public static void AddPositionVolume_New(bool LongShort, List <ProbaStruct> MainZigZagCollection, List <ProbaStruct> OfZigZagCollection, double gap, double price,
double ratio_exp, List <Position> Position, ref bool expand_position, object locker, ModelsAT.BrokerMT tradeTerminal,
ILogger logger, DateTime time, string name, bool LoggNeeded)
{
if (expand_position)
{
double last_knee = Math.Abs(MainZigZagCollection.Last().GapValue - OfZigZagCollection.Last().GapValue);
double temp_knee = Math.Abs(OfZigZagCollection.Last().GapValue - gap);
double r_exp = temp_knee / last_knee;
if (r_exp >= ratio_exp)
{
if (LoggNeeded)
{
logger.LogEvent(time, name + " Размер ratio_O " + r_exp);
}
int ind = Position.Last().index;
lock (locker)
{
if (!LongShort)
{
tradeTerminal.OpenOrder(ArbitrageTradeWF.OrderType.MKT_Sell, ind);
}
else
{
tradeTerminal.OpenOrder(ArbitrageTradeWF.OrderType.MKT_Buy, ind);
}
}
expand_position = false;
if (LoggNeeded)
{
logger.LogEvent(time, name + " Увеличиваем объем позиции " + ind + " req price : " + price);
}
}
}
}
static void AddPositionVolumeAssist(ref LastPosition last_pos, double gap, double price, List <Position> Position,
object locker, ModelsAT.BrokerMT tradeTerminal, ArbitrageTradeWF.OrderType order_type,
ILogger logger, DateTime time, string name, bool LoggNeeded)
{
last_pos.gap = gap;
last_pos.price = price;
int ind = Position.Last().index;
lock (locker)
{
tradeTerminal.OpenOrder(order_type, ind);
}
Position.Add(new Processors.Position()
{
index = ind, value = price
});
if (LoggNeeded)
{
logger.LogEvent(time, name + " Увеличиваем объем позиции " + ind + " req price : " + price);
}
}
public void PositionHandler(object[] param)
{
double gap = (double)param[0];
double ask = (double)param[1];
double bid = (double)param[2];
DateTime time = (DateTime)param[3];
if (openpos == OpenPosition.LONG)
{
if (profit_to_close > 0)
{
if (bid >= PositionLong.value + profit_to_close)
{
if (LoggNeeded)
{
logger.LogEvent(time, "Close long due to TakeProfit condition");
}
openpos = OpenPosition.NONE;
lock (locker)
{
tradeTerminal.ClosePosition(PositionLong.index);
}
double profit = bid - PositionLong.value;
all_profit += profit;
if (LoggNeeded)
{
logger.LogEvent(time, name + " send sell order " + PositionLong.index + " req price : " + bid + " Profit: " + profit);
}
return;
}
}
if (lose_to_close > 0)
{
if (bid <= PositionLong.value - lose_to_close)
{
if (LoggNeeded)
{
logger.LogEvent(time, "Close long due to StopLose condition");
}
openpos = OpenPosition.NONE;
lock (locker)
{
tradeTerminal.ClosePosition(PositionLong.index);
}
double profit = bid - PositionLong.value;
all_profit += profit;
if (LoggNeeded)
{
logger.LogEvent(time, name + " send sell order " + PositionLong.index + " req price : " + bid + " Profit: " + profit);
}
return;
}
}
}
if (openpos == OpenPosition.SHORT)
{
if (profit_to_close > 0)
{
if (PositionShort.value - profit_to_close >= ask)
{
if (LoggNeeded)
{
logger.LogEvent(time, "Close short due to TakeProfit condition");
}
openpos = OpenPosition.NONE;
lock (locker)
{
tradeTerminal.ClosePosition(PositionShort.index);
}
double profit = PositionShort.value - ask;
all_profit += profit;
if (LoggNeeded)
{
logger.LogEvent(time, name + " send buy order " + PositionShort.index + " req price : " + ask + " Profit: " + profit);
