protected void OnData(ITransactionMessage <IPointModel> message)
{
var point = message.Next;
var account = point.Account;
var gateway = Gateways.First();
var instrumentX = point.Account.Instruments[_assetX];
var instrumentY = point.Account.Instruments[_assetY];
var seriesX = instrumentX.PointGroups;
var seriesY = instrumentY.PointGroups;
var indicatorX = _scaleIndicatorX.Calculate(seriesX).Bar.Close;
var indicatorY = _scaleIndicatorY.Calculate(seriesY).Bar.Close;
//var balanceIndicator = _balanceIndicator.Calculate(Gateways.Select(o => o.Account), point).Close;
if (seriesX.Any() && seriesY.Any())
{
if (account.ActiveOrders.Any() == false &&
account.ActivePositions.Any() == false &&
Math.Abs(indicatorX.Value - indicatorY.Value) >= 0.5)
{
if (indicatorX > indicatorY)
{
gateway.OrderSenderStream.OnNext(new TransactionMessage <ITransactionOrderModel>
{
Action = ActionEnum.Create,
Next = new TransactionOrderModel
{
Size = 1,
Side = OrderSideEnum.Sell,
Type = OrderTypeEnum.Market,
Instrument = instrumentX
}
});
gateway.OrderSenderStream.OnNext(new TransactionMessage <ITransactionOrderModel>
{
Action = ActionEnum.Create,
Next = new TransactionOrderModel
{
Size = 1,
Side = OrderSideEnum.Buy,
Type = OrderTypeEnum.Market,
Instrument = instrumentX
}
});
}
if (indicatorX < indicatorY)
{
gateway.OrderSenderStream.OnNext(new TransactionMessage <ITransactionOrderModel>
{
Action = ActionEnum.Create,
Next = new TransactionOrderModel
{
Size = 1,
Side = OrderSideEnum.Buy,
Type = OrderTypeEnum.Market,
Instrument = instrumentX
}
});
gateway.OrderSenderStream.OnNext(new TransactionMessage <ITransactionOrderModel>
{
Action = ActionEnum.Create,
Next = new TransactionOrderModel
{
Size = 1,
Side = OrderSideEnum.Sell,
Type = OrderTypeEnum.Market,
Instrument = instrumentY
}
});
}
}
if (account.ActivePositions.Any() && Math.Abs(indicatorX.Value - indicatorY.Value) < 0.05)
{
}
}
}