//public List<CrossData> Getcrossings_Linq(List<SmaData> AllBuys, List<SmaData> AllSells)
//{
// var crossList = new List<CrossData>();
// while (AllBuys.Count() > 0 || AllSells.Count() > 0)
// {
// if (AllBuys.Count() == 0)
// {
// var tempSingleSell = AllSells.First();
// var tempSingleSellData = new CrossData
// {
// Action = "sell",
// dt = tempSingleSell.Time,
// CrossingPrice = tempSingleSell.ActualPrice,
// smaValue = tempSingleSell.SmaValue
// };
// crossList.Add(tempSingleSellData);
// break;
// }
// if (AllSells.Count() == 0)
// {
// var tempSingleBuy = AllBuys.First();
// var tempSingleBuyData = new CrossData
// {
// Action = "buy",
// dt = tempSingleBuy.Time,
// CrossingPrice = tempSingleBuy.ActualPrice,
// smaValue = tempSingleBuy.SmaValue
// };
// crossList.Add(tempSingleBuyData);
// break;
// }
// var curBuy = AllBuys.First();
// var tempBuyData = new CrossData
// {
// Action = "buy",
// dt = curBuy.Time,
// CrossingPrice = curBuy.ActualPrice,
// smaValue = curBuy.SmaValue
// };
// crossList.Add(tempBuyData);
// var curSell = AllSells.First();
// var tempSellData = new CrossData
// {
// Action = "sell",
// dt = curSell.Time,
// CrossingPrice = curSell.ActualPrice,
// smaValue = curSell.SmaValue
// };
// crossList.Add(tempSellData);
// AllBuys = AllBuys.Where((d) => d.Time > curSell.Time).ToList();
// if (AllBuys.Count() > 0)
// {
// AllSells = AllSells.Where((d) => d.Time > AllBuys.First().Time).ToList();
// }
// else
// {
// break;
// }
// }
// //lock (cwWriteLock)
// //{
// // Console.WriteLine("\t\t" + simStartDate.ToString() + "\t" + simEndDate.ToString() + "(" + crossList.Count() + ")\n");
// //}
// if (crossList.Count() > 0)
// {
// if (crossList.First().Action == "buy")
// {
// crossList.RemoveAt(0);
// }
// }
// return crossList;
//}
public List <CrossData> Getcrossings_Linq(IEnumerable <SmaData> macdDtPts, IEnumerable <SmaData> signalDtPts, DateTime simStartDate, DateTime simEndDate)
{
//int L_SIGNAL_LEN = smaOfSmaLen;// 2;//5;//10;
//const int S_SIGNAL_LEN = 5;
var strt = macdDtPts.First().Time;
var end = macdDtPts.Last().Time;
var sigstrt = signalDtPts.First().Time;
var sigend = signalDtPts.Last().Time;
var macdptsCount = macdDtPts.Count();
var signalPtCounts = signalDtPts.Count();
//Console.WriteLine("\t\t" + strt.ToString() + "\t" + end.ToString() + "\n");
//Console.WriteLine(smaDtPts.Count());
///macdDtPts = macdDtPts.Where(a => a.Time >= simStartDate && a.Time < simEndDate);
//Console.WriteLine(smaDtPts.Count());
//var bigSmaOfMacd = signalDtPts;//macdDtPts.Select(d => d.SmaValue).ToList().SMA(L_SIGNAL_LEN);
//var smallSmaOfMacd = smaDtPts.Select(d => d.diff).ToList().SMA(S_SIGNAL_LEN);
var crossList = new List <CrossData>();
var allBuys = macdDtPts.Where((d, i) => d.SmaValue > signalDtPts.ElementAt(i).SmaValue).ToList();
var allSells = macdDtPts.Where((d, i) => d.SmaValue < signalDtPts.ElementAt(i).SmaValue).ToList();
while (allBuys.Count() > 0 || allSells.Count() > 0)
{
if (allBuys.Count() == 0)
{
var tempSingleSell = allSells.First();
var tempSingleSellData = new CrossData
{
Action = "sell",
dt = tempSingleSell.Time,
CrossingPrice = tempSingleSell.ActualPrice,
smaValue = tempSingleSell.SmaValue
};
crossList.Add(tempSingleSellData);
break;
}
if (allSells.Count() == 0)
{