}
return;
}
}
if (lose_to_close > 0)
{
if (ask >= PositionShort.value + lose_to_close)
{
if (LoggNeeded)
{
logger.LogEvent(time, "Close short due to StopLose condition");
}
openpos = OpenPosition.NONE;
lock (locker)
{
tradeTerminal.ClosePosition(PositionShort.index);
}
double profit = PositionShort.value - ask;
all_profit += profit;
if (LoggNeeded)
{
logger.LogEvent(time, name + " send buy order " + PositionShort.index + " req price : " + ask + " Profit: " + profit);
}
return;
}
}
}
if (lastvalue == LastZigZagValue.MIN)
{
if (openpos == OpenPosition.LONG)
{
}
if (convergencelong)
{
double last_knee = Math.Abs(MaxValueSmall.Last().GapValue - MinValueSmall.Last().GapValue);
double temp_knee = Math.Abs(MinValueSmall.Last().GapValue - gap);
double r_exp = temp_knee / last_knee;
if (r_exp >= ratio)
{
if (!shortlock)
{
Position pos = new Position();
pos.index = ind++;
pos.value = ask;
PositionLong = pos;
openpos = OpenPosition.LONG;
lock (locker)
{
tradeTerminal.OpenOrder(ArbitrageTradeWF.OrderType.MKT_Buy, ind);
}
if (LoggNeeded)
{
logger.LogEvent(time, name + " Открываем long по дивергенции " + ind + " req price : " + ask);
}
return;
}
}
}
if (divergencelong)
{
openpos = OpenPosition.NONE;
tradeTerminal.ClosePosition(PositionShort.index);
double profit = PositionShort.value - ask;
all_profit += profit;
if (LoggNeeded)
{
logger.LogEvent(time, name + " send buy order " + PositionShort.index + " req price : " + ask + " Profit: " + profit);
}
return;
}
if (openlongcloseshort)
{
lock (locker)
{
if (gap > lvl_up_last)
{
openlongcloseshort = false;
if (openpos == OpenPosition.SHORT)
{
openpos = OpenPosition.NONE;
tradeTerminal.ClosePosition(PositionShort.index);
double profit = PositionShort.value - ask;
all_profit += profit;
if (LoggNeeded)
{
logger.LogEvent(time, name + " send buy order " + PositionShort.index + " req price : " + ask + " Profit: " + profit);
}
return;
}
if (openpos == OpenPosition.NONE)
{
Position pos = new Position();
pos.index = ind++;
pos.value = ask;
PositionLong = pos;
openpos = OpenPosition.LONG;
tradeTerminal.OpenOrder(ArbitrageTradeWF.OrderType.MKT_Buy, pos.index);
if (LoggNeeded)
{
logger.LogEvent(time, name + " send buy order " + pos.index + " req price : " + pos.value);
}
return;
}
}
}
}
}
if (lastvalue == LastZigZagValue.MAX)
{
if (openpos == OpenPosition.SHORT)
{
}
if (convergenceshort)
{
double last_knee = Math.Abs(MinValueSmall.Last().GapValue - MaxValueSmall.Last().GapValue);
double temp_knee = Math.Abs(MaxValueSmall.Last().GapValue - gap);
double r_exp = temp_knee / last_knee;
if (r_exp >= ratio)
{
if (!shortlock)
{
Position pos = new Position();
pos.index = ind++;
pos.value = bid;
PositionShort = pos;
openpos = OpenPosition.SHORT;
lock (locker)
{
tradeTerminal.OpenOrder(ArbitrageTradeWF.OrderType.MKT_Sell, ind);
}
if (LoggNeeded)
{
logger.LogEvent(time, name + " Открываем short по дивергенции " + ind + " req price : " + bid);
}
return;
}
}
}
if (divergenceshort)
{
openpos = OpenPosition.NONE;
lock (locker)
{
tradeTerminal.ClosePosition(PositionLong.index);
}
double profit = bid - PositionLong.value;
all_profit += profit;
if (LoggNeeded)
{
logger.LogEvent(time, name + " send sell order " + PositionLong.index + " req price : " + bid + " Profit: " + profit);
