public static PriceBar GetContainingBar(PriceBar smallerPriceBar, List <PriceBar> largerPriceBars)
{
PriceBarSize smallerBarType = smallerPriceBar.BarSize;
PriceBarSize largerBarSize = largerPriceBars.FirstOrDefault().BarSize;
if (smallerBarType.ToInt() > largerBarSize.ToInt())
{
throw new UnknownErrorException();
}
// Convert the smaller bar date time to the start date of the larger bar
switch (largerBarSize)
{
case PriceBarSize.Daily:
return(smallerPriceBar);
case PriceBarSize.Weekly:
var newWeekDate = Calendar.FirstTradingDayOfWeek(smallerPriceBar.BarDateTime);
return(largerPriceBars.SingleOrDefault(x => x.BarDateTime == newWeekDate));
case PriceBarSize.Monthly:
var newMonthDate = Calendar.FirstTradingDayOfMonth(smallerPriceBar.BarDateTime);
return(largerPriceBars.SingleOrDefault(x => x.BarDateTime == newMonthDate));
case PriceBarSize.Quarterly:
var newQuarterDate = Calendar.FirstTradingDayOfQuarter(smallerPriceBar.BarDateTime);
return(largerPriceBars.SingleOrDefault(x => x.BarDateTime == newQuarterDate));
default:
break;
}
return(null);
}
/// <summary>
/// Returns PriceBar values as High-Low-Open-Close for use in a Candlestick charting element
/// </summary>
/// <param name="bar"></param>
/// <returns></returns>
public static double[] AsChartingValue(this PriceBar bar)
{
return(new double[]
{
bar.High.ToDouble(),
bar.Low.ToDouble(),
bar.Open.ToDouble(),
bar.Close.ToDouble()
});
}
public void AddValues(PriceBar firstBarOfTrend, PriceBar lastBarOfTrend)
{
if (firstBarOfTrend.Open == 0)
{
return;
}
var changePercent = (lastBarOfTrend.Close - firstBarOfTrend.Open) / firstBarOfTrend.Open;
AverageChange = ((AverageChange * NumberOccurrance) + changePercent) / ++NumberOccurrance;
}
protected override bool Rule(Trade trade, Portfolio portfolio, DateTime AsOf, TimeOfDay timeOfDay)
{
PriceBar bar = trade.Security.GetPriceBar(AsOf, PriceBarSize.Daily);
decimal atr = bar.AverageTrueRange(Stoploss_Atr_Period);
if (bar.Close - (atr * Stoploss_Multiple) < 0)
{
return(false);
}
return(true);
}
private static void Candlestick_Hammer(this PriceBar me)
{
decimal wickToBody = 2.0m;
decimal upperWickLimit = .25m;
// Bottom of a down trend, with a lower wick at least 2x body, closing at or near high
// Define downtrend using SP bar count
var priorBars = me.PriorBars(3, false);
if (priorBars.Count < 3)
{
me.SetCandlestickFlag(CandleStickPattern.BullishHammer, false);
return;
}
if (priorBars.Min(x => x.Low) <= Math.Min(me.Open, me.Close))
{
me.SetCandlestickFlag(CandleStickPattern.BullishHammer, false);
return;
}
var lowerWick = Math.Min(me.Open, me.Close) - me.Low;
var upperWick = me.High - Math.Max(me.Open, me.Close);
var body = Math.Abs(me.Change);
if (lowerWick < 0)
{
me.SetCandlestickFlag(CandleStickPattern.BullishHammer, false);
return;
}
if (body > 0 && lowerWick / body < wickToBody)
{
me.SetCandlestickFlag(CandleStickPattern.BullishHammer, false);
return;
}
if (lowerWick < me.AverageTrueRange())
{
me.SetCandlestickFlag(CandleStickPattern.BullishHammer, false);
return;
}
if (upperWick > body * upperWickLimit)
{
me.SetCandlestickFlag(CandleStickPattern.BullishHammer, false);
return;
}
me.SetCandlestickFlag(CandleStickPattern.BullishHammer, true);
return;
}
private static void Technical_Volume(this PriceBar me)
{
if (me.PriorBar == null)
{
return;
}
if (me.Volume > me.PriorBar.Volume)
{
me.SetTechnicalFlag(Technical.RisingVolume, true);
}
else if (me.Volume < me.PriorBar.Volume)
{
me.SetTechnicalFlag(Technical.FallingVolume, true);
}
}
protected void TryExecuteMarketTrade(Trade trade, DateTime AsOf)
{
if (trade.TradeType != TradeType.Market)
{
throw new InvalidTradeOperationException()
{
message = "Must provide Market type trade"
}
}
;
PriceBar usedPriceBar = trade.Security.GetPriceBar(AsOf, PriceBarSize.Daily);
if (usedPriceBar == null)
{
throw new InvalidTradingDateException()
{
message = "Could not retrieve execution price bar"
}
}
;
ExecuteTrade(trade, usedPriceBar.Open, AsOf);
}
protected bool TryExecuteLimitTrade(Trade trade, DateTime AsOf, TimeOfDay timeOfDay)
{
