void tl_gotTick(Tick t)
{
if (archivetickbox.Checked)
ta.Save(t);
if (!barlist.ContainsKey(t.sym)) barlist.Add(t.sym, new BarList(BarInterval.FiveMin, t.sym));
else barlist[t.sym].newTick(t);
if (boxlist.ContainsKey(t.sym) && (boxlist[t.sym] != null))
{
Box b = boxlist[t.sym];
BoxInfo bi = new BoxInfo();
Position p = new Position(t.sym);
try
{
p = poslist[t.sym];
}
catch (KeyNotFoundException) { }
Order o = b.Trade(t, barlist[t.sym], p, bi);
o.Security = seclist[t.sym].Type;
o.Exchange = seclist[t.sym].DestEx;
o.LocalSymbol = seclist[t.sym].Name;
tl.SendOrder(o);
}
}
/// <summary>
/// Create a box-info instance from an existing BarList
/// </summary>
/// <param name="bl">The barlist.</param>
/// <returns>a BoxInfo</returns>
public static BoxInfo FromBarList(BarList bl)
{
BoxInfo bi = new BoxInfo();
if (!bl.HasBar()) return bi;
bi.High = BarMath.HH(bl);
bi.Low = BarMath.LL(bl);
bi.Open = bl[0].Open;
return bi;
}
protected override Order ReadOrder(Tick tick, BarList bl, BoxInfo boxinfo)
{
if (tick.sec % 5 != 0) return new Order();
if (buyids.Count > 0)
CancelOrders(true);
else
return new BuyLimit(Symbol, MinSize, 1);
return new Order();
}
/// <summary>
/// Create a box-info instance from an existing BarList
/// </summary>
/// <param name="bl">The barlist.</param>
/// <returns>a BoxInfo</returns>
public static BoxInfo FromBarList(BarList bl)
{
BoxInfo bi = new BoxInfo();
if (!bl.HasBar())
{
return(bi);
}
bi.High = BarMath.HH(bl);
bi.Low = BarMath.LL(bl);
bi.Open = bl[0].Open;
return(bi);
}
protected override int Read(Tick tick, BarList bl,BoxInfo bi)
{
if (tick.isTrade)
{
sum += tick.trade;
ticks++;
MA = sum/ticks;
if (((tick.time - starttime) % secperint) == 0) starttime = tick.time;
if (starttime==0) return 0;
bool pricecross = (((PosSize > 0) && (tick.trade < MA)) || ((PosSize < 0) && (tick.trade > MA)));
return (pricecross) ? Norm2Min(Flat*exitpercent) : 0;
}
return 0;
}
const decimal s = -.11m; // stop loss
// here are the trading rules that implement our strategy's intention
protected override int Read(Tick tick, BarList bl,BoxInfo bi)
{
// indicator setup
bars = bl;
if (!bl.Has(2)) return 0; // must have at least one one bar
// asymmetry tests
if (((h - o) > a) && ((o - l) > a)) { Shutdown("Not enough Asymetry to trade."); return 0; }
if ((h - l) < r) return 0; // must have the range
if (((h-o)<=a) && ((h-tick.trade)>e)) return MaxSize;
if (((o-l)<=a) && ((tick.trade-l)>e)) return MaxSize*-1;
// profit and loss tests
decimal PL = BoxMath.OpenPT(tick.trade, AvgPrice, PosSize);
if (PL > p) return Flat;
if (PL < s) return Flat;
return 0;
}
protected override int Read(Tick t, BarList barlist, BoxInfo bi)
{
this.tick = new Tick(t); // save tick to member for child classes
this.bl = barlist; // save bars for same purpose
_boxinfo = bi;
int adjust = 0;
if (newTrade())
{
getStop();
}
else if (PosSize != 0) // if we have entry price, check exits
{
if (!IgnoreTick())
{
checkMoveStop();
}
if (!IgnoreTick() && this.Exit())
{
adjust = PosSize * -1;
}
else if (this.hitProfit())
{
adjust = (PosSize > 0) ? ProfitSize : ProfitSize * -1;
}
else if (this.hitStop())
{
adjust = PosSize * -1;
}
}
else if (IgnoreTick())
{
adjust = 0;
}
else if (this.Enter()) // if haven't entered, check entry criteria
{
adjust = EntrySize * (Side ? 1 : -1);
}
return(adjust);
}
/// <summary>
/// Called everytime a new tick is received by the box, if QuickOrder is true (default). Reads from the user a position adjustment as an integer.
