public OpenPositionInfo ProcessMarketPosition(TradingPosition activeTradingPosition)
{
var settings = _configurationService.GetTradingSettings();
var moment = settings.Moment ?? DateTime.UtcNow;
var initialPositionInfo = new UpdateClosePositionInfo
{
ClosePrice = activeTradingPosition.ClosePositionOrder.Price,
CloseStopPrice = activeTradingPosition.ClosePositionOrder.StopPrice ?? 0,
StopLossPrice = activeTradingPosition.StopLossOrder.StopPrice ?? 0
};
OpenPositionInfo newPositionInfo = null;
var rsiSettings = new CommonIndicatorSettings
{
Period = 10
};
var higherPeriodMACDSettings = new MACDSettings
{
EMAPeriod1 = 12,
EMAPeriod2 = 26,
SignalPeriod = 9
};
var candleRangeSize = new[]
{
rsiSettings.Period + 2,
2
}.Max();
var targetPeriodLastCandles = _candleLoadingService.LoadCandles(
activeTradingPosition.OpenPositionOrder.CurrencyPair.Id,
settings.Period,
candleRangeSize,
moment)
.ToList();
if (!targetPeriodLastCandles.Any())
{
throw new NoNullAllowedException("No candles loaded");
}
var currentTargetPeriodCandle = targetPeriodLastCandles.Last();
var higherPeriodLastCandles = _candleLoadingService.LoadCandles(
activeTradingPosition.OpenPositionOrder.CurrencyPair.Id,
settings.Period.GetHigherFramePeriod(),
rsiSettings.Period,
moment)
.ToList();
if (!higherPeriodLastCandles.Any())
{
throw new NoNullAllowedException("No candles loaded");
}
var lowerPeriodCandles = _candleLoadingService.LoadCandles(
activeTradingPosition.OpenPositionOrder.CurrencyPair.Id,
settings.Period.GetLowerFramePeriod(),
rsiSettings.Period + 1,
moment)
.ToList();
if (!lowerPeriodCandles.Any())
{
throw new NoNullAllowedException("No candles loaded");
}
var currentLowPeriodCandle = lowerPeriodCandles.Last();
if (currentTargetPeriodCandle.Moment < currentLowPeriodCandle.Moment)
{
var lastLowPeriodCandles = lowerPeriodCandles
.Where(item => item.Moment > currentTargetPeriodCandle.Moment)
.OrderBy(item => item.Moment)
.ToList();
if (lastLowPeriodCandles.Any())
{
targetPeriodLastCandles.Add(new Candle
{
Moment = lastLowPeriodCandles.Last().Moment,
MaxPrice = lastLowPeriodCandles.Max(item => item.MaxPrice),
MinPrice = lastLowPeriodCandles.Min(item => item.MinPrice),
OpenPrice = lastLowPeriodCandles.First().OpenPrice,
ClosePrice = lastLowPeriodCandles.Last().ClosePrice,
VolumeInBaseCurrency = lastLowPeriodCandles.Sum(item => item.VolumeInBaseCurrency),
VolumeInQuoteCurrency = lastLowPeriodCandles.Sum(item => item.VolumeInQuoteCurrency)
});
}
}
var candlesCount = targetPeriodLastCandles.Count;
var period = (candlesCount - 2) > rsiSettings.Period ? rsiSettings.Period : candlesCount - 2;
var rsiValues = _indicatorComputingService.ComputeRelativeStrengthIndex(
targetPeriodLastCandles,
period)
.OfType <SimpleIndicatorValue>()
.ToList();
var currentRSIValue = rsiValues.ElementAtOrDefault(rsiValues.Count - 1);
var previousRSIValue = rsiValues.ElementAtOrDefault(rsiValues.Count - 2);
var higherPeriodMACDValues = _indicatorComputingService.ComputeMACD(
higherPeriodLastCandles,
higherPeriodMACDSettings.EMAPeriod1,
higherPeriodMACDSettings.EMAPeriod2,
higherPeriodMACDSettings.SignalPeriod)
.OfType <MACDValue>()
.ToList();
var higherPeriodCurrentMACDValue = higherPeriodMACDValues.ElementAtOrDefault(higherPeriodMACDValues.Count - 1);
var rsiBottomBorder = 70;
if (higherPeriodCurrentMACDValue?.MACD < 0 && higherPeriodCurrentMACDValue.Histogram < 0)
{
rsiBottomBorder = 50;
}
if (higherPeriodCurrentMACDValue?.MACD < 0 || higherPeriodCurrentMACDValue?.Histogram < 0)
{
rsiBottomBorder = 60;
}
if ((currentRSIValue?.Value >= rsiBottomBorder &&
