public Guid AddNewOrderForCalculation(string insName, DateTime dateFrom, DateTime dateTo, TimePeriods period, float[] parameters, float stopLoss, bool ignoreNightCandles, float daySpread, float nightSpread)
{
var order = CalculationOrder.CreateNew(insName, dateFrom, dateTo, period, parameters);
order.StopLoss = stopLoss;
order.IgnoreNightCandles = ignoreNightCandles;
order.DaySpread = daySpread;
order.NightSpread = nightSpread;
_ordersQueue.Enqueue(order);
return(order.Id);
}
private void CalculateNextOrder(CalculationOrder order, bool saveResults = false)
{
var datefrom = order.DateFrom.AddMonths(-3);
if (_reader.GetMinDateTimeStamp(order.InstrumentName) > datefrom)
{
Logger.Log(" ERROR: incorrect data in order DATE FROM.");
return;
}
var candles = _reader.GetCandles(order.InstrumentName, order.Period, datefrom, order.DateTo);
if (order.IgnoreNightCandles)
{
candles = candles.Where(o => o.DateTimeStamp.Hour <= nightHoursStart && o.DateTimeStamp.Hour >= nightHoursEnd).ToArray();
}
var tickers = candles.Select(o => o.Ticker).Distinct()
.OrderBy(o => candles.Where(c => c.Ticker == o).Max(d => d.DateTimeStamp)).ToArray();
var strategy = (IStrategy)Activator.CreateInstance(_strategyType);
for (var i = 0; i < order.Parameters.Count(); i++)
{
strategy.Parameters[i].Value = order.Parameters[i];
}
var outDatas = new List <object[]>();
var balances = new List <float>();
var balancesPerDeal = new List <float>();
var lastResult = StrategyResult.Exit;
var balance = 0f;
var priceDiff = 0f;
var lotSize = 0;
var lastPrice = 0f;
var stopPrice = 0f;
var gapValue = float.MinValue;
float maxBalancePerDeal = float.MinValue;
foreach (var ticker in tickers)
{
var tc = candles.Where(o => o.Ticker == ticker).OrderBy(o => o.DateTimeStamp).ToList();
lastResult = StrategyResult.Exit;
var itemDateFrom = _reader.GetItemDateFrom(ticker);
if (order.DateFrom > itemDateFrom)
{
itemDateFrom = order.DateFrom;
}
var startIndex = tc.FindIndex(o => o.DateTimeStamp >= itemDateFrom);
if (startIndex == -1)
{
continue;
}
if (strategy.AnalysisDataLength > startIndex)
{
Logger.Log(string.Format("ERROR: order id {0}, preload data count < data count needed for analysis!", order.Id));
return;
}
strategy.Initialize();
var currentSL = 0f;
strategy.StopLossValue = order.StopLoss;
EventHandler <float> stopLossChanged = (sender, newVal) =>
{
if (currentSL != 0)
{
if (lastResult == StrategyResult.Long)
{
if (newVal > lastPrice - order.StopLoss)
{
currentSL = newVal;
}
}
if (lastResult == StrategyResult.Short)
{
if (newVal < lastPrice + order.StopLoss)
{
currentSL = newVal;
}
}
}
};
strategy.OnStopLossChanged += stopLossChanged;
for (var i = startIndex; i < tc.Count; i++)
{
var data = tc.GetRange(i - strategy.AnalysisDataLength + 1, strategy.AnalysisDataLength).ToArray();
object[] outData;
var result = strategy.Analyze(data, out outData);
if ((i == tc.Count - 1) || ((tc[i].DateTimeStamp.Hour == nightHoursStart) && (order.IgnoreNightCandles)))
{
result = StrategyResult.Exit;
}
if (lastResult != result)
{
var closePrice = tc[i].Close;
if (lastResult == StrategyResult.Long)
{
closePrice = closePrice - (IsInDay(tc[i].DateTimeStamp) ? order.DaySpread : order.NightSpread);
