public HyperlinkCrawlerStrategy(
HyperlinkCrawlerSettings settings,
HttpClient httpClient,
ILogger logger,
HyperlinkCrawlRequest request)
: base(httpClient, logger, request, settings.MaxUriProcessingDegreeOfParallelism)
{
_settings = settings;
_httpClient = httpClient;
_logger = logger;
_crawlCompleteTokenLock = new SemaphoreSlim(1, 1);
_events = new StrategyEvents(
accepted => {
_state.AddAccepted(accepted);
_logger.LogDebug($"Accepted URI: {accepted.Uri}");
},
processed => {
_state.AddProcessed(processed);
_logger.LogDebug($"Processed URI: {processed.Uri}");
},
failure => {
_state.AddFailure(failure);
_logger.LogDebug($"Failed URI: {failure.Uri}");
},
discovered => {
_state.AddDiscovered(discovered);
_logger.LogDebug($"Discovered URIs: {discovered.Uris.Count}" + string.Join(Environment.NewLine, discovered.Uris));
});
}
protected override void CalcBar()
{
CurSpecOrdersMode = ESpecOrdersMode.PerPosition;
if (!Environment.IsRealTimeCalc) // There is no need to calculate on historical data, that is why backtesting is ignored
{
// As soon as backtesting is finished, the signal gets immediately calculated by the timer.
// It is necessary to calculate the CRTDR and other values which can be requested by MM-signal at any moment.
ExecControl.RecalcLastBarAfter(TimeSpan.FromSeconds(recalcFrequency));
return;
}
// This method will be called over and over again because of the RecalcLastBarAfter setting
// Since we do not want to get the same logs all the time we have a throttling in place
// which will allow only certain calls to really log their output.
// Depending on the time of the day we log more of less often.
UpdateLogThrottling();
var high = Bars.HighValue;
var low = Bars.LowValue;
var close = Bars.CloseValue;
var crtdr = CRTDRIndicatorMath.CalcNextValue(high, low, close);
var xAverageLongValue = xAverageLong.Value;
var xAverageShortValue = xAverageShort.Value;
var trend = GetTrend(close, xAverageLongValue, xAverageShortValue);
var rsiDown = cutlersRSIIndicatorMathDown.Value;
var rsiFlat = cutlersRSIIndicatorMathFlat.Value;
var rsiUp = cutlersRSIIndicatorMathUp.Value;
var rsi = trend == Trend.Down ? rsiDown : (trend == Trend.Up ? rsiUp : rsiFlat);
MyPortfolioData[PortfolioDataKeys.IWantToBuy] = false;
MyPortfolioData[PortfolioDataKeys.IWantToSell] = false;
MyPortfolioData[PortfolioDataKeys.CRTDR] = crtdr;
LogThrottled("Reason: {0}, Status: {1}, Open: {2}, High: {3}, Low: {4}, Close: {5}, RSI: {6}, CRTDR: {7}, xAvgLong: {8}, xAvgShort: {9}", Environment.CalcReason, Bars.Status, Bars.OpenValue, Bars.HighValue, Bars.LowValue, Bars.CloseValue, rsi, crtdr, xAverageLongValue, xAverageShortValue);
if (StrategyInfo.MarketPosition == 0)
{
if (GetSignalUp(crtdr, rsi, trend))
{
//var numLots = Convert.ToInt32((InitialCapital + (doReinvestment ? Portfolio.NetProfit : 0.0)) / Bars.CloseValue);
MyPortfolioData[PortfolioDataKeys.IWantToBuy] = true;
LogThrottled("Signal says: We would like to buy @ {0}$", Bars.CloseValue);
}
// else if (GetSignalDown(crtdr, rsi, trend))
// {
// Output.WriteLine("SHORT on {0}, high {1} low {2} close {3} rsi {4} crtdr {5} xAverageLong {6} xAverageShort {7}", Bars.TimeValue, high, low, close, rsi, crtdr, xAverageLongValue, xAverageShortValue);
// MyPortfolioData[PortfolioHelpFunctions.PotentialEntryPrice] = -Bars.CloseValue;
// sellShortOrder.Send(Convert.ToInt32((InitialCapital + (doReinvestment ? Portfolio.NetProfit : 0.0)) / 10.0 / Bars.CloseValue));
// }
// else
// {
// Log("--- FLAT - NOP ---");
// }
}
else if (StrategyInfo.MarketPosition > 0)
{
// WE ARE LONG
//var barsSinceEntry = Bars.CurrentBar - CurrentPosition.OpenTrades[0].EntryOrder.BarNumber;
