private void createFifteenMinutesSourceFrom(ISecurity original)
{
ISecurity fifteenMinutesSource = original.CompressTo(
new TSLab.DataSource.Interval(15, DataIntervals.MINUTE)
);
IDictionary <string, Bar> newSourceBars =
new Dictionary <string, Bar>(fifteenMinutesSource.Bars.Count);
// convert to source bars
foreach (Bar bar in fifteenMinutesSource.Bars)
{
var key = period.keyFromTime(bar.Date);
if (!newSourceBars.ContainsKey(key))
{
newSourceBars.Add(key, bar);
}
}
this.compressedSource = newSourceBars;
this.first = original.Bars[0].Date;
this.last = original.Bars[original.Bars.Count - 1].Date;
this.compressed = fifteenMinutesSource;
}
private void createDailySourceFrom(ISecurity original)
{
ISecurity daySource = original.CompressTo(
new TSLab.DataSource.Interval(1, DataIntervals.DAYS)
);
IDictionary <string, Bar> newSourceBars =
new Dictionary <string, Bar>(daySource.Bars.Count);
// convert to source bars
int day = original.Bars[0].Date.Day;
int dayBarsIndex = 0;
for (int i = 0; i < original.Bars.Count; i++)
{
if (day != original.Bars[i].Date.Day)
{
++dayBarsIndex;
day = original.Bars[i].Date.Day;
}
string key = period.keyFromTime(daySource.Bars[dayBarsIndex].Date);
if (!newSourceBars.ContainsKey(key))
{
newSourceBars.Add(key, daySource.Bars[dayBarsIndex]);
}
}
this.compressedSource = newSourceBars;
this.first = original.Bars[0].Date;
this.last = original.Bars[original.Bars.Count - 1].Date;
}
private void createHourlySourceFrom(ISecurity original)
{
ISecurity hourSource = original.CompressTo(
new TSLab.DataSource.Interval(60, DataIntervals.MINUTE)
);
IDictionary <string, Bar> newSourceBars =
new Dictionary <string, Bar>(hourSource.Bars.Count);
// convert to source bars
int hour = original.Bars[0].Date.Hour;
int hourBarsIndex = 0;
for (int i = 0; i < original.Bars.Count; i++)
{
if (hour != original.Bars[i].Date.Hour)
{
++hourBarsIndex;
hour = original.Bars[i].Date.Hour;
}
string key = period.keyFromTime(hourSource.Bars[hourBarsIndex].Date);
if (!newSourceBars.ContainsKey(key))
{
newSourceBars.Add(key, hourSource.Bars[hourBarsIndex]);
}
}
this.compressedSource = newSourceBars;
this.first = original.Bars[0].Date;
this.last = original.Bars[original.Bars.Count - 1].Date;
}
public override IList <double> Execute(ISecurity source)
{
var sec2 = source.CompressTo(new Interval(Interval, source.IntervalBase));
return(Context.GetData("ATRM", new[] { Period.ToString(), Interval.ToString(), PositiveSide.ToString() },
() => sec2.Decompress(CalcATRM(Context, sec2.Bars, Period, new Interval(1, DataIntervals.DAYS),
PositiveSide))));
}
public virtual IList <double> Execute(ISecurity sec)
{
var sec2 = sec.CompressTo(Interval);
var atrs = Context.GetData("ATR", new[] { Period.ToString(), Interval.ToString() },
() => Series.AverageTrueRange(sec2.Bars, Period, Context));
return(Context.GetData("NRTR",
new[] { Period.ToString(), Coefficient.ToString(CultureInfo.InvariantCulture), Interval.ToString() },
() => sec2.Decompress(NRTR(Context, sec2, atrs, Coefficient))));
}
