// Updates this model using the new price information in the specified security instance
// Update is a mandatory method
public void Update(Security security, BaseData data)
{
var timeSinceLastUpdate = data.EndTime - _lastUpdate;
if (timeSinceLastUpdate >= _periodSpan && data.Price > 0m)
{
if (_lastPrice > 0)
{
_window.Add(data.Price / _lastPrice - 1.0m);
_needsUpdate = _window.IsReady;
}
_lastUpdate = data.EndTime;
_lastPrice = data.Price;
}
if (_window.Count() < 2)
{
Volatility = 0;
return;
}
if (_needsUpdate)
{
_needsUpdate = false;
var mean = _window.Average();
var std = Math.Sqrt((double)_window.Sum(x => (x - mean) * (x - mean)) / _window.Count());
Volatility = Convert.ToDecimal(std * Math.Sqrt(252d));
}
}
public void WhenComputing_Then_ResultIsTheSumOfAllDataInTheWindow()
{
const int period = 5;
var sut = new SumComputation();
var window = new RollingWindow <double>(period);
for (int i = 0; i < 2 * period; i++)
{
window.Add(i);
var result = sut.Compute(window);
Assert.AreEqual(window.Sum(), result);
}
}
public void OnData(TradeBars data)
{
if (!_slow.IsReady)
{
_volume.Add(Securities[Symbol].Volume);
_price.Add(Securities[Symbol].Price);
return;
}
var averageVolume = _volume.Sum() / _volume.Count;
var volumeSignal = Securities[Symbol].Volume > averageVolume ||
_volume.Skip(_volume.Count - 7).Any(av => av > averageVolume);
var holdings = Portfolio[Symbol].Quantity;
if (_openStopMarketOrder != null && _openStopMarketOrder.Status != OrderStatus.Filled)
{
if (_openStopMarketOrder.Tag.Equals("long") && _price[0] < Securities[Symbol].Price)
{
var newLongLimit = Securities[Symbol].Price * (1 - 0.05m);
_openStopMarketOrder.Update(new UpdateOrderFields
{
StopPrice = newLongLimit
});
}
else if (_openStopMarketOrder.Tag.Equals("short") && _price[0] > Securities[Symbol].Price)
{
var newShortLimit = Securities[Symbol].Price * 1.05m;
_openStopMarketOrder.Update(new UpdateOrderFields
{
StopPrice = newShortLimit
});
}
}
else if (holdings <= 0 && _fast > _slow * (1 + tolerance) && volumeSignal)
{
Log("BUY >> " + Securities[Symbol].Price);
//SetHoldings(Symbol, 1.0);
var orderTicket = StopMarketOrder(Symbol, (int)(Portfolio.Cash / Securities[Symbol].Price), Securities[Symbol].Price * (1 - 0.05m), "long");
_openStopMarketOrder?.Cancel();
_openStopMarketOrder = orderTicket;
}
else if (holdings >= 0 && _fast < _slow * (1 - tolerance) && volumeSignal)
{
Log("SELL >> " + Securities[Symbol].Price);
//SetHoldings(Symbol, -1.0);
var shortAmount = Portfolio[Symbol].HoldingsValue == 0 ? Portfolio.Cash : Portfolio[Symbol].HoldingsValue;
var orderTicket = StopMarketOrder(Symbol, -(int)(shortAmount / Securities[Symbol].Price), Securities[Symbol].Price * 1.05m, "short");
_openStopMarketOrder?.Cancel();
_openStopMarketOrder = orderTicket;
}
_volume.Add(Securities[Symbol].Volume);
_price.Add(Securities[Symbol].Price);
Plot("SMA Cross", "400", _slow.RollingSum / _slow.Period);
Plot("SMA Cross", "100", _fast.RollingSum / _fast.Period);
Plot("SMA Cross", "Price", Securities[Symbol].Price);
}