protected override List <Order> PreparePlaceOrders()
{
WriteToLogDB("PreparePlaceOrders", "Started");
Bar bar = DatabaseReader.SelectLastPrice(Symbol);
double lastPrice = bar.Close;
double buyPrice = RoundToStep(lastPrice - 0.02);
double sellPrice = RoundToStep(lastPrice + 0.02);
int buyVol = 0;
int sellVol = 0;
if (CurrentState.Position == 0)
{
buyVol = ContractsToTrade;
sellVol = ContractsToTrade;
}
else if (CurrentState.Position < 0)
{
buyVol = ContractsToTrade;
sellVol = ContractsToTrade - Math.Abs(CurrentState.Position);
}
else
{
buyVol = ContractsToTrade - Math.Abs(CurrentState.Position);
sellVol = ContractsToTrade;
}
if (buyPrice >= sellPrice || (buyPrice <= 0 && buyVol != 0) || (sellPrice <= 0 && sellVol != 0))
{
throw new SmartException(ExceptionImportanceLevel.HIGH, "PreparePlaceOrders", "ContrTrendStrat", "buyPrice = " + buyPrice + ", sellPrice = " + sellPrice);
}
WriteToLogDB("PreparePlaceOrders", "Buy: Price = " + buyPrice + ", Volume = " + buyVol + "; Sell: Price = " + sellPrice + ", Volume = " + sellVol);
List <Order> placeOrders = new List <Order>();
DateTime dTime = ServerTime.GetRealTime();
DatabaseWriter.InsertDecision(dTime, Symbol, ActionEnum.BUY, buyPrice, buyVol, 0);
DatabaseWriter.InsertDecision(dTime, Symbol, ActionEnum.SELL, sellPrice, sellVol, 0);
if (buyVol > 0)
{
placeOrders.Add(new Order(Symbol, GenerateCookie(), "", buyVol, 0, buyPrice, 0, ActionEnum.BUY, OrderTypeEnum.LIMIT));
}
if (sellVol > 0)
{
placeOrders.Add(new Order(Symbol, GenerateCookie(), "", sellVol, 0, sellPrice, 0, ActionEnum.SELL, OrderTypeEnum.LIMIT));
}
WriteToLogDB("PreparePlaceOrders", "Finished");
return(placeOrders);
}
protected override List <Order> PreparePlaceOrders()
{
WriteToLogDB("PreparePlaceOrders", "Started");
if (Bars.Count < 3)
{
throw new SmartException(ExceptionImportanceLevel.MEDIUM, "PreparePlaceOrders", "TrendStrat", Symbol + ": Bars are empty or has less than three elements!");
}
if (AmountOfVolatEstim() > AmountOfSkipBars())
{
throw new SmartException(ExceptionImportanceLevel.MEDIUM, "PreparePlaceOrders", "TrendStrat", Symbol + ": AmountOfVolatEstim > AmountOfSkipBars");
}
double[] closes = Bars.Select(bar => bar.Close).ToArray();
double[] ys = new double[Bars.Count - 1];
for (int i = 0; i < Bars.Count - 1; i++)
{
ys[i] = closes[i + 1] / closes[i] - 1;
}
ys = ys.Skip(Bars.Count - 1 - AmountOfVolatEstim()).ToArray();
double sdev = CalcVolat(ys);
double alpha = AlphaSpread() * Math.Sqrt(AmountOfSkipBars()) * sdev;
//double lastPrice = Bars.Last().Close;
double lastPrice = 0.0;
try
{
Bar bar = DatabaseReader.SelectLastPrice(Symbol);
lastPrice = bar.Close;
}
catch (Exception e)
{
lastPrice = Bars.Last().Close;
}
double buyStopPrice = RoundToStep(lastPrice * (1 + alpha));
double sellStopPrice = RoundToStep(lastPrice * (1 - alpha));
int buyVol = 0;
int sellVol = 0;
if (CurrentState.Position == 0)
{
buyVol = ContractsToTrade;
sellVol = ContractsToTrade;
}
else if (CurrentState.Position < 0)
{
buyVol = ContractsToTrade;
sellVol = ContractsToTrade - Math.Abs(CurrentState.Position);
}
else
{
buyVol = ContractsToTrade - Math.Abs(CurrentState.Position);
sellVol = ContractsToTrade;
}
double buyPrice = buyStopPrice + Slip();
double sellPrice = sellStopPrice - Slip();
if (buyStopPrice <= sellStopPrice || (buyStopPrice <= 0 && buyVol != 0) || (sellStopPrice <= 0 && sellVol != 0))
{
throw new SmartException(ExceptionImportanceLevel.HIGH, "PreparePlaceOrders", "TrendStrat", "buyPrice = " + buyStopPrice + ", sellPrice = " + sellStopPrice);
}
WriteToLogDB("PreparePlaceOrders", "Buy: Price = " + buyStopPrice + ", Volume = " + buyVol + "; Sell: Price = " + sellStopPrice + ", Volume = " + sellVol);
List <Order> placeOrders = new List <Order>();
DateTime dTime = ServerTime.GetRealTime();
DatabaseWriter.InsertDecision(dTime, Symbol, ActionEnum.BUY, buyPrice, buyVol, buyStopPrice);
DatabaseWriter.InsertDecision(dTime, Symbol, ActionEnum.SELL, sellPrice, sellVol, sellStopPrice);
if (buyVol > 0)
{
placeOrders.Add(new Order(Symbol, GenerateCookie(), "", buyVol, 0, buyPrice, buyStopPrice, ActionEnum.BUY, OrderTypeEnum.STOP));
}
if (sellVol > 0)
{
placeOrders.Add(new Order(Symbol, GenerateCookie(), "", sellVol, 0, sellPrice, sellStopPrice, ActionEnum.SELL, OrderTypeEnum.STOP));
}
WriteToLogDB("PreparePlaceOrders", "Finished");
return(placeOrders);
}
