/// <summary>
///
/// </summary>
/// <param name="chart"></param>
/// <param name="side"></param>
/// <param name="state"></param>
/// <returns></returns>
public virtual double?GetAdjustedStopLossPrice(Chart chart, IParameters parameters, IDictionary <string, object> state)
{
string side;
Thrust thrust;
bool hasProfit;
#region state validation
string stateItem = "";
try
{
stateItem = "side";
side = (string)state[stateItem];
stateItem = "thrust";
thrust = (Thrust)state[stateItem];
stateItem = "hasProfit";
hasProfit = Convert.ToBoolean(state[stateItem]);
}
catch (Exception ex)
{
throw new ArgumentException(string.Format("State argument is missing or invalid: {0}.", stateItem), ex);
}
#endregion
#region logic
// if a buy ...
// move the stop to the lower of the .500 fib price or [patern lowBid price set by the post-fill price action]
// if a sell ...
// move the stop to the higher of the .500 fib price or [patern highBid price set by the post-fill price action]
#endregion
FibonacciRetracement retracement = (FibonacciRetracement)thrust.Study;
if (!retracement.ExtremaPrice.HasValue)
{
return(null);
}
double?stopLossPrice = null;
double r500Price = retracement.LevelPrice(FibonacciLevel.R500);
double lastPrice = chart.Frames.Last().Bar.closeMid;
double extrema500Delta = 0;
double extremaPrice = retracement.ExtremaPrice.Value;
double extremaTakeProfitDelta = Math.Abs(thrust.TakeProfitPrice.Value - extremaPrice);
double takeProfitZoneReachedExtremaCoefficient = parameters.GetDouble("takeProfitZoneReachedExtremaCoefficient") ?? 0.5;
if (side == MACC.Constants.SignalSide.Buy)
{
extrema500Delta = extremaPrice - r500Price;
if (hasProfit)
{
if (thrust.TakeProfitZoneReached())
{
stopLossPrice = extremaPrice + (takeProfitZoneReachedExtremaCoefficient * extremaTakeProfitDelta);
}
else if (extrema500Delta >= 0 && !thrust.ProfitWindowClosed)
{
stopLossPrice = null;
}
else if (extrema500Delta >= 0 && thrust.ProfitWindowClosed) // set to extrema or 500?
{
stopLossPrice = r500Price;
}
else if (extrema500Delta < 0 && !thrust.ProfitWindowClosed)
{
stopLossPrice = extremaPrice;
}
else // extrema500Delta < 0 && profitWindowClosed .. set to r500
{
stopLossPrice = r500Price;
}
}
else
{
if (thrust.TakeProfitZoneReached())
{
stopLossPrice = -1;
}
if (thrust.ProfitWindowClosed && lastPrice > r500Price)
{
stopLossPrice = r500Price;
}
else if (thrust.ProfitWindowClosed && lastPrice <= r500Price)
{
stopLossPrice = -1; // kill trade
}
else
{
stopLossPrice = null;
}
}
if (stopLossPrice.HasValue)
{
// stopLoss should never move down
if (stopLossPrice <= thrust.StopLossPrice)
{
stopLossPrice = null;
}
else
{
stopLossPrice -= chart.HistoricBidAskSpread;
}
}
}
else
{
extrema500Delta = r500Price - extremaPrice;
if (hasProfit)
{
if (thrust.TakeProfitZoneReached())
{
stopLossPrice = extremaPrice - (takeProfitZoneReachedExtremaCoefficient * extremaTakeProfitDelta);
}
else if (extrema500Delta >= 0 && !thrust.ProfitWindowClosed)
{
stopLossPrice = null;
}
else if (extrema500Delta >= 0 && thrust.ProfitWindowClosed)
{
stopLossPrice = extremaPrice;
}
else if (extrema500Delta < 0 && !thrust.ProfitWindowClosed)
{
stopLossPrice = extremaPrice;
}
else // extrema500Delta < 0 && profitWindowClosed
{
stopLossPrice = r500Price;
}
}
else
{
if (thrust.TakeProfitZoneReached())
{
stopLossPrice = -1;
}
else if (lastPrice < r500Price && thrust.ProfitWindowClosed)
{
stopLossPrice = r500Price;
}
else if (lastPrice >= r500Price && thrust.ProfitWindowClosed)
{
stopLossPrice = -1; // kill trade .. if not already stopped out
}
else
{
stopLossPrice = null;
}
}
if (stopLossPrice.HasValue)
{
// stopLoss should never move up
if (stopLossPrice >= thrust.StopLossPrice)
{
stopLossPrice = null;
}
else
{
stopLossPrice += chart.HistoricBidAskSpread;
}
}
}
if (stopLossPrice.HasValue)
{
stopLossPrice = Math.Round(stopLossPrice.Value, retracement.LevelPlaces());
}
return(stopLossPrice);
}