private void CheckEntryCriteria(List <string> results, IBarDay barday, ref bool orderInForce, ref int orderInForceExpiry, ref double enterLimitPrice, int i)
{
if (t(i))
{
IBar b = bd.GetMinuteBar(i, 1, 0);
if (b == null)
{
underflow = true;
}
if (!underflow)
{
DateTime barTime = barday.Date.AddHours(9.5).AddMinutes(i);
entering = true;
enterLimitPrice = exec();
//double d = MinuteClose(5, 0);
//double dd = bars[i].Close;
entering = false;
string str = $"{bd.Symbol} met: {barTime.ToString("MM-dd-yy HH:mm:ss")} {i} {b.ToString()} enterLimitPrice={enterLimitPrice}";
results.Add(str);
results.AddRange(Container.messages);
orderInForce = true;
orderInForceExpiry = i + tif;
//File.AppendAllText(@"c:\src\diag.txt", $"profitExit={profitExit} tif={tif}\r\n");
}
}
}
public void runMinute(int i, TestResult tr, IBarDay barday, int dayNumber, IDayCandle prev, IDayCandle today)
{
//Console.WriteLine($"dayno={dayNumber} minteNumber={i}");
this.today = today;
this.prev = prev;
if (i == 3)
{
string ip = inPosition ? "t" : "f";
string oif = orderInForce ? "t" : "f";
//results.Add($"{today.Symbol} {today.Open} {today.Date} {i} {ip} {oif}");
}
if (today.Symbol == "XOM")
{
}
this.i = i;
if (i == 0)
{
//inPosition = false;
orderInForce = false;
orderInForceExpiry = 0;
enterLimitPrice = 0;
//exitLimitPrice = 0;
//enterExecPrice = 0;
exitExecPrice = 0;
//stopTime = 0;
}
bd = barday;
//Console.WriteLine($"{i} {bd.Symbol}");
underflow = false;
Test.messages.Clear();
if (!inPosition && !orderInForce)
{
//double tt = MinuteOpen(1, 0);
int minuteNumber = i;
CheckEntryCriteria(results, barday, ref orderInForce, ref orderInForceExpiry, ref enterLimitPrice, dayNumber, minuteNumber);
}
else if (!inPosition)
{
if (orderInForce)
{
if (i < orderInForceExpiry)
{
//ProcessTradeEntry(results, barday, ref inPosition, ref orderInForce, enterLimitPrice, ref exitLimitPrice, ref enterExecPrice, ref stopTime);
ProcessTradeEntry(results, barday);// ref inPosition, ref orderInForce, enterLimitPrice, ref exitLimitPrice, ref enterExecPrice, ref stopTime);
}
else //tif expired
{
orderInForce = false;
results.Add($"{barday.Symbol} tif expired {i}");
}
}
}
else if (inPosition)
{
ProcessTradeExit(results, barday);//, ref inPosition, exitLimitPrice, enterExecPrice, ref exitExecPrice, stopTime);
}
}
// private void ProcessTradeExit(List<string> results, BarDay barday, ref bool inPosition, double exitLimitPrice, double enterExecPrice, ref double exitExecPrice, int stopTime)
private void ProcessTradeExit(List <string> results, IBarDay barday) //, ref bool inPosition, double exitLimitPrice, double enterExecPrice, ref double exitExecPrice, int stopTime)
{
IBar b = bd.GetMinuteBar(i, 1, 0);
//File.AppendAllText(@"c:\src\diag.txt", $"profitExit={profitExit} tif={tif} exitLimitPrice{exitLimitPrice}\r\n");
if (b != null)
{
if (b.Open > exitLimitPrice && activeOrderSide == 'B')
{
DateTime barTime = barday.Date.AddHours(9.5).AddMinutes(i + 1);
exitExecPrice = exitLimitPrice;
double pandl = exitExecPrice - enterExecPrice;
testResult.NumTrades++;
testResult.PandL += pandl;
//testResults.Add(testResult);
