private Tuple <TradeIdea, TradeIdeaLog> GenerateTradeIdeaForLatestDate(List <Signal> signals, HistoricalData historicalData)
{
Tuple <TradeIdea, TradeIdeaLog> result;
DateTime date = historicalData.LatestDate;
//TODO: should we remove this at all? now delayed
//SupportAndResistance sr = _algoService.GetSupportAndResistance(historicalData, expandedQuote.Last);
TradeIdeasGeneratorArgument args = TradeIdeasGeneratorArgument.Create(signals, historicalData /*, sr*/);
double marketCap = 0;
//if (quote != null)
//{
// marketCap = quote.MarketCapitalization ?? 0;
//}
TradeIdeaLog tradeIdeaLog = new TradeIdeaLog(historicalData.SecurityCode, args, date);
List <TradeIdeaRuleWrapper> generatedTradeIdeas = GenerateTradeIdeas(args, tradeIdeaLog);
Signal syrahSentiment = signals
.ForIndicator(TradeIdeasGeneratorArgument.LongTermSentimentForDependencies)
.FirstOrDefault(s => s.Date == date);
int?syrahSentimentLongTerm = syrahSentiment == null
? null
: (int?)syrahSentiment.Value;
syrahSentiment = signals
.ForIndicator(TradeIdeasGeneratorArgument.ShortTermSentimentForDependencies)
.FirstOrDefault(s => s.Date == date);
int?syrahSentimentShortTerm = syrahSentiment == null
? null
: (int?)syrahSentiment.Value;
double lastPrice = historicalData.Close.Last();
string companyName = historicalData.SecurityCode;
if (generatedTradeIdeas != null && generatedTradeIdeas.Any())
{
TradeIdea tradeIdea = new TradeIdea
{
DailyPlay = false,
DateOfScan = date,
MarketCap = marketCap,
Price = lastPrice,
StockCode = historicalData.SecurityCode,
CompanyName = companyName,
SyrahSentimentValue = syrahSentimentLongTerm,
SyrahSentimentShortTerm = syrahSentimentShortTerm,
RuleMatch = generatedTradeIdeas.Select(item => item.Rule).ToList(),
RulesWithLogs = generatedTradeIdeas
};
result = Tuple.Create(tradeIdea, tradeIdeaLog);
}
else
{
result = Tuple.Create((TradeIdea)null, tradeIdeaLog);
}
return(result);
}
/// <summary>
/// Generate trade ideas rules.
/// </summary>
public List <TradeIdeaRuleWrapper> GenerateTradeIdeas(TradeIdeasGeneratorArgument arg, TradeIdeaLog tradeIdeaLog)
{
const double period = 14;
const string cciStudy = "CCI";
const string rsiStudy = "RSI";
const string mfiStudy = "MFI";
const string williamsRStudy = "Williams %R";
List <TradeIdeaRuleWrapper> returnList = new List <TradeIdeaRuleWrapper>();
//if (arg.HasOption)
//{
//if (NearResistance(arg.LastPrice, arg.NearestResistance, arg.RangeStdDev))
if (arg.LongTermSentiment != null &&
arg.LongTermSentiment.Value == Sentiment.Bearish &&
arg.ShortTermSentiment != null &&
arg.ShortTermSentiment.Value != Sentiment.Bullish)
{
if (ObBearScan(arg.YesterdayRsi14, arg.Rsi14, _rsiObThresh))
{
returnList.Add(new TradeIdeaRuleWrapper
{
Rule = TradeIdeaRule.RsiOverboughtBearishCrossover,
Study = rsiStudy,
Period = period,
OverBoughtLevel = _rsiObThresh,
OverSoldLevel = _rsiOsThresh
});
}
if (ObBearScan(arg.YesterdayCci14, arg.Cci14, _cciObThresh))
{
returnList.Add(new TradeIdeaRuleWrapper
{
Rule = TradeIdeaRule.CciOverboughtBearishCrossover,
Study = cciStudy,
Period = period,
OverBoughtLevel = _cciObThresh,
OverSoldLevel = _cciOsThresh
});
}
if (ObBearScan(arg.YesterdayWillR14, arg.WillR14, _willrObThresh))
{
returnList.Add(new TradeIdeaRuleWrapper
{
Rule = TradeIdeaRule.WilliamsOverboughtBearishCrossover,
Study = williamsRStudy,
Period = period,
OverBoughtLevel = _willrObThresh,
OverSoldLevel = _willrOsThresh
