/// <summary>
///
/// </summary>
/// <param name="side"></param>
/// <param name="retracement"></param>
/// <returns></returns>
protected virtual Tuple <double, double, double> GetOrderPrices(double spread, string side, Thrust thrust)
{
double entryPrice, stopLossPrice;
FibonacciRetracement retracement = (FibonacciRetracement)thrust.Study;
if (side == MACC.Constants.SignalSide.Buy)
{
entryPrice = retracement.LevelPrice(FibonacciLevel.R382) + (0.75 * spread);
stopLossPrice = retracement.LevelPrice(FibonacciLevel.R618) - (0.75 * spread);
if (thrust.FillZoneReached() && thrust.TakeProfitZoneReached())
{
stopLossPrice = retracement.LevelPrice(FibonacciLevel.R500) - (0.75 * spread);
}
}
else
{
entryPrice = retracement.LevelPrice(FibonacciLevel.R382) - (0.75 * spread);
stopLossPrice = retracement.LevelPrice(FibonacciLevel.R618) + (0.75 * spread);
if (thrust.FillZoneReached() && thrust.TakeProfitZoneReached())
{
stopLossPrice = retracement.LevelPrice(FibonacciLevel.R500) + (0.75 * spread);
}
}
int multiplier = side == MACC.Constants.SignalSide.Buy ? 1 : -1;
double r382Price = retracement.LevelPrice(FibonacciLevel.R382);
double takeProfitPrice = r382Price + (0.618 * Math.Abs(retracement.FocusPrice - r382Price) * multiplier);
var orderPrices = Tuple.Create <double, double, double>(entryPrice, stopLossPrice, takeProfitPrice);
return(orderPrices);
}
protected virtual Thrust SetThrustFillZoneReached(Chart chart, Thrust thrust)
{
// if already set, exit.
if (thrust.FillZoneReached())
{
return(thrust);
}
#region did price reach the fill zone?
List <Frame> afterFocusFrames = chart.Frames.Skip(GetFocusIndex(chart, thrust) + 1).ToList();
Frame fillZoneReachedFrame = afterFocusFrames.FirstOrDefault(frame =>
{
double focusToFillZoneDelta = _fillZoneReachedCoefficient * Math.Abs(thrust.FocusPrice - thrust.EntryPrice.Value);
if (thrust.Direction == EPatternDirection.Up)
{
if (frame.Bar.lowMid <= thrust.FocusPrice - focusToFillZoneDelta)
{
thrust.FillZoneReachedIndex = chart.Frames.IndexOf(frame);
return(true);
}
}
else
{
if (frame.Bar.highMid >= focusToFillZoneDelta + thrust.FocusPrice)
{
thrust.FillZoneReachedIndex = chart.Frames.IndexOf(frame);
return(true);
}
}
return(false);
});
#endregion
return(thrust);
}
/// <summary>
///
/// </summary>
/// <param name="chart"></param>
/// <param name="thrust"></param>
/// <param name="retracement"></param>
protected virtual async void ManageOrder(Chart chart, Thrust thrust)
{
StrategyTransaction[] transactions = null;
StrategyTransaction orderTransaction, fillTransaction, cancelTransaction, exitTransaction;
// get transaction collection from db
int orderTransactionID = thrust.StrategyTransactionID.GetValueOrDefault();
transactions = await StrategyCaller.Instance().GetStrategyTransactionsCollectionAsync(orderTransactionID);
orderTransaction = transactions.FirstOrDefault(t => t.StrategyTransactionID == orderTransactionID);
fillTransaction = transactions.FirstOrDefault(t => t.BrokerOrderID != null && t.Type == MACC.Constants.TransactionTypes.OrderFilled);
cancelTransaction = transactions.FirstOrDefault(t => t.BrokerOrderID != null && t.Type == MACC.Constants.TransactionTypes.OrderCancel);
exitTransaction = transactions.FirstOrDefault(t => t.BrokerTradeID != null && t.Type != MACC.Constants.TransactionTypes.TradeUpdate);
bool purgeInActiveThrust = true;
if (fillTransaction == null)
{
if (cancelTransaction != null)
{
// order cancelled
thrust.Active = false;
}
else
{
// order open
if (!thrust.Active)
{
// cancel the order