public ISecurity Execute(ISecurity source)
{
var interval = new Interval(Interval, source.IntervalBase);
switch (interval.Base)
{
case DataIntervals.VOLUME:
return(source.CompressToVolume(interval));
case DataIntervals.PRICERANGE:
return(source.CompressToPriceRange(interval));
default:
return(source.CompressTo(interval, Shift));
}
}
public static IList <double> CalcTrend(IContext ctx, ISecurity sec, int btInterval, int btPeriod,
out IList <double> dcHigh, out IList <double> dcLow)
{
var btSec = sec.CompressTo(new Interval(btInterval, sec.IntervalBase));
var btParameters = new[] { sec.CacheName, btInterval.ToString(), btPeriod.ToString() };
var btHigh = ctx.GetData("$btHigh", btParameters, () => Series.Highest(btSec.HighPrices, btPeriod));
var btLow = ctx.GetData("$btLow", btParameters, () => Series.Lowest(btSec.LowPrices, btPeriod));
var btMiddle = ctx.GetData("$btMiddle", btParameters,
() => btHigh.Zip(btLow, (h, l) => (h + l) / 2).ToArray());
var btTrend = (IReadOnlyList <double>)ctx.GetData("$btTrend", btParameters, () => btMiddle.Difference(ctx));
IList <double> DcTrendMaker() =>
Extensions.Decompress(sec.Bars, sec.IntervalInstance, (IReadOnlyList <double>)btMiddle, btTrend,
btSec.IntervalInstance, btSec.Bars, ctx);
var dcTrend = ctx.GetData("$dcTrend", btParameters, DcTrendMaker);
dcHigh = ctx.GetData("$dcHigh", btParameters, () => btSec.Decompress(btHigh));
dcLow = ctx.GetData("$dcLow", btParameters, () => btSec.Decompress(btLow));
return(dcTrend);
}
public void Execute(IContext ctx, ISecurity sec)
{
// таймер для определения времени выполнения скрипта
var sw = Stopwatch.StartNew();
// проверка таймфрейма, используемого для торговли
if (sec.IntervalInstance != new Interval(30, DataIntervals.MINUTE))
{
throw new InvalidOperationException($"Выбран не корректный интервал для торговли{sec.IntervalInstance}. Работать только на таймфрейме 30 минут!");
}
#region расчет индикаторов
// канал Дончиана для основного таймфрема
IList <double> upChannel = ctx.GetData("UpChannel",
new string[] { PeriodChannel.ToString() },
() => Series.Highest(sec.HighPrices, PeriodChannel));
IList <double> downChannel = ctx.GetData("DownChannel",
new string[] { PeriodChannel.ToString() },
() => Series.Lowest(sec.LowPrices, PeriodChannel));
// свечи дневного таймфрейма
var daySec = sec.CompressTo(new Interval(1, DataIntervals.DAYS));
// канал Дончиана для дневного таймфрейма
IList <double> upChannelDay = ctx.GetData("UpChannelDay",
new string[] { PeriodChannelDay.ToString() },
() =>
{
var res = Series.Highest(daySec.HighPrices, PeriodChannelDay);
return(daySec.Decompress(res));
});
IList <double> downChannelDay = ctx.GetData("DownChannelDay",
new string[] { PeriodChannelDay.ToString() },
() =>
{
var res = Series.Lowest(daySec.LowPrices, PeriodChannelDay);
return(daySec.Decompress(res));
});
#endregion
#region первый и последний бар для расчетов
// первый бар, используемый для расчетов
int startBar = Math.Max(PeriodChannel + 1, ctx.TradeFromBar);
// значение счетчика баров, используемое для расчетов
