public override void GotTick(TradeLink.API.Tick tick)
{
// ensure we track this symbol
_entrysignal.addindex(tick.symbol, false);
// track tick
_kt.newTick(tick);
// get current position
Position p = _pt[tick.symbol];
// if we're flat and no signal, enter
if (p.isFlat && !_entrysignal[tick.symbol])
{
_entrysignal[tick.symbol] = true;
D(tick.symbol + ": entering long");
O(new MarketOrder(tick.symbol, EntrySize));
}
else if (!p.isFlat && !_exitsignal[tick.symbol])
{
// get most recent tick data
Tick k = _kt[tick.symbol];
// estimate our exit price
decimal exitprice = UseQuotes
? (k.hasAsk && p.isLong ? k.ask
: (k.hasBid && p.isShort ? k.bid : 0))
: (k.isTrade ? k.trade : 0);
// assuming we could estimate an exit, see if our exit would hit our target
if ((exitprice != 0) && (Calc.OpenPT(exitprice, p) > ProfitTarget))
{
_exitsignal[tick.symbol] = true;
D("hit profit target");
O(new MarketOrderFlat(p));
}
}
}
void raw_GotTick(TradeLink.API.Tick t)
{
if (!syms.Contains(t.symbol))
{
syms.Add(t.symbol);
}
tickcount++;
bool viol = t.datetime < lasttime;
GOODTIME &= !viol;
lasttime = t.datetime;
}
void execute_GotTick(TradeLink.API.Tick t)
{
tickcount++;
// generate fills periodically
if (fillcount >= desiredfills)
{
return;
}
if (tickcount % 50 == 0)
{
bool side = fillcount % 2 == 0;
h.SimBroker.SendOrderStatus(new MarketOrder(t.symbol, side, 100));
}
}
public void GotTick(TradeLink.API.Tick tick)
{
// if we don't have 10 trades yet, add it
if (_dt.Rows.Count < ROWS)
{
_dt.Rows.Add(tick.time, tick.symbol, tick.trade, tick.size, tick.ex);
refresh();
return;
}
// otherwise, go through list and check to see if it's bigger
for (int i = 0; i < _dt.Rows.Count; i++)
{
if ((int)_dt.Rows[i]["TradeSize"] < tick.size)
{
_dt.Rows[i].ItemArray = new object[] { tick.time, tick.symbol, tick.trade, tick.size, tick.ex };
refresh();
return;
}
}
}
// GotTick is called everytime a new quote or trade occurs
public override void GotTick(TradeLink.API.Tick tick)
{
// tmp workaround for "how to show debug messages from response constructor"
if (debug_message_from_constructor.Length > 0)
{
D(debug_message_from_constructor);
debug_message_from_constructor = "";
}
// keep track of time from tick
time = tick.time;
// safe tick to files
//_ta.newTick(tick);
// ignore quotes
if (!tick.isTrade)
{
return;
}
// ignore ticks with timestamp prior to 9:30:00am
if (tick.time < 93000)
{
return;
}
// ensure we track this symbol, all the other trackers will be indexed inside track_symbols_NewTxt()
track_symbols.addindex(tick.symbol, false);
// track tick
track_ticks.newTick(tick);
track_barlists.newTick(tick); // dimon: give any ticks (trades) to this symbol and tracker will create barlists automatically
// if we don't have enough bars, wait for more ticks
if (!track_barlists[tick.symbol].Has(_slow_ma_bar))
{
return;
}
}
public override void GotTick(TradeLink.API.Tick tick)
{
// ignore quotes
if (!tick.isTrade)
{
return;
}
// get current position
Position p = pt[tick.symbol];
// if we're flat, enter
if (p.isFlat)
{
D("entering long");
O(new BuyMarket(tick.symbol, 1));
}
// otherwise if we're up 10/th of a point, flat us
else if (Calc.OpenPT(tick.trade, p) > .1m)
{
D("hit profit target");
O(new MarketOrderFlat(p));
}
}
static void HistSource_gotTick(TradeLink.API.Tick t)
{
_tw.newTick((TickImpl)t);
}
void h_GotTick(TradeLink.API.Tick t)
{
tickcount++;
bt.newTick(t);
}
// GotTick is called everytime a new quote or trade occurs
public override void GotTick(TradeLink.API.Tick tick)
{
// store tick
tick_archiver.newTick(tick);
return; // for now only track/store ticks here...
// ignore quotes
if (!tick.isTrade)
{
return;
}
// ensure we track this symbol, all the other trackers will be indexed inside track_symbols_NewTxt()
track_symbols.addindex(tick.symbol, false);
// track tick
track_ticks.newTick(tick);
// another "track tick" :)
//
// For now we track tick in 2 different trackers:
// TickTracker
// and
// BarListTracker (connected with MessageTracker)
//
// todo: Read more on topic of TickTracker vs BarListTracker. And eventually get rid of one of them.
// TickTracker - seems have more functionality, but
// BarListTracker - can build bars with any interval (we can mix diff. bar size in one strategy easily using this!)
