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;
}
}