protected override void CalcBar()
{
double Rating = m_RSI[0]; // Get RSI function value for the current bar.
if (!Environment.IsRealTimeCalc) // There is no need to calculate on historical data, that is why backtesting is ignored
{
// As soon as backtesting is finished, the signal gets immediately calculated by the timer.
// It is necessary to calculate RSI function value, which can be requested by MM-signal at any moment.
ExecControl.RecalcLastBarAfter(TimeSpan.FromSeconds(5));
return;
}
StaretegyEvents cmd = StaretegyEvents.None;
object obj = MyPortfolioData["MM_Command"]; // Check, if there are any MM-signal events available
if (!object.Equals(obj, null))
{
cmd = (StaretegyEvents)obj;
}
Output.WriteLine("\t\t{0}: Symbol: {1}, Command: {2}", DateTime.Now, Bars.Info.Name, cmd);
switch (cmd) // Execute specific commands, depending on the event
{
case StaretegyEvents.GetFactor: // If MM-signal requested rating coefficient from the signal, it will be sent.
MyPortfolioData["RankingValue"] = Rating; // In this case it is RSI function value on the current bar.
MyPortfolioData["MM_Command"] = StaretegyEvents.DataWasSent; // And will inform that the data was sent.
Output.WriteLine("\t\t{0}: Send Data for Symbol: {1}\t{2}", DateTime.Now, Bars.Info.Name, Rating);
ExecControl.RecalcLastBarAfter(TimeSpan.FromSeconds(5)); // Also, it is necessary to re-calculate, as the final instructions were not received yet.
break;
case StaretegyEvents.GenerateOrders_Long: // If MM-signal gives command to generate a long entry order
buy_order.Send(); // the signal will execute it here.
Output.WriteLine("\t\t{0}: Generate Buy. {1}", DateTime.Now, Bars.Info.Name);
break;
case StaretegyEvents.GenerateOrders_Short: // If MM-signal gives command to generate a short entry order
sell_order.Send(); // the signal will execute it here.
Output.WriteLine("\t\t{0}: Generate Short. {1}", DateTime.Now, Bars.Info.Name);
break;
case StaretegyEvents.None:
ExecControl.RecalcLastBarAfter(TimeSpan.FromSeconds(5)); // If there were no instructions from MM-signal, we will keep waiting for them.
break;
}
if (Bars.Status == EBarState.Close) // During calculation at the bar close, global variables, used to exchange messages between the current signal and MM-signal
{ // should be zeroed
MyPortfolioData["RankingValue"] = 0;
MyPortfolioData["MM_Command"] = StaretegyEvents.None;
Output.WriteLine("\t\tSeries {0} is Closed with Ranking Value: {1}. Status: {2}, cmd: {3}", Bars.Info.Name, Rating, Bars.Status, cmd);
ExecControl.RecalcLastBarAfter(TimeSpan.FromSeconds(5)); // And start the timer to wait for the new commands from MM-signal
}
}
protected override void CalcBar()
{
if (!Bars.LastBarOnChart)
{
return; // Ignore BackTesting
}
TimeSpan currentTime = DateTime.Now.TimeOfDay; // Get the current time
int strategiesCount = PortfolioStrategies.Count;
m_time = GetCloseTime() - TimeSpan.FromSeconds(30); // and calculate the moment when the calculated coefficient will be requested from each trading strategy.
// In this case - 30 seconds before the bar close
#region Request Data
if (Bars.Status == EBarState.Close) // When the bar closes, it is necessary to clear the collection of coefficients
{ // it will be a flag: if the collection is empty, then either the calculation has just started, or
RankFromStrategies.Clear(); // the new bar has appeared and we need to get new coefficients.
return; // The request of new values of coefficients will be executed on the new bar already.