currentRSIValue.Value < 80 &&
currentRSIValue.Value < previousRSIValue?.Value) ||
(activeTradingPosition.ClosePositionOrder.OrderStateType != OrderStateType.Pending &&
currentRSIValue?.Value < 40 &&
currentRSIValue.Value < previousRSIValue?.Value))
{
var updatePositionInfo = new UpdateClosePositionInfo
{
StopLossPrice = initialPositionInfo.StopLossPrice
};
if (activeTradingPosition.ClosePositionOrder.OrderStateType == OrderStateType.Pending ||
activeTradingPosition.ClosePositionOrder.OrderStateType == OrderStateType.Suspended)
{
var bottomMeaningfulAskPrice = _orderBookLoadingService.GetBottomMeaningfulAskPrice(activeTradingPosition.ClosePositionOrder.CurrencyPair);
updatePositionInfo.ClosePrice = bottomMeaningfulAskPrice - activeTradingPosition.ClosePositionOrder.CurrencyPair.TickSize;
var topBidPrice = _orderBookLoadingService.GetTopBidPrice(activeTradingPosition.ClosePositionOrder.CurrencyPair, 3);
updatePositionInfo.CloseStopPrice = !activeTradingPosition.ClosePositionOrder.StopPrice.HasValue || topBidPrice >= activeTradingPosition.ClosePositionOrder.StopPrice ?
topBidPrice :
activeTradingPosition.ClosePositionOrder.StopPrice.Value;
}
else
{
var bottomAskPrice = _orderBookLoadingService.GetBottomAskPrice(activeTradingPosition.ClosePositionOrder.CurrencyPair, 3);
updatePositionInfo.ClosePrice = activeTradingPosition.ClosePositionOrder.Price <= bottomAskPrice ?
activeTradingPosition.ClosePositionOrder.Price :
bottomAskPrice;
updatePositionInfo.CloseStopPrice = 0;
}
if (updatePositionInfo.ClosePrice != initialPositionInfo.ClosePrice ||
updatePositionInfo.CloseStopPrice != initialPositionInfo.CloseStopPrice)
{
newPositionInfo = updatePositionInfo;
}
}
else if (activeTradingPosition.ClosePositionOrder.OrderStateType != OrderStateType.Pending &&
currentRSIValue?.Value < rsiBottomBorder &&
currentRSIValue.Value > previousRSIValue?.Value)
{
newPositionInfo = new SuspendPositionInfo();
}
else if (activeTradingPosition.ClosePositionOrder.OrderStateType != OrderStateType.Pending &&
currentRSIValue?.Value >= 80)
{
newPositionInfo = new SuspendPositionInfo();
}
if (newPositionInfo == null &&
currentTargetPeriodCandle.Moment >= currentLowPeriodCandle.Moment &&
currentRSIValue?.Value > previousRSIValue?.Value)
{
var fixStopLossInfo = new FixStopLossInfo {
StopLossPrice = initialPositionInfo.StopLossPrice
};
ComputeStopLossUsingParabolicSAR(
fixStopLossInfo,
activeTradingPosition.StopLossOrder,
currentTargetPeriodCandle);
if (fixStopLossInfo.StopLossPrice != initialPositionInfo.StopLossPrice)
{
newPositionInfo = fixStopLossInfo;
}
}
if (newPositionInfo == null)
{
return(new HoldPositionInfo());
}
return(newPositionInfo);
}
protected override ConditionCheckingResult CheckConditions(CurrencyPair currencyPair)
{
var settings = ConfigurationService.GetTradingSettings();
var moment = settings.Moment ?? DateTime.UtcNow;
var conditionCheckingResult = new ConditionCheckingResult()
{
ResultType = ConditionCheckingResultType.Failed
};
var firstFrameMACDSettings = new MACDSettings
{
EMAPeriod1 = 12,
EMAPeriod2 = 26,
SignalPeriod = 9
};
var firstFrameCandles = CandleLoadingService.LoadCandles(
currencyPair.Id,
settings.Period.GetHigherFramePeriod(),
firstFrameMACDSettings.RequiredCandleRangeSize,
moment)
.OrderBy(candle => candle.Moment)
.ToList();
var firstFrameMACDValues = IndicatorComputingService.ComputeMACD(
firstFrameCandles,
firstFrameMACDSettings.EMAPeriod1,
firstFrameMACDSettings.EMAPeriod2,
firstFrameMACDSettings.SignalPeriod)
.OfType <MACDValue>()
.ToList();