var tempSingleBuy = allBuys.First();
var tempSingleBuyData = new CrossData
{
Action = "buy",
dt = tempSingleBuy.Time,
CrossingPrice = tempSingleBuy.ActualPrice,
smaValue = tempSingleBuy.SmaValue
};
crossList.Add(tempSingleBuyData);
break;
}
var curBuy = allBuys.First();
var tempBuyData = new CrossData
{
Action = "buy",
dt = curBuy.Time,
CrossingPrice = curBuy.ActualPrice,
smaValue = curBuy.SmaValue
};
crossList.Add(tempBuyData);
var curSell = allSells.First();
var tempSellData = new CrossData
{
Action = "sell",
dt = curSell.Time,
CrossingPrice = curSell.ActualPrice,
smaValue = curSell.SmaValue
};
crossList.Add(tempSellData);
allBuys = allBuys.Where((d) => d.Time > curSell.Time).ToList();
if (allBuys.Count() > 0)
{
allSells = allSells.Where((d) => d.Time > allBuys.First().Time).ToList();
}
else
{
break;
}
}
lock (cwWriteLock)
{
Console.WriteLine("\t\t" + simStartDate.ToString() + "\t" + simEndDate.ToString() + "(" + crossList.Count() + ")\n");
}
if (crossList.First().Action == "buy")
{
crossList.RemoveAt(0);
}
return(crossList);
}
private void AddTakeProfitSales(ref List <CrossData> crossList, ref List <SmaData> actualPriceLine, decimal originalBuySellPrice, CrossData OriginalSMASellData)
{
var originalSell = OriginalSMASellData;
//const decimal TAKE_PROFIT_PERCENTAGE = 0.10m;
//const decimal TAKE_PROFIT_REBUY_PERCENTAGE = 0.02m;
//const decimal STOP_LOSS_PERCENTAGE = 0.02m;//0.02m;
//////all the buys that are earlier than the next sell
////// and higher than the last actual buy price + buffer
////var allStopLossBuys = AllBuys.Where(s => s.Time <= curSell.Time).Where(b => b.ActualPrice > curBuy.ActualPrice).ToList();
//////all the buys that are earlier than the next sell
////// and lower than the last actual buy price - buffer
////var allStopLossSells = AllBuys.Where(s => s.Time <= curSell.Time).Where(b => b.ActualPrice < curBuy.ActualPrice).ToList();
//sell if price above TAKE_PROFIT_PERCENTAGE of the original buy price
var allTakeProfitSells = actualPriceLine
.Where(b => b.ActualPrice > ((1 + TAKE_PROFIT_PERCENTAGE) * originalBuySellPrice)).ToList();
//var originalSellPrice = allTakeProfitSells.First().ActualPrice;
//rebuy if price is below TAKE_PROFIT_PERCENTAGE of the original buy price
//var allTakeProfitReBuys = actualPriceLine
// .Where(b => b.ActualPrice > ((1 + TAKE_PROFIT_PERCENTAGE) * originalBuySellPrice)).ToList();
var allTakeProfitReBuys = new List <SmaData>();
while (allTakeProfitSells.Count() > 0)
{
var curSellSt = allTakeProfitSells.First();
var tempSellDataSt = new CrossData
{
Action = "sell",
comment = "TAKE_PROFIT_SALE",
dt = curSellSt.Time,
CrossingPrice = curSellSt.ActualPrice,
smaValue = curSellSt.SmaValue
};
crossList.Add(tempSellDataSt);
originalBuySellPrice = curSellSt.ActualPrice;
allTakeProfitReBuys = actualPriceLine.Where(p => p.Time > curSellSt.Time).ToList()
.Where(b => b.ActualPrice > ((1 + TAKE_PROFIT_REBUY_PERCENTAGE) * originalBuySellPrice)).ToList();
if (allTakeProfitReBuys.Count() > 0)
{
allTakeProfitSells = actualPriceLine.Where(p => p.Time > allTakeProfitReBuys.First().Time).ToList()
.Where(b => b.ActualPrice < ((1 - STOP_LOSS_PERCENTAGE) * originalBuySellPrice)).ToList();
}
else
{
break;
}
if (allTakeProfitSells.Count > 0)
{
var curSell = allTakeProfitSells.First();
OriginalSMASellData = new CrossData
