// private double GetMarketPosition()
// {
// return this.Environment.IsAutoTradingMode ? StrategyInfo.MarketPositionAtBrokerForTheStrategy : StrategyInfo.MarketPosition;
// }
// private bool GetSignalDown(double crtdr, double rsi, Trend trend)
// {
// if(rsi >= RsiUpMinimumForShort && trend == Trend.Down)
// {
// if(crtdr * 100 + rsi >= 200 - ShortLimitDown) return true;
// }
//
// return false;
// }
protected override void OnOrderRejected(EOrderAction action, OrderCategory category, int quantity, double stopPrice, double limitPrice)
{
LogAndMail("Order rejected: {0} {1} ({2} @ {3}/{4}).", action, quantity, category, stopPrice, limitPrice);
DumpFileLog();
DumpMailLog();
ExecControl.RecalcLastBarAfter(TimeSpan.FromSeconds(recalcFrequency)); // If there were no instructions from MM-signal, we will keep waiting for them.
}
protected override void CalcBar()
{
m_last_tick_val = Bars.TicksValue;
m_last_cb = Bars.CurrentBar;
if (!Bars.LastBarOnChart)
{
var p_levels = (Bars.HighValue - Bars.LowValue) / m_price_step + 1;
for (var i = 0; i < p_levels; i++)
{
add_volume(Bars.LowValue + i * m_price_step, Bars.TicksValue / p_levels);
}
return;
}
ExecControl.RecalcLastBarAfter(TimeSpan.FromSeconds(UpdateSpeedsec));
double _inc_volume;
if (Bars.CurrentBar > m_last_cb)
{
_inc_volume = Bars.TicksValue - m_last_tick_val;
}
else
{
_inc_volume = Bars.TicksValue;
}
add_volume(Bars.CloseValue, _inc_volume);
}
protected override void CalcBar()
{
if (Bars.LastBarOnChart)
{
ExecControl.RecalcLastBarAfter(TimeSpan.FromSeconds(0.5));
}
}
protected override void CalcBar()
{
barNumber.Value = BarsOfData(BasedOnData).CurrentBar;
if (barNumber.Value > barNumber[1])
{
double rank = Formula(this);
MyPortfolioData["RankStrategyR"] = rank;
if (TraceOutput)
{
Output.WriteLine("CurrentBar = {0}. Put MyIndicator value = {1} for symbol {2}.", Bars.CurrentBar, rank, Bars.Info.Name);
}
}
buy.Send();
sellshort.Send();
// money management
double moneyCostForInvestPerCntrct = this.CalcMoneyForEntryPerCntrct(Bars.CloseValue, Portfolio.MarginPerContract) +
this.CalcMoneyForEntryPerCntrct(Bars.CloseValue, Portfolio.MaxPotentialLossPerContract);
if (moneyCostForInvestPerCntrct < 0)
{
ExecControl.Abort("Error! Price = {0}, PMargin = {1}, PMaxPLoss = {2}", Bars.CloseValue, Portfolio.MarginPerContract, Portfolio.MaxPotentialLossPerContract);
}
MyPortfolioData[PortfolioHelpFunctions.MoneyCostForInvestPerCtrct] = this.FromSymbolToPortfolioCurrency(moneyCostForInvestPerCntrct);
}
protected override void CalcBar()
{
if (!Bars.LastBarOnChart)
{
return;
}
ExecControl.RecalcLastBarAfter(TimeSpan.FromSeconds(updatespeed_seconds));
if (Bars.DOM.Connected)
{
m_value11 = 0;
foreach (var domPrice in Bars.DOM.Ask)
{
m_value11 = Math.Max(m_value11, domPrice.Size);
}
foreach (var domPrice in Bars.DOM.Bid)
{
m_value11 = Math.Max(m_value11, domPrice.Size);
}
m_draw_dom_level1.Call();
m_draw_dom_level2.Call();
Plot1.Set("OK", Color.White);
}
else
{
Plot1.Set("Level2 data is not avaliable", Color.Red);
}
}
protected override void CalcBar()
{
if (Environment.ApplicationCode != EApplicationCode.Portfolio)
{
ExecControl.Abort("Signal can be applied in portfolio only.");
