private Deal GetDaysDeal(List <Candle> daysCandles)
{
var longExtremums = finder.FindFirstExtremums(daysCandles, true);
var shortExtremums = finder.FindFirstExtremums(daysCandles, false);
var allExtremums = finder.MergeExtremums(longExtremums, shortExtremums);
foreach (var extremum in allExtremums)
{
if (extremum.Date.TimeOfDay > lastTradeTime)
{
break;
}
var startIndex = extremum.CheckerIndex;
if (startIndex == daysCandles.Count - 1)
{
break;
}
var currentLong = longExtremums.TakeWhile(ex => ex.Date <= extremum.Date).ToList();
var currentShort = shortExtremums.TakeWhile(ex => ex.Date <= extremum.Date).ToList();
int trendDirection = GetTrendDirection(currentLong, currentShort, extremum);
if (trendDirection == 0)
{
continue;
}
bool isTrendLong = trendDirection == 1;
var startPrice = daysCandles[startIndex + 1].Open;
var stopResult = stopLossManager.GetBreakevenStopResult(daysCandles.Skip(startIndex + 1), isTrendLong);
var endPrice = stopResult != -1 ? stopResult : daysCandles[daysCandles.Count - 1].Close;
return(new Deal(startPrice, endPrice, isTrendLong));
}
return(null);
}
private List <Deal> GetDaysDeal(List <Candle> daysCandles)
{
var allExtremums = extremumsFinder.FindAllSecondExtremums(daysCandles);
bool inDeal = false;
bool isTrendLong = false;
int startIndex = 0;
var deals = new List <Deal>();
Extremum startExtremum = null;
foreach (var extremum in allExtremums)
{
if (inDeal)
{
if (extremum.IsMinimum == isTrendLong)
{
continue;
}
if (isTrendLong && (extremum.Value - startExtremum.Value) < minExtremumStep ||
!isTrendLong && (startExtremum.Value - extremum.Value) < minExtremumStep)
{
continue;
}
var startPrice = daysCandles[startIndex + 1].Open;
var dealCandles = daysCandles.Skip(startIndex + 1).Take(extremum.CheckerIndex - startIndex).ToList();
var stopResult = stopLossManager.GetBreakevenStopResult(dealCandles, isTrendLong);
var endPrice = stopResult != -1 ? stopResult : daysCandles[extremum.CheckerIndex].Close;
deals.Add(new Deal(startPrice, endPrice, isTrendLong, daysCandles[startIndex + 1].DateTime, startIndex + 1));
inDeal = false;
if (stopResult != -1)
{
break;
}
}
startExtremum = extremum;
startIndex = extremum.CheckerIndex;
if (startIndex == daysCandles.Count - 1)
{
break;
}
isTrendLong = extremum.IsMinimum;
inDeal = true;
}
if (inDeal)
{
var startPrice = daysCandles[startIndex + 1].Open;
var dealCandles = daysCandles.Skip(startIndex + 1).ToList();
var stopResult = stopLossManager.GetBreakevenStopResult(dealCandles, isTrendLong);
var endPrice = stopResult != -1 ? stopResult : daysCandles[dealCandles.Count - 1].Close;
deals.Add(new Deal(startPrice, endPrice, isTrendLong, daysCandles[startIndex + 1].DateTime, startIndex + 1));
}
return(deals);
}
