/// <summary>
/// Initialize the risk check variables in the constructor.
/// </summary>
/// <param name="name"></param>
/// <param name="keltnerTradingVariables"></param>
public KeltnerStrategyRiskManager(string name, KeltnerTradingVariables keltnerTradingVariables)
: base(name)
{
this.m_MaxNetPosition = keltnerTradingVariables.MaxNetPosition;
this.m_MaxTotalFills = keltnerTradingVariables.MaxTotalFills;
this.m_StopLossTrackingTime = keltnerTradingVariables.StopLossTimeTrack;
}
public override void AddSubElement(IStringifiable subElement)
{
base.AddSubElement(subElement);
Type elementType = subElement.GetType();
if (elementType == typeof(TradingNode))
{
TradingNode tradingNode = (TradingNode)subElement;
if (tradingNode.TradeLevel == 0)
{
switch (tradingNode.TradeSide)
{
case TradeSide.Unknown:
break;
case TradeSide.Buy:
m_EntryLongNode = tradingNode;
break;
case TradeSide.Sell:
m_EntryShortNode = tradingNode;
break;
}
}
if (tradingNode.TradeLevel == 1)
{
switch (tradingNode.TradeSide)
{
case TradeSide.Unknown:
break;
case TradeSide.Buy:
m_FadeLongNode = tradingNode;
break;
case TradeSide.Sell:
m_FadeShortNode = tradingNode;
break;
}
}
}
if (elementType == typeof(KeltnerTradingVariables))
{
KeltnerTradingVariables = (KeltnerTradingVariables)subElement;
m_EntryQty = KeltnerTradingVariables.EntryQty;
m_FadeQty = KeltnerTradingVariables.FadeQty;
m_EntryWidth = KeltnerTradingVariables.EntryWidth;
m_FadeWidth = KeltnerTradingVariables.FadeWidth;
m_PukeWidth = KeltnerTradingVariables.PukeWidth;
m_EMALength = KeltnerTradingVariables.EMALength;
m_ATRLength = KeltnerTradingVariables.ATRLength;
m_MOMLength = KeltnerTradingVariables.MomentumLength;
m_MomentumEntry = KeltnerTradingVariables.MomentumEntryValue;
m_MomentumPuke = KeltnerTradingVariables.MomentumPukeValue;
}
}
//
//
/// <summary>
/// Constructor using default trading variables.
/// </summary>
/// <param name="name"></param>
/// <param name="keltnerTradingVariables"></param>
public KeltnerTraderLogicManager(string name, KeltnerTradingVariables keltnerTradingVariables)
: base(name)
{
KeltnerTradingVariables = keltnerTradingVariables;
m_EntryQty = KeltnerTradingVariables.EntryQty;
m_FadeQty = KeltnerTradingVariables.FadeQty;
m_EntryWidth = KeltnerTradingVariables.EntryWidth;
m_FadeWidth = KeltnerTradingVariables.FadeWidth;
m_PukeWidth = KeltnerTradingVariables.PukeWidth;
m_EMALength = KeltnerTradingVariables.EMALength;
m_ATRLength = KeltnerTradingVariables.ATRLength;
m_MOMLength = KeltnerTradingVariables.MomentumLength;
m_MomentumEntry = KeltnerTradingVariables.MomentumEntryValue;
m_MomentumPuke = KeltnerTradingVariables.MomentumPukeValue;
m_NetPosition = KeltnerTradingVariables.CurrentPos;
SetDefaultWorkings();
}
/// <summary>
/// keltner constructor.
/// </summary>
/// <param name="initialNextUpdateDateTime"></param>
/// <param name="keltnerTradingVariables"></param>
/// <param name="marketOpens"></param>
/// <param name="marketCloses"></param>
public KeltnerIndicatorManager(DateTime initialNextUpdateDateTime, KeltnerTradingVariables keltnerTradingVariables, List <DateTime> marketOpens, List <DateTime> marketCloses)
: base()
{
// Load keltner trading parameters.
m_KeltnerTradingVariables = keltnerTradingVariables;
m_EMALength = keltnerTradingVariables.EMALength;
m_ATRLength = keltnerTradingVariables.ATRLength;
m_MOMLength = keltnerTradingVariables.MomentumLength;
m_BarUpdateIntervalSecond = keltnerTradingVariables.BarIntervalInSeconds;
// Create indicators.
m_EMA = new EMA(m_EMASeriesID, m_EMASeriesName, m_EMALength);
m_ATR = new ATR(m_ATRSeriesID, m_ATRSeriesName, m_ATRLength);
m_MOM = new MOM(m_MOMSeriesID, m_MOMSeriesName, m_MOMLength);
this.AddIndicator(m_EMA, m_EMASeriesName);
this.AddIndicator(m_ATR, m_ATRSeriesName);
this.AddIndicator(m_MOM, m_MOMSeriesName);
// Initial setup for the trading indicators.
initialNextUpdateDateTime = Functions.GetNextBarUpdateDateTime(initialNextUpdateDateTime, m_BarUpdateIntervalSecond);
m_EMA.SetupIndicator(m_BarUpdateIntervalSecond, initialNextUpdateDateTime, marketOpens, marketCloses);
m_ATR.SetupIndicator(m_BarUpdateIntervalSecond, initialNextUpdateDateTime, marketOpens, marketCloses);
m_MOM.SetupIndicator(m_BarUpdateIntervalSecond, initialNextUpdateDateTime, marketOpens, marketCloses);
}