int barsCount = ctx.BarsCount;
if (!ctx.IsLastBarClosed)
{
barsCount--;
}
#endregion
// цены закрытия, используемые для торговли
var closePrices = sec.ClosePrices;
// вначале трейл-стоп отключен, он будет включен при открытии добавочной позиции LED
var onTrailStop = false;
var trailEnable = false;
var lastTrailPrice = 0.0;
#region Торговый цикл
for (int i = startBar; i < barsCount; i++)
{
// базовая позиция LEB
var lebPosition = sec.Positions.GetLastActiveForSignal("LEB", i);
// добавочная позиция LEA, открывается при получении заданного уровня профита по базовой позиции
var leaPosition = sec.Positions.GetLastActiveForSignal("LEA", i);
// суммарно базовая и добавочная позиции - позиции, начинающиеся на "LA"
var lePositions = sec.Positions.GetActiveForBar(i).Where(p => p.EntrySignalName.StartsWith("LE")).ToList();
// добавочная позиция LED при выходе цены за дневной канал
var ledPosition = sec.Positions.GetLastActiveForSignal("LED", i);
// если нет базовой позиции, то выставляем условную заявку на её открытие
if (lebPosition == null)
{
sec.Positions.BuyIfGreater(i + 1, 1, upChannel[i], Slippage * sec.Tick, "LEB");
onTrailStop = false;
trailEnable = false;
lastTrailPrice = 0.0;
OnStopLoss.Value = true;
}
else
{
// если есть базовая позиция LEB, нет добавочной позиции LEA и нет добавочной позиции LED
// то выставляем условную заявку на открытие добавочной позиции LEA
if (leaPosition == null && ledPosition == null)
{
// цена входа в добавочную позицию
double entryPrice = lebPosition.EntryPrice * (1 + AddPositionLevel / 100.0);
sec.Positions.BuyIfGreater(i + 1, 1, entryPrice, Slippage, "LEA");
}
// если нет добавочной позиции LED и цена пробила дневной канал, то открываем добавочную позицию LED
if (ledPosition == null && (closePrices[i - 1] <= upChannelDay[i - 1]) && (closePrices[i] > upChannelDay[i]))
{
sec.Positions.BuyAtMarket(i + 1, 2, "LED");
OnStopLoss.Value = false;
onTrailStop = true;
}
// выставляем стоп-лосс и тейк-профит для всех открытых позиций по средней цене входа,
// вычисляем среднюю цену входа в позицию
var avrEntryPrice = lePositions.GetAvgEntryPrice();
// стоп-лосc
foreach (var pos in lePositions)
{
if (OnStopLoss || OnBreakevenStop || onTrailStop)
{
// цена стоп-лосса
double stopPrice = (OnStopLoss)
? (avrEntryPrice * (1 - StopLossPct / 100.0))
: 0;
// цена инструмента для перевода позиции в безубыток
double movePosBreakevenPrice = avrEntryPrice * (1 + ProfitForBreakevenPct / 100.0);
// цена стопа для перевода позиции в безубыток
double breakevenStopPrice = (OnBreakevenStop && closePrices[i] > movePosBreakevenPrice)
? avrEntryPrice
: 0;
// цена трейл-стопа
double trailPrice = 0.0;
if (onTrailStop)
{
double onTrailStopPrice = avrEntryPrice * (1 + TrailStopEnablePct / 100.0);
if (closePrices[i] > onTrailStopPrice)
{
trailEnable = true;
}
trailPrice = (trailEnable)
? sec.HighPrices[i] * (1 - TrailStopPct / 100.0)
: avrEntryPrice * (1 - StopLossPct / 100.0);
trailPrice = lastTrailPrice = Math.Max(trailPrice, lastTrailPrice);
}
// берем максимальное значение стопа-лосса