if (trade.TradeType != TradeType.Limit)
{
throw new InvalidTradeOperationException()
{
message = "Must provide Limit type trade"
}
}
;
PriceBar usedPriceBar = trade.Security.GetPriceBar(AsOf, PriceBarSize.Daily);
if (usedPriceBar == null)
{
throw new InvalidTradingDateException()
{
message = "Could not retrieve execution price bar"
}
}
;
switch (timeOfDay)
{
case TimeOfDay.MarketOpen:
{
switch (trade.TradeActionBuySell)
{
case TradeActionBuySell.None:
throw new InvalidTradeOperationException();
case TradeActionBuySell.Buy:
if (usedPriceBar.Open <= trade.LimitPrice)
{
ExecuteTrade(trade, usedPriceBar.Open, AsOf);
}
return(true);
case TradeActionBuySell.Sell:
if (usedPriceBar.Open >= trade.LimitPrice)
{
ExecuteTrade(trade, usedPriceBar.Open, AsOf);
}
return(true);
}
}
return(false);
case TimeOfDay.MarketEndOfDay:
{
switch (trade.TradeActionBuySell)
{
case TradeActionBuySell.None:
throw new InvalidTradeOperationException();
case TradeActionBuySell.Buy:
if (usedPriceBar.Low <= trade.LimitPrice)
{
ExecuteTrade(trade, trade.LimitPrice, AsOf);
return(true);
}
else
{
return(false);
}
case TradeActionBuySell.Sell:
if (usedPriceBar.High >= trade.LimitPrice)
{
ExecuteTrade(trade, trade.LimitPrice, AsOf);
return(true);
}
else
{
return(false);
}
}
}
return(false);
default:
return(false);
}
}
protected void TryExecuteStopTrade(Trade trade, DateTime AsOf, TimeOfDay timeOfDay)
{
if (trade.Security.Ticker == "ACER" && AsOf == new DateTime(2018, 7, 31))
{
Console.WriteLine();
}
if (trade.TradeType != TradeType.Stop)
{
throw new InvalidTradeOperationException()
{
message = "Must provide Stop type trade"
}
}
;
PriceBar usedPriceBar = trade.Security.GetPriceBar(AsOf, PriceBarSize.Daily);
if (usedPriceBar == null)
{
Logger.Log(new LogMessage(ToString() + ".TryExecuteStopTrade", $"Execution Error: no data for {trade.Security.Ticker} on {AsOf.ToShortDateString()}", LogMessageType.SecurityError));
return;
}
switch (timeOfDay)
{
case TimeOfDay.MarketOpen:
{
switch (trade.TradeActionBuySell)
{
case TradeActionBuySell.None:
throw new InvalidTradeOperationException();
case TradeActionBuySell.Buy:
if (usedPriceBar.Open >= trade.StopPrice)
{
ExecuteTrade(trade, usedPriceBar.Open, AsOf);
}
break;
case TradeActionBuySell.Sell:
if (usedPriceBar.Open <= trade.StopPrice)
{
ExecuteTrade(trade, usedPriceBar.Open, AsOf);
}
break;
}
}
break;
case TimeOfDay.MarketEndOfDay:
{
switch (trade.TradeActionBuySell)
{
case TradeActionBuySell.None:
throw new InvalidTradeOperationException();
case TradeActionBuySell.Buy:
if (usedPriceBar.High >= trade.StopPrice && trade.StopPrice.IsBetween(usedPriceBar.Low, usedPriceBar.High))
{
ExecuteTrade(trade, trade.StopPrice, AsOf);
}
break;
case TradeActionBuySell.Sell:
if (usedPriceBar.Low <= trade.StopPrice && trade.StopPrice.IsBetween(usedPriceBar.Low, usedPriceBar.High))
{
ExecuteTrade(trade, trade.StopPrice, AsOf);
}
break;
}
}
break;
}
}
public static List <NetChangeByTrendType> GetNetChangeByTrendType(this Security me, PriceBarSize priceBarSize, int barCount, DateTime?start = null, DateTime?end = null)
{
List <PriceBar> PriceBarsUsed;
switch (priceBarSize)
{
case PriceBarSize.Weekly:
{
PriceBarsUsed = me.WeeklyPriceBarData;
if (!start.HasValue)
{
start = me.GetFirstBar(PriceBarSize.Weekly).BarDateTime;
end = me.GetLastBar(PriceBarSize.Weekly).BarDateTime;
}
if (start.HasValue && !end.HasValue)
{
throw new UnknownErrorException()
{
message = "Invalid input dates"
}
}
;
start = FirstTradingDayOfWeek(start.Value);
end = FirstTradingDayOfWeek(end.Value);
}
break;
case PriceBarSize.Monthly:
{
PriceBarsUsed = me.MonthlyPriceBarData;
if (!start.HasValue)
{
start = me.GetFirstBar(PriceBarSize.Monthly).BarDateTime;
end = me.GetLastBar(PriceBarSize.Monthly).BarDateTime;
}
if (start.HasValue && !end.HasValue)
{
throw new UnknownErrorException()
{
message = "Invalid input dates"
}
}
;
start = FirstTradingDayOfMonth(start.Value);
end = FirstTradingDayOfMonth(end.Value);
}
break;
case PriceBarSize.Quarterly:
{
PriceBarsUsed = me.QuarterlyPriceBarData;
if (!start.HasValue)
{
start = me.GetFirstBar(PriceBarSize.Quarterly).BarDateTime;
