociado
}
// Agrega barras vacías para llenar el gap si el precio salta
while (close.ApproxCompare(renkoLow) <= 0)
{
AddBar(bars, renkoLow + offset, Math.Max(renkoLow + offset, renkoLow), Math.Min(renkoLow + offset, renkoLow), renkoLow, time, 0);
renkoHigh = renkoLow + 2.0 * offset;
renkoLow = renkoLow - offset;
}
// Agrega la barra final parcial
AddBar(bars, renkoLow + offset, Math.Max(renkoLow + offset, close), Math.Min(renkoLow + offset, close), close, time, volume);
trend = -1;
}
// El precio de cierre mayor al renkolow
else
{
// Actualiza la barra
UpdateBar(bars, close, close, close, time, volume);
}
// El último precio el valor de cierre
bars.LastPrice = close;
}
protected override void OnBarUpdate()
{
if (CurrentBars[0] < BarsRequiredToTrade || CurrentBars[1] < BarsRequiredToTrade)
{
return;
}
if (BarsInProgress == 0)
{
sessionIterator.GetNextSession(Time[0], true);
}
// if after the exit on close, prevent new orders until the new session
if (Times[1][0] >= sessionIterator.ActualSessionEnd.AddSeconds(-ExitOnSessionCloseSeconds) && Times[1][0] <= sessionIterator.ActualSessionEnd)
{
exitOnCloseWait = true;
}
// an exit on close occurred in the previous session, reset for a new entry on the first bar of a new session
if (exitOnCloseWait && Bars.IsFirstBarOfSession)
{
entryOrder = null;
profitTarget = null;
stopLoss = null;
exitFlat = null;
exitSession = null;
exitOnCloseWait = false;
suppressCancelExit = false;
}
// the entry logic can be done when the primary series is processing
if (BarsInProgress == 0)
{
// because this is a demonstration, this code will cause any historical position
// to be exited on the last historical bar so the strategy will always start flat in real-time
if (State == State.Historical && CurrentBar == BarsArray[0].Count - 2)
{
if (entryOrder != null)
{
if (profitTarget != null && (profitTarget.OrderState == OrderState.Accepted || profitTarget.OrderState == OrderState.Working))
{
CancelOrder(profitTarget);
}
else if (stopLoss != null && (stopLoss.OrderState == OrderState.Accepted || stopLoss.OrderState == OrderState.Working))
{
CancelOrder(stopLoss);
}
ordersCancelled = false;
suppressCancelExit = true;
exitName = "exit to start flat";
exitFlat = placeHolderOrder;
SubmitOrderUnmanaged(1, OrderAction.Sell, OrderType.Market, 1, 0, 0, string.Empty, exitName);
}
}
// if this is not the last historical bar, and entryOrder is null, then place an entry order
else if (!exitOnCloseWait && entryOrder == null && profitTarget == null && stopLoss == null)
{
Print(string.Format("ProfitChaseStopTrailUnmanagedExample:: tradeCount {0}", tradeCount++));
entryName = "entry";
entryOrder = placeHolderOrder;
SubmitOrderUnmanaged(1, OrderAction.Buy, OrderType.Market, 1, 0, 0, string.Empty, entryName);
}
}
// all code below this point takes places during BarsInProgress 1 when the secondary series is processing
if (BarsInProgress != 1)
{
return;
}
if (ordersCancelled)
{
message = string.Format("{0} stop and/or target cancelled or rejected", Times[1][0]);
if (entryOrder == null || entryOrder.OrderState != OrderState.Filled && PrintDetails)
{
Print(string.Format("{0} | OBU | entry not filled or is null", Times[1][0]));
}
// if the orders were cancelled due to the exit on close, do not submit an order to flatten
if (!exitOnCloseWait && !suppressCancelExit && entryOrder != null && entryOrder.OrderState == OrderState.Filled)
{
message += "; exiting and resetting";
if (PrintDetails)
{
Print(message);
}
exitName = "exit for cancel";
exitFlat = placeHolderOrder;
SubmitOrderUnmanaged(1, OrderAction.Sell, OrderType.Market, entryOrder.Filled, 0, 0, string.Empty, exitName);
}
ordersCancelled = false;
return;
}
// the profitTarget/stopLoss is first created when the entry order fills. If it exists then move it.