string str = $"{bd.Symbol} exitlong:{barTime.ToString("MM-dd-yy HH:mm:ss")} {i} exitExecPrice={exitExecPrice.ToString("0.00")} p&l={(exitExecPrice - enterExecPrice).ToString("0.00")}";
results.Add(str);
results.AddRange(Test.messages);
inPosition = false;
}
else if (b.Open != 0 && b.Open < exitLimitPrice && activeOrderSide == 'S')
{
DateTime barTime = barday.Date.AddHours(9.5).AddMinutes(i + 1);
exitExecPrice = exitLimitPrice;
double pandl = enterExecPrice - exitExecPrice;
testResult.NumTrades++;
testResult.PandL += pandl;
//testResults.Add(testResult);
string str = $"{bd.Symbol} exitsell:{barTime.ToString("MM-dd-yy HH:mm:ss")} {i} enterExecPrice={enterExecPrice.ToString("0.00")} exitExecPrice={exitExecPrice.ToString("0.00")} p&l={pandl.ToString("0.00")}";
results.Add(str);
results.AddRange(Test.messages);
inPosition = false;
}
else if ((i >= stopTime || (i >= CloseAll && inPositionDays >= maxOvernights)) && b.Open != 0)
{
results.Add($"stop time{stopTime}");
//File.AppendAllText(@"c:\src\diag.txt", $"profitExit={profitExit} tif={tif} exitLimitPrice{exitLimitPrice} \r\n");
DateTime barTime = barday.Date.AddHours(9.5).AddMinutes(i + 1);
exitExecPrice = b.Open;
double pandl = enterExecPrice - exitExecPrice;
if (activeOrderSide == 'B')
{
pandl *= -1;
}
testResult.NumTrades++;
testResult.PandL += pandl;
//testResults.Add(testResult);
string str = $"{bd.Symbol} Stop Exit:{barTime.ToString("MM-dd-yy HH:mm:ss")} {i} enterExecPrice={enterExecPrice.ToString("0.00")} exitExecPrice={exitExecPrice.ToString("0.00")} p&l={(pandl).ToString("0.00")}";
results.Add(str);
results.AddRange(Test.messages);
inPosition = false;
}
}
}
private void CheckEntryCriteria(List <string> results, IBarDay barday, ref bool orderInForce, ref int orderInForceExpiry, ref double enterLimitPrice, int dayNumber, int minuteNumber)
{
if (CheckLongEntryCriteria(symbolNumber, dayNumber, minuteNumber))
{
IBar b = bd.GetMinuteBar(i, 1, 0);
if (b == null)
{
underflow = true;
}
if (!underflow)
{
DateTime barTime = barday.Date.AddHours(9.5).AddMinutes(i + 1);
entering = true;
enterLimitPrice = CalculateLongEntryLimitPrice();
//double d = MinuteClose(5, 0);
//double dd = bars[i].Close;
entering = false;
int pid = System.Diagnostics.Process.GetCurrentProcess().Id;
string str = $"{bd.Symbol} metlong: {barTime.ToString("MM-dd-yy HH:mm:ss")} {i} enterLimitPrice={enterLimitPrice.ToString("0.00")} pid={pid}";
results.Add(str);
results.AddRange(Test.messages);
orderInForce = true;
activeOrderSide = 'B';
orderInForceExpiry = i + tif;
//File.AppendAllText(@"c:\src\diag.txt", $"profitExit={profitExit} tif={tif}\r\n");
}
}
if (CheckShortEntryCriteria(symbolNumber, dayNumber, minuteNumber))
{
IBar b = bd.GetMinuteBar(i, 1, 0);
if (b == null)
{
underflow = true;
}
if (!underflow)
{
DateTime barTime = barday.Date.AddHours(9.5).AddMinutes(i + 1);
entering = true;
enterLimitPrice = CalculateShortEntryLimitPrice();
//double d = MinuteClose(5, 0);
//double dd = bars[i].Close;
entering = false;
int pid = System.Diagnostics.Process.GetCurrentProcess().Id;