{
Action = "sell",
dt = curSell.Time,
CrossingPrice = curSell.ActualPrice,
smaValue = curSell.SmaValue
};
}
else
{
OriginalSMASellData = originalSell;
}
var curBuySt = allTakeProfitReBuys.First();
var tempBuyDataSt = new CrossData
{
Action = "buy",
comment = "TAKE_PROFIT_REBUY",
dt = curBuySt.Time,
CrossingPrice = curBuySt.ActualPrice,
smaValue = curBuySt.SmaValue
};
crossList.Add(tempBuyDataSt);
originalBuySellPrice = curBuySt.ActualPrice; //new buy at price after rebuy. set the new original buy at price to this new price
allTakeProfitSells = actualPriceLine
.Where(b => b.ActualPrice > ((1 + TAKE_PROFIT_PERCENTAGE) * originalBuySellPrice)).ToList();
//if the price went down after buying
//iterate recursvively until all of the take profits are hit
//if (allTakeProfitSells.Count() > 0)
//{
// AddTakeProfitSales(ref crossList, ref actualPriceLine, originalBuySellPrice, OriginalSMASellData);
//}
}
if (allTakeProfitSells.Count() == 0)
{
crossList.Add(OriginalSMASellData);
//break;
}
if (allTakeProfitReBuys.Count() == 0 && allTakeProfitSells.Count() == 0)
{
crossList.Add(OriginalSMASellData);
}
}
private void AddStopLossSales(ref List <CrossData> crossList, ref List <SmaData> actualPriceLine, decimal originalBuyPrice, CrossData tempSellData)
{
//const decimal STOP_LOSS_PERCENTAGE = 0.02m;
//////all the buys that are earlier than the next sell
////// and higher than the last actual buy price + buffer
////var allStopLossBuys = AllBuys.Where(s => s.Time <= curSell.Time).Where(b => b.ActualPrice > curBuy.ActualPrice).ToList();
//////all the buys that are earlier than the next sell
////// and lower than the last actual buy price - buffer
////var allStopLossSells = AllBuys.Where(s => s.Time <= curSell.Time).Where(b => b.ActualPrice < curBuy.ActualPrice).ToList();
//rebuy if price is above STOP_LOSS_PERCENTAGE of the original buy price
var allStopLossBuys = actualPriceLine
.Where(b => b.ActualPrice > ((1 + STOP_LOSS_PERCENTAGE) * originalBuyPrice)).ToList();
//sell if price below STOP_LOSS_PERCENTAGE of the original buy price
var allStopLossSells = actualPriceLine
.Where(b => b.ActualPrice < ((1 - STOP_LOSS_PERCENTAGE) * originalBuyPrice)).ToList();
while (allStopLossBuys.Count > 0 || allStopLossSells.Count() > 0)
{
if (allStopLossSells.Count() == 0)
{
crossList.Add(tempSellData);
break;
}
var curSellSt = allStopLossSells.First();
var tempSellDataSt = new CrossData
{
Action = "sell",
comment = "STOP_LOSS_SALE",
dt = curSellSt.Time,
CrossingPrice = curSellSt.ActualPrice,
smaValue = curSellSt.SmaValue
};
crossList.Add(tempSellDataSt);
//originalBuyPrice = curSellSt.ActualPrice;
allStopLossBuys = actualPriceLine.Where(p => p.Time > curSellSt.Time).ToList()
.Where(b => b.ActualPrice > ((1 + STOP_LOSS_PERCENTAGE) * originalBuyPrice)).ToList();
//d.Time > allStopLossBuys.First().Time
if (allStopLossBuys.Count() > 0)
{
allStopLossSells = actualPriceLine.Where(p => p.Time > allStopLossBuys.First().Time).ToList()
.Where(b => b.ActualPrice < ((1 - STOP_LOSS_PERCENTAGE) * originalBuyPrice)).ToList();
}
else
{
break;
}
var curBuySt = allStopLossBuys.First();
var tempBuyDataSt = new CrossData
{
Action = "buy",
comment = "REBUY",
dt = curBuySt.Time,
CrossingPrice = curBuySt.ActualPrice,
smaValue = curBuySt.SmaValue
};
