public SimpleEvaluator(SymbolInformation symbol)
: base(symbol)
{
this.tp = Indicators.TP(symbol);
this.psar = Indicators.PSAR(this.Symbol, 0.02, 0.02, 0.2);
for (var i = 1; i <= 250; i++)
{
this.emas[i] = Indicators.EMA(symbol, SourceType.Close, i);
//this.demas[i] = Indicators.DEMA(symbol, SourceType.Close, i);
//this.temas[i] = Indicators.TEMA(symbol, SourceType.Close, i);
this.smas[i] = Indicators.SMA(symbol, SourceType.Close, i);
//this.emas[i] = Indicators.EMA(this.tp, i);
//this.demas[i] = Indicators.DEMA(this.tp, i);
//this.temas[i] = Indicators.TEMA(this.tp, i);
//this.smas[i] = Indicators.SMA(this.tp, i);
}
}
public Model(SymbolInformation symbol, Learner learner, double costOfTrades)
{
this.Symbol = symbol;
this.Learner = learner;
this.CostOfTrades = costOfTrades;
// create additional data required for features
this.High = this.Symbol.High;
this.Low = this.Symbol.Low;
this.Close = this.Symbol.Close;
this.Open = this.Symbol.Open;
this.Volume = this.Symbol.Volume;
this.Days = this.Symbol.Day;
this.Ema20 = Indicators.EMA(this.Symbol, SourceType.Close, 20);
this.Ema50 = Indicators.EMA(this.Symbol, SourceType.Close, 50);
this.Ema200 = Indicators.EMA(this.Symbol, SourceType.Close, 200);
this.RSI = Indicators.RSI(this.Close, 50).Scale(0, 100, -1.0, 1);
//this.KAMA = Indicators.KAMA(symbol, SourceType.Close, 50);
this.ST = Indicators.ST(this.Symbol, 50, 3);
(this.RelativeMACD, this.RelativeSignal) = Indicators.RelativeMACD(this.Close, 20, 200, 9, MovingAverage.EMA);
this.RelativeMACD = this.Scale(this.RelativeMACD, -0.15, 0.15);
this.RelativeSignal = this.Scale(this.RelativeSignal, -0.15, 0.15);
this.Ema20_50 = this.Scale(Indicators.RelativeDistance(this.Ema20, this.Ema50), -0.20, 0.20);
this.Ema50_200 = this.Scale(Indicators.RelativeDistance(this.Ema50, this.Ema200), -0.20, 0.20);
this.Ema50_Close = this.Scale(Indicators.RelativeDistance(this.Ema50, this.Close), -0.40, 0.40);
this.St_Close = this.Scale(Indicators.RelativeDistance(this.ST, this.Close), -0.30, 0.30);
this.Vola = this.Scale(Indicators.VOLA(this.Symbol, SourceType.Close, 30, 250), 0, 0.7);
this.obos = this.Scale(Indicators.OBOS(this.Symbol, 50), 0, 100);
var(elrBullish, elrBearish) = Indicators.ELR(this.Symbol, 50);
this.bullish = this.Scale(Indicators.Ratio(elrBullish, this.Close), -0.10, 0.10);
this.bearish = this.Scale(Indicators.Ratio(elrBearish, this.Close), -0.10, 0.101);
var(dmi, diPlus, diMinus) = Indicators.DMI(this.Symbol, 50);
this.dmi = this.Scale(dmi, 0, 100);
this.diPlus = this.Scale(diPlus, 0, 100);
this.diMinus = this.Scale(diMinus, 0, 100);
this.DayOfWeek = Scale(Indicators.DayOfWeek(symbol), 0, 6);
this.Month = Scale(Indicators.Month(symbol), 1, 12);
this.RelMacdSignal = this.Scale(Indicators.Distance(RelativeMACD, RelativeSignal), -0.1, 0.1);
//var corr = new PearsonCorrelation();
//var sim = corr.Similarity(this.Ema20, this.Ema20);
}
public async Task <ChartView> EmaView(string symbol, string interval, int candles, DateTime dateFrom, int ema)
{
var listModel = new List <ChartWithEma>();
var instrument = await _instrumentRepository.GetInstrument(symbol);
var chart = await _chartRepository.GetChartRangeTimeAsync(symbol, interval, dateFrom, candles, instrument.Precision);
