public override bool IsSatisfied(int index, ITradingRecord tradingRecord)
{
bool satisfied = false;
// No trading history or no trade opened, no gain
if (tradingRecord != null)
{
Trade currentTrade = tradingRecord.GetCurrentTrade();
if (currentTrade.IsOpened())
{
decimal entryPrice = currentTrade.GetEntry().getPrice();
decimal currentPrice = _closePrice.GetValue(index);
decimal threshold = entryPrice.MultipliedBy(_gainRatioThreshold);
if (currentTrade.GetEntry().isBuy())
{
satisfied = currentPrice.IsGreaterThanOrEqual(threshold);
}
else
{
satisfied = currentPrice.IsLessThanOrEqual(threshold);
}
}
}
traceIsSatisfied(index, satisfied);
return(satisfied);
}
public override decimal Calculate(ITimeSeries series, ITradingRecord tradingRecord)
{
decimal totalCosts = 0M;
decimal tradedAmount = _initialAmount;
foreach (Trade trade in tradingRecord.Trades)
{
decimal tradeCost = getTradeCost(series, trade, tradedAmount);
totalCosts += tradeCost;
// To Calculate the new traded amount:
// - Remove the cost of the *first* order
// - Multiply by the profit ratio
// - Remove the cost of the *second* order
tradedAmount = (tradedAmount - getOrderCost(trade.GetEntry(), tradedAmount));
tradedAmount *= _profit.Calculate(series, trade);
tradedAmount -= getOrderCost(trade.GetExit(), tradedAmount);
}
// Special case: if the current trade is open
Trade currentTrade = tradingRecord.GetCurrentTrade();
if (currentTrade.IsOpened())
{
totalCosts += getOrderCost(currentTrade.GetEntry(), tradedAmount);
}
return(totalCosts);
}
/**
* @param index the bar index
* @param tradingRecord the potentially needed trading history
* @return true to recommend an order, false otherwise (no recommendation)
*/
public bool ShouldOperate(int index, ITradingRecord tradingRecord)
{
Trade trade = tradingRecord.GetCurrentTrade();
if (trade.IsNew())
{
return(ShouldEnter(index, tradingRecord));
}
else if (trade.IsOpened())
{
return(ShouldExit(index, tradingRecord));
}
return(false);
}
public void GetCurrentTrade()
{
Assert.IsTrue(emptyRecord.GetCurrentTrade().IsNew());
Assert.IsTrue(openedRecord.GetCurrentTrade().IsOpened());
Assert.IsTrue(closedRecord.GetCurrentTrade().IsNew());
}