public OrderSignal CheckSignal(TradeBars data, IndicatorDataPoint trendCurrent, out string comment)
{
OrderSignal retval = OrderSignal.doNothing;
comment = string.Empty;
decimal price = (data[symbol].Close + data[symbol].Open) / 2;
trend.Update(idp(data[symbol].EndTime, price));
if (trendCurrent.Value != trend.Current.Value)
{
comment = "not equal";
}
UpdateTrendArray(trend.Current);
bReverseTrade = false;
v.ReverseTrade = false;
v.NTrigGTEP = false;
v.NTrigLTEP = false;
v.NTrigGTTA0 = false;
v.NTrigLTTA0 = false;
v.OrderFilled = true;
v.IsLong = IsLong;
v.IsShort = IsShort;
v.BarcountLT4 = false;
if (Barcount < 4)
{
v.BarcountLT4 = true;
comment = "Barcount < 4";
retval = OrderSignal.doNothing;
}
else
{
nTrig = 2 * trendArray[0] - trendArray[2];
#region "Selection Logic Reversals"
try
{
if (nTrig < (Math.Abs(nEntryPrice) / RevPct))
{
v.NTrigLTEP = true;
if (IsLong)
{
retval = OrderSignal.revertToShort;
bReverseTrade = true;
v.ReverseTrade = true;
comment =
string.Format("nTrig {0} < (nEntryPrice {1} * RevPct {2}) {3} IsLong {4} )",
Math.Round(nTrig, 4),
nEntryPrice,
RevPct,
v.NTrigLTEP,
IsLong);
}
else
{
v.NTrigLTEP = false;
}
}
else
{
if (nTrig > (Math.Abs(nEntryPrice) * RevPct))
{
v.NTrigGTEP = true;
if (IsShort)
{
retval = OrderSignal.revertToLong;
bReverseTrade = true;
v.ReverseTrade = true;
comment =
string.Format("nTrig {0} > (nEntryPrice {1} * RevPct {2}) {3} IsLong {4} )",
Math.Round(nTrig, 4),
nEntryPrice,
RevPct,
v.NTrigLTEP,
IsLong);
}
else
{
v.NTrigGTEP = false;
}
}
}
}
catch (Exception ex)
{
System.Diagnostics.Debug.WriteLine(ex.StackTrace);
}
#endregion
#region "selection logic buy/sell"
try
{
if (!bReverseTrade)
{
if (nTrig > trendArray[0])
{
v.NTrigGTTA0 = true;
if (xOver == -1)
{
if (!IsLong)
{
if (!orderFilled)
{
v.OrderFilled = false;
retval = OrderSignal.goLong;
comment =
string.Format(
"nTrig {0} > trend {1} xOver {2} !IsLong {3} !orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsLong,
!orderFilled);
}
else
{
retval = OrderSignal.goLongLimit;
comment =
string.Format("nTrig {0} > trend {1} xOver {2} !IsLong {3} !orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsLong,
!orderFilled);
}
}
}
if (comment.Length == 0)
{
comment = "Trigger over trend - setting xOver to 1";
}
xOver = 1;
v.xOverisNegative = xOver < 0;
v.xOverIsPositive = xOver > 0;
}
else
{
if (nTrig < trendArray[0])
{
v.NTrigLTTA0 = true;
if (xOver == 1)
{
if (!IsShort)
{
if (!orderFilled)
{
v.OrderFilled = false;
retval = OrderSignal.goShort;
comment =
string.Format(
"nTrig {0} < trend {1} xOver {2} !isShort {3} orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsShort,
!orderFilled);
}
else
{
retval = OrderSignal.goShortLimit;
comment =
string.Format(
"nTrig {0} < trend {1} xOver {2} !isShort {3} orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsShort,
!orderFilled);
}
}
}
if (comment.Length == 0)
{
comment = "Trigger under trend - setting xOver to -1";
}
xOver = -1;
v.xOverisNegative = xOver < 0;
v.xOverIsPositive = xOver > 0;
}
}
}
}
catch (Exception ex)
{
System.Diagnostics.Debug.WriteLine(ex.StackTrace);
}
#endregion
}
StringBuilder sb = new StringBuilder();
sb.Append(comment);
sb.Append(",");
sb.Append(retval.ToString());
sb.Append(",");
sb.Append(v.ToInt32());
sb.Append(",");
sb.Append(v.ToIntCsv());
comment = sb.ToString();
return(retval);
}
public OrderSignal CheckSignal(TradeBars data, IndicatorDataPoint trendCurrent, out string comment)
{
OrderSignal retval = OrderSignal.doNothing;
comment = string.Empty;