/// </summary>
/// <param name="tick">The current tick.</param>
/// <param name="bl">The current barlist.</param>
/// <param name="boxinfo">The boxinfo.</param>
/// <returns>The number of shares to adjust the position up or down.</returns>
protected virtual int Read(Tick tick, BarList bl, BoxInfo boxinfo)
{
D("No Read function provided"); return(0);
}
/// <summary>
/// Called everytime a new tick is received by the box, if QuickOrder is true (default). Reads from the user a position adjustment as an integer.
/// </summary>
/// <param name="tick">The current tick.</param>
/// <param name="bl">The current barlist.</param>
/// <param name="boxinfo">The boxinfo.</param>
/// <returns>The number of shares to adjust the position up or down.</returns>
protected virtual int Read(Tick tick, BarList bl,BoxInfo boxinfo) { D("No Read function provided"); return 0; }
public bool atHigh(BoxInfo bi) { return (isTrade && (trade >= bi.High)); }
public bool atLow(BoxInfo bi) { return (isTrade && (trade <= bi.Low)); }
public bool atLow(BoxInfo bi)
{
return(isTrade && (trade <= bi.Low));
}
public int Test(List<FileInfo> tf)
{
show("Starting run "+name+" containing "+ tf.Count + " symbols."+Environment.NewLine);
int totfills = 0;
int totalticks = approxticks(tf);
for (int i = 1; i <= tf.Count; i++) // loop through the list
{
FileInfo f = tf[i-1];
Match m = Regex.Match(f.Name, "([0-9]+)", RegexOptions.IgnoreCase);
int date = Convert.ToInt32(m.Result("$1"));
LoadIndexFiles(date);
TickFile(f.Name); // set current file
if (f.Length == 0) continue; // ignore if tick file is empty
show(Environment.NewLine);
show("Symbol " + this.symbol + " (" + i + " of " + tf.Count + ") ");
// reset per-symbol statistics
if (mybox!=null) mybox.Reset();
bl = new BarList((BarInterval)bint, symbol);
int fills = 0;
tick = new eSigTick(); // reset our tick
int itime = 0;
BoxInfo bi = new BoxInfo();
while (this.getTick() && tick.hasTick)
{ // process the ticks
line++;
if ((line % 5000) == 0) show(".");
if (((itime==0) || (itime!=tick.time)))
{
// load all the indicies for this time
List<Index> itix = FetchIdx(tick.time);
itime = tick.time;
// send them to the box (before we send the tix)
for (int id = 0; id < itix.Count; id++)
mybox.NewIndex(itix[id]);
}
if ((this.exfilter != "") &&
((!tick.isTrade && (!tick.be.Contains(exfilter) || !tick.oe.Contains(exfilter))) ||
(tick.isTrade && tick.ex.Contains(exfilter)))) continue;
if ((bi.Open == 0) && tick.isTrade)
bi.Open = tick.trade;
if (tick.trade > bi.High) bi.High = tick.trade;
if (tick.trade < bi.Low) bi.Low = tick.trade;
bl.AddTick(tick); // save our tick to a bar
if (bl.Has(2) && bl.Get(bl.Last-1).DayEnd)
{ // we hit a new day in the same file, reset day stuff and set our DayEndTime
bl.Reset();
bl.AddTick(tick); // put our tick back
if (mybox!=null) mybox.Reset();
SetDayClose(); // this has to be run after mybox.Reset!!!