// BarsSinceEntry() doesn't work upon the restart of a trading session in which case BarsSinceEntry() will be zero no matter when the deals were actually opened
var barsSinceEntry = Math.Min(1, this.BarsSinceEntry());
var openProfit = CurrentPosition.OpenProfit;
var signalUp = GetSignalUp(crtdr, rsi, trend);
var rsiSellLevel = GetRsiSellLevel(trend);
LogThrottled("Should we sell? Bars since entry: {0}, open profit: {1}, signal up: {2}, rsi: {3}, rsiSellLevel: {4}", barsSinceEntry, openProfit, signalUp, rsi, rsiSellLevel);
// close non-profitable positions straight away because we have picked a loser and need to free up money for new deals
if (openProfit < 0)
{
LogThrottled("Loser cut! Assumed loss: {0}$", CurrentPosition.OpenProfit);
MyPortfolioData[PortfolioDataKeys.IWantToSell] = true;
}
else if (barsSinceEntry > 2 && !signalUp)
{
LogThrottled("SELL! Bars since entry > 2 and no up signal. Assuming to cash in ~{0}$", CurrentPosition.OpenProfit);
MyPortfolioData[PortfolioDataKeys.IWantToSell] = true;
}
else if (rsi > rsiSellLevel)
{
LogThrottled("SELL! RSI condition satisfied, we take the profit (~{0}$) and run!", CurrentPosition.OpenProfit);
MyPortfolioData[PortfolioDataKeys.IWantToSell] = true;
}
else
{
//Log("--- LONG - NOP ---");
}
}
// else if(marketPosition < 0)
// {
// // WE ARE SHORT
// GenerateStopLoss(StrategyInfo.AvgEntryPrice * Math.Abs(marketPosition) * StopLossLevel);
//
// if(this.BarsSinceEntry() > 2 && !GetSignalDown(crtdr, rsi, trend))
// {
// //Output.WriteLine("{8}: COVER1 on {0}, high {1} low {2} close {3} rsi {4} crtdr {5} xAverageLong {6} xAverageShort {7}", Bars.TimeValue, high, low, close, rsi, crtdr, xAverageLongValue, xAverageShortValue, Bars.Info.Name);
// buyToCoverOrder.Send();
// }
// else if(rsi < (trend == Trend.Down ? RsiCoverLevelDown : (trend == Trend.Up ? RsiCoverLevelUp : RsiCoverLevelFlat)))
// {
// //Output.WriteLine("{8}: COVER2 on {0}, high {1} low {2} close {3} rsi {4} crtdr {5} xAverageLong {6} xAverageShort {7}", Bars.TimeValue, high, low, close, rsi, crtdr, xAverageLongValue, xAverageShortValue, Bars.Info.Name);
// buyToCoverOrder.Send();
// }
// else
// {
// Log("--- SHORT - NOP ---");
// }
// }
StrategyEvents cmd = StrategyEvents.None;
object obj = MyPortfolioData[PortfolioDataKeys.MoneyManagementCommand]; // Check, if there are any MM-signal events available
if (obj != null)
{
cmd = (StrategyEvents)obj;
}
//Log("Got command {0}", cmd);
switch (cmd) // Execute specific commands, depending on the event
{
case StrategyEvents.GenerateOrders_Long:
int numberOfShares = Convert.ToInt32(MyPortfolioData[PortfolioDataKeys.NumberOfShares]);
buyOrder.Send(numberOfShares);
LogThrottled("Generated Buy: {0}#", numberOfShares);
GenerateOrAdjustStopLosses();
break;
case StrategyEvents.GenerateOrders_Short:
sellOrder.Send();
LogThrottled("Generated Sell.");
break;
case StrategyEvents.None:
ExecControl.RecalcLastBarAfter(TimeSpan.FromSeconds(recalcFrequency));
break;
}
// During calculation at the bar close, global variables, used to exchange messages between the current signal and MM-signal should be reset
if (Bars.Status == EBarState.Close)
{
Log("Close event received."); // only send email output if trade has been sent on this day
DumpFileLog();
MyPortfolioData[PortfolioDataKeys.CRTDR] = 1.0;
MyPortfolioData[PortfolioDataKeys.MoneyManagementCommand] = StrategyEvents.None;
MyPortfolioData[PortfolioDataKeys.IWantToBuy] = false;
MyPortfolioData[PortfolioDataKeys.IWantToSell] = false;
MyPortfolioData[PortfolioDataKeys.NumberOfShares] = 0;
ExecControl.RecalcLastBarAfter(TimeSpan.FromSeconds(recalcFrequency)); // And start the timer to wait for the new commands from MM-signal
}
}