string str = $"{bd.Symbol} metshort: {barTime.ToString("MM-dd-yy HH:mm:ss")} {i} enterLimitPrice={enterLimitPrice.ToString("0.00")} pid={pid}";
results.Add(str);
results.AddRange(Test.messages);
orderInForce = true;
activeOrderSide = 'S';
orderInForceExpiry = i + tif;
//File.AppendAllText(@"c:\src\diag.txt", $"profitExit={profitExit} tif={tif}\r\n");
}
}
}
// private void ProcessTradeEntry(List<string> results, BarDay barday, ref bool inPosition, ref bool orderInForce, double enterLimitPrice, ref double exitLimitPrice, ref double enterExecPrice, ref int stopTime)
private void ProcessTradeEntry(List <string> results, IBarDay barday) //, ref bool inPosition, ref bool orderInForce, double enterLimitPrice, ref double exitLimitPrice, ref double enterExecPrice, ref int stopTime)
{
IBar b = bd.GetMinuteBar(i, 1, 0);
if (b.Open == 0 && b.Volume == 0)
{
return;
}
if (b.Open < enterLimitPrice && activeOrderSide == 'B')
{
DateTime barTime = barday.Date.AddHours(9.5).AddMinutes(i + 1);
inPosition = true;
inPositionDays = 0;
enterExecPrice = b.Open;
double mc1 = MinuteClose(1, 1);
double elp = mc1 + (prev.ATR * .1);
exitLimitPrice = CalculateLongExitLimitPrice();
b = bd.GetMinuteBar(i, 1, 0);
string str = $"{bd.Symbol} enterlong:{barTime.ToString("MM-dd-yy HH:mm:ss")} {i} enterExecPrice={enterExecPrice.ToString("0.00")} exitLimitPrice={exitLimitPrice.ToString("0.00")}";
results.Add(str);
results.AddRange(Test.messages);
orderInForce = false;
stopTime = i + StopTimeInterval;
//File.AppendAllText(@"c:\src\diag.txt", $"stopTime={stopTime} i={i}\r\n");
}
if (b.Open > enterLimitPrice && activeOrderSide == 'S')
{
DateTime barTime = barday.Date.AddHours(9.5).AddMinutes(i + 1);
inPosition = true;
inPositionDays = 0;
enterExecPrice = b.Open;
double mc1 = MinuteClose(1, 1);
double elp = mc1 + (prev.ATR * .1);
exitLimitPrice = CalculateShortExitLimitPrice();
b = bd.GetMinuteBar(i, 1, 0);
string str = $"{bd.Symbol} entershort:{barTime.ToString("MM-dd-yy HH:mm:ss")} {i} enterExecPrice={enterExecPrice.ToString("0.00")} exitLimitPrice={exitLimitPrice.ToString("0.00")}";
results.Add(str);
results.AddRange(Test.messages);
orderInForce = false;
stopTime = i + StopTimeInterval;
results.Add($"current time {i} stop time {stopTime}");
//File.AppendAllText(@"c:\src\diag.txt", $"stopTime={stopTime} i={i}\r\n");
}
}
public void runMinute(int i, TestResult tr, IBarDay barday)
{
this.i = i;
if (i == 0)
{
//inPosition = false;
orderInForce = false;
orderInForceExpiry = 0;
enterLimitPrice = 0;
//exitLimitPrice = 0;
//enterExecPrice = 0;
exitExecPrice = 0;
//stopTime = 0;
}
bd = barday;
underflow = false;
Container.messages.Clear();
if (!inPosition && !orderInForce)
{
//double tt = MinuteOpen(1, 0);
CheckEntryCriteria(Container.results, barday, ref orderInForce, ref orderInForceExpiry, ref enterLimitPrice, i);
}
else if (!inPosition)
{
if (orderInForce)
{
if (i < orderInForceExpiry)
{
//ProcessTradeEntry(results, barday, ref inPosition, ref orderInForce, enterLimitPrice, ref exitLimitPrice, ref enterExecPrice, ref stopTime);
ProcessTradeEntry(Container.results, barday);// ref inPosition, ref orderInForce, enterLimitPrice, ref exitLimitPrice, ref enterExecPrice, ref stopTime);