//decimal price = (data[symbol].Close + data[symbol].Open) / 2;
// Here is an attempt to smooth the price
//ema.Update(idp(data[symbol].EndTime, price));
//if (ema.IsReady)
// UpdatePriceArray(ema.Current);
//else
// UpdatePriceArray(idp(data[symbol].EndTime, price));
//if (Barcount == 17)
// comment = "";
//// Update the trend with the smoothed price
//trend.Update(ema.Current);
//trend.Current.Symbol = data[symbol].Symbol; // make sure the symbol is correct
//if (trend.Current.Value != trendCurrent.Value)
// comment = "trends not equal";
UpdateTrendArray(trendCurrent.Value);
bReverseTrade = false;
ReverseTrade = false;
NTrigGTEP = false;
NTrigLTEP = false;
NTrigGTTA0 = false;
NTrigLTTA0 = false;
BarcountLT4 = false;
if (Barcount < 4)
{
BarcountLT4 = true;
comment = "Barcount < 4";
retval = OrderSignal.doNothing;
}
else
{
nTrig = 2m * trendArray[0] - trendArray[2];
#region "Selection Logic Reversals"
try
{
if (nTrig < (Math.Abs(nEntryPrice) / RevPct))
{
NTrigLTEP = true;
if (IsLong)
{
retval = OrderSignal.revertToShort;
bReverseTrade = true;
ReverseTrade = true;
comment =
string.Format("nTrig {0} < (nEntryPrice {1} * RevPct {2}) {3} IsLong {4} )",
Math.Round(nTrig, 4),
nEntryPrice,
RevPct,
NTrigLTEP,
IsLong);
}
else
{
NTrigLTEP = false;
}
}
else
{
if (nTrig > (Math.Abs(nEntryPrice) * RevPct))
{
NTrigGTEP = true;
if (IsShort)
{
retval = OrderSignal.revertToLong;
bReverseTrade = true;
ReverseTrade = true;
comment =
string.Format("nTrig {0} > (nEntryPrice {1} * RevPct {2}) {3} IsLong {4} )",
Math.Round(nTrig, 4),
nEntryPrice,
RevPct,
NTrigLTEP,
IsLong);
}
else
{
NTrigGTEP = false;
}
}
}
}
catch (Exception ex)
{
System.Diagnostics.Debug.WriteLine(ex.StackTrace);
}
#endregion
#region "selection logic buy/sell"
try
{
if (!bReverseTrade)
{
if (nTrig > trendArray[0])
{
NTrigGTTA0 = true;
if (xOver == -1)
{
#region "If Not Long"
if (!IsLong)
{
if (!orderFilled)
{
OrderFilled = false;
retval = OrderSignal.goLong;
comment =
string.Format(
"nTrig {0} > trend {1} xOver {2} !IsLong {3} !orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsLong,
!orderFilled);
}
else
{
retval = OrderSignal.goLongLimit;
comment =
string.Format(
"nTrig {0} > trend {1} xOver {2} !IsLong {3} !orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsLong,
!orderFilled);
}
}
#endregion
}
if (comment.Length == 0)
{
comment = "Trigger over trend - setting xOver to 1";
}
xOver = 1;
xOverisNegative = xOver < 0;
xOverIsPositive = xOver > 0;
}
else
{
if (nTrig < trendArray[0])
{
NTrigLTTA0 = true;
if (xOver == 1)
{
#region "If Not Short"
if (!IsShort)
{
if (!orderFilled)
{
OrderFilled = false;
retval = OrderSignal.goShort;
comment =
string.Format(
"nTrig {0} < trend {1} xOver {2} !isShort {3} orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsShort,
!orderFilled);
}
else
{
retval = OrderSignal.goShortLimit;
comment =
string.Format(
"nTrig {0} < trend {1} xOver {2} !isShort {3} orderFilled {4}",
Math.Round(nTrig, 4),
Math.Round(trendArray[0], 4),
xOver,
!IsShort,
!orderFilled);
}
}
#endregion
}
if (comment.Length == 0)
{
comment = "Trigger under trend - setting xOver to -1";
}
xOver = -1;
xOverisNegative = xOver < 0;
xOverIsPositive = xOver > 0;
}
}
}
}
catch (Exception ex)
{
System.Diagnostics.Debug.WriteLine(ex.StackTrace);
}
#endregion
}
StringBuilder sb = new StringBuilder();
sb.Append(comment);
sb.Append(",");
sb.Append(retval.ToString());
sb.Append(",");
//sb.Append(ToInt32());
sb.Append(",");
//sb.Append(ToIntCsv());
comment = sb.ToString();
return(retval);
}