}
return;
}
if (openshortcloselong)
{
lock (locker)
{
if (gap < lvl_dwn_last)
{
openlongcloseshort = false;
if (openpos == OpenPosition.LONG)
{
openpos = OpenPosition.NONE;
tradeTerminal.ClosePosition(PositionLong.index);
double profit = bid - PositionLong.value;
all_profit += profit;
if (LoggNeeded)
{
logger.LogEvent(time, name + " send sell order " + PositionLong.index + " req price : " + bid + " Profit: " + profit);
}
return;
}
if (openpos == OpenPosition.NONE)
{
Position pos = new Position();
pos.index = ind++;
pos.value = bid;
PositionShort = pos;
openpos = OpenPosition.SHORT;
tradeTerminal.OpenOrder(ArbitrageTradeWF.OrderType.MKT_Sell, pos.index);
if (LoggNeeded)
{
logger.LogEvent(time, name + " send sell order " + pos.index + " req price : " + pos.value);
}
return;
}
}
}
}
}
}
public void PositionHandler(object[] param)
{
double gap = (double)param[0];
double ask = (double)param[1];
double bid = (double)param[2];
DateTime time = (DateTime)param[3];
if (openpos == OpenPosition.LONG)
{
if (profit_to_close > 0)
{
if (bid >= PositionLong.Last().value + profit_to_close)
{
if (LoggNeeded)
{
logger.LogEvent(time, "Close long due to TakeProfit condition");
}
FunTradeWorker.ClosePosition(false, PositionLong, tradeTerminal, true, bid, ref all_profit, locker, logger, time, name, LoggNeeded);
openpos = OpenPosition.NONE;
return;
}
}
if (lose_to_close > 0)
{
if (bid <= PositionLong.Last().value - lose_to_close)
{
if (LoggNeeded)
{
logger.LogEvent(time, "Close long due to StopLose condition");
}
FunTradeWorker.ClosePosition(false, PositionLong, tradeTerminal, true, bid, ref all_profit, locker, logger, time, name, LoggNeeded);
openpos = OpenPosition.NONE;
return;
}
}
}
if (openpos == OpenPosition.SHORT)
{
if (profit_to_close > 0)
{
if (PositionShort.Last().value - profit_to_close >= ask)
{
if (LoggNeeded)
{
logger.LogEvent(time, "Close short due to TakeProfit condition");
}
FunTradeWorker.ClosePosition(false, PositionShort, tradeTerminal, false, ask, ref all_profit, locker, logger, time, name, LoggNeeded);
openpos = OpenPosition.NONE;
return;
}
}
if (lose_to_close > 0)
{
if (ask >= PositionShort.Last().value + lose_to_close)
{
if (LoggNeeded)
{
logger.LogEvent(time, "Close short due to StopLose condition");
}
FunTradeWorker.ClosePosition(false, PositionShort, tradeTerminal, false, ask, ref all_profit, locker, logger, time, name, LoggNeeded);
openpos = OpenPosition.NONE;
return;
}
}
}
//if(convergen_min)
if (lastvalue == LastZigZagValue.MIN)
{
if (openpos == OpenPosition.LONG)
{
if (gap > CrashLong.GapValue)
{
if (LoggNeeded)
{
logger.LogEvent(time, "Close long due to crash divergence condition");
}
FunTradeWorker.ClosePosition(false, PositionLong, tradeTerminal, true, bid, ref all_profit, locker, logger, time, name, LoggNeeded);
openpos = OpenPosition.NONE;
return;
}
}
if (convergen_max == convergen_counter)
{
if (gap > ConvergenMax.GapValue && ask > ConvergenMax.price)
{
//if (LoggNeeded)
// logger.LogEvent(time, name + " Вторая конвергенция Long");
convergen_max = 0;
//FunTradeWorker.ClosePosition(true, PositionLong, tradeTerminal, true, bid, ref all_profit, locker, logger, time, name, LoggNeeded);
//openpos = OpenPosition.NONE;
}
}
if (openpos == OpenPosition.LONG)