}
// execute any pending orders on this tick
if (mybroker.GetOrderList().Count>0) fills += mybroker.Execute(tick);
// trade box on this tick, if he generates any orders then send them
if (mybox != null)
{
mybroker.sendOrder(
mybox.Trade(tick, bl, mybroker.GetOpenPosition(this.symbol), bi));
// quit early if box shuts itself off and no pending orders
if (mybox.Off && (mybroker.GetOrderList().Count == 0)) break;
}
if (this.delay != 0)
{
System.Threading.Thread.Sleep(this.delay);
System.Threading.Thread.CurrentThread.Priority = System.Threading.ThreadPriority.Lowest;
}
this.ReportProgress((int)((100*line) / totalticks));
}
show(fills+" executions.");
totfills += fills;
this.cf.Close();
}
show(Environment.NewLine);
show(name+" complete: "+tf.Count+" symbols, "+ totfills + " executions."+Environment.NewLine);
return totfills;
}
/// <summary>
/// Trades specified tick. This method will call an inherited overridden member Read if QuickOrder is true or ReadOrder if QuickOrder is false.
/// </summary>
/// <param name="tick">The tick.</param>
/// <param name="bl">The barlist.</param>
/// <param name="pos">The current position in the stock or instrument.</param>
/// <param name="bi">Other box information.</param>
/// <returns></returns>
public Order Trade(Tick tick, BarList bl, Position pos, BoxInfo bi)
{
Order o = new Order();
if (Symbol == null)
{
if (tick.sym != "")
{
symbol = tick.sym;
}
else
{
throw new Exception("No symbol specified");
}
_pos = new Position(tick.sym);
}
if (!pos.isValid)
{
throw new Exception("Invalid Position Provided to Box" + pos.ToString());
}
if (tick.sym != Symbol)
{
return(o);
}
time = tick.time;
date = tick.date;
sec = tick.sec;
if ((Time < DayStart) || (Time > DayEnd))
{
return(o); // is market open?
}
if (Off)
{
return(o); // don't trade if shutdown
}
if (TradeCaps && pos.Flat && ((this.turns >= MAXTRADES) || (this.adjusts >= MAXADJUSTS)))
{
this.Shutdown("Trade limit reached.");
return(o);
}
_pos = pos;
if (QuickOrder) // user providing only size adjustment
{
// get our adjustment
int adjust = this.Read(tick, bl, bi);
// convert adjustment to an order
o = this.Adjust(adjust);
}
else // user providing a complete order, so get it
{
o = ReadOrder(tick, bl, bi);
}
if (!OrdersAllowed) // if we're not allowed, mark order as invalid
{
o = new Order();
}
//flat us at the close
if (!_sentshut && (Time >= (DayEnd - DayEndBuff)))
{
o = this.Adjust(Flat);
o.time = Time;
o.date = Date;
this.Shutdown("end-of-day");
_sentshut = true;
}
if (o.isValid)
{
// if it's a valid order it counts as an adjustment
adjusts++;
// if we're going to flat from non-flat, this is a "trade"
if ((Math.Abs(PosSize + o.SignedSize) == 0) && (PosSize != 0))
{
turns++;
}
// final prep for good orders
_expectedpossize += o.SignedSize;
o.time = Time;
o.date = Date;
}
if (o.isValid)
{
this.D("Sent order: " + o);
}
return(o); // send our order
}
public bool atHigh(BoxInfo bi)
{
return(isTrade && (trade >= bi.High));
}
/// <summary>
/// Called everytime a new tick is received by the box, if QuickOrder is false. Reads from the user a position adjustment as an order.
/// </summary>
/// <param name="tick">The current tick.</param>
/// <param name="bl">The current barlist.</param>
/// <param name="boxinfo">The boxinfo.</param>
/// <returns>The number of shares to adjust the position up or down.</returns> protected virtual Order ReadOrder(Tick tick, BarList bl,BoxInfo boxinfo) { D("No ReadOrder function provided."); return new Order(); }
protected virtual Order ReadOrder(Tick tick, BarList bl, BoxInfo boxinfo) { D("No ReadOrder function provided."); return new Order(); }
/// <summary>
/// Called everytime a new tick is received by the box, if QuickOrder is false. Reads from the user a position adjustment as an order.