}
MyPortfolioData["RotationalValue"] = myFormula(myLength, 0);
buy.Send();
sell.Send();
// money management
double entryprice = this.EntryPrice() == 0 ? Bars.CloseValue : this.EntryPrice();
double moneyCostForInvestPerCntrct =
this.CalcMoneyForEntryPerCntrct(entryprice, Portfolio.MarginPerContract) +
this.CalcMoneyForEntryPerCntrct(entryprice, Portfolio.MaxPotentialLossPerContract);
if (moneyCostForInvestPerCntrct < 0)
{
ExecControl.Abort("Error! Price = {0}, PMargin = {1}, PMaxPLoss = {2}", entryprice, Portfolio.MarginPerContract, Portfolio.MaxPotentialLossPerContract);
}
MyPortfolioData[PortfolioHelpFunctions.MoneyCostForInvestPerCtrct] = this.FromSymbolToPortfolioCurrency(moneyCostForInvestPerCntrct);
// exits
CurSpecOrdersMode = ESpecOrdersMode.PerPosition;
GenerateStopLoss(StopLossPcntsOfPortfolio * .01 * this.PortfolioEquity());
GenerateProfitTarget(ProfitTargetPcntsOfPortfolio * .01 * this.PortfolioEquity());
}
protected override void StartCalc()
{
if (Environment.ApplicationCode != EApplicationCode.Portfolio)
{
ExecControl.Abort("Signal can be applied in portfolio only.");
}
m_KRatio.NumberOfDataBarsInCalendarYear = 252;
}
protected override void CalcBar()
{
// we only deal with the last bar
if (!Bars.LastBarOnChart)
{
return;
}
ExecControl.RecalcLastBarAfter(TimeSpan.FromSeconds(UpdateSpeedSecs));
}
protected override void CalcBar()
{
Ratio.Value = Bars.CloseValue / BarsOfData(2).CloseValue;
if (Bars.CurrentBar < Length)
{
return;
}
double contracts = this.PortfolioEquity() * PercentEquity / 100;
if (Bars.CurrentBar > 1)
{
if (PublicFunctions.DoubleLess(m_expAvgRatioVal + m_stdDevRatioVal, Ratio.Value))
{
if (!PublicFunctions.DoubleEquals(m_cur_pos, -1))
{
m_cur_pos = -1;
m_short.Send((int)contracts);
}
}
else
if (PublicFunctions.DoubleGreater(m_expAvgRatioVal - m_stdDevRatioVal, Ratio.Value))
{
if (!PublicFunctions.DoubleEquals(m_cur_pos, 1))
{
m_cur_pos = 1;
m_long.Send((int)contracts);
}
}
else
{
m_cur_pos = 0;
m_lx.Send();
m_sx.Send();
}
}
m_expAvgRatioVal = m_expAvgRatio.Value;
m_stdDevRatioVal = Ratio.StandardDeviationCustom(Length, 1);
if (Environment.ApplicationCode == EApplicationCode.Portfolio)
{
int slaveIdx = this.GetFirstStrategyIndexBySymbolName(BarsOfData(2).Info.Name);
if (slaveIdx < 0)
{
ExecControl.Abort(@"specified slave trader on instrument ""{0}"" not found", BarsOfData(2).Info.Name);
}
double money = Math.Abs(m_cur_pos * contracts) * Bars.CloseValue * Bars.Info.BigPointValue;
if (PublicFunctions.DoubleGreater(money, 0))
{
money = this.FromSymbolToPortfolioCurrency(money);
}
PortfolioStrategies[slaveIdx].PortfolioData[MasterMoney] = -m_cur_pos * money;
}
}
private void _new_track(object sender, EventArgs e)
{
var _tsi = (TrackBar)sender;
if (Length != _tsi.Value)
{
Length = _tsi.Value;
ExecControl.Recalculate();
}
}
protected override void CalcBar()
{
double Rating = m_RSI[0]; // Get RSI function value for the current bar.
if (!Environment.IsRealTimeCalc) // There is no need to calculate on historical data, that is why backtesting is ignored
{
// As soon as backtesting is finished, the signal gets immediately calculated by the timer.
