/// <summary>
/// Write ctx to Json file
/// </summary>
/// <returns></returns>
public void WriteCtxParaObj()
{
//Print(String.Format("ReadCtxPairSpd paraDict={0}, paraDict.Count={1}", ctxPairSpd, ctxPairSpd.Count));
// foreach(var ele in ctxPairSpd)
// {
// Print(string.Format("DateCtx.ele.Key={0}, ele.Value.ToString()={1}", ele.Key, ele.Value));
// foreach(CtxPairSpd ctxPS in ele.Value) {
// Print(string.Format("ctxPS.Symbol={0}, ctxPS.TimeClose={1}", ctxPS.Symbol, ctxPS.TimeClose));
// }
// }
//if(IsInStrategyAnalyzer)
//return;
try{
string output = GConfig.Dictionary2JsonFile(this.CtxPairSpreadDaily.DictCtxPairSpd, GConfig.GetCTXOutputFilePath());
Print(string.Format("WriteCtxParaObj={0}", CtxPairSpreadDaily.DictCtxPairSpd.Count));
foreach (string key in CtxPairSpreadDaily.DictCtxPairSpd.Keys)
{
List <CtxPairSpd> cps = CtxPairSpreadDaily.DictCtxPairSpd[key];
if (cps != null && cps.Count > 0)
{
CtxPairSpd ctx = cps[0];
Print(string.Format("{0}\t{1}\t{2}", key, ctx.TimeSpdHigh, ctx.TimeSpdLow));
}
}
} catch (Exception ex) {
Print(string.Format("{0}: WriteCtxParaObj exception {1}", CurrentBars[0], ex.Message));
}
}
public void SetPairSpdCtx()
{
string key = BarsPeriod.BarsPeriodType == BarsPeriodType.Day?
this.GetDateStrByDateTime(Times[0][0]):this.GetDateStrByDateTime(Times[0][1]);
CtxPairSpd ctxps = new CtxPairSpd();
ctxps.Symbol = Instrument.MasterInstrument.Name;
ctxps.TimeOpen = 830;
ctxps.TimeClose = 1030;
ctxps.TimeStart = 830;
ctxps.TimeEnd = 1430;
ctxps.PositionInBand = GetSpreadPosInBand().ToString();
ctxps.TrendDirection = GetSpreadTrend().ToString();
ctxps.PairATRRatio = PairATRRatio[0];
ctxps.PairSpdHigh = this.PairSpdHigh;
ctxps.TimeSpdHigh = this.PairSpdHighTime;
ctxps.PairSpdLow = this.PairSpdLow;
ctxps.TimeSpdLow = this.PairSpdLowTime;
//if()if(giSpdRs.IsSpreadFlat()) ;
CtxPairSpreadDaily.AddDayCtx(key, new List <CtxPairSpd> {
ctxps
});
//Print(string.Format("{0}: SetPairSpdCtx={1}", CurrentBars[BarsInProgress], CtxPairSpreadDaily.DictCtxPairSpd.Count));
// Print(string.Format("{0}: SetPairSpdCtx Spread[0]={1}, Spread[1]={2}, PairSpdHigh={3}, PairSpdLow={4}, PairSpdHighTime={5}, PairSpdLowTime={6}",
// CurrentBars[BarsInProgress], Spread[0], Spread[1], PairSpdHigh, PairSpdLow, PairSpdHighTime, PairSpdLowTime));
}
void OnEntryPositions(IndicatorEventArgs e)
{
//New entry with no poistions for both legs
if (HasPosition(0) <= 0 && HasPosition(1) <= 0)
{
string key = ctxPairSpdDaily.KeyLastDay; //giSpdRs.GetDateStrByDateTime(Times[0][0]); //
if (key == null)
{
Print(string.Format("ctxPairSpdDaily.KeyLastDay CurrentBars={0}, BarsInProgress={1}, Times[][0]={2}",
CurrentBars[BarsInProgress], BarsInProgress, Times[BarsInProgress][0]));
return;
}
CtxPairSpd ctxps = ctxPairSpdDaily.GetDayCtx(key);
if (ctxps == null)
{
return;
}
else
{
int quant1 = base.GetTradeQuantity(0, CapRatio1);
int quant2 = base.GetTradeQuantity(1, CapRatio2);
string sig = e.IndSignal.SignalName;
Print(String.Format("{0}:OnEntryPositions quant1={1}, quant2={2}: Spread={3}, Upper={4}, Lower={5}",
CurrentBars[BarsInProgress], quant1, quant2, giSpdRs.Spread[0], giSpdRs.Upper[0], giSpdRs.Lower[0]));
if (TrendDirection.Down.ToString().Equals(ctxps.TrendDirection) &&
PositionInBand.Lower.ToString().Equals(ctxps.PositionInBand) &&
sig == giSpdRs.SignalName_AboveStdDev)
{
if (MktPosition1 != MarketPosition.Long && MktPosition2 != MarketPosition.Short)
{
EnterShort(0, quant1, giSpdRs.SignalName_EntryShortLeg1);
EnterLong(1, quant2, giSpdRs.SignalName_EntryLongLeg2);
}
}
else if (TrendDirection.Up.ToString().Equals(ctxps.TrendDirection) &&
PositionInBand.Upper.ToString().Equals(ctxps.PositionInBand) &&
sig == giSpdRs.SignalName_BelowStdDev)
{
if (MktPosition1 != MarketPosition.Short && MktPosition2 != MarketPosition.Long)
{
EnterLong(0, quant1, giSpdRs.SignalName_EntryLongLeg1);
EnterShort(1, quant2, giSpdRs.SignalName_EntryShortLeg2);
}
}
}
// if(MktPosition1 == MarketPosition.Long) {
// EnterLong(0, quant1, giSpdRs.SignalName_EntryLongLeg1);
// } else if(MktPosition1 == MarketPosition.Short) {
// EnterShort(0, quant1, giSpdRs.SignalName_EntryShortLeg1);
// }
// if(MktPosition2 == MarketPosition.Long) {
// EnterLong(1, quant2, giSpdRs.SignalName_EntryLongLeg2);
// } else if(MktPosition2 == MarketPosition.Short) {
// EnterShort(1, quant2, giSpdRs.SignalName_EntryShortLeg2);
// }
}
}
private void GetPairSpdCtx()
{
//Is a new day
if (Times[0][0].Day != Times[0][1].Day)
{
this.ctxPairSpdDaily.KeyLastDay = giSpdLadder.GetDateStrByDateTime(Times[0][1]);
CtxPairSpd ctxps = this.ctxPairSpdDaily.GetDayCtx(this.ctxPairSpdDaily.KeyLastDay);
CapRatio2 = 1;
CapRatio1 = ctxps == null? Closes[1][0] / Closes[0][0] : ctxps.PairATRRatio;
}
}