stopPrice = Math.Max(stopPrice, breakevenStopPrice);
stopPrice = Math.Max(stopPrice, trailPrice);
stopPrice = Math.Max(stopPrice, pos.GetStop(i));
if (stopPrice != 0)
{
pos.CloseAtStop(i + 1, stopPrice, Slippage, "LXS");
}
}
}
// тейк-профит
if (OnTakeProfit)
{
double profitPrice = avrEntryPrice * (1 + TakeProfitPct / 100.0);
lePositions.ForEach(p => p.CloseAtProfit(i + 1, profitPrice, Slippage, "LXP"));
}
}
}
#endregion
#region Прорисовка графиков
// Если идет процесс оптимизации, то графики рисовать не нужно, это замедляет работу
if (ctx.IsOptimization)
{
return;
}
IGraphPane pane = ctx.First ?? ctx.CreateGraphPane("First", "First");
Color colorCandle = ScriptColors.Black;
pane.AddList(sec.Symbol,
sec,
CandleStyles.BAR_CANDLE,
colorCandle,
PaneSides.RIGHT);
var lineUpChannel = pane.AddList(string.Format($"UpChannel ({PeriodChannel,0})"),
upChannel,
ListStyles.LINE,
ScriptColors.Blue,
LineStyles.SOLID,
PaneSides.RIGHT);
var lineDownChannel = pane.AddList(string.Format($"DwChannel ({PeriodChannel,0}"),
downChannel,
ListStyles.LINE,
ScriptColors.Blue,
LineStyles.SOLID,
PaneSides.RIGHT);
var lineUpChannelDay = pane.AddList(string.Format($"UpChannelDay ({PeriodChannelDay,0}"),
upChannelDay,
ListStyles.LINE,
ScriptColors.Red,
LineStyles.DASH,
PaneSides.RIGHT);
lineUpChannelDay.Thickness = 2;
var lineDownChannelDay = pane.AddList(string.Format($"DwChannelDay ({PeriodChannelDay,0}"),
downChannelDay,
ListStyles.LINE,
ScriptColors.Red,
LineStyles.DASH,
PaneSides.RIGHT);
lineDownChannelDay.Thickness = 2;
#endregion
#region 'Вывод в лог'
// Вывод в лог времени выполнения скрипта только в режиме Лаборатория
if (!ctx.Runtime.IsAgentMode)
{
ctx.Log($"Скрипт выполнен за время: {sw.Elapsed}", MessageType.Info, true);
}
#endregion
}
public IList <bool> Execute(ISecurity source)
{
ISecurity dailySec = source.CompressTo(Interval.D1, 0, 1440, 600);
IList <double> highPrices = dailySec.GetHighPrices(this.Context);
IList <double> lowPrices = dailySec.GetLowPrices(this.Context);
IList <double> closePrices = dailySec.GetClosePrices(this.Context);
int count1 = source.Bars.Count;
int count2 = dailySec.Bars.Count;
IList <double> doubleList1 = (IList <double>) new double[count2];
IList <double> doubleList2 = (IList <double>) new double[count2];
IList <double> candles1 = (IList <double>) new double[count2];
IList <double> candles2 = (IList <double>) new double[count2];
IList <double> candles3 = (IList <double>) new double[count2];
IList <double> data1 = this.Context.GetData("ATR", new string[1]
{
this.ParPeriod.ToString()
}, (CacheObjectMaker <IList <double> >)(() => Series.AverageTrueRange(dailySec.Bars, this.ParPeriod)));
IList <double> data2 = this.Context.GetData("EMA", new string[1]
{
this.ParPeriod.ToString()
}, (CacheObjectMaker <IList <double> >)(() => Series.EMA(dailySec.ClosePrices, this.ParPeriod)));
IList <double> doubleList3 = (IList <double>) new double[count1];
IList <double> doubleList4 = (IList <double>) new double[count1];
IList <double> doubleList5 = (IList <double>) new double[count1];