// It is necessary to calculate RSI function value, which can be requested by MM-signal at any moment.
ExecControl.RecalcLastBarAfter(TimeSpan.FromSeconds(5));
return;
}
StaretegyEvents cmd = StaretegyEvents.None;
object obj = MyPortfolioData["MM_Command"]; // Check, if there are any MM-signal events available
if (!object.Equals(obj, null))
{
cmd = (StaretegyEvents)obj;
}
Output.WriteLine("\t\t{0}: Symbol: {1}, Command: {2}", DateTime.Now, Bars.Info.Name, cmd);
switch (cmd) // Execute specific commands, depending on the event
{
case StaretegyEvents.GetFactor: // If MM-signal requested rating coefficient from the signal, it will be sent.
MyPortfolioData["RankingValue"] = Rating; // In this case it is RSI function value on the current bar.
MyPortfolioData["MM_Command"] = StaretegyEvents.DataWasSent; // And will inform that the data was sent.
Output.WriteLine("\t\t{0}: Send Data for Symbol: {1}\t{2}", DateTime.Now, Bars.Info.Name, Rating);
ExecControl.RecalcLastBarAfter(TimeSpan.FromSeconds(5)); // Also, it is necessary to re-calculate, as the final instructions were not received yet.
break;
case StaretegyEvents.GenerateOrders_Long: // If MM-signal gives command to generate a long entry order
buy_order.Send(); // the signal will execute it here.
Output.WriteLine("\t\t{0}: Generate Buy. {1}", DateTime.Now, Bars.Info.Name);
break;
case StaretegyEvents.GenerateOrders_Short: // If MM-signal gives command to generate a short entry order
sell_order.Send(); // the signal will execute it here.
Output.WriteLine("\t\t{0}: Generate Short. {1}", DateTime.Now, Bars.Info.Name);
break;
case StaretegyEvents.None:
ExecControl.RecalcLastBarAfter(TimeSpan.FromSeconds(5)); // If there were no instructions from MM-signal, we will keep waiting for them.
break;
}
if (Bars.Status == EBarState.Close) // During calculation at the bar close, global variables, used to exchange messages between the current signal and MM-signal
{ // should be zeroed
MyPortfolioData["RankingValue"] = 0;
MyPortfolioData["MM_Command"] = StaretegyEvents.None;
Output.WriteLine("\t\tSeries {0} is Closed with Ranking Value: {1}. Status: {2}, cmd: {3}", Bars.Info.Name, Rating, Bars.Status, cmd);
ExecControl.RecalcLastBarAfter(TimeSpan.FromSeconds(5)); // And start the timer to wait for the new commands from MM-signal
}
}
protected override void StartCalc()
{
triggerTime = TimeSpan.Parse(TriggerTime);
if (Environment.ApplicationCode != EApplicationCode.Portfolio)
{
ExecControl.Abort("Signal can be applied in portfolio only.");
}
m_KRatio.NumberOfDataBarsInCalendarYear = 1; //252;
}
protected override void StartCalc()
{
if (Environment.ApplicationCode != EApplicationCode.Portfolio)
{
ExecControl.Abort("Portfolio Rank Money Management Signal can be applied for MCPortfolio application only.");
}
if (PortfolioStrategies.Count < BuyBestX + SellWorstY)
{
ExecControl.Abort("Portfolio Rank Monem Management Signal, please check inputs, BuyBestX + SellWorstY should be less or equal to tradeable Instruments number");
}
}
protected override void StartCalc()
{
// In this method it is specified that the signal is calculated in Portfolio Trader.