end = me.GetLastBar(PriceBarSize.Quarterly).BarDateTime;
}
if (start.HasValue && !end.HasValue)
{
throw new UnknownErrorException()
{
message = "Invalid input dates"
}
}
;
start = FirstTradingDayOfQuarter(start.Value);
end = FirstTradingDayOfQuarter(end.Value);
}
break;
case PriceBarSize.Daily:
default:
{
PriceBarsUsed = me.DailyPriceBarData;
if (!start.HasValue)
{
start = me.GetFirstBar(PriceBarSize.Daily).BarDateTime;
end = me.GetLastBar(PriceBarSize.Daily).BarDateTime;
}
if (start.HasValue && !end.HasValue)
{
throw new UnknownErrorException()
{
message = "Invalid input dates"
}
}
;
}
break;
}
if (PriceBarsUsed.Count == 0)
{
return(null);
}
// Create a return list of all trends except NotSet
var ret = new List <NetChangeByTrendType>();
foreach (var trend in Enum.GetValues(typeof(TrendQualification)))
{
if ((TrendQualification)trend != TrendQualification.NotSet)
{
ret.Add(new Analysis.NetChangeByTrendType((TrendQualification)trend));
}
}
// Set swingpoints and trends if not done already
me.SetSwingPointsAndTrends(barCount, priceBarSize);
// Get the first bar, ignore the starting ambilavent trend
PriceBar currentBar = me.GetPriceBar(start.Value, priceBarSize);
// Track the current trend as we go through each bar
TrendQualification currentTrend = currentBar.GetTrendType(barCount);
while (currentBar != null && currentBar.GetTrendType(barCount) == currentTrend)
{
currentBar = currentBar.NextBar;
}
PriceBar firstBarOfTrend = null;
PriceBar lastBarOfTrend = null;
while (currentBar != null)
{
// Since the trend change is based on the ending value for a bar, we track a trend from the second instance through the first bar of the next trend
if (currentTrend != currentBar.GetTrendType(barCount))
{
lastBarOfTrend = currentBar;
if (firstBarOfTrend != null)
{
var trendResult = ret.Find(x => x.TrendType == currentTrend);
trendResult.AddValues(firstBarOfTrend, lastBarOfTrend);
}
firstBarOfTrend = currentBar.NextBar;
currentTrend = currentBar.GetTrendType(barCount);
}
currentBar = currentBar.NextBar;
}
return(ret);
}
/// <summary>
/// Positive value of overnight margin. Calculated same as initial margin, but based on the closing day's value of the position
/// </summary>
/// <param name="position"></param>
/// <param name="AsOf"></param>
/// <returns>Positive value of maintenance margin</returns>
public decimal BrokerMaintenanceMargin(Position position, DateTime AsOf, TimeOfDay MarketValues)
{
PriceBar currentBar = position.Security.GetPriceBar(AsOf, PriceBarSize.Daily);
if (currentBar == null)
{
throw new InvalidTradingDateException()
{
message = "Could not retrieve price bar data"
}
}
;
switch (position.PositionDirection)
{
case PositionDirection.LongPosition:
{
var ret = (MaintenanceMarginLong * position.GrossPositionValue(AsOf, MarketValues));
if (ret < 2000.0m)
{
return(Math.Min(2000.0m, position.GrossPositionValue(AsOf, MarketValues)));
}
return(ret);
}
case PositionDirection.ShortPosition:
{
// From IBKR website: "All short transactions in margin accounts are subject to a minimum initial margin requirement of $2,000."
var ValuePerShare = 0m;
if (MarketValues == TimeOfDay.MarketOpen)
{
ValuePerShare = currentBar.Open;
}
else if (MarketValues == TimeOfDay.MarketEndOfDay)
{
ValuePerShare = currentBar.Close;
}
else
{
throw new InvalidRequestValueException()
{
message = "MarketValues not set"
}
};
var Shares = Math.Abs(position.Size(AsOf));
if (ValuePerShare <= 2.50m)
{
// $2.50 per share or minimum of $2000.00
return(Math.Max((Shares * 2.50m), 2000.0m));
}
if (ValuePerShare <= 5.00m)
{
// Market value of stock or minimum of $2000.00
return(Math.Max(Math.Abs(position.GrossPositionValue(AsOf, MarketValues)), 2000.0m));
}
if (ValuePerShare <= 16.67m)
{
// $2.50 per share or minimum of $2000.00
return(Math.Max((Shares * 5.00m), 2000.0m));
}
else
{
// Margin percentage requirement or minimum of $2000.00
return(Math.Max(MaintenanceMarginShort * Math.Abs(position.GrossPositionValue(AsOf, MarketValues)), 2000.0m));
}
}
default:
{
throw new UnknownErrorException();
}
}
}