var timeArray = chart.Quotations.Select(x => x.Time.ConvertDateTimeToTicks()).ToArray();
var openArray = chart.Quotations.Select(x => x.Open).ToArray();
var highArray = chart.Quotations.Select(x => x.High).ToArray();
var lowArray = chart.Quotations.Select(x => x.Low).ToArray();
var closeArray = chart.Quotations.Select(x => x.Close).ToArray();
var emasH = Indicators.EMA(closeArray, ema);
listModel.AddRange(chart.Quotations.Select(
x => new ChartWithEma
{
Time = x.Time.ConvertDateTimeToTicks(),
Open = x.Open,
High = x.High,
Low = x.Low,
Close = x.Close,
}));
var buyTrades = listModel.Where(x => x.TypeAction == "B").ToList();
var sellTrades = listModel.Where(x => x.TypeAction == "S").ToList();
var c = CombineArrays(timeArray, openArray, highArray, lowArray, closeArray);
var series = new List <dynamic>()
{
CombineArrays(timeArray, openArray, highArray, lowArray, closeArray),
CombineArrays(timeArray.Skip(ema).ToArray(), emasH.Skip(ema).ToArray()),
};
var chartView = new ChartView {
Series = series
};
return(chartView);
}
// Ema - 44
public Task Play(Pivot pivot, Chart chart, int ema, int stopLoss)
{
var emasH = Indicators.EMA(chart.Quotations.Select(x => x.Close).ToArray(), ema);
for (int i = 0; i < emasH.Count(); i++)
{
chart.Quotations[i].AddEma(emasH[i]);
}
var openTransactions = Account.GetOpenTransaction(chart.Symbol);
if (openTransactions == null)
{
var lastQuotation = chart.GetLastQuotation();
if (lastQuotation.High < pivot.P && lastQuotation.Close > pivot.S1 && lastQuotation.Low < pivot.S1)
{
if (lastQuotation.Close < lastQuotation.EmaValue)
{
var takeProfit = (int)Math.Abs(Math.Round(lastQuotation.Close - pivot.S1, 0));
var stopLossAdditional = (int)Math.Abs(Math.Round(lastQuotation.Close - pivot.P, 0));
var volumen = GetVolumen(TypeTransaction.Sell);
if (takeProfit / stopLoss > 2)
{
Account.AddTransaction(1, Instrument, lastQuotation.Close, stopLoss, takeProfit, volumen, TypeTransaction.Sell, lastQuotation.Time, typeof(PivotStrategy).Name);
}
}
else if (lastQuotation.Close > lastQuotation.EmaValue)
{
var takeProfit = (int)Math.Abs(Math.Round(lastQuotation.Close - pivot.P, 0));
var stopLossAdditional = (int)Math.Abs(Math.Round(lastQuotation.Close - pivot.S1, 0));
var volumen = GetVolumen(TypeTransaction.Buy);
if (takeProfit / stopLoss > 2)
{
Account.AddTransaction(1, Instrument, lastQuotation.Close, stopLoss, takeProfit, volumen, TypeTransaction.Buy, lastQuotation.Time, typeof(PivotStrategy).Name);
}
}
}
else if (lastQuotation.High < pivot.S1 && lastQuotation.Close > pivot.S2)
{
if (lastQuotation.Close < lastQuotation.EmaValue)
{
var takeProfit = (int)Math.Abs(Math.Round(lastQuotation.Close - pivot.S2, 0));
var stopLossAdditional = (int)Math.Abs(Math.Round(lastQuotation.Close - pivot.S1, 0));
var volumen = GetVolumen(TypeTransaction.Sell);
if (takeProfit / stopLoss > 2)
{
Account.AddTransaction(1, Instrument, lastQuotation.Close, stopLoss, takeProfit, volumen, TypeTransaction.Sell, lastQuotation.Time, typeof(PivotStrategy).Name);
}
}
else if (lastQuotation.Close > lastQuotation.EmaValue)
{
var takeProfit = (int)Math.Abs(Math.Round(lastQuotation.Close - pivot.S1, 0));
var stopLossAdditional = (int)Math.Abs(Math.Round(lastQuotation.Close - pivot.S2, 0));