if (Environment.ApplicationCode != EApplicationCode.Portfolio)
{
ExecControl.Abort("The signal can be used in MultiCharts Portfolio Trader only.");
}
// and initialize the function
m_RSI.price = Bars.Close;
m_RSI.length = RSI_Length;
}
private void button1_Click(object sender, EventArgs e)
{
var _tbi = (ToolStripButton)sender;
var MyDialog = new ColorDialog {
Color = m_plot_color
};
if (MyDialog.ShowDialog() == DialogResult.OK)
{
m_plot_color = MyDialog.Color;
set_color_tsi(_tbi, MyDialog.Color);
ExecControl.Recalculate();
}
}
protected override void OnBrokerStategyOrderFilled(bool isBuy, int quantity, double avgFillPrice)
{
double pAndL = double.NaN;
double pAndLPercentage = double.NaN;
if (StrategyInfo.AvgEntryPriceAtBroker != 0)
{
pAndL = quantity * (avgFillPrice - StrategyInfo.AvgEntryPriceAtBroker);
pAndLPercentage = avgFillPrice / StrategyInfo.AvgEntryPriceAtBroker * 100 - 100;
}
LogAndMail("Order filled: {0} {1} @ avg. {2} (==> {3}). MarketPositionAtBroker={4}, AvgEntryPriceAtBroker={5}", isBuy ? "BUY" : "SELL", quantity, avgFillPrice, isBuy ? "Investing " + quantity * avgFillPrice : ("P/L " + pAndL + " (" + pAndLPercentage + "%)" + (pAndL > 0 ? " - yeah, baby!" : " - ouch!")), StrategyInfo.MarketPositionAtBroker, StrategyInfo.AvgEntryPriceAtBroker);
DumpFileLog();
DumpMailLog();
ExecControl.RecalcLastBarAfter(TimeSpan.FromSeconds(recalcFrequency)); // If there were no instructions from MM-signal, we will keep waiting for them.
}
protected override void StartCalc()
{
if (Environment.ApplicationCode != EApplicationCode.Portfolio) // Verification: the signal is only for the Portfolio Trader
{
ExecControl.Abort("The signal can be used in MultiCharts Portfolio Trader only.");
}
if (PortfolioStrategies.Count < MaxBest + MaxWorst) // Verification: sum of the inputs should be not more than the total number of the traded symbols
{
throw new Exception("Portfolio RSIRankEx_MM Signal, please check inputs, MaxBest + MaxWorst should be less or equal to the number of tradeable instruments");
}
if (Bars.Request.TimeZone != RequestTimeZone.Local)
{
throw new Exception("The signal can be used only with Local time zone set."); // Verification: only Local time zone
}
}
protected override void StartCalc()
{
CommonPortfolioData["RankStrategyApplied"] = "true";
if (!IsExist(BasedOnData))
{
ExecControl.Abort("Portfolio Rank Signal Base needs datastream {0}." + BasedOnData);
}
if (Environment.ApplicationCode != EApplicationCode.Portfolio)
{
ExecControl.Abort("Portfolio Rank Signal Base can be applied for MCPortfolio application only.");
}
if (TraceOutput)
{
Output.Clear();
}
}
protected override void OnRecalcLastBarAfterEvent()
{
if (Bars.DOM.Connected)
{
var _changed = false;
lock (this){
var _old_ask = Asks;
var _old_bid = Bids;
Asks = Bars.DOM.Ask;
Bids = Bars.DOM.Bid;
_changed = !(equal(_old_ask, Asks) && equal(_old_bid, Bids));
}
if (_changed)
{
ChartCustomDraw.ReDraw();
}
ExecControl.RecalcLastBarAfter(TimeSpan.FromSeconds(UpdateSpeedsec));
}
}
// Drawing is triggered here on a timer rather than in
// CalcBar() because the bid and ask can change without CalcBar()
// being called.
protected override void OnRecalcLastBarAfterEvent()
{
if (Bars.DOM.Connected)
{
var _changed = false;
// confusing logic; necessary because Bids/Asks will be null
// on the first pass through.
