public override MarketEnteringComponentResult CanEnter(ITradingObject tradingObject)
{
var result = new MarketEnteringComponentResult();
var bar = Context.GetBarOfTradingObjectForCurrentPeriod(tradingObject);
var upShadowPercentage = Math.Abs(bar.LowestPrice - bar.HighestPrice) < 1e-6
? 0.0
: (bar.HighestPrice - bar.ClosePrice) / (bar.HighestPrice - bar.LowestPrice) * 100.0;
var priceChangePercentage = _priceChangeMetricProxy.GetMetricValues(tradingObject)[0];
var volumeChangePercentage = _volumeChangeMetricProxy.GetMetricValues(tradingObject)[0];
if (priceChangePercentage >= MinPriceChangePercentage &&
priceChangePercentage <= MaxPriceChangePercentage &&
volumeChangePercentage >= MinVolumeChangePercentage &&
volumeChangePercentage <= MaxVolumeChangePercentage &&
upShadowPercentage <= MaxPercentageOfUpShadow)
{
result.Comments = string.Format(
"ROC[1]={0:0.000}% VC[{1}]={2:0.000}% UpShadow={3:0.00}%",
priceChangePercentage,
VolumeLookbackWindow,
volumeChangePercentage,
upShadowPercentage);
result.CanEnter = true;
}
return(result);
}
public override MarketEnteringComponentResult CanEnter(ITradingObject tradingObject)
{
var result = new MarketEnteringComponentResult();
var previousDayBarValues = _previousDayBar.GetMetricValues(tradingObject);
var todayBar = Context.GetBarOfTradingObjectForCurrentPeriod(tradingObject);
double movingAverage = _movingAverage == null ? 1000000.00 : _movingAverage.GetMetricValues(tradingObject)[0];
var previousDayBarLowest = previousDayBarValues[3];
var previousDayBarClose = previousDayBarValues[0];
if (previousDayBarClose < movingAverage * (100.0 - MinPercentageBelowMovingAverage) / 100.0 && // below average
todayBar.OpenPrice < previousDayBarLowest * (100.0 - MinPercentageOfGapDown) / 100.0 && // gap down
todayBar.HighestPrice > previousDayBarLowest // bounce over last day lowest
)
{
result.Comments = string.Format(
"MA[{0}]={1:0.000} Highest:{2:0.000} Open:{3:0.000} LastLowest:{4:0.000}",
MovingAveragePeriod,
movingAverage,
todayBar.HighestPrice,
todayBar.OpenPrice,
previousDayBarLowest);
result.CanEnter = true;
result.Price = new TradingPrice(TradingPricePeriod.CurrentPeriod, TradingPriceOption.CustomPrice, previousDayBarLowest);
}
return(result);
}
public override MarketEnteringComponentResult CanEnter(ITradingObject tradingObject)
{
var result = new MarketEnteringComponentResult();
if (_numberOfValidTradingObjectsInThisPeriod != 0)
{
var order = _sorter.LatestOrders[tradingObject.Index];
var relativeStrength =
(double)(_numberOfValidTradingObjectsInThisPeriod - order)
/ _numberOfValidTradingObjectsInThisPeriod
* 100.0;
if (relativeStrength > RelativeStrengthThreshold)
{
result.Comments = string.Format(
"RelativeStrength: {0:0.000}%",
relativeStrength);
result.CanEnter = true;
}
}
return(result);
}
public override MarketEnteringComponentResult CanEnter(ITradingObject tradingObject)
{
var result = new MarketEnteringComponentResult();
var longSlope = _longMetricProxy.GetMetricValues(tradingObject)[0];
var longDegree = Math.Atan(longSlope) * 180.0 / Math.PI;
var middleSlope = _middleMetricProxy.GetMetricValues(tradingObject)[0];
var middleDegree = Math.Atan(middleSlope) * 180.0 / Math.PI;
var shortSlope = _shortMetricProxy.GetMetricValues(tradingObject)[0];
var shortDegree = Math.Atan(shortSlope) * 180.0 / Math.PI;
if (longDegree > LongDegreeThreshold &&
middleDegree > MiddleDegreeThreshold &&
shortDegree > ShortDegreeThreshold)
{
result.Comments = string.Format(
"LR Degree: L{0:0.000}, M{1:0.000}, S{2:0.000}",
longDegree,
middleDegree,
shortDegree);
result.CanEnter = true;
}
return(result);
}
public override MarketEnteringComponentResult CanEnter(ITradingObject tradingObject)
{
var result = new MarketEnteringComponentResult();
if (Context.RelationshipManager == null)
{
result.CanEnter = true;
return(result);
}
var blocks = Context.RelationshipManager.GetBlocksForStock(tradingObject.Code);
// if the stock's blocks has no intersect with blocks in config, we ignore the stock.
