public void EventHandlerSmall(object[] param)
{
if (MinValueSmall.Count == Size)
{
MinValueSmall.RemoveAt(0);
}
if (MaxValueSmall.Count == Size)
{
MaxValueSmall.RemoveAt(0);
}
if (param[0].ToString() == "Min")
{
lastvalue = LastZigZagValue.MIN;
double gapValue = (double)param[1];
double price = (double)param[2];
DateTime time = (DateTime)param[3];
ProbaStruct Temp_value = new ProbaStruct()
{
GapValue = gapValue, price = price, time = time
};
MinValueSmall.Add(Temp_value);
if (MinValueSmall.Count == Size)
{
int convergence = 0;
int divergence = 0;
lock (locker)
{
for (int i = 1; i < Size; i++)
{
if (MinValueSmall[i].GapValue <MinValueSmall[i - 1].GapValue && MinValueSmall[i].price> MinValueSmall[i - 1].price)
{
convergence++;
}
if (MinValueSmall[i].GapValue > MinValueSmall[i - 1].GapValue && MinValueSmall[i].price > MinValueSmall[i - 1].price)
{
divergence++;
}
}
if (MinValueSmall.Last().GapValue < lvl_dwn_last * 0.8)
{
longlock = true;
}
else
{
longlock = false;
}
if (convergence == Size)
{
convergenceshort = true;
}
else
{
convergenceshort = false;
}
if (divergence == Size)
{
divergenceshort = true;
}
else
{
divergenceshort = false;
}
}
}
}
if (param[0].ToString() == "Max")
{
lastvalue = LastZigZagValue.MAX;
double gapValue = (double)param[1];
double price = (double)param[2];
DateTime time = (DateTime)param[3];
ProbaStruct Temp_value = new ProbaStruct()
{
GapValue = gapValue, price = price, time = time
};
MaxValueSmall.Add(Temp_value);
if (MaxValueSmall.Count == Size)
{
int convergence = 0;
int divergence = 0;
lock (locker)
{
if (!longlock)
{
openlongcloseshort = true;
}
for (int i = 1; i < Size; i++)
{
if (MaxValueSmall[i].GapValue > MaxValueSmall[i - 1].GapValue && MaxValueSmall[i].price < MaxValueSmall[i - 1].price)
{
convergence++;
}
if (MaxValueSmall[i].GapValue < MaxValueSmall[i - 1].GapValue && MaxValueSmall[i].price < MaxValueSmall[i - 1].price)
{
divergence++;
}
}
if (MaxValueSmall.Last().GapValue > lvl_up_last * 0.8)
{
shortlock = true;
}
else
{
shortlock = false;
}
if (convergence == Size)
{
convergencelong = true;
}
else
{
convergencelong = false;
}
if (divergence == Size)
{
divergencelong = true;
}
else
{
divergencelong = false;
}
}
}
}
}
public void PositionHandler(object[] param)
{
double gap = (double)param[0];
double ask = (double)param[1];
double bid = (double)param[2];
DateTime time = (DateTime)param[3];
if (openpos == OpenPosition.LONG)
{
if (profit_to_close > 0)
{
if (bid >= PositionLong.value + profit_to_close)
{
if (LoggNeeded)
{
logger.LogEvent(time, "Close long due to TakeProfit condition");
}
openpos = OpenPosition.NONE;
lock (locker)
{
tradeTerminal.ClosePosition(PositionLong.index);
}
double profit = bid - PositionLong.value;
all_profit += profit;
if (LoggNeeded)
{
logger.LogEvent(time, name + " send sell order " + PositionLong.index + " req price : " + bid + " Profit: " + profit);
}
return;
}
}
if (lose_to_close > 0)
{
if (bid <= PositionLong.value - lose_to_close)
{
if (LoggNeeded)
{
logger.LogEvent(time, "Close long due to StopLose condition");
}
openpos = OpenPosition.NONE;
lock (locker)
{
tradeTerminal.ClosePosition(PositionLong.index);
}
double profit = bid - PositionLong.value;
all_profit += profit;
if (LoggNeeded)
{
logger.LogEvent(time, name + " send sell order " + PositionLong.index + " req price : " + bid + " Profit: " + profit);
}
return;
}
}
}
if (openpos == OpenPosition.SHORT)
{
if (profit_to_close > 0)
{
if (PositionShort.value - profit_to_close >= ask)
{
if (LoggNeeded)
{
logger.LogEvent(time, "Close short due to TakeProfit condition");
}
openpos = OpenPosition.NONE;
lock (locker)
{
tradeTerminal.ClosePosition(PositionShort.index);
}
double profit = PositionShort.value - ask;
all_profit += profit;
if (LoggNeeded)
{
logger.LogEvent(time, name + " send buy order " + PositionShort.index + " req price : " + ask + " Profit: " + profit);
}
return;
}
}
if (lose_to_close > 0)
{
if (ask >= PositionShort.value + lose_to_close)
{