IList <bool> boolList1 = (IList <bool>) new bool[count1];
IList <bool> boolList2 = (IList <bool>) new bool[count1];
IList <bool> boolList3 = (IList <bool>) new bool[count1];
for (int index = 1; index < count2; ++index)
{
candles1[index] = 0.0;
candles2[index] = 0.0;
if (highPrices[index] > highPrices[index - 1])
{
candles1[index] = highPrices[index] - highPrices[index - 1];
}
if (lowPrices[index] < lowPrices[index - 1])
{
candles2[index] = lowPrices[index - 1] - lowPrices[index];
}
if (candles1[index] > candles2[index])
{
candles2[index] = 0.0;
}
else if (candles2[index] > candles1[index])
{
candles1[index] = 0.0;
}
else if (candles1[index] == candles2[index])
{
candles1[index] = 0.0;
candles2[index] = 0.0;
}
}
IList <double> doubleList6 = Series.EMA(candles1, this.ParPeriod);
IList <double> doubleList7 = Series.EMA(candles2, this.ParPeriod);
for (int index = 0; index < count2; ++index)
{
doubleList6[index] = data1[index] == 0.0 ? 0.0 : doubleList6[index] / data1[index];
doubleList7[index] = data1[index] == 0.0 ? 0.0 : doubleList7[index] / data1[index];
candles3[index] = doubleList6[index] != 0.0 || doubleList7[index] != 0.0 ? Math.Abs(doubleList6[index] - doubleList7[index]) / (doubleList6[index] + doubleList7[index]) * 100.0 : 0.0;
}
IList <double> doubleList8 = Series.EMA(candles3, this.ParPeriod);
int index1 = 0;
for (int index2 = 0; index2 < count1; ++index2)
{
DateTime date1 = source.Bars[index2].Date;
DateTime date2 = date1.Date;
boolList1[index2] = false;
boolList2[index2] = false;
while (true)
{
int num;
if (index1 < count2)
{
date1 = dailySec.Bars[index1].Date;
num = date1.Date < date2 ? 1 : 0;
}
else
{
num = 0;
}
if (num != 0)
{
doubleList3[index2] = doubleList8[index1];
doubleList4[index2] = data2[index1];
doubleList5[index2] = closePrices[index1];
if ((uint)index1 > 0U)
{
if (doubleList8[index1] > doubleList8[index1 - 1])
{
boolList1[index2] = true;
}
else if (doubleList8[index1] < doubleList8[index1 - 1])
{
boolList2[index2] = true;
}
}
else
{
boolList1[index2] = false;
boolList2[index2] = false;
}
++index1;
}
else
{
break;
}
}
int num1;
if (index2 + 1 < count1)
{
date1 = source.Bars[index2 + 1].Date;
if (date1.Date == date2)
{
num1 = 1;
goto label_33;
}
}
num1 = index1 == count2 ? 1 : 0;
label_33:
if (num1 != 0)
{
--index1;
}
if (index1 <= 0)
{
index1 = 0;
doubleList3[index2] = doubleList8[index1];
doubleList4[index2] = data2[index1];
doubleList5[index2] = closePrices[index1];
boolList1[index2] = false;
boolList2[index2] = false;
}
}
for (int index2 = 0; index2 < count1; ++index2)
{
if (this.ParTrendUp && !this.ParFlet && !this.ParTrendDn)
{
bool ResADX = doubleList5[index2] > doubleList4[index2] && doubleList3[index2] > this.KoefADXD1;
int num = this.ParBolTrendUp ? 0 : (!this.ParMenTrendUp ? 1 : 0);
boolList3[index2] = num == 0 ? AdvFazyRynka2.GetResADX(this.ParBolTrendUp, this.ParMenTrendUp, ResADX, boolList1[index2], boolList2[index2]) : ResADX;
}
else if (!this.ParTrendUp && this.ParFlet && !this.ParTrendDn)
{
bool ResADX = doubleList3[index2] < this.KoefADXD1;