DOMPrice _old_ask = new DOMPrice(double.NaN, double.NaN);
DOMPrice _old_bid = new DOMPrice(double.NaN, double.NaN);
double _old_last = double.NaN;
lock (this){
if (null == Asks)
{
_changed = true;
}
else
{
_old_ask = Asks[0];
_old_bid = Bids[0];
_old_last = LastPrice;
}
Asks = Bars.DOM.Ask;
Bids = Bars.DOM.Bid;
LastPrice = Bars.Close[0];
_changed = _changed || !((_old_ask == Asks[0]) &&
(_old_bid == Bids[0]) &&
(_old_last == LastPrice));
}
_changed = _changed || !(LastPrice == Bars.Close[0]);
if (_changed)
{
ChartCustomDraw.ReDraw();
}
ExecControl.RecalcLastBarAfter(TimeSpan.FromSeconds(UpdateSpeedSecs));
}
}
protected override void OnRecalcLastBarAfterEvent()
{
TradeManager.ProcessEvents();
ExecControl.RecalcLastBarAfter(TimeSpan.FromSeconds(0.5));
}
protected override void CalcBar()
{
if (Environment.ApplicationCode != EApplicationCode.Portfolio)
{
ExecControl.Abort("Signal can be applied (as money management) in portfolio only.");
}
if (PortfolioStrategies.Count < BuyBestX + SellWorstY)
{
ExecControl.Abort(
"Portfolio has no enough instruments: instruments number = {0}; BuyBestX = {1}; SellWorstY = {2}",
PortfolioStrategies.Count, BuyBestX, SellWorstY);
}
this.StrategiesDenyEntriesAll();
bestStrategies.Clear();
worstStrategies.Clear();
for (int idx = 0; idx < PortfolioStrategies.Count; idx++)
{
double value = PortfolioStrategies[idx].PortfolioData["RotationalValue"].safe_cast2double();
bestStrategies.Add(idx, value);
worstStrategies.Add(idx, value);
if (TraceOutput)
{
Output.WriteLine("{0}. For {1} strategy value = {2}", Bars.CurrentBar, idx, value);
}
}
bestStrategies = bestStrategies.OrderByDescending(elem => elem.Value).ToDictionary(x => x.Key, y => y.Value);
worstStrategies = worstStrategies.OrderBy(elem => elem.Value).ToDictionary(x => x.Key, y => y.Value);
if (TraceOutput)
{
foreach (var bestElem in bestStrategies)
{
Output.WriteLine("{0}. Best = {1}:{2}.", Bars.CurrentBar, bestElem.Key, bestElem.Value);
}
}
var inLongStrategies = new List <int>();
this.StrategiesInLong(ref inLongStrategies);
for (int idx = 0; idx < BuyBestX; idx++)
{
if (!inLongStrategies.Contains(bestStrategies.Keys.ElementAt(idx)))
{
PortfolioStrategies[bestStrategies.Keys.ElementAt(idx)].AllowEntriesLong = true;
}
}
var inShortStrategies = new List <int>();
this.StrategiesInShort(ref inShortStrategies);
for (int idx = 0; idx < SellWorstY; idx++)
{
if (!inShortStrategies.Contains(worstStrategies.Keys.ElementAt(idx)))
{
PortfolioStrategies[worstStrategies.Keys.ElementAt(idx)].AllowEntriesShort = true;
}
}
// money management
if (UsePortfolioMoneyPcnt)
{
for (int idx = 0; idx < BuyBestX; idx++)
{
PortfolioStrategies[bestStrategies.Keys.ElementAt(idx)].EntryContracts =
this.CalcContractsForEntry(PortfolioMoneyPcntForEntry, bestStrategies.Keys.ElementAt(idx));
}
for (int idx = 0; idx < SellWorstY; idx++)
{
PortfolioStrategies[worstStrategies.Keys.ElementAt(idx)].EntryContracts =
this.CalcContractsForEntry(PortfolioMoneyPcntForEntry, worstStrategies.Keys.ElementAt(idx));
}
}
}
protected override void CalcBar()
{
CurSpecOrdersMode = ESpecOrdersMode.PerPosition;
if (!Environment.IsRealTimeCalc) // There is no need to calculate on historical data, that is why backtesting is ignored
{
// As soon as backtesting is finished, the signal gets immediately calculated by the timer.