// trigger the chase action when the current price is further than the set distance to the profit target
if (ChaseProfitTarget &&
profitTarget != null && (profitTarget.OrderState == OrderState.Accepted || profitTarget.OrderState == OrderState.Working) &&
Close[0] < currentPtPrice - ProfitTargetDistance * tickSizeSecondary)
{
currentPtPrice = Close[0] + ProfitTargetDistance * tickSizeSecondary;
ChangeOrder(profitTarget, entryOrder.Filled, currentPtPrice, 0);
}
// trigger the trail action when the current price is further than the set distance to the stop loss
if (TrailStopLoss &&
stopLoss != null && (stopLoss.OrderState == OrderState.Accepted || stopLoss.OrderState == OrderState.Working) &&
Close[0] > currentSlPrice + StopLossDistance * tickSizeSecondary)
{
currentSlPrice = Close[0] - ProfitTargetDistance * tickSizeSecondary;
ChangeOrder(stopLoss, entryOrder.Filled, 0, currentSlPrice);
}
}
protected override void OnDataPoint(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isBar, double bid, double ask)
{
// method variables
bool isNewSession = SessionIterator.IsNewSession(time, isBar);
double tickSize = bars.Instrument.MasterInstrument.TickSize;
if (SessionIterator == null)
{
SessionIterator = new SessionIterator(bars);
}
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar);
}
if (bars.Count == 0 || (bars.IsResetOnNewTradingDay && isNewSession))
{
// update fields
rangeMax = AddTwoDoubles(bars, bars.BarsPeriod.BaseBarsPeriodValue * tickSize, 0);
rangeMin = AddTwoDoubles(bars, bars.BarsPeriod.Value * tickSize, 0);
// set initial range, factoring dynamic
thisRange = isDynamic ? rangeMin : rangeMax;
AdjustMaxMin(bars, close, close);
// add first bar
AddBar(bars, thisOpen, thisOpen, thisOpen, thisOpen, time, volume);
}
else
{
// local variables
double barOpen = bars.GetOpen(bars.Count - 1);
double barHigh = bars.GetHigh(bars.Count - 1);
double barLow = bars.GetLow(bars.Count - 1);
int maxCompare = bars.Instrument.MasterInstrument.Compare(close, thisMax);
int minCompare = bars.Instrument.MasterInstrument.Compare(close, thisMin);
double thisClose = maxCompare > 0 ? Math.Min(close, thisMax) : minCompare < 0 ? Math.Max(close, thisMin) : close;
// range exceeded; create new bar(s)
if (maxCompare > 0 || minCompare < 0)
{
// local variables
bool newBar = true;
// update bias
prevBias = thisBias;
thisBias = close > barOpen ? 1 : close < barOpen ? -1 : 0;
// close current bar; volume included for on-touch only
// see this post for more info on volume calculation: http://www.ninjatrader.com/support/forum/showthread.php?p=302208#post302208
UpdateBar(bars, (maxCompare > 0 ? thisClose : barHigh), (minCompare < 0 ? thisClose : barLow), thisClose, time, 0);
// add next bar and loop phantom bars, if needed
do
{
// update thisRange for dynamic
if (isDynamic)
{
// increment range for same bias, if range has not exceeded max
if ((thisBias == prevBias || prevBias == 0) && thisRange < rangeMax)
{
thisRange = AddTwoDoubles(bars, thisRange, tickSize);
}
// increment range after trend change (will only fire once)
else if (thisBias != prevBias && prevBias != 0)
{
thisRange = AddTwoDoubles(bars, rangeMin, tickSize);
}
// ensure valid range
thisRange = Math.Min(thisRange, rangeMax);
}
// update fields
AdjustMaxMin(bars, thisClose, close);
