protected void LoadTriggers()
{
for (int i = 0; i < symbol_list.Count; i++)
{
trade_triggers.Add(new List <TradeTrigger>());
}
string trigger_file_path = "c:\\temp\\knn\\triggers.csv";
String trigger_config_file_path = "c:\\temp\\knn\\triggers_config.txt";
System.IO.StreamReader file3 = new System.IO.StreamReader(trigger_config_file_path);
String line3 = file3.ReadLine();
if (line3 != null)
{
trigger_file_path = line3;
}
file3.Close();
System.IO.StreamReader file4 = new System.IO.StreamReader(trigger_file_path);
string line4;
while ((line4 = file4.ReadLine()) != null)
{
string[] values = line4.Split(';');
if (values.Length == 9)
{
TradeTrigger trig = new TradeTrigger();
trig.Symbol = values[0];
IndicatorEnum newIndicator;
Enum.TryParse(values[1], out newIndicator);
string indicator_str = newIndicator.ToString().Substring(10, newIndicator.ToString().Length - 10);
trig.Indicator = newIndicator;
trig.StartRange = Convert.ToDouble(values[2]);
trig.EndRange = Convert.ToDouble(values[3]);
trig.DaysToHold = Convert.ToInt32(values[4]);
trig.Param1 = Convert.ToInt32(values[5]);
trig.Param2 = Convert.ToInt32(values[6]);
trig.Param3 = Convert.ToInt32(values[7]);
trig.Identifier = values[8];
int symbol_index = symbol_to_index[trig.Symbol];
trade_triggers[symbol_index].Add(trig);
}
}
file4.Close();
}
protected override void OnBarUpdate()
{
int BarIndex = BarsInProgress;
double indicator_value = 0.0;
bool bFinishedProcessingAllData = false;
if (((CurrentBar + 2) == Count) && BarIndex == (symbol_list.Count - 1)) //we are on the last bar to process
{
bFinishedProcessingAllData = true;
}
if ((BarIndex >= 1) && (BarIndex < (symbol_list.Count))) //Start at index=1 since we want to ignore the primary/dummy instrument
{
DateTime date_to_process = Times[BarIndex][0].Date; //need to wait FutureValueDaysToLookAhead days before we can make calcs
bool bWithinPeriod = (date_to_process >= StartDate) && (date_to_process <= EndDate);
if (bWithinPeriod)
{
string symbol_name = symbol_list[BarIndex];
double current_price = Closes[BarIndex][0];
List <TradeTrigger> triggers = trade_triggers[BarIndex];
for (int i = 0; i < triggers.Count; i++)
{
TradeTrigger trig = triggers[i];
string indicator_str = trig.Indicator.ToString().Substring(10, trig.Indicator.ToString().Length - 10);
string trade_id_str = indicator_str + " " + symbol_name;
string trade_exit_str = "Exit " + trade_id_str;
switch (trig.Indicator)
{
case IndicatorEnum.indicator_MACD:
indicator_value = MACD(BarsArray[BarIndex], trig.Param1, trig.Param2, trig.Param3)[0]; //get the indicator val from n days ago
break;
case IndicatorEnum.indicator_RSI:
indicator_value = RSI(BarsArray[BarIndex], trig.Param1, trig.Param2)[0]; //get the indicator val from n days ago
break;
case IndicatorEnum.indicator_BOLLINGER:
double upper_band = Bollinger(BarsArray[BarIndex], (double)trig.Param1, trig.Param2).Upper[0]; //get the indicator val from n days ago
double middle_band = Bollinger(BarsArray[BarIndex], (double)trig.Param1, trig.Param2).Middle[0]; //get the indicator val from n days ago
double lower_band = Bollinger(BarsArray[BarIndex], (double)trig.Param1, trig.Param2).Lower[0]; //get the indicator val from n days ago
double diff = current_price - middle_band;
double band_range = upper_band - middle_band;
indicator_value = diff / band_range; //how far current price is from the middle band (-1.0 means we're at the lower band, +1 means we're at the upper band)
break;
case IndicatorEnum.indicator_STOCHASTIC:
//use the "D" value
indicator_value = Stochastics(BarsArray[BarIndex], trig.Param1, trig.Param2, trig.Param3).D[0]; //get the indicator val from n days ago
break;
case IndicatorEnum.indicator_STOCHASTIC_RSI:
indicator_value = StochRSI(BarsArray[BarIndex], trig.Param1)[0]; //get the indicator val from n days ago
break;
case IndicatorEnum.indicator_GREG:
indicator_value = -999.999; // GregIndicator1(BarsArray[BarIndex], (float)Param1)[FutureValueDaysToLookAhead]; //get the indicator val from n days ago
break;
default:
indicator_value = -999.99;
break;
}
bool bIndicatorInRange = false;
if ((indicator_value > trig.StartRange) && (indicator_value < trig.EndRange))
{
bIndicatorInRange = true;
String results_string = date_to_process.ToShortDateString() + " " + trig.Symbol + " " + indicator_str +
" " + trig.Identifier + " " + trig.StartRange.ToString() + " " + trig.EndRange.ToString() +
" " + trig.Param1.ToString() + " " + trig.Param2.ToString() + " " + trig.Param3.ToString();
scanner_results.Add(results_string);
}
if (SimulateTrades == true)
{
if (DaysSincePurchase[BarIndex] >= 0) //Trade in-progress
{
DaysSincePurchase[BarIndex]++;
if (DaysSincePurchase[BarIndex] == trig.DaysToHold)
{
ExitLong(BarIndex, NumShares[BarIndex], trade_exit_str, trade_id_str);
DaysSincePurchase[BarIndex] = -1;
}
}
else if (bIndicatorInRange)
{
DaysSincePurchase[BarIndex] = 0;
NumShares[BarIndex] = (int)(AmountPerTrade / current_price);
EnterLong(BarIndex, NumShares[BarIndex], trade_id_str);
}
}
}
}
}
if (bFinishedProcessingAllData)
{
WriteStringListToCSV(scanner_results, "c:\\temp\\knn\\scanner_results.txt");
}
}