var intersectedBlocks = _blockConfigMap.Keys.Intersect(blocks);
if (!intersectedBlocks.Any())
{
return(result);
}
foreach (var block in intersectedBlocks)
{
BlockConfig blockConfig = _blockConfigMap[block];
var upRateFromLowest = GetBlockUpRateFromLowest(block);
if (upRateFromLowest < blockConfig.MinimumUpRate ||
upRateFromLowest > blockConfig.MaximumUpRate)
{
return(result);
}
}
foreach (var block in blocks)
{
var indexRateOfChange = _blockToPriceIndexChangeRateMap[block].Value;
if (indexRateOfChange > MininumRateOfChange)
{
result.Comments = string.Format(
"Block {0} price index change rate {1:0.000}",
block,
indexRateOfChange);
result.RelatedObject = new BlockUpRatesFromLowestForCode()
{
Code = tradingObject.Code,
BlockUpRatesFromLowest = blocks.ToDictionary(b => b, b => GetBlockUpRateFromLowest(b))
};
result.CanEnter = true;
}
}
return(result);
}
public override MarketEnteringComponentResult CanEnter(ITradingObject tradingObject)
{
var result = new MarketEnteringComponentResult();
if ((WeekdayMask & (1 << (int)CurrentPeriod.DayOfWeek)) != 0)
{
result.Comments = CurrentPeriod.DayOfWeek.ToString();
result.CanEnter = true;
}
return(result);
}
public override MarketEnteringComponentResult CanEnter(ITradingObject tradingObject)
{
var result = new MarketEnteringComponentResult();
var metric = (RebreakoutRuntimeMetric)_metricProxy.GetMetric(tradingObject);
if (metric.Rebreakout)
{
result.Comments = string.Format("Rebreakout: {0:0.0000}, Interval: {1}", metric.CurrentHighest, metric.IntervalSinceLastBreakout);
}
result.CanEnter = metric.Rebreakout;
return(result);
}
public override MarketEnteringComponentResult CanEnter(ITradingObject tradingObject)
{
var result = new MarketEnteringComponentResult();
int rand = _random.Next(RandomRange);
if (rand < EnterMarketThreshold)
{
result.Comments = string.Format("Random: {0}", rand);
result.CanEnter = true;
}
return(result);
}
public override MarketEnteringComponentResult CanEnter(ITradingObject tradingObject)
{
var result = new MarketEnteringComponentResult();
var metrics = _trinMetrics[tradingObject.Index];
bool triggered = true;
if (TriggeringCondition == 0)
{
for (int i = 0; i < metrics.Length; ++i)
{
if (metrics[i] >= Threshold)
{
triggered = false;
break;
}
}
}
else
{
for (int i = 0; i < metrics.Length; ++i)
{
if (metrics[i] <= Threshold)
{
triggered = false;
break;
}
}
}
if (triggered)
{
result.Comments = string.Format(
"TRIN[{0}][0..{1}] {2} {3:0.000}",
TrinWindow,
ConsecutivePeriods - 1,
TriggeringCondition == 0 ? '<' : '>',
Threshold);
result.CanEnter = true;
}
return(result);
}
public override MarketEnteringComponentResult CanEnter(ITradingObject tradingObject)
{
var result = new MarketEnteringComponentResult();
var metric = (BreakoutAndReturnRuntimeMetric)_metricProxy.GetMetric(tradingObject);
if (metric.Triggered)
{
result.Comments = string.Format(