//
track_barlists.newTick(tick); // dimon: give any ticks (trades) to this symbol and tracker will create barlists automatically
// if we don't have enough bars, wait for more ticks
//if (!track_barlists[tick.symbol].Has(BarsBack)) return;
// get current position
Position pos = track_positions[tick.symbol];
// if we're flat and haven't seen this symbol yet, then...
if (pos.isFlat && !track_symbols[tick.symbol])
{
// strart tracking it (other trackers will be updated accordingly, see track_symbols_NewTxt()
track_symbols[tick.symbol] = true;
D(tick.symbol + ": entering long");
O(new MarketOrder(tick.symbol, EntrySize));
}
else if (!pos.isFlat && !track_exitsignals[tick.symbol])
{
// get most recent tick data
Tick k = track_ticks[tick.symbol];
// estimate our exit price
decimal exitprice = UseQuotes
? (k.hasAsk && pos.isLong ? k.ask
: (k.hasBid && pos.isShort ? k.bid : 0))
: (k.isTrade ? k.trade : 0);
// assuming we could estimate an exit, see if our exit would hit our target
if ((exitprice != 0) && (Calc.OpenPT(exitprice, pos) > ProfitTarget))
{
track_exitsignals[tick.symbol] = true;
D("hit profit target");
O(new MarketOrderFlat(pos));
}
}
// --------------------------------------------
//
// this is a grey box that manages exits, so wait until we have a position
//if (!pt[tick.symbol].isFlat) return;
//
//// calculate the MA from closing bars
//decimal MA = Calc.Avg(Calc.Closes(track_barlists[tick.symbol], BarsBack));
//// if we're short, a cross is when market moves above MA
//// if we're long, cross is when market goes below MA
//bool cross = pt[tick.symbol].isShort ? (tick.trade > MA) : (tick.trade < MA);
//// if we have a cross, then flat us for the requested size
//if (cross)
// sendorder(new MarketOrderFlat(pt[tick.symbol], exitpercent));
//// notify gauntlet and kadina about our moving average and cross
//sendindicators(new string[] { MA.ToString(), cross.ToString() });
// --------------------------------------------
}
// GotTick is called everytime a new quote or trade occurs
public override void GotTick(TradeLink.API.Tick tick)
{
base.GotTick(tick);
// keep track of time from tick
time = tick.time;
// ignore quotes
if (!tick.isTrade)
{
return;
}
// ignore ticks with timestamp prior to 9:30:00am
if (tick.time < 93000)
{
return;
}
// --------------------------------------------------- rabbitmq begin -----------
log_file.WriteLine(JsonConvert.SerializeObject(tick, Formatting.Indented)); // write all ticks into external file (to get a feeling on size)
if (tick.time == 93205)
{
;
}
if (false)
{
if (tick.time > 93000 && tick.time < 93500)
{
string rabbit_serverAddress = "amqp://localhost/";
string rabbit_exchange = "exch";
string rabbit_exchangeType = "fanout";
string rabbit_routingKey = "rout";
string rabbit_message = JsonConvert.SerializeObject(tick, Formatting.Indented);
ConnectionFactory rabbit_cf = new ConnectionFactory();
rabbit_cf.Uri = rabbit_serverAddress;
IConnection rabbit_conn = rabbit_cf.CreateConnection();
IModel rabbit_ch = rabbit_conn.CreateModel();
rabbit_ch.ExchangeDeclare(rabbit_exchange, rabbit_exchangeType);
IBasicProperties msg_props = rabbit_ch.CreateBasicProperties();
msg_props.ContentType = "text/plain";
rabbit_ch.BasicPublish(rabbit_exchange,
rabbit_routingKey,
msg_props,
Encoding.UTF8.GetBytes(rabbit_message)); // or Encoding.UTF8.GetBytes(); - we convert message into a byte array
}
}
// --------------------------------------------------- rabbitmq end -----------
// ensure we track this symbol, all the other trackers will be indexed inside track_symbols_NewTxt()
track_symbols.addindex(tick.symbol, false);
// track tick
track_ticks.newTick(tick);
// track (custom) bars
track_barlists.newTick(tick); // dimon: give any ticks (trades) to this symbol and tracker will create barlists automatically
// check if need to exit position:
log_file.WriteLine("check if need to exit position: track_positions[tick.symbol].isLong=" + track_positions[tick.symbol].isLong.ToString());
if (!track_positions[tick.symbol].isLong) // isFlat) - we sell only if we have long positions
{
// should exit long position due to hit target?
if (track_positions[tick.symbol].isLong)
{
// time to exit long position?
bool should_exit = track_positions[tick.symbol].AvgPrice * (decimal)_target_price_k <= tick.trade;
if (should_exit)
{
string comment = "exit long position due to hit target";
sendorder(new SellMarket(tick.symbol, EntrySize, comment));
log_file.WriteLine("close position: " + comment);
return;
}
}
// should exit short position due to hit target?
if (track_positions[tick.symbol].isShort)
{
bool should_exit = track_positions[tick.symbol].AvgPrice * (decimal)_target_price_k >= tick.trade;
if (should_exit)
{
string comment = "exit short position due to hit target";
sendorder(new BuyMarket(tick.symbol, EntrySize, comment));
log_file.WriteLine("close position: " + comment);
return;
}
}
// should exit long position due to hit stop?
if (track_positions[tick.symbol].isLong)
{
bool should_exit = track_positions[tick.symbol].AvgPrice * (decimal)_stop_k >= tick.trade;
if (should_exit)
{
string comment = "exit long position due to hit stop";
sendorder(new SellMarket(tick.symbol, EntrySize, comment));
log_file.WriteLine("close position: " + comment);
return;
}
}
// should exit short position due to hit stop?
if (track_positions[tick.symbol].isShort)
{
bool should_exit = track_positions[tick.symbol].AvgPrice * (decimal)_target_price_k >= tick.trade;
if (should_exit)
{
string comment = "exit short position due to hit stop";
sendorder(new BuyMarket(tick.symbol, EntrySize, comment));
log_file.WriteLine("close position: " + comment);
return;
}
}
}
}