}
StaretegyEvents cmd = StaretegyEvents.None;
if (currentTime >= m_time && RankFromStrategies.Count != strategiesCount) // If it is already necessary to request values from signals, we start the process of receiving values
{
for (int idx = 0; idx < strategiesCount; idx++) // We address to each signal in cycle:
{
PortfolioStrategies[idx].Status = "";
object obj = PortfolioStrategies[idx].PortfolioData["MM_Command"];
if (!object.Equals(obj, null))
{
cmd = (StaretegyEvents)obj;
}
if (cmd != StaretegyEvents.DataWasSent) // if it did not yet send the data
{
PortfolioStrategies[idx].PortfolioData["MM_Command"] = StaretegyEvents.GetFactor; // we make a request
Output.WriteLine("{0} MMS: Request Factor", DateTime.Now);
}
}
RankFromStrategies.Clear(); // Clear the collection from the old values
}
#endregion
var inLongStrategies = new List <int>();
var inShortStrategies = new List <int>();
#region Load Data
if (RankFromStrategies.Count == 0) // The data should be received from all the strategies at the same time
{
for (int idx = 0; idx < strategiesCount; idx++)
{
StaretegyEvents _flag = StaretegyEvents.None;
object _o = PortfolioStrategies[idx].PortfolioData["MM_Command"];
if (!object.Equals(_o, null))
{
_flag = (StaretegyEvents)_o;
}
if (_flag != StaretegyEvents.DataWasSent) // if a strategy did not yet send its data
{
RankFromStrategies.Clear(); // we will initiate receiving data until it is done
{
return; // otherwise, the signal will not be able to correctly evaluate the market situation
}
}
double rankingValue = 0;
rankingValue = PortfolioStrategies[idx].PortfolioData["RankingValue"].safe_cast2double(); // The type of received values should be changed to double
PortfolioStrategies[idx].Status = String.Format("{0:0.00}", rankingValue); // and output them into the table, to Custom Text column
Output.WriteLine("{1} MMS: data received: {0}", PortfolioStrategies[idx].Signals[0].Bars.Info.Name, DateTime.Now);
RankFromStrategies.Add(idx, rankingValue); // Put the received data into the collection
PortfolioStrategies[idx].PortfolioData["MM_Command"] = StaretegyEvents.None; // Remove command for data request. It is not needed to execute it on the current bar.
}
RankFromStrategies = RankFromStrategies.OrderByDescending(elem => elem.Value).ToDictionary(x => x.Key, y => y.Value); // When values of all the coefficiens are received, sort out the collection in descending order
// symbols with maximum coefficient value will be at the top
// symbols with minimum values will be at the bottom
}
#endregion
int inShortcnt = this.StrategiesInShort(ref inShortStrategies); // Get the number of opened short positions
int inLongtcnt = this.StrategiesInLong(ref inLongStrategies); // Get the number of opened long positions
TimeSpan dif = DateTime.Now - m_LastTraceTime; // Trace the intermediate values
if (dif.Seconds > 1)
{
Output.WriteLine("{7} MMS: {0} CalcBar. Bar Time: {1}, reqtime: {2}, strategiesToEnter.Count: {3}, strategiesCount: {4}, inShortcnt: {5}, inLongtcnt: {6}",
currentTime, Bars.TimeValue, m_time, RankFromStrategies.Count, strategiesCount, inShortcnt, inLongtcnt, DateTime.Now);
m_LastTraceTime = DateTime.Now;
}
if (RankFromStrategies.Count == strategiesCount) // Make sure that all the coefficients were received and start sending commands to the signals
{
int CountNewPositionsBest = MaxBest - inShortcnt; // Calculate how many additional short orders can be generated
int CountNewPositionsWorst = MaxWorst - inLongtcnt; // and long orders
for (int idx = 0; idx < Math.Min(CountNewPositionsBest, strategiesCount); idx++) // and select the best symbols in the cycle and send the command to generate the order
{
if (idx >= RankFromStrategies.Count())
{
break;
}
int key = RankFromStrategies.Keys.ElementAt(idx);
double value = RankFromStrategies[key];
if (Environment.IsAutoTradingMode && Bars.LastBarOnChart)
{
Output.WriteLine(DateTime.Now.ToString() + " MMS: " + currentTime + "; idx: " + key + "; Symbol To Enter: " + PortfolioStrategies[key].Signals[0].Bars.Info.Name + "; Rank: " + value);
}
if (value > 65) // ...if the coefficient values allow to do that
{
PortfolioStrategies[key].PortfolioData["MM_Command"] = StaretegyEvents.GenerateOrders_Short; // command to send short entry order is given to the specified strategy
}
}
for (int idx = strategiesCount - 1; idx > strategiesCount - Math.Min(CountNewPositionsWorst, strategiesCount) && idx > 0; idx--) // the same for the long position
{ // but coefficients are taken from the bottom of the list, that is, the worst
if (idx >= RankFromStrategies.Count() || idx < 0)
{
break;
}
int key = RankFromStrategies.Keys.ElementAt(idx);
double value = RankFromStrategies[key];
if (Environment.IsAutoTradingMode && Bars.LastBarOnChart)
{
Output.WriteLine(DateTime.Now.ToString() + " MMS: " + currentTime + "; idx: " + key + "; Symbol To Enter: " + PortfolioStrategies[key].Signals[0].Bars.Info.Name + "; Rank: " + value);
}
if (value < 35)
{
PortfolioStrategies[key].PortfolioData["MM_Command"] = StaretegyEvents.GenerateOrders_Long;
}
}
}
}