// It is necessary to calculate the CRTDR and other values which can be requested by MM-signal at any moment.
ExecControl.RecalcLastBarAfter(TimeSpan.FromSeconds(recalcFrequency));
return;
}
// This method will be called over and over again because of the RecalcLastBarAfter setting
// Since we do not want to get the same logs all the time we have a throttling in place
// which will allow only certain calls to really log their output.
// Depending on the time of the day we log more of less often.
UpdateLogThrottling();
var high = Bars.HighValue;
var low = Bars.LowValue;
var close = Bars.CloseValue;
var crtdr = CRTDRIndicatorMath.CalcNextValue(high, low, close);
var xAverageLongValue = xAverageLong.Value;
var xAverageShortValue = xAverageShort.Value;
var trend = GetTrend(close, xAverageLongValue, xAverageShortValue);
var rsiDown = cutlersRSIIndicatorMathDown.Value;
var rsiFlat = cutlersRSIIndicatorMathFlat.Value;
var rsiUp = cutlersRSIIndicatorMathUp.Value;
var rsi = trend == Trend.Down ? rsiDown : (trend == Trend.Up ? rsiUp : rsiFlat);
MyPortfolioData[PortfolioDataKeys.IWantToBuy] = false;
MyPortfolioData[PortfolioDataKeys.IWantToSell] = false;
MyPortfolioData[PortfolioDataKeys.CRTDR] = crtdr;
LogThrottled("Reason: {0}, Status: {1}, Open: {2}, High: {3}, Low: {4}, Close: {5}, RSI: {6}, CRTDR: {7}, xAvgLong: {8}, xAvgShort: {9}", Environment.CalcReason, Bars.Status, Bars.OpenValue, Bars.HighValue, Bars.LowValue, Bars.CloseValue, rsi, crtdr, xAverageLongValue, xAverageShortValue);
if (StrategyInfo.MarketPosition == 0)
{
if (GetSignalUp(crtdr, rsi, trend))
{
//var numLots = Convert.ToInt32((InitialCapital + (doReinvestment ? Portfolio.NetProfit : 0.0)) / Bars.CloseValue);
MyPortfolioData[PortfolioDataKeys.IWantToBuy] = true;
LogThrottled("Signal says: We would like to buy @ {0}$", Bars.CloseValue);
}
// else if (GetSignalDown(crtdr, rsi, trend))
// {
// Output.WriteLine("SHORT on {0}, high {1} low {2} close {3} rsi {4} crtdr {5} xAverageLong {6} xAverageShort {7}", Bars.TimeValue, high, low, close, rsi, crtdr, xAverageLongValue, xAverageShortValue);
// MyPortfolioData[PortfolioHelpFunctions.PotentialEntryPrice] = -Bars.CloseValue;
// sellShortOrder.Send(Convert.ToInt32((InitialCapital + (doReinvestment ? Portfolio.NetProfit : 0.0)) / 10.0 / Bars.CloseValue));
// }
// else
// {
// Log("--- FLAT - NOP ---");
// }
}
else if (StrategyInfo.MarketPosition > 0)
{
// WE ARE LONG
//var barsSinceEntry = Bars.CurrentBar - CurrentPosition.OpenTrades[0].EntryOrder.BarNumber;
// BarsSinceEntry() doesn't work upon the restart of a trading session in which case BarsSinceEntry() will be zero no matter when the deals were actually opened
var barsSinceEntry = Math.Min(1, this.BarsSinceEntry());
var openProfit = CurrentPosition.OpenProfit;
var signalUp = GetSignalUp(crtdr, rsi, trend);
var rsiSellLevel = GetRsiSellLevel(trend);
LogThrottled("Should we sell? Bars since entry: {0}, open profit: {1}, signal up: {2}, rsi: {3}, rsiSellLevel: {4}", barsSinceEntry, openProfit, signalUp, rsi, rsiSellLevel);