thisClose = (maxCompare > 0) ? Math.Min(close, thisMax) : (minCompare < 0) ? Math.Max(close, thisMin) : close;
// add new bar; include volume once (except for on-touch), then create phantom bars
// see this post for more info on volume calculation: http://www.ninjatrader.com/support/forum/showthread.php?p=302208#post302208
AddBar(bars, thisOpen, (maxCompare > 0 ? thisClose : thisOpen), (minCompare < 0 ? thisClose : thisOpen), thisClose, time, (newBar ? volume : 0));
newBar = false;
// update fields
maxCompare = bars.Instrument.MasterInstrument.Compare(close, thisMax);
minCompare = bars.Instrument.MasterInstrument.Compare(close, thisMin);
}while (maxCompare > 0 || minCompare < 0);
}
else
{
UpdateBar(bars, (close > barHigh ? close : barHigh), (close < barLow ? close : barLow), close, time, volume);
}
}
bars.LastPrice = close;
}
protected override void OnDataPoint(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isBar, double bid, double ask)
{
if (SessionIterator == null)
{
SessionIterator = new SessionIterator(bars);
}
if (bars.Count == 0 && tmpTime != Core.Globals.MinDate) // Reset caching when live request trimmed existing bars
{
tmpTime = Core.Globals.MinDate;
}
bool endOfBar = true;
if (tmpTime == Core.Globals.MinDate)
{
tmpTime = time;
tmpDayCount = 1;
tmpTickCount = 1;
}
else if (bars.Count < tmpCount && bars.Count == 0) // Reset cache when bars are trimmed
{
tmpTime = Core.Globals.MinDate;
tmpVolume = 0;
tmpDayCount = 0;
tmpTickCount = 0;
}
else if (bars.Count < tmpCount && bars.Count > 0) // Reset cache when bars are trimmed
{
tmpTime = bars.GetTime(bars.Count - 1);
tmpVolume = bars.GetVolume(bars.Count - 1);
tmpTickCount = bars.TickCount;
tmpDayCount = bars.DayCount;
}
switch (BarsPeriod.BaseBarsPeriodType)
{
case BarsPeriodType.Day:
{
if (bars.Count == 0 || bars.Count > 0 && (bars.LastBarTime.Month < time.Month || bars.LastBarTime.Year < time.Year))
{
tmpTime = time.Date;
bars.LastPrice = close;
newSession = true;
}
else
{
tmpTime = time.Date;
tmpVolume += volume;
bars.LastPrice = close;
tmpDayCount++;
if (tmpDayCount < BarsPeriod.BaseBarsPeriodValue || bars.Count > 0 && bars.LastBarTime.Date == time.Date)
{
endOfBar = false;
}
}
break;
}
case BarsPeriodType.Minute:
{
if (bars.Count == 0 || SessionIterator.IsNewSession(time, isBar) && bars.IsResetOnNewTradingDay)
{
tmpTime = TimeToBarTimeMinute(bars, time, isBar);
newSession = true;
tmpVolume = 0;
}
else
{
if (!isBar && time < bars.LastBarTime || isBar && time <= bars.LastBarTime)
{
tmpTime = bars.LastBarTime;
endOfBar = false;
}
else
{
tmpTime = TimeToBarTimeMinute(bars, time, isBar);
}
tmpVolume += volume;
}
break;
}
case BarsPeriodType.Month:
{
if (tmpTime == Core.Globals.MinDate)
{
tmpTime = TimeToBarTimeMonth(time, BarsPeriod.BaseBarsPeriodValue);
if (bars.Count == 0)
{
break;
}
endOfBar = false;
}
else if (time.Month <= tmpTime.Month && time.Year == tmpTime.Year || time.Year < tmpTime.Year)
{
tmpVolume += volume;
bars.LastPrice = close;
endOfBar = false;
}
break;
}
case BarsPeriodType.Second:
{
if (SessionIterator.IsNewSession(time, isBar))
{
tmpTime = TimeToBarTimeSecond(bars, time, isBar);
if (bars.Count == 0)
{
break;
}
endOfBar = false;
newSession = true;
}
else if (time <= tmpTime)
{
tmpVolume += volume;
bars.LastPrice = close;
endOfBar = false;
}
else
{
tmpTime = TimeToBarTimeSecond(bars, time, isBar);
}
break;
}
case BarsPeriodType.Tick:
{
if (SessionIterator.IsNewSession(time, isBar))
{
SessionIterator.GetNextSession(time, isBar);
newSession = true;
tmpTime = time;
tmpTickCount = 1;
if (bars.Count == 0)
{
break;
}
endOfBar = false;
}
else if (BarsPeriod.BaseBarsPeriodValue > 1 && tmpTickCount < BarsPeriod.BaseBarsPeriodValue)
{
tmpTime = time;
tmpVolume += volume;
tmpTickCount++;
bars.LastPrice = close;
endOfBar = false;
}
else
{
tmpTime = time;
}
break;
}
case BarsPeriodType.Volume:
{
if (SessionIterator.IsNewSession(time, isBar))
{
SessionIterator.GetNextSession(time, isBar);
newSession = true;
}
else if (bars.Count == 0 && volume > 0)
{
break;
}
else
{
tmpVolume += volume;
if (tmpVolume < BarsPeriod.BaseBarsPeriodValue)
{
bars.LastPrice = close;
endOfBar = false;
}
else if (tmpVolume == 0)
{
endOfBar = false;
}
}
tmpTime = time;
break;
}
case BarsPeriodType.Week:
{
if (tmpTime == Core.Globals.MinDate)
{
tmpTime = TimeToBarTimeWeek(time.Date, tmpTime.Date, BarsPeriod.BaseBarsPeriodValue);
if (bars.Count == 0)
{
break;
}
endOfBar = false;
}
else if (time.Date <= tmpTime.Date)
{
tmpVolume += volume;
bars.LastPrice = close;
endOfBar = false;
}
break;
}
case BarsPeriodType.Year:
{
if (tmpTime == Core.Globals.MinDate)
{
tmpTime = TimeToBarTimeYear(time, BarsPeriod.BaseBarsPeriodValue);
if (bars.Count == 0)
{
break;
}
endOfBar = false;
}
else if (time.Year <= tmpTime.Year)
{
tmpVolume += volume;
bars.LastPrice = close;
endOfBar = false;
}
break;
}
}
if (bars.Count > 0 && tmpTime < bars.GetTime(bars.Count - 1) && BarsPeriod.BaseBarsPeriodType == BarsPeriodType.Second)
{
tmpTime = bars.GetTime(bars.Count - 1);
}
if (bars.Count == 0 || newSession && IsIntraday)
{
AddBar(bars, open, close, close, close, tmpTime, volume);
upTrend = open < close;
newSessionIdx = bars.Count - 1;
newSession = false;
firstBarOfSession = true;
anchorPrice = close;
switchPrice = open;
}
else if (firstBarOfSession && endOfBar == false)
{
double prevOpen = bars.GetOpen(bars.Count - 1);
RemoveLastBar(bars);
if (SessionIterator.IsNewSession(tmpTime, true))
{
SessionIterator.GetNextSession(tmpTime, true);
}
AddBar(bars, prevOpen, close, close, close, tmpTime, tmpVolume);
upTrend = prevOpen < close;
anchorPrice = close;
}
else
{
int breakCount = BarsPeriod.Value;
double breakMax = double.MinValue;
double breakMin = double.MaxValue;
if (firstBarOfSession)
{
AddBar(bars, anchorPrice, close, close, close, tmpTime, volume);
firstBarOfSession = false;
tmpVolume = volume;
tmpTime = Core.Globals.MinDate;
return;
}
if (bars.Count - newSessionIdx - 1 < breakCount)
{
breakCount = bars.Count - (newSessionIdx + 1);
}
for (int k = 1; k <= breakCount; k++)
{
breakMax = Math.Max(breakMax, bars.GetOpen(bars.Count - k - 1));
breakMax = Math.Max(breakMax, bars.GetClose(bars.Count - k - 1));
breakMin = Math.Min(breakMin, bars.GetOpen(bars.Count - k - 1));
breakMin = Math.Min(breakMin, bars.GetClose(bars.Count - k - 1));
}
bars.LastPrice = close;
if (upTrend)
{
if (endOfBar)
{
bool adding = false;
if (bars.Instrument.MasterInstrument.Compare(bars.GetClose(bars.Count - 1), anchorPrice) > 0)
{
anchorPrice = bars.GetClose(bars.Count - 1);
switchPrice = bars.GetOpen(bars.Count - 1);
tmpVolume = volume;
adding = true;
}
else
if (bars.Instrument.MasterInstrument.Compare(breakMin, bars.GetClose(bars.Count - 1)) > 0)
{
anchorPrice = bars.GetClose(bars.Count - 1);