if (LoggNeeded)
{
logger.LogEvent(time, "Close short due to StopLose condition");
}
openpos = OpenPosition.NONE;
lock (locker)
{
tradeTerminal.ClosePosition(PositionShort.index);
}
double profit = PositionShort.value - ask;
all_profit += profit;
if (LoggNeeded)
{
logger.LogEvent(time, name + " send buy order " + PositionShort.index + " req price : " + ask + " Profit: " + profit);
}
return;
}
}
}
if (lastvalue == LastZigZagValue.MIN)
{
if (openpos == OpenPosition.LONG)
{
}
if (convergencelong)
{
double last_knee = Math.Abs(MaxValueSmall.Last().GapValue - MinValueSmall.Last().GapValue);
double temp_knee = Math.Abs(MinValueSmall.Last().GapValue - gap);
double r_exp = temp_knee / last_knee;
if (r_exp >= ratio)
{
if (!shortlock)
{
Position pos = new Position();
pos.index = ind++;
pos.value = ask;
PositionLong = pos;
openpos = OpenPosition.LONG;
lock (locker)
{
tradeTerminal.OpenOrder(ArbitrageTradeWF.OrderType.MKT_Buy, ind);
}
if (LoggNeeded)
{
logger.LogEvent(time, name + " Открываем long по дивергенции " + ind + " req price : " + ask);
}
return;
}
}
}
if (divergencelong)
{
openpos = OpenPosition.NONE;
tradeTerminal.ClosePosition(PositionShort.index);
double profit = PositionShort.value - ask;
all_profit += profit;
if (LoggNeeded)
{
logger.LogEvent(time, name + " send buy order " + PositionShort.index + " req price : " + ask + " Profit: " + profit);
}
return;
}
if (openlongcloseshort)
{
lock (locker)
{
if (gap > lvl_up_last)
{
openlongcloseshort = false;
if (openpos == OpenPosition.SHORT)
{
openpos = OpenPosition.NONE;
tradeTerminal.ClosePosition(PositionShort.index);
double profit = PositionShort.value - ask;
all_profit += profit;
if (LoggNeeded)
{
logger.LogEvent(time, name + " send buy order " + PositionShort.index + " req price : " + ask + " Profit: " + profit);
}
return;
}
if (openpos == OpenPosition.NONE)
{
Position pos = new Position();
pos.index = ind++;
pos.value = ask;
PositionLong = pos;
openpos = OpenPosition.LONG;
tradeTerminal.OpenOrder(ArbitrageTradeWF.OrderType.MKT_Buy, pos.index);
if (LoggNeeded)
{
logger.LogEvent(time, name + " send buy order " + pos.index + " req price : " + pos.value);
}
return;
}
}
}
}
}
if (lastvalue == LastZigZagValue.MAX)
{
if (openpos == OpenPosition.SHORT)
{
}
if (convergenceshort)
{
double last_knee = Math.Abs(MinValueSmall.Last().GapValue - MaxValueSmall.Last().GapValue);
double temp_knee = Math.Abs(MaxValueSmall.Last().GapValue - gap);
double r_exp = temp_knee / last_knee;
if (r_exp >= ratio)
{
if (!shortlock)
{
Position pos = new Position();
pos.index = ind++;
pos.value = bid;
PositionShort = pos;
openpos = OpenPosition.SHORT;
lock (locker)
{
tradeTerminal.OpenOrder(ArbitrageTradeWF.OrderType.MKT_Sell, ind);
}
if (LoggNeeded)
{
logger.LogEvent(time, name + " Открываем short по дивергенции " + ind + " req price : " + bid);
}
return;
}
}
}
if (divergenceshort)
{
openpos = OpenPosition.NONE;
lock (locker)
{
tradeTerminal.ClosePosition(PositionLong.index);
}
double profit = bid - PositionLong.value;
all_profit += profit;
if (LoggNeeded)
{
logger.LogEvent(time, name + " send sell order " + PositionLong.index + " req price : " + bid + " Profit: " + profit);
}
return;
}
if (openshortcloselong)
{
lock (locker)
{
if (gap < lvl_dwn_last)
{
openlongcloseshort = false;
if (openpos == OpenPosition.LONG)
{
openpos = OpenPosition.NONE;
tradeTerminal.ClosePosition(PositionLong.index);
double profit = bid - PositionLong.value;
all_profit += profit;
if (LoggNeeded)
{
logger.LogEvent(time, name + " send sell order " + PositionLong.index + " req price : " + bid + " Profit: " + profit);
}
return;
}
if (openpos == OpenPosition.NONE)
{
Position pos = new Position();
pos.index = ind++;
pos.value = bid;
PositionShort = pos;
openpos = OpenPosition.SHORT;
tradeTerminal.OpenOrder(ArbitrageTradeWF.OrderType.MKT_Sell, pos.index);
if (LoggNeeded)
{
logger.LogEvent(time, name + " send sell order " + pos.index + " req price : " + pos.value);
}
return;
}
}
}
}
}
}