{
FunTradeWorker.AddPositionVolume_Old(true, ref last_pos, gap, ask, PositionLong, ref expand_position_long, locker, tradeTerminal, logger, time, name, LoggNeeded);
//FunTradeWorker.AddPositionVolume_New(true, MaxValueOpen, MinValueOpen, gap, ask, ratio_exp, PositionLong, ref expand_position_long, locker, tradeTerminal, logger, time, name, LoggNeeded);
}
if (openlong)
{
if (openpos == OpenPosition.NONE)
{
if (gap < OpenLong.GapValue && ask < OpenLong.price)
{
Position pos = new Position();
pos.index = ind++;
pos.value = ask;
last_pos.gap = gap;
last_pos.price = ask;
PositionLong.Add(pos);
openpos = OpenPosition.LONG;
lock (locker)
{
tradeTerminal.OpenOrder(ArbitrageTradeWF.OrderType.MKT_Buy, pos.index);
}
if (LoggNeeded)
{
logger.LogEvent(time, name + " send buy order " + pos.index + " req price : " + pos.value);
}
openlong = false;
return;
}
}
}
if (closeshort)
{
if (gap < CloseShort.GapValue && ask < CloseShort.price)
{
if (LoggNeeded)
{
logger.LogEvent(time, "Close short due to divergence condition");
}
if (FunTradeWorker.ClosePosition(false, PositionShort, tradeTerminal, false, ask, ref all_profit, locker, logger, time, name, LoggNeeded))
{
openpos = OpenPosition.NONE;
}
closeshort = false;
return;
}
}
}
if (lastvalue == LastZigZagValue.MAX)
{
if (openpos == OpenPosition.SHORT)
{
if (gap < CrashShort.GapValue)
{
if (LoggNeeded)
{
logger.LogEvent(time, "Close short due to crash divergence condition");
}
FunTradeWorker.ClosePosition(false, PositionShort, tradeTerminal, false, ask, ref all_profit, locker, logger, time, name, LoggNeeded);
openpos = OpenPosition.NONE;
return;
}
}
if (convergen_min == convergen_counter)
{
if (gap < ConvergenMin.GapValue && bid < ConvergenMin.price)
{
//if (LoggNeeded)
// logger.LogEvent(time, name + " Вторая конвергенция Short");
convergen_min = 0;
//if(FunTradeWorker.ClosePosition(true, PositionShort, tradeTerminal, false, ask, ref all_profit, locker, logger, time, name, LoggNeeded))
// openpos = OpenPosition.NONE;
}
}
if (openpos == OpenPosition.SHORT)
{
FunTradeWorker.AddPositionVolume_Old(false, ref last_pos, gap, bid, PositionShort, ref expand_position_short, locker, tradeTerminal, logger, time, name, LoggNeeded);
//FunTradeWorker.AddPositionVolume_New(false, MinValueOpen, MaxValueOpen, gap, bid, ratio_exp, PositionShort, ref expand_position_short, locker, tradeTerminal, logger, time, name, LoggNeeded);
}
if (closelong)
{
if (gap > CloseLong.GapValue && bid > CloseLong.price)
{
if (LoggNeeded)
{
logger.LogEvent(time, "Close long due to divergence condition");
}
FunTradeWorker.ClosePosition(false, PositionLong, tradeTerminal, true, bid, ref all_profit, locker, logger, time, name, LoggNeeded);
openpos = OpenPosition.NONE;
closelong = false;
return;
}
}
if (openshort)
{
if (openpos == OpenPosition.NONE)
{
if (gap > OpenShort.GapValue && bid > OpenShort.price)
{
Position pos = new Position();
pos.index = ind++;
pos.value = bid;
last_pos.gap = gap;
last_pos.price = bid;
PositionShort.Add(pos);
openpos = OpenPosition.SHORT;
lock (locker)
{
tradeTerminal.OpenOrder(ArbitrageTradeWF.OrderType.MKT_Sell, pos.index);
}
if (LoggNeeded)
{
logger.LogEvent(time, name + " send sell order " + pos.index + " req price : " + pos.value);
}
openshort = false;
return;
}
}
}
}
}