}
else //tif expired
{
orderInForce = false;
Container.results.Add($"tif expired {i}");
}
}
}
else if (inPosition)
{
ProcessTradeExit(Container.results, barday);//, ref inPosition, exitLimitPrice, enterExecPrice, ref exitExecPrice, stopTime);
}
}
// private void ProcessTradeEntry(List<string> results, BarDay barday, ref bool inPosition, ref bool orderInForce, double enterLimitPrice, ref double exitLimitPrice, ref double enterExecPrice, ref int stopTime)
private void ProcessTradeEntry(List <string> results, IBarDay barday) //, ref bool inPosition, ref bool orderInForce, double enterLimitPrice, ref double exitLimitPrice, ref double enterExecPrice, ref int stopTime)
{
IBar b = bd.GetMinuteBar(i, 1, 1);
if (b.Open < enterLimitPrice)
{
DateTime barTime = barday.Date.AddHours(9.5).AddMinutes(i);
inPosition = true;
inPositionDays = 0;
enterExecPrice = b.Open;
exitLimitPrice = enterExecPrice + profitExit;
b = bd.GetMinuteBar(i, 1, 0);
string str = $"{bd.Symbol} enter:{barTime.ToString("MM-dd-yy HH:mm:ss")} {i} {b.ToString()} enterExecPrice={enterExecPrice} exitLimitPrice={exitLimitPrice}";
results.Add(str);
results.AddRange(Container.messages);
orderInForce = false;
stopTime = i + StopTimeInterval;
//File.AppendAllText(@"c:\src\diag.txt", $"stopTime={stopTime} i={i}\r\n");
}
}
// private void ProcessTradeExit(List<string> results, BarDay barday, ref bool inPosition, double exitLimitPrice, double enterExecPrice, ref double exitExecPrice, int stopTime)
private void ProcessTradeExit(List <string> results, IBarDay barday) //, ref bool inPosition, double exitLimitPrice, double enterExecPrice, ref double exitExecPrice, int stopTime)
{
IBar b = bd.GetMinuteBar(i, 1, 0);
//File.AppendAllText(@"c:\src\diag.txt", $"profitExit={profitExit} tif={tif} exitLimitPrice{exitLimitPrice}\r\n");
if (b != null)
{
if (b.Open > exitLimitPrice)
{
DateTime barTime = barday.Date.AddHours(9.5).AddMinutes(i);
exitExecPrice = exitLimitPrice;
double pandl = exitExecPrice - enterExecPrice;
Container.testResult.NumTrades++;
Container.testResult.PandL += pandl;
//testResults.Add(testResult);
string str = $"{bd.Symbol} exit:{barTime.ToString("MM-dd-yy HH:mm:ss")} {i} {b.ToString()} exitExecPrice={exitExecPrice} p&l={(exitExecPrice - enterExecPrice).ToString("0.00")}";
results.Add(str);
results.AddRange(Container.messages);
inPosition = false;
}
else if (i >= stopTime || (i >= CloseAll && inPositionDays >= maxOvernights))
{
//File.AppendAllText(@"c:\src\diag.txt", $"profitExit={profitExit} tif={tif} exitLimitPrice{exitLimitPrice} \r\n");
DateTime barTime = barday.Date.AddHours(9.5).AddMinutes(i);
exitExecPrice = b.Open;
double pandl = exitExecPrice - enterExecPrice;
Container.testResult.NumTrades++;
Container.testResult.PandL += pandl;
//testResults.Add(testResult);
string str = $"{bd.Symbol} Stop Exit:{barTime.ToString("MM-dd-yy HH:mm:ss")} {i} {b.ToString()} exitExecPrice={exitExecPrice} p&l={(exitExecPrice - enterExecPrice).ToString("0.00")}";
results.Add(str);
results.AddRange(Container.messages);
inPosition = false;
}
}
}
