private double GetLossRecoveryLotSize(ZoneLevels zoneLevels, double previousTurnTargetNetReturns, double spread, double commissionRate)
{
/*
* Total Gain Potential(TPG) - Total Loss Potential(TPL) = 0
* Commission(CO) = Recovery Size(RS) * Commission Rate(CR)
* Total Gain Potential(TPG) = Recovery Size(RS) * (Recovery Level(RL) - Stop Loss Level(SL)) -Commission(CO)
* Total Loss Potential(TPL) = Previous Recovery Size(PRS) * ABS(Previous Entry Level(PEL) - Previous Stop Loss Level(PSL)) + Previous Turn Commission(PTC) -Prior Turns Total Return PTTR
* Total Gain Potential(TPG) = Total Loss Potential(TPL)
*
*
* TPG - TPL = 0
* CO = RS * CR
* TPG = (RS * (RL - SL)) - CO
* TPL = PRS * ABS(PEL - PSL) + PTC - PTTR
* TPG = TPL
* (RS * (RL - SL)) - (RS * CR) = PRS * ABS(PEL - PSL) + PTC - PTTR
* RS((RL - SL) - CR) = PRS * ABS(PEL - PSL) + PTC - PTTR
* RS = (PRS * ABS(PEL - PSL) + PTC - PTTR) / (RL - SL - CR)
*/
CalcHistory = $"LotSize: {LotSize}, EntryPrice: {EntryPrice}, zoneLevels.UpperTradingZone: {zoneLevels.TakeProfitLevel}, Commission: {Commission}, _profitMargin: {_profitMargin}, spread: {spread}, previousTurnTargetNetReturns: {previousTurnTargetNetReturns}, zoneLevels.UpperTradingZone: {zoneLevels.TakeProfitLevel}, commissionRate: {commissionRate}, _pipFactor: {_pipFactor}";
if (Position == MarketPosition.Long)
{
return((LotSize * (EntryPrice - zoneLevels.StopLossLevel) + Commission + _profitMargin + spread - previousTurnTargetNetReturns) / (zoneLevels.LossRecoveryLevel - zoneLevels.StopLossLevel - (commissionRate * _pipFactor)));
}
else if (Position == MarketPosition.Short)
{
return((LotSize * (zoneLevels.StopLossLevel - EntryPrice) + Commission + _profitMargin + spread - previousTurnTargetNetReturns) / (zoneLevels.StopLossLevel - zoneLevels.LossRecoveryLevel - (commissionRate * _pipFactor)));
}
else
{
return(0);
}
}
public RecoveryTurn(IActiveTurn activeTurn, RecoveryTurn previousTurn, ZoneLevels zoneLevel, MarketPosition entryPosition, MarketPosition turnPosition, double entryBidPrice, double entryAskPrice, double lotSize, IZoneRecoverySettings settings)
{
_settings = settings;
_activeTurn = activeTurn;
_activeTurn.Update(this);
if (previousTurn == null)
{
TurnIndex = 0;
}
else
{
TurnIndex = previousTurn.TurnIndex + 1;
}
ZoneLevels = zoneLevel;
_entryPosition = entryPosition;
PreviousTurn = previousTurn;
IsActive = true;
Position = turnPosition;
EntryPrice = (entryAskPrice + entryBidPrice) / 2;
_currentPrice = EntryPrice;
_commissionRate = _settings.CommissionRate;
_profitMargin = _settings.ProfitMarginRate;
LotSize = lotSize;
_pipFactor = _settings.PipFactor;
Commission = lotSize * _commissionRate * _settings.PipFactor;
Spread = Math.Abs(entryAskPrice - entryBidPrice);
MaxSlippageRate = _settings.Slippage;
}
public Session(MarketPosition initPosition, double entryBidPrice, double entryAskPrice, double tradeZoneSize, double zoneRecoverySize, IZoneRecoverySettings settings)
{
_settings = settings;
var midPrice = (entryBidPrice + entryAskPrice) / 2d;
ZoneLevels = new ZoneLevels(initPosition, midPrice, tradeZoneSize, zoneRecoverySize);
double profitMargin = tradeZoneSize * _settings.ProfitMarginRate;
ActivePosition = new RecoveryTurn(this, null, ZoneLevels, initPosition, initPosition, entryBidPrice, entryAskPrice, _settings.InitLotSize, _settings);
}
public (PriceActionResult, RecoveryTurn) PriceAction(double bid, double ask)
{
PreviousTurn?.PriceAction(bid, ask);
_previousPrice = _currentPrice;
_currentPrice = (bid + ask) / 2d;
double spread = bid - ask;
bool isTakeProfitLevelHit = false;
bool isRecoveryLevelHit = false;
if (Position == MarketPosition.Long)
{
_unrealizedNetProfit = ((_currentPrice - EntryPrice) * LotSize) - Commission - Spread;
_unrealizedGrossProfit = (_currentPrice - EntryPrice) * LotSize;
isTakeProfitLevelHit = IsActive && _currentPrice >= ZoneLevels.TakeProfitLevel;
isRecoveryLevelHit = IsActive && _previousPrice > ZoneLevels.LossRecoveryLevel && _currentPrice <= ZoneLevels.LossRecoveryLevel;
}
else if (Position == MarketPosition.Short)
{
_unrealizedNetProfit = ((EntryPrice - _currentPrice) * LotSize) - Commission - Spread;
_unrealizedGrossProfit = (EntryPrice - _currentPrice) * LotSize;
isTakeProfitLevelHit = IsActive && _currentPrice <= ZoneLevels.TakeProfitLevel;
isRecoveryLevelHit = IsActive && _previousPrice < ZoneLevels.LossRecoveryLevel && _currentPrice >= ZoneLevels.LossRecoveryLevel;
}
if (isTakeProfitLevelHit)
{
return(PriceActionResult.TakeProfitLevelHit, null);
}
else if (isRecoveryLevelHit)
{
if (IsMaximumSlippageHit(_currentPrice))
{
return(PriceActionResult.MaxSlippageLevelHit, null);
}
else
{
var newPosition = Position.Reverse();
double previousTurnTargetNetReturns = GetTotalPreviousNetReturns(newPosition, PreviousTurn);
double lotSize = GetLossRecoveryLotSize(ZoneLevels, previousTurnTargetNetReturns, spread, _commissionRate);
IsActive = false;
return(PriceActionResult.RecoveryLevelHit, new RecoveryTurn(_activeTurn, this, ZoneLevels.Reverse(), _entryPosition, newPosition, bid, ask, lotSize, _settings));
}
}
else
{
return(PriceActionResult.Nothing, null);
}
}