});
}
if (ObBearScan(arg.YesterdayMfi14, arg.Mfi14, _mfiObThresh))
{
returnList.Add(new TradeIdeaRuleWrapper
{
Rule = TradeIdeaRule.MfiOverboughtBearishCrossover,
Study = mfiStudy,
Period = period,
OverBoughtLevel = _mfiObThresh,
OverSoldLevel = _mfiOsThresh
});
}
}
//if (NearSupport(arg.LastPrice, arg.NearestSupport, arg.RangeStdDev))
if (arg.LongTermSentiment != null &&
arg.LongTermSentiment.Value == Sentiment.Bullish &&
arg.ShortTermSentiment != null &&
arg.ShortTermSentiment.Value != Sentiment.Bearish)
{
if (OsBullScan(arg.YesterdayRsi14, arg.Rsi14, _rsiOsThresh))
{
returnList.Add(new TradeIdeaRuleWrapper
{
Rule = TradeIdeaRule.RsiOversoldBullishCrossover,
Study = rsiStudy,
Period = period,
OverBoughtLevel = _rsiObThresh,
OverSoldLevel = _rsiOsThresh
});
}
if (OsBullScan(arg.YesterdayCci14, arg.Cci14, _cciOsThresh))
{
returnList.Add(new TradeIdeaRuleWrapper
{
Rule = TradeIdeaRule.CciOversoldBullishCrossover,
Study = cciStudy,
Period = period,
OverBoughtLevel = _cciObThresh,
OverSoldLevel = _cciOsThresh
});
}
if (OsBullScan(arg.YesterdayWillR14, arg.WillR14, _willrOsThresh))
{
returnList.Add(new TradeIdeaRuleWrapper
{
Rule = TradeIdeaRule.WilliamsROversoldBullishCrossover,
Study = williamsRStudy,
Period = period,
OverBoughtLevel = _willrObThresh,
OverSoldLevel = _willrOsThresh
});
}
if (OsBullScan(arg.YesterdayMfi14, arg.Mfi14, _mfiOsThresh))
{
returnList.Add(new TradeIdeaRuleWrapper
{
Rule = TradeIdeaRule.MfiOversoldBullishCrossover,
Study = mfiStudy,
Period = period,
OverBoughtLevel = _mfiObThresh,
OverSoldLevel = _mfiOsThresh
});
}
}
if (LtStDisagreementFilter(arg.Atr20, arg.YesterdayHigh, arg.YesterdayLow))
{
if (arg.LongTermSentiment != null &&
arg.LongTermSentiment.Value == Sentiment.Bearish &&
arg.ShortTermSentiment != null &&
arg.ShortTermSentiment.Value == Sentiment.Bearish)
{
if (StLtBearDisagreementScan(arg.LtRsi50, arg.StRsi5, arg.YesterdayStRsi5, _ltRsiBearThresh, _stRsiBullThresh))
{
returnList.Add(new TradeIdeaRuleWrapper
{
Rule = TradeIdeaRule.RsiRallyInBearishTrend,
Study = rsiStudy,
Period = 5,
OverBoughtLevel = _stRsiBullThresh,
OverSoldLevel = _ltRsiBearThresh
});
}
if (StLtBearDisagreementScan(arg.LtCci50, arg.StCci5, arg.YesterdayStCci5, _ltCciBearThresh, _stCciBullThresh))
{
returnList.Add(new TradeIdeaRuleWrapper
{
Rule = TradeIdeaRule.CciRallyInBearishTrend,
Study = cciStudy,
Period = 5,
OverBoughtLevel = _stCciBullThresh,
OverSoldLevel = _ltCciBearThresh
});
}
}
if (arg.LongTermSentiment != null &&
arg.LongTermSentiment.Value == Sentiment.Bullish &&
arg.ShortTermSentiment != null &&
arg.ShortTermSentiment.Value == Sentiment.Bullish)
{
if (StLtBullDisagreementScan(arg.LtRsi50, arg.StRsi5, arg.YesterdayStRsi5, _ltRsiBullThresh, _stRsiBearThresh))
{
returnList.Add(new TradeIdeaRuleWrapper
{
Rule = TradeIdeaRule.RsiDipInBullishTrend,
Study = rsiStudy,
Period = 5,
OverBoughtLevel = _ltRsiBullThresh,
OverSoldLevel = _stRsiBearThresh
});
}
if (StLtBullDisagreementScan(arg.LtCci50, arg.StCci5, arg.YesterdayStCci5, _ltCciBullThresh, _stCciBearThresh))
{
returnList.Add(new TradeIdeaRuleWrapper
{
Rule = TradeIdeaRule.CciDipInBullishTrend,
Study = cciStudy,
Period = 5,
OverBoughtLevel = _ltCciBullThresh,
OverSoldLevel = _stCciBearThresh
});
}
}
}
//}
foreach (TradeIdeaRule tradeIdeaRule in returnList.Select(item => item.Rule))
{
tradeIdeaLog.Results.Add(tradeIdeaRule);
}
return(returnList);
}