var volumen = GetVolumen(TypeTransaction.Buy);
if (takeProfit / stopLoss > 2)
{
Account.AddTransaction(1, Instrument, lastQuotation.Close, stopLoss, takeProfit, volumen, TypeTransaction.Buy, lastQuotation.Time, typeof(PivotStrategy).Name);
}
}
}
else if (lastQuotation.High < pivot.S2 && lastQuotation.Close > pivot.S3)
{
if (lastQuotation.Close < lastQuotation.EmaValue)
{
var takeProfit = (int)Math.Abs(Math.Round(lastQuotation.Close - pivot.S3, 0));
var stopLossAdditional = (int)Math.Abs(Math.Round(lastQuotation.Close - pivot.S2, 0));
var volumen = GetVolumen(TypeTransaction.Sell);
if (takeProfit / stopLoss > 2)
{
Account.AddTransaction(1, Instrument, lastQuotation.Close, stopLoss, takeProfit, volumen, TypeTransaction.Sell, lastQuotation.Time, typeof(PivotStrategy).Name);
}
}
else if (lastQuotation.Close > lastQuotation.EmaValue)
{
var takeProfit = (int)Math.Abs(Math.Round(lastQuotation.Close - pivot.S2, 0));
var stopLossAdditional = (int)Math.Abs(Math.Round(lastQuotation.Close - pivot.S3, 0));
var volumen = GetVolumen(TypeTransaction.Buy);
if (takeProfit / stopLoss > 2)
{
Account.AddTransaction(1, Instrument, lastQuotation.Close, stopLoss, takeProfit, volumen, TypeTransaction.Buy, lastQuotation.Time, typeof(PivotStrategy).Name);
}
}
}
else if (lastQuotation.Low > pivot.P && lastQuotation.Close < pivot.R1)
{
if (lastQuotation.Close > lastQuotation.EmaValue)
{
var takeProfit = (int)Math.Abs(Math.Round(lastQuotation.Close - pivot.R1, 0));
var stopLossAdditional = (int)Math.Abs(Math.Round(lastQuotation.Close - pivot.P, 0));
var volumen = GetVolumen(TypeTransaction.Buy);
if (takeProfit / stopLoss > 2)
{
Account.AddTransaction(1, Instrument, lastQuotation.Close, stopLoss, takeProfit, volumen, TypeTransaction.Buy, lastQuotation.Time, typeof(PivotStrategy).Name);
}
}
else if (lastQuotation.Close < lastQuotation.EmaValue)
{
var takeProfit = (int)Math.Abs(Math.Round(lastQuotation.Close - pivot.P, 0));
var stopLossAdditional = (int)Math.Abs(Math.Round(lastQuotation.Close - pivot.R1, 0));
var volumen = GetVolumen(TypeTransaction.Sell);
if (takeProfit / stopLoss > 2)
{
Account.AddTransaction(1, Instrument, lastQuotation.Close, stopLoss, takeProfit, volumen, TypeTransaction.Sell, lastQuotation.Time, typeof(PivotStrategy).Name);
}
}
}
else if (lastQuotation.Low > pivot.R1 && lastQuotation.Close < pivot.R2)
{
if (lastQuotation.Close > lastQuotation.EmaValue)
{
var takeProfit = (int)Math.Abs(Math.Round(lastQuotation.Close - pivot.R2, 0));
var stopLossAdditional = (int)Math.Abs(Math.Round(lastQuotation.Close - pivot.R1, 0));
var volumen = GetVolumen(TypeTransaction.Buy);
if (takeProfit / stopLoss > 2)
{
Account.AddTransaction(1, Instrument, lastQuotation.Close, stopLoss, takeProfit, volumen, TypeTransaction.Buy, lastQuotation.Time, typeof(PivotStrategy).Name);
}
}
else if (lastQuotation.Close < lastQuotation.EmaValue)
{
var takeProfit = (int)Math.Abs(Math.Round(lastQuotation.Close - pivot.R1, 0));
var stopLossAdditional = (int)Math.Abs(Math.Round(lastQuotation.Close - pivot.R2, 0));
var volumen = GetVolumen(TypeTransaction.Sell);
if (takeProfit / stopLoss > 2)
{