// close non-profitable positions straight away because we have picked a loser and need to free up money for new deals
if (openProfit < 0)
{
LogThrottled("Loser cut! Assumed loss: {0}$", CurrentPosition.OpenProfit);
MyPortfolioData[PortfolioDataKeys.IWantToSell] = true;
}
else if (barsSinceEntry > 2 && !signalUp)
{
LogThrottled("SELL! Bars since entry > 2 and no up signal. Assuming to cash in ~{0}$", CurrentPosition.OpenProfit);
MyPortfolioData[PortfolioDataKeys.IWantToSell] = true;
}
else if (rsi > rsiSellLevel)
{
LogThrottled("SELL! RSI condition satisfied, we take the profit (~{0}$) and run!", CurrentPosition.OpenProfit);
MyPortfolioData[PortfolioDataKeys.IWantToSell] = true;
}
else
{
//Log("--- LONG - NOP ---");
}
}
// else if(marketPosition < 0)
// {
// // WE ARE SHORT
// GenerateStopLoss(StrategyInfo.AvgEntryPrice * Math.Abs(marketPosition) * StopLossLevel);
//
// if(this.BarsSinceEntry() > 2 && !GetSignalDown(crtdr, rsi, trend))
// {
// //Output.WriteLine("{8}: COVER1 on {0}, high {1} low {2} close {3} rsi {4} crtdr {5} xAverageLong {6} xAverageShort {7}", Bars.TimeValue, high, low, close, rsi, crtdr, xAverageLongValue, xAverageShortValue, Bars.Info.Name);
// buyToCoverOrder.Send();
// }
// else if(rsi < (trend == Trend.Down ? RsiCoverLevelDown : (trend == Trend.Up ? RsiCoverLevelUp : RsiCoverLevelFlat)))
// {
// //Output.WriteLine("{8}: COVER2 on {0}, high {1} low {2} close {3} rsi {4} crtdr {5} xAverageLong {6} xAverageShort {7}", Bars.TimeValue, high, low, close, rsi, crtdr, xAverageLongValue, xAverageShortValue, Bars.Info.Name);
// buyToCoverOrder.Send();
// }
// else
// {
// Log("--- SHORT - NOP ---");
// }
// }
StrategyEvents cmd = StrategyEvents.None;
object obj = MyPortfolioData[PortfolioDataKeys.MoneyManagementCommand]; // Check, if there are any MM-signal events available
if (obj != null)
{
cmd = (StrategyEvents)obj;
}
//Log("Got command {0}", cmd);
switch (cmd) // Execute specific commands, depending on the event
{
case StrategyEvents.GenerateOrders_Long:
int numberOfShares = Convert.ToInt32(MyPortfolioData[PortfolioDataKeys.NumberOfShares]);
buyOrder.Send(numberOfShares);
LogThrottled("Generated Buy: {0}#", numberOfShares);
GenerateOrAdjustStopLosses();
break;
case StrategyEvents.GenerateOrders_Short:
sellOrder.Send();
LogThrottled("Generated Sell.");
break;
case StrategyEvents.None:
ExecControl.RecalcLastBarAfter(TimeSpan.FromSeconds(recalcFrequency));
break;
}
// During calculation at the bar close, global variables, used to exchange messages between the current signal and MM-signal should be reset
if (Bars.Status == EBarState.Close)
{
Log("Close event received."); // only send email output if trade has been sent on this day
DumpFileLog();
MyPortfolioData[PortfolioDataKeys.CRTDR] = 1.0;
MyPortfolioData[PortfolioDataKeys.MoneyManagementCommand] = StrategyEvents.None;
MyPortfolioData[PortfolioDataKeys.IWantToBuy] = false;
MyPortfolioData[PortfolioDataKeys.IWantToSell] = false;
MyPortfolioData[PortfolioDataKeys.NumberOfShares] = 0;
ExecControl.RecalcLastBarAfter(TimeSpan.FromSeconds(recalcFrequency)); // And start the timer to wait for the new commands from MM-signal
}
}