}
if (lastResult == StrategyResult.Short)
{
closePrice = closePrice + (IsInDay(tc[i].DateTimeStamp) ? order.DaySpread : order.NightSpread);
}
balance = balance + priceDiff + lotSize * closePrice;
if (result == StrategyResult.Long)
{
lotSize = 1;
priceDiff = -(tc[i].Close + (IsInDay(tc[i].DateTimeStamp) ? order.DaySpread : order.NightSpread)) * lotSize;
if (order.StopLoss == 0)
{
currentSL = 0;
}
else
{
currentSL = tc[i].Close - order.StopLoss;
}
}
if (result == StrategyResult.Short)
{
lotSize = -1;
priceDiff = (tc[i].Close - (IsInDay(tc[i].DateTimeStamp) ? order.DaySpread : order.NightSpread)) * (-lotSize);
if (order.StopLoss == 0)
{
currentSL = 0;
}
else
{
currentSL = tc[i].Close + order.StopLoss;
}
}
if (result == StrategyResult.Exit)
{
priceDiff = 0;
lotSize = 0;
currentSL = 0;
}
balances.Add(balance);
lastPrice = tc[i].Close;
stopPrice = 0;
balancesPerDeal.Add(balance);
}
else
{
balances.Add(balance + priceDiff + lotSize * tc[i].Close);
if (currentSL != 0)
{
if (result == StrategyResult.Long)
{
if (tc[i].Close <= currentSL)
{
balance = balance + priceDiff + lotSize * (tc[i].Close - (IsInDay(tc[i].DateTimeStamp) ? order.DaySpread : order.NightSpread));
currentSL = 0;
priceDiff = 0;
lotSize = 0;
stopPrice = tc[i].Close;
}
}
if (result == StrategyResult.Short)
{
if (tc[i].Close >= currentSL)
{
balance = balance + priceDiff + lotSize * (tc[i].Close + (IsInDay(tc[i].DateTimeStamp) ? order.DaySpread : order.NightSpread));
currentSL = 0;
priceDiff = 0;
lotSize = 0;
stopPrice = tc[i].Close;
}
}
}
}
lastResult = result;
var outList = new List <object>()
{
data.Last().DateTimeStamp, tc[i].Ticker, tc[i].Open, tc[i].High, tc[i].Low, tc[i].Close
};
outList.AddRange(outData);
outList.Add(lotSize);
if (result == StrategyResult.Long)
{
outList.Add(currentSL);
}
if (result == StrategyResult.Short)
{
outList.Add(currentSL);
}
if (result == StrategyResult.Exit)
{
outList.Add(0);
}
if (stopPrice == 0)
{
outList.Add("No");
}
else
{
outList.Add(string.Format("Yes ({0})", stopPrice));
}
outList.Add(balance);
if (saveResults)
{
outDatas.Add(outList.ToArray());
}
if (balancesPerDeal.Any())
{
if (maxBalancePerDeal < balancesPerDeal.Last())
{
maxBalancePerDeal = balancesPerDeal.Last();
}
if (gapValue < maxBalancePerDeal - balancesPerDeal.Last())
{
gapValue = maxBalancePerDeal - balancesPerDeal.Last();
}
}
}
strategy.OnStopLossChanged -= stopLossChanged;
}
var outDataDescription = new List <string>();
if (saveResults)
{
outDataDescription.AddRange(new string[6] {
"Date Time", "Ticker", "Open", "High", "Low", "Close"
});
outDataDescription.AddRange(strategy.OutDataDescription);
outDataDescription.Add("LOT Size");
outDataDescription.Add("STOP price");
outDataDescription.Add("STOPPED");
outDataDescription.Add("Balance per deal");
}
if (!saveResults)
{
balances.Clear();
}
order.Result = new CalculationResult()
{
OutData = outDatas.Select(o => o.Select(obj => obj.ToString()).ToArray()).ToArray(), Balances = balances.ToArray(), OutDataDescription = outDataDescription.ToArray()
};
order.TotalBalance = balance;
order.Gap = gapValue;
order.Status = CalculationOrderStatus.Finished;
if (!saveResults)
{
_finishedOrders.Add(order);
}
}