/// </summary>
/// <param name="tick">The current tick.</param>
/// <param name="bl">The current barlist.</param>
/// <param name="boxinfo">The boxinfo.</param>
/// <returns>The number of shares to adjust the position up or down.</returns> protected virtual Order ReadOrder(Tick tick, BarList bl,BoxInfo boxinfo) { D("No ReadOrder function provided."); return new Order(); }
protected virtual Order ReadOrder(Tick tick, BarList bl, BoxInfo boxinfo)
{
D("No ReadOrder function provided."); return(new Order());
}
/// <summary>
/// Trades specified tick. This method will call an inherited overridden member Read if QuickOrder is true or ReadOrder if QuickOrder is false.
/// </summary>
/// <param name="tick">The tick.</param>
/// <param name="bl">The barlist.</param>
/// <param name="pos">The current position in the stock or instrument.</param>
/// <param name="bi">Other box information.</param>
/// <returns></returns>
public Order Trade(Tick tick,BarList bl, Position pos,BoxInfo bi)
{
Order o = new Order();
if (Symbol == null)
{
if (tick.sym != "") symbol = tick.sym;
else throw new Exception("No symbol specified");
_pos = new Position(tick.sym);
}
if (!pos.isValid) throw new Exception("Invalid Position Provided to Box" + pos.ToString());
if (tick.sym != Symbol) return o;
time = tick.time;
date = tick.date;
sec = tick.sec;
if ((Time < DayStart) || (Time>DayEnd)) return o; // is market open?
if (Off) return o; // don't trade if shutdown
if (TradeCaps && pos.Flat && ((this.turns >= MAXTRADES) || (this.adjusts >= MAXADJUSTS)))
{
this.Shutdown("Trade limit reached.");
return o;
}
_pos = pos;
if (QuickOrder) // user providing only size adjustment
{
// get our adjustment
int adjust = this.Read(tick, bl,bi);
// convert adjustment to an order
o = this.Adjust(adjust);
}
else // user providing a complete order, so get it
{
o = ReadOrder(tick, bl,bi);
}
if (!OrdersAllowed) // if we're not allowed, mark order as invalid
o = new Order();
//flat us at the close
if (!_sentshut && (Time >= (DayEnd - DayEndBuff)))
{
o = this.Adjust(Flat);
o.time = Time;
o.date = Date;
this.Shutdown("end-of-day");
_sentshut = true;
}
if (o.isValid)
{
// if it's a valid order it counts as an adjustment
adjusts++;
// if we're going to flat from non-flat, this is a "trade"
if ((Math.Abs(PosSize + o.SignedSize) == 0) && (PosSize != 0))
turns++;
// final prep for good orders
_expectedpossize += o.SignedSize;
o.time = Time;
o.date = Date;
}
if (o.isValid) this.D("Sent order: " + o);
return o; // send our order
}
protected override int Read(Tick t,BarList barlist,BoxInfo bi)
{
this.tick = new Tick(t); // save tick to member for child classes
this.bl = barlist; // save bars for same purpose
_boxinfo = bi;
int adjust = 0;
if (newTrade()) getStop();
else if (PosSize != 0) // if we have entry price, check exits
{
if (!IgnoreTick()) checkMoveStop();
if (!IgnoreTick() && this.Exit()) adjust = PosSize * -1;
else if (this.hitProfit()) adjust = (PosSize > 0) ? ProfitSize : ProfitSize * -1;
else if (this.hitStop()) adjust = PosSize * -1;
}
else if (IgnoreTick()) adjust = 0;
else if (this.Enter()) // if haven't entered, check entry criteria
adjust = EntrySize * (Side ? 1 : -1);
return adjust;
}
protected override int Read(Tick tick, BarList bl, BoxInfo boxinfo)
{
D("entering");
return MinSize;
}
protected override Order ReadOrder(Tick tick, BarList bl, BoxInfo boxinfo)
{
Order o = new Order();
if (orders == 0)
{
o = new LimitOrder(s, true, 200, 10);
}
if (orders==1)
CancelOrders(true);
if (o.isValid)
orders++;
return o;
}
protected override int Read(Tick tick, BarList bl, BoxInfo boxinfo)
{
// go short off first trade
if (tick.isTrade && (PosSize == 0)) return MinSize;
// cover at the next opportunity
else if (tick.isTrade && (PosSize != 0))
{
Shutdown("All done for today");
return Flat;
}
return 0;
}