switchPrice = bars.GetOpen(bars.Count - 1);
tmpVolume = volume;
upTrend = false;
adding = true;
}
if (adding)
{
double tmpOpen = upTrend ? Math.Min(Math.Max(switchPrice, close), anchorPrice) : Math.Max(Math.Min(switchPrice, close), anchorPrice);
AddBar(bars, tmpOpen, close, close, close, tmpTime, volume);
}
else
{
RemoveLastBar(bars);
double tmpOpen = Math.Min(Math.Max(switchPrice, close), anchorPrice);
if (SessionIterator.IsNewSession(tmpTime, true))
{
SessionIterator.GetNextSession(tmpTime, true);
}
AddBar(bars, tmpOpen, close, close, close, tmpTime, tmpVolume);
}
}
else
{
RemoveLastBar(bars);
double tmpOpen = Math.Min(Math.Max(switchPrice, close), anchorPrice);
if (SessionIterator.IsNewSession(tmpTime, true))
{
SessionIterator.GetNextSession(tmpTime, true);
}
AddBar(bars, tmpOpen, close, close, close, tmpTime, tmpVolume);
}
}
else
if (endOfBar)
{
bool adding = false;
if (bars.Instrument.MasterInstrument.Compare(bars.GetClose(bars.Count - 1), anchorPrice) < 0)
{
anchorPrice = bars.GetClose(bars.Count - 1);
switchPrice = bars.GetOpen(bars.Count - 1);
tmpVolume = volume;
adding = true;
}
else
if (bars.Instrument.MasterInstrument.Compare(breakMax, bars.GetClose(bars.Count - 1)) < 0)
{
anchorPrice = bars.GetClose(bars.Count - 1);
switchPrice = bars.GetOpen(bars.Count - 1);
tmpVolume = volume;
upTrend = true;
adding = true;
}
if (adding)
{
double tmpOpen = upTrend ? Math.Min(Math.Max(switchPrice, close), anchorPrice) : Math.Max(Math.Min(switchPrice, close), anchorPrice);
AddBar(bars, tmpOpen, close, close, close, tmpTime, volume);
}
else
{
RemoveLastBar(bars);
double tmpOpen = Math.Max(Math.Min(switchPrice, close), anchorPrice);
if (SessionIterator.IsNewSession(tmpTime, true))
{
SessionIterator.GetNextSession(tmpTime, true);
}
AddBar(bars, tmpOpen, close, close, close, tmpTime, tmpVolume);
}
}
else
{
RemoveLastBar(bars);
double tmpOpen = Math.Max(Math.Min(switchPrice, close), anchorPrice);
if (SessionIterator.IsNewSession(tmpTime, true))
{
SessionIterator.GetNextSession(tmpTime, true);
}
AddBar(bars, tmpOpen, close, close, close, tmpTime, tmpVolume);
}
}
if (endOfBar)
{
tmpTime = Core.Globals.MinDate;
}
tmpCount = bars.Count;
}
protected override void OnMarketData(MarketDataEventArgs e)
{
if (!initDone)
{
return;
}
if (e.MarketDataType == MarketDataType.Settlement && BarsInProgress == 0)
{
settlement = e.Price;
if (CurrentBars[0] > 1)
{
DrawSettlementRay("SETTLEM " + e.Time.ToString("MMM dd"), Times[0][1], settlement, Times[0][0], SettlementColor);
}
return;
}
if (e.MarketDataType == MarketDataType.Last)
{
if (isStartOfNewSessionRTH())
{
// Print(e.Time+" "+BarsInProgress+" "+BarsArray[RTH].IsFirstBarOfSession);
if (tpoProfile != null)
{
update(tpoProfile);
tpoProfiles.Add(tpoProfile);
}
rthSessionIterator.GetNextSession(e.Time, false);
tpoProfile = new JBTPOProfile(RTH, rthSessionIterator.ActualSessionBegin, rthSessionIterator.ActualSessionEnd);
// Print("SESSION - "+tpoProfile.sessionStart+" - "+tpoProfile.sessionEnd);
}
if (isStartOfNewSessionETH())
{
//Print(e.Time+" "+BarsInProgress+" "+BarsArray[ETH].IsFirstBarOfSession);
if (tpoProfile != null)
{
update(tpoProfile);
tpoProfiles.Add(tpoProfile);
}
ethSessionIterator.GetNextSession(e.Time, false);
tpoProfile = new JBTPOProfile(ETH, ethSessionIterator.ActualSessionBegin, ethSessionIterator.ActualSessionEnd);