int num = this.ParBolFlet ? 0 : (!this.ParMenFlet ? 1 : 0);
boolList3[index2] = num == 0 ? AdvFazyRynka2.GetResADX(this.ParBolFlet, this.ParMenFlet, ResADX, boolList1[index2], boolList2[index2]) : ResADX;
}
else if (!this.ParTrendUp && !this.ParFlet && this.ParTrendDn)
{
bool ResADX = doubleList5[index2] < doubleList4[index2] && doubleList3[index2] > this.KoefADXD1;
int num = this.ParBolTrendDn ? 0 : (!this.ParMenTrendDn ? 1 : 0);
boolList3[index2] = num == 0 ? AdvFazyRynka2.GetResADX(this.ParBolTrendDn, this.ParMenTrendDn, ResADX, boolList1[index2], boolList2[index2]) : ResADX;
}
else if (this.ParTrendUp && this.ParFlet && !this.ParTrendDn)
{
bool ResADX1 = doubleList5[index2] > doubleList4[index2] && doubleList3[index2] > this.KoefADXD1;
bool flag1 = this.ParBolTrendUp || this.ParMenTrendUp ? AdvFazyRynka2.GetResADX(this.ParBolTrendUp, this.ParMenTrendUp, ResADX1, boolList1[index2], boolList2[index2]) : ResADX1;
bool ResADX2 = doubleList3[index2] < this.KoefADXD1;
bool flag2 = this.ParBolFlet || this.ParMenFlet ? AdvFazyRynka2.GetResADX(this.ParBolFlet, this.ParMenFlet, ResADX2, boolList1[index2], boolList2[index2]) : ResADX2;
boolList3[index2] = flag1 || flag2;
}
else if (this.ParTrendUp && !this.ParFlet && this.ParTrendDn)
{
bool ResADX1 = doubleList5[index2] > doubleList4[index2] && doubleList3[index2] > this.KoefADXD1;
bool flag1 = this.ParBolTrendUp || this.ParMenTrendUp ? AdvFazyRynka2.GetResADX(this.ParBolTrendUp, this.ParMenTrendUp, ResADX1, boolList1[index2], boolList2[index2]) : ResADX1;
bool ResADX2 = doubleList5[index2] < doubleList4[index2] && doubleList3[index2] > this.KoefADXD1;
bool flag2 = this.ParBolTrendDn || this.ParMenTrendDn ? AdvFazyRynka2.GetResADX(this.ParBolTrendDn, this.ParMenTrendDn, ResADX2, boolList1[index2], boolList2[index2]) : ResADX2;
boolList3[index2] = flag1 || flag2;
}
else if (!this.ParTrendUp && this.ParFlet && this.ParTrendDn)
{
bool ResADX1 = doubleList3[index2] < this.KoefADXD1;
bool flag1 = this.ParBolFlet || this.ParMenFlet ? AdvFazyRynka2.GetResADX(this.ParBolFlet, this.ParMenFlet, ResADX1, boolList1[index2], boolList2[index2]) : ResADX1;
bool ResADX2 = doubleList5[index2] < doubleList4[index2] && doubleList3[index2] > this.KoefADXD1;
bool flag2 = this.ParBolTrendDn || this.ParMenTrendDn ? AdvFazyRynka2.GetResADX(this.ParBolTrendDn, this.ParMenTrendDn, ResADX2, boolList1[index2], boolList2[index2]) : ResADX2;
boolList3[index2] = flag1 || flag2;
}
else if (this.ParTrendUp && this.ParFlet && this.ParTrendDn)
{
bool ResADX1 = doubleList5[index2] > doubleList4[index2] && doubleList3[index2] > this.KoefADXD1;
bool flag1 = this.ParBolTrendUp || this.ParMenTrendUp ? AdvFazyRynka2.GetResADX(this.ParBolTrendUp, this.ParMenTrendUp, ResADX1, boolList1[index2], boolList2[index2]) : ResADX1;
bool ResADX2 = doubleList3[index2] < this.KoefADXD1;
bool flag2 = this.ParBolFlet || this.ParMenFlet ? AdvFazyRynka2.GetResADX(this.ParBolFlet, this.ParMenFlet, ResADX2, boolList1[index2], boolList2[index2]) : ResADX2;
