public IStrategyDecision GetStrategyDecision(RateRecord rec)
{
DateTime date = rec.UpdateTime;
decimal price = rec.Value;
IDictionary <DateTime, decimal> historyData = _historyData[rec.Name];
if (!historyData.Keys.Contains(date))
{
historyData.Add(date, price);
}
//return TestAnalize(historyData);
decimal lastValue = StrategyHelper.GetLastValue(historyData);
decimal decrease = StrategyHelper.GetMaximum(INTERVAL_MINUTES, historyData) - lastValue;
decimal increase = lastValue - StrategyHelper.GetMinimum(INTERVAL_MINUTES, historyData);
decimal largeMedium = (StrategyHelper.GetMaximum(LARGE_MEDIUM_INTERVAL_MINUTES, historyData) + StrategyHelper.GetMinimum(LARGE_MEDIUM_INTERVAL_MINUTES, historyData)) / 2;
int momentDirection = 0;
if (decrease > MAX_DIRECTION)
{
momentDirection = -1;
}
if (increase > MAX_DIRECTION)
{
momentDirection = 1;
}
int longDirection = 0;
if (lastValue > largeMedium)
{
longDirection = 1;
}
if (lastValue < largeMedium)
{
longDirection = -1;
}
int result = 0;
if (momentDirection == -1 && longDirection == +1)
{
result = 1;
}
if (momentDirection == 1 && longDirection == -1)
{
result = -1;
}
BaseStrategyDecision decision = new BaseStrategyDecision();
decision.TakeProfit = lastValue + (TAKE_PROFIT_POINTS * result);
decision.StopLoss = lastValue - (STOP_LOSS_POINTS * result);
StringBuilder additionalInfo = new StringBuilder();
additionalInfo.AppendFormat("Максимальное изменение за две минуты:{0}", (decrease > increase ? decrease : increase) * momentDirection);
additionalInfo.AppendFormat("Текущее отклонение от среднего за 30 минут:{0}", lastValue - largeMedium);
return(decision);
}
public static IStrategyDecision TestAnalize(IDictionary <DateTime, decimal> historyData)
{
decimal lastValue = StrategyHelper.GetLastValue(historyData);
BaseStrategyDecision decision = new BaseStrategyDecision();
if ((decimal)DateTime.Now.Minute % 2 == 0)
{
decision.TakeProfit = lastValue + (TAKE_PROFIT_POINTS * -1);
decision.StopLoss = lastValue - (STOP_LOSS_POINTS * -1);
return(decision);
}
else
{
decision.TakeProfit = lastValue + (TAKE_PROFIT_POINTS);
decision.StopLoss = lastValue - (STOP_LOSS_POINTS);
return(decision);
}
}
public IStrategyProvider Init(IDictionary <string, IDictionary <DateTime, decimal> > historyData)
{
_candles = StrategyHelper.BuildCandles(historyData, CANDLES_INTERVAL_MINUTES);
return(this);
}
public virtual IStrategyDecision GetStrategyDecision(RateRecord rec)
{
StrategyHelper.CloseCandle(_candles, rec, CANDLES_INTERVAL_MINUTES);
BaseStrategyDecision decision = new BaseStrategyDecision();
Candle maximum = GetMaximumForInterval(rec.Name, CANDLES_RANGE, _candles[rec.Name].Last());
Candle minimum = GetMinimumForInterval(rec.Name, CANDLES_RANGE, _candles[rec.Name].Last());
if (maximum == null || minimum == null)
{
return(decision);
}
if (maximum.OpenTime > minimum.OpenTime) //тренд вверх
{
Candle previousMaximum = GetMaximumBetween(rec.Name, minimum, maximum);
if (previousMaximum != null)
{
Candle previousMinimum = GetMinimumBetween(rec.Name, previousMaximum, maximum);
if (previousMinimum != null)
{
//пробойный бар
Candle breakout = GetMaximumBreakout(rec.Name, previousMinimum, previousMaximum.HighPrice);
if (breakout != null)
{
Candle previousMaximum2 = GetMaximumBetween(rec.Name, minimum, previousMaximum);
if (previousMaximum2 != null)
{
//наш takeProfit
Candle previousMinimum2 = GetMinimumBetween(rec.Name, previousMaximum2, previousMaximum);
if (previousMinimum2 != null && rec.Value < breakout.LowPrice)
{
if (rec.Value - previousMinimum2.LowPrice > 0.0010m
&&
breakout.HighPrice - rec.Value > 0.0005m
)
{
decision.TakeProfit = previousMinimum2.LowPrice;
decision.StopLoss = breakout.HighPrice;
StringBuilder sb = new StringBuilder();
sb.AppendFormat("Takeprofit:{0}{1}", decision.TakeProfit, Environment.NewLine);
sb.AppendFormat("Stoploss:{0}{1}", decision.StopLoss, Environment.NewLine);
sb.AppendFormat("Предпоследний колебательный минимум был:{0:yyy-MM-dd HH:mm}{1}", previousMinimum2.OpenTime, Environment.NewLine);
sb.AppendFormat("Пробойный бар:{0:yyy-MM-dd HH:mm}{1}", breakout.OpenTime, Environment.NewLine);
decision.AdditionalInfo = sb.ToString();
}
}
}
}
}
}
}
if (minimum.OpenTime > maximum.OpenTime) // тренд вниз
{
Candle previousMinimum = GetMinimumBetween(rec.Name, maximum, minimum);
if (previousMinimum != null)
{
Candle previousMaximum = GetMaximumBetween(rec.Name, previousMinimum, minimum);
if (previousMaximum != null)
{
//пробойный бар
Candle breakout = GetMinimumBreakout(rec.Name, previousMaximum, previousMinimum.LowPrice);
if (breakout != null)
{
Candle previousMinimum2 = GetMinimumBetween(rec.Name, maximum, previousMinimum);
if (previousMinimum2 != null)
{
//наш takeProfit
Candle previousMaximum2 = GetMaximumBetween(rec.Name, previousMinimum2, previousMinimum);
if (previousMaximum2 != null && rec.Value > breakout.HighPrice)
{
if (previousMaximum2.HighPrice - rec.Value > 0.0010m
&&
rec.Value - breakout.LowPrice > 0.0005m
)
{
decision.TakeProfit = previousMaximum2.HighPrice;
decision.StopLoss = breakout.LowPrice;
StringBuilder sb = new StringBuilder();
sb.AppendFormat("Takeprofit:{0}{1}", decision.TakeProfit, Environment.NewLine);
sb.AppendFormat("Stoploss:{0}{1}", decision.StopLoss, Environment.NewLine);
sb.AppendFormat("Предпоследний колебательный максимум был:{0:yyy-MM-dd HH:mm}{1}", previousMaximum2.OpenTime, Environment.NewLine);
sb.AppendFormat("Пробойный бар:{0:yyy-MM-dd HH:mm}{1}", breakout.OpenTime, Environment.NewLine);
decision.AdditionalInfo = sb.ToString();
}
}
}
}
}
}
}
return(decision);
}