// Print("SESSION - "+tpoProfile.sessionStart+" - "+tpoProfile.sessionEnd);
}
if (BarsInProgress == RTH && CurrentBars[RTH] != activeBarRTH)
{
tpoId = (Times[RTH][0] - tpoProfile.sessionStart).TotalSeconds;
activeBarRTH = CurrentBars[RTH];
}
else if (BarsInProgress == ETH && CurrentBars[ETH] != activeBarETH)
{
tpoId = (Times[ETH][0] - tpoProfile.sessionStart).TotalSeconds;
activeBarETH = CurrentBars[ETH];
}
if ((BarsInProgress == RTH || BarsInProgress == ETH) && tpoProfile != null)
{
//Print(e.Time+" "+e.Price);
if (e.Time >= tpoProfile.sessionStart && e.Time < tpoProfile.sessionEnd)
{
tpoProfile.add(e.Price, tpoId);
}
}
else if (BarsInProgress == 0 && CurrentBars[0] != activeBar)
{
if (tpoProfile != null)
{
update(tpoProfile);
}
activeBar = CurrentBars[0];
}
}
}
protected override void OnDataPoint(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isBar, double bid, double ask)
{
if (SessionIterator == null)
{
SessionIterator = new SessionIterator(bars);
}
#region Building Bars from Base Period
if (bars.Count != tmpCount) // Reset cache when bars are trimmed
{
if (bars.Count == 0)
{
tmpTime = Core.Globals.MinDate;
tmpVolume = 0;
tmpDayCount = 0;
tmpTickCount = 0;
}
else
{
tmpTime = bars.GetTime(bars.Count - 1);
tmpVolume = bars.GetVolume(bars.Count - 1);
tmpTickCount = bars.TickCount;
tmpDayCount = bars.DayCount;
bars.LastPrice = bars.GetClose(bars.Count - 1);
anchorPrice = bars.LastPrice;
}
}
bool isNewSession = SessionIterator.IsNewSession(time, isBar);
bool isCalculateTradingDayDone = false;
switch (bars.BarsPeriod.BaseBarsPeriodType)
{
case BarsPeriodType.Day:
tmpTime = time.Date; // Will be modified for realtime only
if (!isBar && time >= cacheSessionEnd /* on realtime includesEndTimeStamp is always false */)
{
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar);
isCalculateTradingDayDone = true;
}
cacheSessionEnd = SessionIterator.ActualSessionEnd;
if (tmpTime < time.Date)
{
tmpTime = time.Date; // Make sure timestamps are ascending
}
}
if (prevTime != tmpTime)
{
tmpDayCount++;
}
if (tmpDayCount < bars.BarsPeriod.BaseBarsPeriodValue ||
isBar && bars.Count > 0 && tmpTime == bars.LastBarTime.Date ||
!isBar && bars.Count > 0 && tmpTime <= bars.LastBarTime.Date)
{
endOfBar = false;
}
else
{
prevTime = tmpTime;
endOfBar = true;
}
break;
case BarsPeriodType.Minute:
if (tmpTime == Core.Globals.MinDate)
{
prevTime = tmpTime = TimeToBarTimeMinute(bars, time, isBar);
}
if (isBar && time <= tmpTime || !isBar && time < tmpTime)
{
endOfBar = false;
}
else
{
prevTime = tmpTime;
tmpTime = TimeToBarTimeMinute(bars, time, isBar);
endOfBar = true;
}
break;
case BarsPeriodType.Volume:
if (tmpTime == Core.Globals.MinDate)
{
tmpVolume = volume;
endOfBar = tmpVolume >= bars.BarsPeriod.BaseBarsPeriodValue;
prevTime = tmpTime = time;
if (endOfBar)
{
tmpVolume = 0;
}
break;
}
tmpVolume += volume;
endOfBar = tmpVolume >= bars.BarsPeriod.BaseBarsPeriodValue;
if (endOfBar)
{
prevTime = tmpTime;
tmpVolume = 0;
}
tmpTime = time;
break;
case BarsPeriodType.Tick:
if (tmpTime == Core.Globals.MinDate || bars.BarsPeriod.BaseBarsPeriodValue == 1)
{
prevTime = tmpTime == Core.Globals.MinDate ? time : tmpTime;
tmpTime = time;
tmpTickCount = bars.BarsPeriod.BaseBarsPeriodValue == 1 ? 0 : 1;
endOfBar = bars.BarsPeriod.BaseBarsPeriodValue == 1;
break;
}
