protected void OnData(ITransactionMessage <IPointModel> message)
{
var point = message.Next;
var account = point.Account;
var instrument = point.Account.Instruments[_asset];
var points = instrument.PointGroups;
var volumes = _imbalanceIndicator.Calculate(points).Values;
var performanceIndicator = _performanceIndicator.Calculate(points, Gateways.Select(o => o.Account));
if (points.Count > 1 && IsNextPoint(point))
{
var currentPoint = points.ElementAt(points.Count - 1);
var previousPoint = points.ElementAt(points.Count - 2);
var currentVolume = volumes.ElementAt(volumes.Count - 1).Last;
var previousVolume = volumes.ElementAt(volumes.Count - 2).Last;
var isLong = currentVolume > 0 && previousVolume > 0 && previousPoint.Bar.Close > previousPoint.Bar.Open;
var isShort = currentVolume < 0 && previousVolume < 0 && previousPoint.Bar.Close < previousPoint.Bar.Open;
//CreateOrder(point, OrderSideEnum.Buy, 1);
if (account.ActiveOrders.Count == 0 && account.ActivePositions.Count == 0)
{
if (isLong)
{
CreateOrder(point, OrderSideEnum.Buy, 1);
}
if (isShort)
{
CreateOrder(point, OrderSideEnum.Sell, 1);
}
}
if (account.ActivePositions.Count > 0)
{
var activePosition = account.ActivePositions.Last();
switch (activePosition.Side)
{
case OrderSideEnum.Buy: if (isShort)
{
CreateOrder(point, OrderSideEnum.Sell, activePosition.Size.Value + 1);
}
break;
case OrderSideEnum.Sell: if (isLong)
{
CreateOrder(point, OrderSideEnum.Buy, activePosition.Size.Value + 1);
}
break;
}
}
}
}
protected void OnData(ITransactionMessage <IPointModel> message)
{
var point = message.Next;
var account = point.Account;
var gateway = account.Gateway;
var instrument = point.Account.Instruments[_asset];
var series = instrument.PointGroups;
var bidIndicator = _bidIndicator.Calculate(series);
var askIndicator = _askIndicator.Calculate(series);
var rsiIndicator = _rsiIndicator.Calculate(series);
var atrIndicator = _atrIndicator.Calculate(series);
var performanceIndicator = _performanceIndicator.Calculate(series, Gateways.Select(o => o.Account));
if (series.Any())
{
var rsiValues = rsiIndicator.Values;
var noOrders = account.ActiveOrders.Any() == false;
var noPositions = account.ActivePositions.Any() == false;
if (noOrders && noPositions && rsiValues.Count > 1)
{
var rsiCurrent = rsiValues.ElementAt(rsiValues.Count - 1).Bar.Close;
var rsiPrevious = rsiValues.ElementAt(rsiValues.Count - 2).Bar.Close;
if (rsiPrevious < 30 && rsiCurrent > 30)
{
CreateOrder(point, OrderSideEnum.Buy, 100);
}
if (rsiPrevious > 70 && rsiCurrent < 70)
{
CreateOrder(point, OrderSideEnum.Sell, 100);
}
}
if (noPositions == false)
{
var activePosition = account.ActivePositions.Last();
var rsiCurrent = rsiValues.ElementAt(rsiValues.Count - 1).Bar.Close;
var rsiPrevious = rsiValues.ElementAt(rsiValues.Count - 2).Bar.Close;
if (Equals(activePosition.Type, OrderSideEnum.Buy) && rsiPrevious > 70 && rsiCurrent < 70)
{
CreateOrder(point, OrderSideEnum.Sell, 200);
}
if (Equals(activePosition.Type, OrderSideEnum.Sell) && rsiPrevious < 30 && rsiCurrent > 30)
{
CreateOrder(point, OrderSideEnum.Buy, 200);
}
}
}
}
