private void OnNotifyUpdate(InstrNotifyClass pNotify, InstrObjClass pInstr)
{
Tick m_Tick = new Tick(DateTime.Now, Convert.ToDouble(pInstr.get_Get("LAST")), Convert.ToDouble(pInstr.get_Get("LASTQTY")));
OnInstrumentUpdate(m_Tick);
}
private void OnInstrumentUpdate(Tick m_Tick)
{
m_TickList.Add(m_Tick);
m_K = 0;
m_D = 0;
// Begin calculating
if (m_Ticks > 0 && m_TickList.Count > m_Ticks)
{
// Calculate the K and D values.
m_Max = 0;
m_Min = 1000000000;
for (int i = m_TickList.Count - m_Ticks; i < m_TickList.Count - 1; i++)
{
m_Max = Math.Max(m_Max, m_TickList[i].Price);
m_Min = Math.Min(m_Min, m_TickList[i].Price);
}
m_RSV.Add((m_TickList.Last().Price - m_Min) / (m_Max - m_Min) * 100);
//Debug.WriteLine(m_RSV.Last());
if (m_RSV.Count >= 3)
{
m_D = (m_RSV[m_RSV.Count - 1] + m_RSV[m_RSV.Count - 2] + m_RSV[m_RSV.Count - 3]) / 3;
}
m_K = m_RSV.Last();
//Debug.WriteLine(m_K);
//Debug.WriteLine(m_D);
//// Set the Cross State.
//if (m_K > m_D)
// m_State = Cross_State.ABOVE;
//else
// m_State = Cross_State.BELOW;
}
// START/STOP Switch
if (m_Go)
{
// If we already have a position on, and have either met out target or stop price, get out.
if (m_Position > 0 && (m_Tick.Price > m_Target || m_Tick.Price < m_Stop))
{
m_Instrument.EnterMarketOrder("S", m_Qty.ToString());
}
if (m_Position < 0 && (m_Tick.Price < m_Target || m_Tick.Price > m_Stop))
{
m_Instrument.EnterMarketOrder("B", m_Qty.ToString());
}
// First time only and on reset, set initial state.
if (m_Start)
{
if (m_K > m_D)
{
m_State = Cross_State.ABOVE;
}
else
{
m_State = Cross_State.BELOW;
}
m_Start = false;
}
// Has there been a crossover up?
if (m_K > m_D && m_State == Cross_State.BELOW)
{
// Change state.
m_State = Cross_State.ABOVE;
// If we are already short, first get flat.
if (m_Position < 0)
{
m_Instrument.EnterMarketOrder("B", m_Qty.ToString());
}
// Go long.
m_Instrument.EnterMarketOrder("B", m_Qty.ToString());
// Set target price and stop loss price.
m_Target = m_Tick.Price + m_TargetTicks * m_Instrument.get_TickSize();
m_Stop = m_Tick.Price - m_StopTicks * m_Instrument.get_TickSize();
}
// Has there been a crossover down?
if (m_K < m_D && m_State == Cross_State.ABOVE)
{
// Change state.
m_State = Cross_State.BELOW;
// If we are already long, first get flat.
if (m_Position > 0)
{
m_Instrument.EnterMarketOrder("S", m_Qty.ToString());
}
// Go short.
m_Instrument.EnterMarketOrder("S", m_Qty.ToString());
// Set target price and stop loss price.
m_Target = m_Tick.Price - m_TargetTicks * m_Instrument.get_TickSize();
m_Stop = m_Tick.Price + m_StopTicks * m_Instrument.get_TickSize();
}
}
// Send the data to the GUI.
OnSystemUpdate(m_Tick.Price, m_Tick.Qty, m_D, m_K, m_Target, m_Stop);
}
private void OnInstrumentUpdate(Tick m_Tick)
{
m_TickList.Add(m_Tick);
m_FI = 0;
m_F = 0;
// Begin calculation
if (m_Ticks > 0 && m_TickList.Count > m_Ticks)
{
// Calculate the Force and Force Index.
for (int i = m_TickList.Count - m_Ticks; i < m_TickList.Count - 1; i++)
{
m_WeightedDiff = (m_TickList[i].Price - m_TickList[i - 1].Price) * m_TickList[i].Qty;
}
m_F += m_WeightedDiff;
m_FI = m_F / m_Ticks;
Debug.WriteLine(m_FI);
}
// START/STOP Switch
if (m_Go)
{
// If we already have a position on, and have either met out target or stop price, get out.
if (m_Position > 0 && (m_Tick.Price > m_Target || m_Tick.Price < m_Stop))
{
m_Instrument.EnterMarketOrder("S", m_Qty.ToString());
}
if (m_Position < 0 && (m_Tick.Price < m_Target || m_Tick.Price > m_Stop))
{
m_Instrument.EnterMarketOrder("B", m_Qty.ToString());
}
// First time only and on reset, set initial state.
if (m_Start)
{
if (m_FI > 0)
{
m_State = Cross_State.ABOVE;
}
else
{
m_State = Cross_State.BELOW;
}
m_Start = false;
}
// Has there been a crossover up? Buy Signal
if (m_FI > 0 && m_State == Cross_State.BELOW)
{
// Change state.
m_State = Cross_State.ABOVE;
// If we are already short, first get flat.
if (m_Position < 0)
{
m_Instrument.EnterMarketOrder("B", m_Qty.ToString());
}
// Go long.
m_Instrument.EnterMarketOrder("B", m_Qty.ToString());
// Set target price and stop loss price.
m_Target = m_Tick.Price + m_TargetTicks * m_Instrument.get_TickSize();
m_Stop = m_Tick.Price - m_StopTicks * m_Instrument.get_TickSize();
}
// Has there been overbought? Sell Signal
if (m_FI < 0 && m_State == Cross_State.ABOVE)
{
// Change state.
m_State = Cross_State.BELOW;
// If we are already long, first get flat.
if (m_Position > 0)
{
m_Instrument.EnterMarketOrder("S", m_Qty.ToString());
}
// Go short.
m_Instrument.EnterMarketOrder("S", m_Qty.ToString());
// Set target price and stop loss price.
m_Target = m_Tick.Price - m_TargetTicks * m_Instrument.get_TickSize();
m_Stop = m_Tick.Price + m_StopTicks * m_Instrument.get_TickSize();
}
}
// Send the data to the GUI.
OnSystemUpdate(m_Tick.Price, m_Tick.Qty, m_FI, m_F, m_Target, m_Stop);
}