// the cancel transaction will be written to the db by the event stream handler
await Rest.DeleteOrderAsync(_accountId, Convert.ToInt64(orderTransaction.BrokerTransactionID));
}
else
{
if (thrust.FocusChanged() || (thrust.FillZoneReached() && thrust.TakeProfitZoneReached()))
{
AddAlgorithmMessage(string.Format("UPDATE ORDER: {0}: FCH-{1}: FZR-{2}: TPR-{3}", orderTransaction.Instrument, thrust.FocusChanged(), thrust.FillZoneReached(), thrust.TakeProfitZoneReached()));
UpdateEntryOrder(orderTransaction, chart, thrust);
}
}
}
}
else
{
if (exitTransaction == null)
{
// order filled
purgeInActiveThrust = false;
FibonacciRetracement retracement = (FibonacciRetracement)thrust.Study;
#region get open trade info
long tradeId = Convert.ToInt64(fillTransaction.BrokerTransactionID);
Frame fillFrame = chart.Frames.LastOrDefault(f => Convert.ToDateTime(f.Bar.time).ToUniversalTime() <= fillTransaction.Time);
int fillIndex = chart.Frames.IndexOf(fillFrame);
#endregion
#region get takeProfitPrice and stopLossPrice
int profitWaitPeriods = Parameters.GetInteger("thrustProfitWaitPeriods") ?? 6;
thrust.ProfitWindowClosed = (fillIndex + profitWaitPeriods) < chart.Frames.Count;
IPriceBar lastBar = chart.Frames.Last().Bar;
bool hasProfit = orderTransaction.Side == MACC.Constants.SignalSide.Buy ? lastBar.closeMid > fillTransaction.Price : lastBar.closeMid < fillTransaction.Price;
#region stopLossPrice & takeProfitPrice logic
// adjust stopLossPrice and takeProfitPrice
// if a buy ...
// move the stop to the lower of the .500 fib price or [patern lowMid price set by the post-fill price action]
// move the profit target to 1 or 2 pips under .618 * (thrust.FocusPrice - [pattern lowMid price set by the post-fill price action])
// if a sell ...
// move the stop to the higher of the .500 fib price or [patern highMid price set by the post-fill price action]
// move the profit target to 1 or 2 pips above .618 * ([pattern lowMid price set by the post-fill price action] - thrust.FocusPrice)
#endregion
double?takeProfitPrice = GetAdjustedTakeProfitPrice(chart, thrust.Side, retracement);
AddAlgorithmMessage(string.Format("GET SLP: {0}: TPZ-{1}: PWC-{2}: XTP-{3}: CLP-{4}: PFT-{5}", fillTransaction.Instrument, thrust.TakeProfitZoneReached(), thrust.ProfitWindowClosed, retracement.ExtremaPrice, lastBar.closeMid, hasProfit));
double?stopLossPrice = GetAdjustedStopLossPrice(chart, thrust.Side, thrust, hasProfit);
#endregion
#region kill or update the trade
// not profitable && beyond r500 .. kill it
if (stopLossPrice.GetValueOrDefault() == -1)
{
thrust.Active = false;
purgeInActiveThrust = true;
try
{
await Rest.DeleteTradeAsync(_accountId, tradeId);
}
catch (Exception e)
{
AddAlgorithmMessage(string.Format("CLOSE TRADE {0} Failed: {1}", tradeId, e.Message), true, TraceEventType.Error);
}
}
else
{
if ((takeProfitPrice ?? thrust.TakeProfitPrice) != thrust.TakeProfitPrice || (stopLossPrice ?? thrust.StopLossPrice) != thrust.StopLossPrice)
{
AddAlgorithmMessage(string.Format("UPDATE TRADE: {0}: TPZ-{1}: PWC-{2}: XTP-{3}: CLP-{4}: TP-{5}: TTP-{6}: SL-{7}: TSL-{8}", fillTransaction.Instrument, thrust.TakeProfitZoneReached(), thrust.ProfitWindowClosed, retracement.ExtremaPrice, lastBar.closeMid, takeProfitPrice, thrust.TakeProfitPrice, stopLossPrice, thrust.StopLossPrice));
UpdateOpenTrade(thrust, tradeId, takeProfitPrice, stopLossPrice, retracement.LevelPlaces());
}
}
#endregion
}
else
{
// trade closed
#region about closed trades
// if coll includes a stopLossFilled or takeProfitFilled ..
