public override bool ComputeRBA(IMarketModelIndicator market_model, double[] target)
{
Tuple <double[], bool> tuple = indicator.Compute(market_model);
if (!tuple.Item2)
{
return(false);
}
target[0] = model.GetLabel(tuple.Item1);
return(true);
}
private static void AddIndicators(MarketModelSimulation market, IIndicator feature_indicator, IIndicator label_indicators, IList <double[]> feature_data, IList <bool[]> missing_data, IList <double[]> label_data)
{
Tuple <double[], bool> tuple_features = feature_indicator.Compute(market);
Tuple <double[], bool> tuple_labels = label_indicators.Compute(market);
//Only add valid entries?
if (tuple_features.Item2 && tuple_labels.Item2)
{
feature_data.Add(tuple_features.Item1);
missing_data.Add(ToolsCollection.CreateArray(feature_indicator.SubIndicatorCount, false));
label_data.Add(tuple_labels.Item1);
}
}
public override bool ComputeRBA(IMarketModelIndicator market_model, double[] target)
{
bool all_valid = true;
for (int indicator_index = 0; indicator_index < indicators.Count; indicator_index++)
{
IIndicator inidicator = indicators[indicator_index];
Tuple <double[], bool> tuple = inidicator.Compute(market_model);
ToolsCollection.CopyRBA(tuple.Item1, 0, target, indicator_offsets[indicator_index], inidicator.SubIndicatorCount);
if (!tuple.Item2)
{
all_valid = false;
}
}
return(all_valid);
}
public void GetTradeOrderCommand(IMarketModelSimulation market_model)
{
Tuple <double[], bool> indicator_0_Tuple = indicator_0.Compute(market_model);
Tuple <double[], bool> indicator_0_Tuple_Prev = indicator_0_Tuple;
if (indicator_0_Tuple.Item2 && market_model.OpenOrders.Count == 0)
{
// if (market_model.CurrentAsk < indicator_0_Tuple.Item1[2] && market_model.Second1[-1].CloseAsk < indicator_0_Tuple_Prev.Item1[2])
if (threshold_long < indicator_0_Tuple.Item1[7])
{
market_model.ProcessOrderCommand(new TradingOrderCommand(TradingOrderType.Long, TradingConstants.LOT, market_model.CurrentAsk, 0
, market_model.CurrentAsk - stop_loss * TradingConstants.POINT, market_model.CurrentAsk + take_profit * TradingConstants.POINT));
}
if (threshold_short > indicator_0_Tuple.Item1[7])
{
market_model.ProcessOrderCommand(new TradingOrderCommand(TradingOrderType.Short, TradingConstants.LOT, market_model.CurrentBid, 0
, market_model.CurrentBid + stop_loss * TradingConstants.POINT, market_model.CurrentBid - take_profit * TradingConstants.POINT));
}
}
TrailingStopLoss(market_model, TradingConstants.POINT * 150);
}
public void GetTradeOrderCommand(IMarketModelSimulation market)
{
Tuple <double[], bool> tuple = indicator.Compute(market);
}
