public override void Evaluate() // TOASYNC
{
#if !cAlgo
if (State == ExecutionStateEx.Faulted)
{
return;
}
#endif
try
{
#if cAlgo
DateTime time = Server.Time;
#else
DateTime time = Account.ExtrapolatedServerTime;
#endif
if (time == default(DateTime))
{
return;
}
if (!StartDate.HasValue)
{
StartDate = ExtrapolatedServerTime;
}
EndDate = ExtrapolatedServerTime;
#if !cAlgo
if (State != ExecutionStateEx.Started)
{
throw new InvalidExecutionStateException(ExecutionStateEx.Started, State);
}
#endif
#if NULLCHECKS
if (Indicator == null)
{
throw new ArgumentNullException("Indicator (Evaluate)");
}
//if (Market.IsBacktesting && Server == null)
//{
// throw new ArgumentNullException("!IsBacktesting && Server");
//}
#endif
try
{
Indicator.CalculateToTime(time);
}
catch (Exception ex)
{
throw new Exception("Indicator.CalculateToTime threw " + ex + " stack: " + ex.StackTrace, ex);
}
#if TRACE_EVALUATE
var traceThreshold = 0.0;
Debug.WriteLineIf(double.IsNaN(Indicator.OpenLongPoints.LastValue), "NaN OpenLongPoints: " + this.ToString());
if (Indicator.OpenLongPoints.LastValue > traceThreshold ||
Indicator.CloseLongPoints.LastValue > traceThreshold ||
Indicator.OpenShortPoints.LastValue > traceThreshold ||
Indicator.CloseShortPoints.LastValue > traceThreshold
)
{
logger.LogDebug($"[{this.ToString()} evaluate #{Indicator.OpenLongPoints.Count}] Open long: " + Indicator.OpenLongPoints.LastValue.ToString("N2") + " Close long: " + Indicator.CloseLongPoints.LastValue.ToString("N2") +
" Open short: " + Indicator.OpenShortPoints.LastValue.ToString("N2") + " Close short: " + Indicator.CloseShortPoints.LastValue.ToString("N2")
);
}
#endif
#if false
if (Indicator == null)
{
var msg = "No indicator for SignalBot.";
l.Error(msg);
throw new Exception(msg);
}
if (Indicator.OpenLongPoints == null)
{
var msg = "No Indicator.OpenLongPoints.";
l.Error(msg);
throw new Exception(msg);
}
#endif
if (double.IsNaN(Indicator.OpenLongPoints.LastValue))
{
Debug.WriteLine($"{this} Indicator.OpenLongPoints.LastValue is NaN");
}
if (Template.AllowLong &&
Indicator.OpenLongPoints.LastValue >=
1.0 &&
Indicator.CloseLongPoints.LastValue <
0.9 &&
CanOpenLong && CanOpen)
{
_Open(TradeType.Buy, Indicator.LongStopLoss);
}
if (Template.AllowShort &&
-Indicator.OpenShortPoints.LastValue >=
1.0 &&
-Indicator.CloseShortPoints.LastValue <
0.9 &&
CanOpenShort && CanOpen)
{
_Open(TradeType.Sell, Indicator.ShortStopLoss);
}
List <PositionDouble> toClose = null;
if (Indicator.CloseLongPoints.LastValue >= 1.0)
{
foreach (var position in MyPositions.Where(p => p.TradeType == TradeType.Buy))
{
#if TRACE_CLOSE
string plus = position.NetProfit > 0 ? "+" : "";
logger.LogInformation($"{Server.Time.ToDefaultString()} [CLOSE LONG {position.Quantity} x {Symbol.Code} @ {Indicator.Symbol.Ask}] {plus}{position.NetProfit}");
#endif
if (toClose == null)
{
toClose = new List <PositionDouble>();
}
toClose.Add(position);
}
}
if (-Indicator.CloseShortPoints.LastValue >= 1.0)
{
foreach (var position in MyPositions.Where(p => p.TradeType == TradeType.Sell))
{
#if TRACE_CLOSE
string plus = position.NetProfit > 0 ? "+" : "";
logger.LogInformation($"{Server.Time.ToDefaultString()} [CLOSE SHORT {position.Quantity} x {Symbol.Code} @ {Indicator.Symbol.Bid}] {plus}{position.NetProfit}");
#endif
if (toClose == null)
{
toClose = new List <PositionDouble>();
}
toClose.Add(position);
}
}
if (toClose != null)
{
foreach (var c in toClose)
{
var result = ClosePosition(c);
#if TRACE_CLOSE
logger.LogTrace(result.ToString());
#endif
}
}
OnEvaluated();
}
catch (InvalidExecutionStateException iex)
{
Debug.WriteLine($"{this} InvalidExecutionStateException. {iex.ToString()}");
}
catch (Exception ex)
{
LastException = ex;
Debug.WriteLine($"{this} faulted with exception: {ex.ToString()}");
#if cAlgo
Stop();
#else
SetState(ExecutionStateEx.Faulted);
#endif
}
}