// set thrust.Active = false
// this be done server side when the strategyTransaction from the stream is saved
// the signal should be found on the server and signal.Active should be set to false
// do it here also
#endregion
thrust.Active = false;
}
}
if (!thrust.Active && purgeInActiveThrust)
{
await PurgeThrust(chart, thrust);
}
}
protected virtual Thrust SetThrustTakeProfitZoneReached(Chart chart, Thrust thrust)
{
FibonacciRetracement retracement = thrust.Study as FibonacciRetracement;
#region did price reach the takeProfit zone?
if (thrust.FillZoneReached())
{
double? searchTakeProfitPrice = null;
List <Frame> searchFrames = null;
if (!thrust.TakeProfitZoneReached())
{
searchTakeProfitPrice = thrust.TakeProfitPrice.Value;
searchFrames = chart.Frames.Skip(thrust.FillZoneReachedIndex.Value + 1).ToList();
}
else
{
if (retracement.ExtremaChanged())
{
int multiplier = thrust.Side == MACC.Constants.SignalSide.Buy ? 1 : -1;
double r382Price = retracement.LevelPrice(FibonacciLevel.R382);
searchTakeProfitPrice = r382Price + (0.618 * Math.Abs(retracement.FocusPrice - r382Price) * multiplier);
searchFrames = chart.Frames.Skip(retracement.ExtremaIndex.Value + 1).ToList();
}
}
Frame takeProfitZoneReachedFrame = searchFrames.FirstOrDefault(frame =>
{
double extremaToTakeProfitZoneDelta = _takeProfitZoneReachedCoefficient * Math.Abs(searchTakeProfitPrice.Value - retracement.ExtremaPrice.Value);
bool takeProfitZoneReached = false;
if (thrust.Direction == EPatternDirection.Up)
{
takeProfitZoneReached = (frame.Bar.highMid >= retracement.ExtremaPrice.Value + extremaToTakeProfitZoneDelta);
}
else
{
takeProfitZoneReached = (frame.Bar.lowMid <= retracement.ExtremaPrice.Value - extremaToTakeProfitZoneDelta);
}
if (takeProfitZoneReached)
{
thrust.TakeProfitZoneReachedIndex = chart.Frames.IndexOf(frame);
thrust.TakeProfitZoneReachedFocusPrice = thrust.FocusPrice;
return(true);
}
return(false);
});
}
#endregion
// is it a breakout?
if (thrust.TakeProfitZoneReached())
{
double breakoutDelta = thrust.SignalPrice * _focusBreakoutCoefficient * _minThrustPercentRange;
if (thrust.Direction == EPatternDirection.Up)
{
thrust.Breakout = thrust.FocusPrice >= thrust.TakeProfitZoneReachedFocusPrice.Value + breakoutDelta;
}
else
{
thrust.Breakout = thrust.FocusPrice <= thrust.TakeProfitZoneReachedFocusPrice.Value - breakoutDelta;
}
if (thrust.Breakout)
{
thrust.FillZoneReachedIndex = null;
thrust.TakeProfitZoneReachedIndex = null;
thrust.TakeProfitZoneReachedFocusPrice = null;
}
}
return(thrust);
}