if (tmpTickCount < bars.BarsPeriod.BaseBarsPeriodValue)
{
tmpTime = time;
endOfBar = false;
tmpTickCount++;
}
else
{
prevTime = tmpTime;
tmpTime = time;
endOfBar = true;
tmpTickCount = 1;
}
break;
case BarsPeriodType.Month:
if (tmpTime == Core.Globals.MinDate)
{
prevTime = tmpTime = TimeToBarTimeMonth(time, bars.BarsPeriod.BaseBarsPeriodValue);
}
if (time.Month <= tmpTime.Month && time.Year == tmpTime.Year || time.Year < tmpTime.Year)
{
endOfBar = false;
}
else
{
prevTime = tmpTime;
endOfBar = true;
tmpTime = TimeToBarTimeMonth(time, bars.BarsPeriod.BaseBarsPeriodValue);
}
break;
case BarsPeriodType.Second:
if (tmpTime == Core.Globals.MinDate)
{
prevTime = tmpTime = TimeToBarTimeSecond(bars, time, isBar);
}
if (bars.BarsPeriod.BaseBarsPeriodValue > 1 && time < tmpTime || bars.BarsPeriod.BaseBarsPeriodValue == 1 && time <= tmpTime)
{
endOfBar = false;
}
else
{
prevTime = tmpTime;
tmpTime = TimeToBarTimeSecond(bars, time, isBar);
endOfBar = true;
}
break;
case BarsPeriodType.Week:
if (tmpTime == Core.Globals.MinDate)
{
prevTime = tmpTime = TimeToBarTimeWeek(time.Date, tmpTime.Date, bars.BarsPeriod.BaseBarsPeriodValue);
}
if (time.Date <= tmpTime.Date)
{
endOfBar = false;
}
else
{
prevTime = tmpTime;
endOfBar = true;
tmpTime = TimeToBarTimeWeek(time.Date, tmpTime.Date, bars.BarsPeriod.BaseBarsPeriodValue);
}
break;
case BarsPeriodType.Year:
if (tmpTime == Core.Globals.MinDate)
{
prevTime = tmpTime = TimeToBarTimeYear(time, bars.BarsPeriod.Value);
}
if (time.Year <= tmpTime.Year)
{
endOfBar = false;
}
else
{
prevTime = tmpTime;
endOfBar = true;
tmpTime = TimeToBarTimeYear(time, bars.BarsPeriod.Value);
}
break;
}
#endregion
#region Kagi Logic
reversalPoint = bars.BarsPeriod.ReversalType == ReversalType.Tick ? bars.BarsPeriod.Value * bars.Instrument.MasterInstrument.TickSize : bars.BarsPeriod.Value / 100.0 * anchorPrice;
if (bars.Count == 0 || IsIntraday && (bars.BarsPeriod.BaseBarsPeriodType != BarsPeriodType.Second && bars.IsResetOnNewTradingDay && isNewSession ||
bars.BarsPeriod.BaseBarsPeriodType == BarsPeriodType.Second && bars.IsResetOnNewTradingDay && isNewSession))
{
if (isNewSession && !isCalculateTradingDayDone)
{
SessionIterator.GetNextSession(tmpTime, isBar);
}
if (bars.Count > 0)
{
double lastOpen = bars.GetOpen(bars.Count - 1);
double lastHigh = bars.GetHigh(bars.Count - 1);
double lastLow = bars.GetLow(bars.Count - 1);
double lastClose = bars.GetClose(bars.Count - 1);
if (bars.Count == tmpCount)
{
CalculateKagiBar(bars, lastOpen, lastHigh, lastLow, lastClose, prevTime, volume);
}
}
AddBar(bars, close, close, close, close, tmpTime, volume);
anchorPrice = close;
trend = Trend.Undetermined;
prevTime = tmpTime;
volumeCount = 0;
bars.LastPrice = close;
tmpCount = bars.Count;
return;
}
double c = bars.GetClose(bars.Count - 1);
double o = bars.GetOpen(bars.Count - 1);
double h = bars.GetHigh(bars.Count - 1);
double l = bars.GetLow(bars.Count - 1);
if (endOfBar)
{
CalculateKagiBar(bars, o, h, l, c, prevTime, volume);
}
else
{
volumeCount += volume;
}
bars.LastPrice = close;
tmpCount = bars.Count;
#endregion
}
protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
{
// Workaround for market replay sending out all of replay sessions data(as historical data)
// Replay should only backfill history up to replay time, so make sure any historical ticks
// are before the current replay time.