crossList.Add(tempBuyDataSt);
originalBuyPrice = curBuySt.ActualPrice; //new buy at price after rebuy. set the new original buy at price to this new price
}
if (allStopLossBuys.Count == 0 && allStopLossSells.Count() == 0)
{
crossList.Add(tempSellData);
}
}
public List <CrossData> Getcrossings_Linq(List <SmaData> AllBuys, List <SmaData> AllSells, bool useRealTimeActualPrices = false)
{
//const decimal STOP_LOSS_PERCENTAGE = 0.1m;//0.1m;//0.02m;//0.02m;
//const decimal TAKE_PROFIT_PERCENTAGE = 0.10m;
var crossList = new List <CrossData>();
if (AllBuys.Count == 0 || AllSells.Count() == 0)
{
return(crossList);
}
//var firstBuyDt = AllBuys.First().Time;
AllSells = AllSells.Where(s => s.Time > AllBuys.First().Time).ToList();
while (AllBuys.Count() > 0 || AllSells.Count() > 0)
{
if (AllBuys.Count() == 0)
{
var tempSingleSell = AllSells.First();
var tempSingleSellData = new CrossData
{
Action = "sell",
dt = tempSingleSell.Time,
CrossingPrice = tempSingleSell.ActualPrice,
smaValue = tempSingleSell.SmaValue
};
crossList.Add(tempSingleSellData);
break;
}
if (AllSells.Count() == 0)
{
var tempSingleBuy = AllBuys.First();
var tempSingleBuyData = new CrossData
{
Action = "buy",
dt = tempSingleBuy.Time,
CrossingPrice = tempSingleBuy.ActualPrice,
smaValue = tempSingleBuy.SmaValue
};
crossList.Add(tempSingleBuyData);
break;
}
var curBuy = AllBuys.First();
var tempBuyData = new CrossData
{
Action = "buy",
dt = curBuy.Time,
CrossingPrice = curBuy.ActualPrice,
smaValue = curBuy.SmaValue
};
crossList.Add(tempBuyData);
var curSell = AllSells.First();
var tempSellData = new CrossData
{
Action = "sell",
dt = curSell.Time,
CrossingPrice = curSell.ActualPrice,
smaValue = curSell.SmaValue
};
//if its a stop loss sale
//calucalte the intermediate buy sells in between
//sell if price < (original buy price - stoploss%)
//buy again in price > ((original buy price + stoploss%)
//happens every sma interval and not on the minute timer
//ExData
List <SmaData> actualPriceLine = new List <SmaData>();
if (useRealTimeActualPrices)
{
var actualPriceLine_realtime = _RealTimePrice.Where(s => (s.Time >= AllBuys.First().Time) && (s.Time < curSell.Time)).ToList();
actualPriceLine.AddRange(actualPriceLine_realtime);
}
else
{
var actualPriceLine_sma = AllBuys.Where(s => s.Time < curSell.Time).ToList();
actualPriceLine.AddRange(actualPriceLine_sma);
}
decimal originalBuyPrice = curBuy.ActualPrice;
var priceBelowOriginalBuy = actualPriceLine.Where(p => p.ActualPrice < (1 - STOP_LOSS_PERCENTAGE) * originalBuyPrice).ToList();
var priceAboveTakeprofitPercent = actualPriceLine.Where(b => b.ActualPrice > ((1 + TAKE_PROFIT_PERCENTAGE) * originalBuyPrice)).ToList();
//if the price went down after buying
//if (priceAboveTakeprofitPercent.Count() > 0)
//{
// AddTakeProfitSales(ref crossList, ref actualPriceLine, originalBuyPrice, tempSellData);
//}
//else
if (priceBelowOriginalBuy.Count() > 0)
{
AddStopLossSales(ref crossList, ref actualPriceLine, originalBuyPrice, tempSellData);
}
else
{
crossList.Add(tempSellData);
}
AllBuys = AllBuys.Where((d) => d.Time > curSell.Time).ToList();
if (AllBuys.Count() > 0)
{
AllSells = AllSells.Where((d) => d.Time > AllBuys.First().Time).ToList();
}
else
{
break;
}
}
//crossList.ForEach(a => Console.WriteLine(a.dt + "-" + a.Action));
return(crossList);
}