Account.AddTransaction(1, Instrument, lastQuotation.Close, stopLoss, takeProfit, volumen, TypeTransaction.Sell, lastQuotation.Time, typeof(PivotStrategy).Name);
}
}
}
else if (lastQuotation.Low > pivot.R2 && lastQuotation.Close < pivot.R3)
{
if (lastQuotation.Close > lastQuotation.EmaValue)
{
var takeProfit = (int)Math.Abs(Math.Round(lastQuotation.Close - pivot.R3, 0));
var stopLossAdditional = (int)Math.Abs(Math.Round(lastQuotation.Close - pivot.R2, 0));
var volumen = GetVolumen(TypeTransaction.Buy);
if (takeProfit / stopLoss > 2)
{
Account.AddTransaction(1, Instrument, lastQuotation.Close, stopLoss, takeProfit, volumen, TypeTransaction.Buy, lastQuotation.Time, typeof(PivotStrategy).Name);
}
}
else if (lastQuotation.Close < lastQuotation.EmaValue)
{
var takeProfit = (int)Math.Abs(Math.Round(lastQuotation.Close - pivot.R2, 0));
var stopLossAdditional = (int)Math.Abs(Math.Round(lastQuotation.Close - pivot.R3, 0));
var volumen = GetVolumen(TypeTransaction.Sell);
if (takeProfit / stopLoss > 2)
{
Account.AddTransaction(1, Instrument, lastQuotation.Close, stopLoss, takeProfit, volumen, TypeTransaction.Sell, lastQuotation.Time, typeof(PivotStrategy).Name);
}
}
}
}
return(Task.CompletedTask);
}
public async Task <ChartView> SimulateView(string symbol, string interval)
{
var listModel = new List <ChartWithEma>();
var symbols = await _instrumentRepository.GetInstruments();
var instrument = symbols.FirstOrDefault(x => x.Symbol == symbol);
var chartTakeProfit = await _chartRepository.GetChartAsync(instrument.Symbol, interval, 150, instrument.Precision);
var takeProfit = (decimal)Math.Round((chartTakeProfit.Quotations
.Sum(x =>
{
var low = x.Low * Math.Pow(10, instrument.Precision);
var high = x.High * Math.Pow(10, instrument.Precision);
var pipsDiff = Math.Round(Math.Abs(low - high), 1);
return(pipsDiff / 10);
}) / chartTakeProfit.Quotations.Count()), 2);
var chart = await _chartRepository.GetChartAsync(instrument.Symbol, interval, 10000, instrument.Precision);
var emaValue = 50;
var emasH = Indicators.EMA(chart.Quotations.Select(x => x.Close).ToArray(), emaValue);
for (int i = 0; i < emasH.Count(); i++)
{
chart.Quotations[i].AddEma(emasH[i]);
}
var quotations = chart.Quotations.ToArray();
var timeArray = quotations.Select(x => x.Time.ConvertDateTimeToTicks()).ToArray();
var openArray = quotations.Select(x => x.Open).ToArray();
var highArray = quotations.Select(x => x.High).ToArray();
var lowArray = quotations.Select(x => x.Low).ToArray();
var closeArray = quotations.Select(x => x.Close).ToArray();
listModel.AddRange(quotations.Select(
x => new ChartWithEma
{
Time = x.Time.ConvertDateTimeToTicks(),
Open = x.Open,
High = x.High,
Low = x.Low,
Close = x.Close,
}));
var buyTrades = listModel.Where(x => x.TypeAction == "B").ToList();
var sellTrades = listModel.Where(x => x.TypeAction == "S").ToList();
var c = CombineArrays(timeArray, openArray, highArray, lowArray, closeArray);
var series = new List <dynamic>()
{
CombineArrays(timeArray, openArray, highArray, lowArray, closeArray),
CombineArrays(timeArray, emasH),
GetTradeSignals(buyTrades.Select(x => x.Time).ToArray(), "B"),
GetTradeSignals(sellTrades.Select(x => x.Time).ToArray(), "S")
};
var chartView = new ChartView {
Series = series
};
return(chartView);
}