bool ResADX3 = doubleList5[index2] < doubleList4[index2] && doubleList3[index2] > this.KoefADXD1;
bool flag3 = this.ParBolTrendDn || this.ParMenTrendDn ? AdvFazyRynka2.GetResADX(this.ParBolTrendDn, this.ParMenTrendDn, ResADX3, boolList1[index2], boolList2[index2]) : ResADX3;
boolList3[index2] = flag1 || flag2 || flag3;
}
else
{
boolList3[index2] = false;
}
}
return(boolList3);
}
public IList <double> Execute(ISecurity source1, ISecurity source2)
{
ISecurity security1 = source1.CompressTo(Interval.D1, 0, 1440, 600);
ISecurity security2 = source2.CompressTo(Interval.D1, 0, 1440, 600);
int count1 = source1.Bars.Count;
IList <double> closePrices1 = security1.GetClosePrices(this.Context);
IList <double> closePrices2 = security2.GetClosePrices(this.Context);
int count2 = security1.Bars.Count;
int count3 = security2.Bars.Count;
IList <double> doubleList = (IList <double>)(this.Context?.GetArray <double>(count1) ?? new double[count1]);
int index1 = 0;
for (int index2 = 0; index2 < count1; ++index2)
{
DateTime date1 = source1.Bars[index2].Date;
DateTime date2 = date1.Date;
while (true)
{
int num;
if (index1 < count2)
{
date1 = security2.Bars[index1].Date;
num = date1.Date < date2 ? 1 : 0;
}
else
{
num = 0;
}
if (num != 0)
{
doubleList[index2] = this.ParKoeff * closePrices1[index1] * this.ParLimitPrc * closePrices2[index1] / this.ParBaseGO / this.ParStepMin * (1.0 + closePrices2[index1] / this.ParCalcPrice);
++index1;
}
else
{
break;
}
}
int num1;
if (index2 + 1 < count1)
{
date1 = source1.Bars[index2 + 1].Date;
if (date1.Date == date2)
{
num1 = 1;
goto label_11;
}
}
num1 = index1 == count2 ? 1 : 0;
label_11:
if (num1 != 0)
{
--index1;
}
if (index1 <= 0)
{
index1 = 0;
doubleList[index2] = this.ParKoeff * closePrices1[index1] * this.ParLimitPrc * closePrices2[index1] / this.ParBaseGO / this.ParStepMin * (1.0 + closePrices2[index1] / this.ParCalcPrice);
}
}
return(doubleList);
}
public void Update(int barNumber)
{
security.BarNumber = barNumber;
if (!flagToDebugLog)
{
var message = string.Format("ГО на покупку: {0}; ГО на продажу: {1}; Шаг цены: {2}", security.BuyDeposit, security.SellDeposit, security.StepPrice);
logger.Log(message);
flagToDebugLog = true;
}
var le = sec.Positions.GetLastActiveForSignal("LE", barNumber);
var subBars = security.GetBars(barNumber);
var lastBar = security.LastBar;
var lows = pivotPointsIndicator.GetLows(barNumber);
logger.Log("lows.Count = " + lows.Count.ToString());
var lowsValues = new List <double>();
foreach (var low in lows)
{
lowsValues.Add(low.Value);
}
var compressedSec = sec.CompressTo(new Interval(30, DataIntervals.MINUTE));
var filterBarNumber = compressedSecurity.GetBarCompressedNumberFromBarBaseNumber(barNumber);
var lowsFilter = pivotPointsIndicatorFilter.GetLows(filterBarNumber - 1);
var valuesFilterLows = new List <double>();
foreach (var low in lowsFilter)
{
valuesFilterLows.Add(low.Value);
}
var highsFilter = pivotPointsIndicatorFilter.GetHighs(filterBarNumber - 1);
var valuesFilterHighs = new List <double>();
foreach (var high in highsFilter)