"Breakout: {0:0.0000}, LowestPrice: {1:0.0000}",
metric.LatestBreakoutPrice,
metric.LowestPriceAfterBreakout);
result.CanEnter = true;
}
return(result);
}
public override MarketEnteringComponentResult CanEnter(ITradingObject tradingObject)
{
var result = new MarketEnteringComponentResult();
if (_trendDetector.HasTrend(tradingObject))
{
for (int i = 0; i < _trendDetector.PeriodsCount; ++i)
{
result.Comments += string.Format(
"MA[{0}]:{1:0.000} ",
_trendDetector.GetPeriod(i),
_trendDetector.GetMovingAverage(tradingObject, i));
}
result.CanEnter = true;
}
return(result);
}
public override MarketEnteringComponentResult CanEnter(ITradingObject tradingObject)
{
var result = new MarketEnteringComponentResult();
var metric = (BounceRuntimeMetric)_bounceMetricProxy.GetMetric(tradingObject);
if (metric.Values[0] > 0.0)
{
result.Comments = string.Format(
"Lowest:{0:0.000}; Current:{1:0.000}; BouncePercentage:{2:0.000}%",
metric.LowestPrice,
metric.BouncePrice,
metric.BouncePercentage);
result.CanEnter = true;
}
return(result);
}
public override MarketEnteringComponentResult CanEnter(ITradingObject tradingObject)
{
var result = new MarketEnteringComponentResult();
var previousDayBarValues = _previousDayBar.GetMetricValues(tradingObject);
var todayBar = Context.GetBarOfTradingObjectForCurrentPeriod(tradingObject);
double movingAverage = _movingAverage == null ? 1000000.00 : _movingAverage.GetMetricValues(tradingObject)[0];
var previousDayBarLowest = previousDayBarValues[3];
var lowest = _lowest == null ? 0.0 : _lowest.GetMetricValues(tradingObject)[0];
bool isLowest = _lowest == null ? true : lowest == todayBar.LowestPrice;
var upShadowPercentage = Math.Abs(todayBar.HighestPrice - todayBar.LowestPrice) < 1e-6
? 100.0
: (todayBar.HighestPrice - todayBar.ClosePrice) / (todayBar.HighestPrice - todayBar.LowestPrice) * 100.0;
var downShadowPercentage = Math.Abs(todayBar.HighestPrice - todayBar.LowestPrice) < 1e-6
? 0.0
: (todayBar.OpenPrice - todayBar.LowestPrice) / (todayBar.HighestPrice - todayBar.LowestPrice) * 100.0;
if (todayBar.ClosePrice < movingAverage * (100.0 - MinPercentageBelowMovingAverage) / 100.0 && // below average
todayBar.OpenPrice < previousDayBarLowest * (100.0 - MinPercentageOfGapDown) / 100.0 && // gap down
todayBar.ClosePrice > previousDayBarLowest * (100.0 + MinBouncePercentageOverLastLowestPrice) / 100.0 && // bounce over last day
isLowest && // is lowest in recent bars
upShadowPercentage <= MaxUpShadowPercentage &&
downShadowPercentage <= MaxDownShadowPercentage
)
{
result.Comments = string.Format(
"MA[{0}]={1:0.000} Close:{2:0.000} Open:{3:0.000} LastLowest:{4:0.000} UpShadow%:{5:0.000}% DownShadow%:{6:0.000}%",
MovingAveragePeriod,
movingAverage,
todayBar.ClosePrice,
todayBar.OpenPrice,
previousDayBarLowest,
upShadowPercentage,
downShadowPercentage);
result.CanEnter = true;
}
return(result);
}