// this code to OnBar and set for on price change notifications for better performance once
// this bug is resolved
if ((Connection.PlaybackConnection != null) &&
(State == State.Historical) &&
(marketDataUpdate.Time >= Connection.PlaybackConnection.Now))
{
return;
}
bool redrawHigh = false;
bool redrawLow = false;
// Reset for every session
if (sessionIterator.IsNewSession(marketDataUpdate.Time, true))
{
orHigh = Double.MinValue;
orLow = Double.MaxValue;
sessionIterator.GetNextSession(marketDataUpdate.Time, true);
renderEndTime = sessionIterator.ActualSessionEnd;
orCutoffTime = sessionIterator.ActualSessionBegin.AddSeconds(CutoffSeconds);
rendered = false;
orComplete = false;
}
if (orComplete)
{
return;
}
// Check session time
if (!sessionIterator.IsInSession(marketDataUpdate.Time, false, true))
{
return;
}
// keep track of high low
if (marketDataUpdate.MarketDataType == MarketDataType.Last)
{
if (!orComplete && (marketDataUpdate.Time <= orCutoffTime))
{
redrawHigh = false;
if (marketDataUpdate.Price > orHigh)
{
orHigh = marketDataUpdate.Price;
orHighDateTime = marketDataUpdate.Time;
redrawHigh = true;
Values[0][0] = orHigh;
}
redrawLow = false;
if (marketDataUpdate.Price < orLow)
{
orLow = marketDataUpdate.Price;
orLowDateTime = marketDataUpdate.Time;
redrawLow = true;
Values[1][0] = orLow;
}
if (redrawHigh)
{
RemoveDrawObject(marketDataUpdate.Time.Date.ToString() + "or_high");
Draw.Line(this, marketDataUpdate.Time.Date.ToString() + "or_high", true, orHighDateTime, orHigh, renderEndTime, orHigh, HighBrush, DashStyleHelper.Dot, HighBrushWidth);
}
if (redrawLow)
{
RemoveDrawObject(marketDataUpdate.Time.Date.ToString() + "or_low");
Draw.Line(this, marketDataUpdate.Time.Date.ToString() + "or_low", true, orLowDateTime, orLow, renderEndTime, orLow, LowBrush, DashStyleHelper.Dot, LowBrushWidth);
}
}
// On first tick past cutoff time mark opening range calc complete and
// draw the hi and low lines across the entire sesson.
if ((marketDataUpdate.Time > orCutoffTime) && !orComplete)
{
orComplete = true;
RemoveDrawObject(marketDataUpdate.Time.Date.ToString() + "or_high");
Draw.Line(this, marketDataUpdate.Time.Date.ToString() + "or_high", true, orHighDateTime, orHigh, renderEndTime, orHigh, HighBrush, DashStyleHelper.Solid, HighBrushWidth);
RemoveDrawObject(marketDataUpdate.Time.Date.ToString() + "or_low");
Draw.Line(this, marketDataUpdate.Time.Date.ToString() + "or_low", true, orLowDateTime, orLow, renderEndTime, orLow, LowBrush, DashStyleHelper.Solid, LowBrushWidth);
// Go back to first bar and Set all the high and low plot
// values for the day so databox works for indicator
for (int x = 0; x < Bars.BarsSinceNewTradingDay; x++)
{
Values[0][x] = orHigh;
Values[1][x] = orLow;
}
}
}
}