/// <summary>
/// Runs the strategy over the series.
/// <para>
/// </para>
/// </summary>
/// <param name="strategy"> the trading strategy </param>
/// <param name="orderType"> the <seealso cref="OrderType"/> used to open the trades </param>
/// <param name="amount"> the amount used to open/close the trades </param>
/// <returns> the trading record coming from the run </returns>
public virtual TradingRecord Run(Strategy strategy, OrderType orderType, Decimal amount)
{
_logger?.LogTrace("Running strategy: {0} (starting with {1})", strategy, orderType);
var tradingRecord = new TradingRecord(orderType);
for (var i = _beginIndex; i <= _endIndex; i++)
{
// For each tick in the sub-series...
if (strategy.ShouldOperate(i, tradingRecord))
{
tradingRecord.Operate(i, _ticks[i].ClosePrice, amount);
}
}
if (!tradingRecord.Closed)
{
// If the last trade is still opened, we search out of the end index.
// May works if the current series is a sub-series (but not the last sub-series).
for (var i = _endIndex + 1; i < _ticks.Count; i++)
{
// For each tick out of sub-series bound...
// --> Trying to close the last trade
if (strategy.ShouldOperate(i, tradingRecord))
{
tradingRecord.Operate(i, _ticks[i].ClosePrice, amount);
break;
}
}
}
return(tradingRecord);
}
/// <param name="index"> the tick index </param>
/// <param name="tradingRecord"> the potentially needed trading history </param>
/// <returns> true to recommend to exit, false otherwise </returns>
public bool ShouldExit(int index, TradingRecord tradingRecord)
{
if (IsUnstableAt(index))
{
return(false);
}
var exit = _exitRule.IsSatisfied(index, tradingRecord);
TraceShouldExit(index, exit);
return(exit);
}
/// <param name="index"> the tick index </param>
/// <param name="tradingRecord"> the potentially needed trading history </param>
/// <returns> true to recommend to enter, false otherwise </returns>
public bool ShouldEnter(int index, TradingRecord tradingRecord)
{
if (IsUnstableAt(index))
{
return(false);
}
var enter = _entryRule.IsSatisfied(index, tradingRecord);
TraceShouldEnter(index, enter);
return(enter);
}
/// <param name="index"> the tick index </param>
/// <param name="tradingRecord"> the potentially needed trading history </param>
/// <returns> true to recommend an order, false otherwise (no recommendation) </returns>
public bool ShouldOperate(int index, TradingRecord tradingRecord)
{
var trade = tradingRecord.CurrentTrade;
if (trade.New)
{
return(ShouldEnter(index, tradingRecord));
}
if (trade.Opened)
{
return(ShouldExit(index, tradingRecord));
}
return(false);
}