var firstFrameCurrentMACDValue = firstFrameMACDValues.ElementAtOrDefault(firstFrameMACDValues.Count - 1);
var firstFrameOnePreviousMACDValue = firstFrameMACDValues.ElementAtOrDefault(firstFrameMACDValues.Count - 2);
//If all valuable parameters are not null
if (firstFrameCurrentMACDValue?.Histogram == null ||
firstFrameOnePreviousMACDValue?.Histogram == null)
{
return(conditionCheckingResult);
}
//if MACD higher then Signal then it is Bullish trend
//if Histogram is rising
if (!(firstFrameCurrentMACDValue.MACD > 0 ||
firstFrameCurrentMACDValue.Histogram.Value >= 0 ||
firstFrameCurrentMACDValue.Histogram.Value > firstFrameOnePreviousMACDValue.Histogram))
{
return(conditionCheckingResult);
}
var rsiSettings = new RSISettings
{
Period = 14
};
var secondFrameTargetPeriodCandles = CandleLoadingService.LoadCandles(
currencyPair.Id,
settings.Period,
rsiSettings.Period + 2,
moment)
.OrderBy(candle => candle.Moment)
.ToList();
var candlesCount = secondFrameTargetPeriodCandles.Count;
if (candlesCount < rsiSettings.Period)
{
return(conditionCheckingResult);
}
var secondFrameCurrentCandle = secondFrameTargetPeriodCandles.ElementAtOrDefault(secondFrameTargetPeriodCandles.Count - 1);
if (secondFrameCurrentCandle?.VolumeInBaseCurrency == null)
{
return(conditionCheckingResult);
}
var lowerPeriodCandles = CandleLoadingService.LoadCandles(
currencyPair.Id,
settings.Period.GetLowerFramePeriod(),
rsiSettings.Period,
moment)
.OrderBy(candle => candle.Moment)
.ToList();
if (!lowerPeriodCandles.Any())
{
throw new NoNullAllowedException("No candles loaded");
}
var currentLowPeriodCandle = lowerPeriodCandles.Last();
if (secondFrameCurrentCandle.Moment != currentLowPeriodCandle.Moment)
{
var lastLowPeriodCandles = lowerPeriodCandles
.Where(item => item.Moment > secondFrameCurrentCandle.Moment)
.OrderBy(item => item.Moment)
.ToList();
if (lastLowPeriodCandles.Any())
{
secondFrameTargetPeriodCandles.Add(new Candle
{
Moment = lastLowPeriodCandles.Last().Moment,
MaxPrice = lastLowPeriodCandles.Max(item => item.MaxPrice),
MinPrice = lastLowPeriodCandles.Min(item => item.MinPrice),
OpenPrice = lastLowPeriodCandles.First().OpenPrice,
ClosePrice = lastLowPeriodCandles.Last().ClosePrice,
VolumeInBaseCurrency = lastLowPeriodCandles.Sum(item => item.VolumeInBaseCurrency),
VolumeInQuoteCurrency = lastLowPeriodCandles.Sum(item => item.VolumeInQuoteCurrency)
});
}
}
var period = (candlesCount - 2) > rsiSettings.Period ? rsiSettings.Period : candlesCount - 2;
var secondFrameRSIValues = IndicatorComputingService.ComputeRelativeStrengthIndex(
secondFrameTargetPeriodCandles,
period)
.OfType <SimpleIndicatorValue>()
.ToList();
var secondFrameCurrentRSIValue = secondFrameRSIValues.ElementAtOrDefault(secondFrameRSIValues.Count - 1);
var secondFrameOnePreviousRSIValue = secondFrameRSIValues.ElementAtOrDefault(secondFrameRSIValues.Count - 2);
if (secondFrameCurrentRSIValue?.Value == null || secondFrameOnePreviousRSIValue?.Value == null)
{
return(conditionCheckingResult);
}
var rsiTopBorder = 45;
if (firstFrameCurrentMACDValue.MACD > 0 && firstFrameCurrentMACDValue.Histogram.Value >= 0)
{
rsiTopBorder = 65;
}
if (firstFrameCurrentMACDValue.MACD > 0 || firstFrameCurrentMACDValue.Histogram.Value >= 0)
{
rsiTopBorder = 60;
}
if (secondFrameCurrentRSIValue.Value > rsiTopBorder || secondFrameCurrentRSIValue.Value < 25)
{
return(conditionCheckingResult);
}
if (secondFrameCurrentRSIValue.Value < secondFrameOnePreviousRSIValue.Value)
{
return(conditionCheckingResult);
}
conditionCheckingResult.ResultType = ConditionCheckingResultType.Passed;
return(conditionCheckingResult);
}