{
valuesFilterHighs.Add(high.Value);
}
#region Long
if (le == null)
{
if (!IsAboutEndOfSession(lastBar.Date))
{
var message = string.Format("Номер бара = {0}; patternPivotPoints_1g2.Check(lowsValues) = {1}; patternPivotPoints_1g2g3.Check(valuesFilterLows) = {2}; " +
"!patternPivotPoints_1l2.Check(valuesFilterHighs) = {3}", barNumber, patternPivotPoints_1g2.Check(lowsValues), patternPivotPoints_1g2g3.Check(valuesFilterLows),
!patternPivotPoints_1l2.Check(valuesFilterHighs));
logger.Log(message);
message = string.Format("lowsValues.Count = {0}", lowsValues.Count);
logger.Log(message);
if (patternPivotPoints_1g2.Check(lowsValues) && patternPivotPoints_1g2g3.Check(valuesFilterLows) && !patternPivotPoints_1l2.Check(valuesFilterHighs))
{
logger.Log("Номер бара = " + barNumber.ToString() + "; Условие входа выполнено!");
if (barNumber == lows.Last().BarNumber + 3)
{
var lowLast = lows.Last();
var stopPrice = lowLast.Value - 1;
var lastPrice = lastBar.Close;
if (lastPrice > stopPrice)
{
var contracts = localMoneyManager.GetQntContracts(lastPrice, stopPrice, PositionSide.Long);
//var contracts = 1;
sec.Positions.BuyAtMarket(barNumber + 1, contracts, "LE");
takeProfitLong = 0;
}
}
}
}
}
else
{
if (lows.Count == 0)
{
return;
}
var low = lows.Last();
stopLossLong = low.Value - 1;
var riskValue = le.EntryPrice - stopLossLong;
if (takeProfitLong == 0)
{
takeProfitLong = le.EntryPrice + riskValue * 2;
}
if (IsAboutEndOfSession(lastBar.Date))
{
le.CloseAtMarket(barNumber + 1, "LXT");
}
le.CloseAtStop(barNumber + 1, stopLossLong, 100, "LXS");
le.CloseAtProfit(barNumber + 1, takeProfitLong, 100, "LXP");
}
#endregion
#region Short
var se = sec.Positions.GetLastActiveForSignal("SE", barNumber);
var highs = pivotPointsIndicator.GetHighs(barNumber);
var highsValues = new List <double>();
foreach (var high in highs)
{
highsValues.Add(high.Value);
}
if (se == null)
{
if (!IsAboutEndOfSession(lastBar.Date))
{
if (patternPivotPoints_1l2.Check(highsValues) && patternPivotPoints_1l2l3.Check(valuesFilterHighs) && !patternPivotPoints_1g2.Check(valuesFilterLows))
{
if (barNumber == highs.Last().BarNumber + 3)
{
var highLast = highs.Last();
var stopPrice = highLast.Value + 1;
var lastPrice = lastBar.Close;
if (lastPrice < stopPrice)
{
var contracts = localMoneyManager.GetQntContracts(lastPrice, stopPrice, PositionSide.Short);
//var contracts = 1;
sec.Positions.SellAtMarket(barNumber + 1, contracts, "SE");
takeProfitShort = 0;
}
}
}
}
}
else
{
if (highs.Count == 0)
{
return;
}
var high = highs.Last();
stopLossShort = high.Value + 1;
var riskValue = stopLossShort - se.EntryPrice;
if (takeProfitShort == 0)
{
takeProfitShort = se.EntryPrice - riskValue * 2;
}
if (IsAboutEndOfSession(lastBar.Date))
{
se.CloseAtMarket(barNumber + 1, "SXT");
}
se.CloseAtStop(barNumber + 1, stopLossShort, 100, "SXS");
se.CloseAtProfit(barNumber + 1, takeProfitShort, 100, "SXP");
}
#endregion
}
public ISecurity Execute(ISecurity source)
{
return(source.CompressTo(new Interval(Interval, DataIntervals.SECONDS)));
}