int CalculateCurrentStep(MartinGaleParam cparam, int currShift, int startShift)
{
if (startShift < cparam.StartShift)
{
startShift = cparam.StartShift;
}
if (currShift < startShift)
{
return(0);
}
return(1 + (currShift - startShift) * 2 / cparam.TP);
}
void TryToOpenCorrectVolume(OrderSide side, int requiredVolume, MartinGaleParam cparam)
{
if (requiredVolume <= 0)
{
return;
}
this.Print(string.Format("TryToOpenCorrectVolume side={0}, requiredVolume={1}",
side, requiredVolume));
//OrderSide openingSide = requiredVolume > 0 ? side : (side==OrderSide.Buy?OrderSide.Sell:OrderSide.Buy);
//int openingVolume = Math.Abs( requiredVolume);
Meta.OrderSend(cparam.Symbol, OrderType.Market, side, requiredVolume, 1, 0, 0, cparam.NewUniqueComment());
}
public override bool onStart(int ticks)
{
for (int i = 0; i < 1000; i++)
{
string paramName = string.Format("P{0}String", i);
if (this.param.ContainsString(paramName))
{
string[] paramStr = this.param.GetStringParameter(paramName).Split(new char[] { ',' });
MartinGaleParam cparam = new MartinGaleParam();
cparam.Symbol = paramStr[0];
cparam.TP = Int32.Parse(paramStr[1]);
cparam.MaxSteps = Int32.Parse(paramStr[2]);
cparam.StartShift = Int32.Parse(paramStr[3]) * cparam.TP / 10;
cparam.CoefVolume = Int32.Parse(paramStr[4]);
cparam.BasicVolume = Int32.Parse(paramStr[5]);
cparam.ID = i;
if (this.param.Contains("InitHistoryMinutes"))
{
cparam.InitHistoryMinutes = this.param["InitHistoryMinutes"];
}
else
{
cparam.InitHistoryMinutes = 0;
}
if (this.param.Contains(ReadOnlyParamName))
{
cparam.ReadOnly = this.param[ReadOnlyParamName];
}
else
{
cparam.ReadOnly = 0;
}
customParams.Add(cparam);
}
}
if (this.customParams.Count == 0)
{
MartinGaleParam cparam = new MartinGaleParam();
cparam.Symbol = base.Symbol;
cparam.TP = param["TP"];
cparam.MaxSteps = param["MaxSteps"];
cparam.StartShift = param["StartShift"] * cparam.TP / 10;
cparam.CoefVolume = param["CoefVolume"];
cparam.BasicVolume = param["BasicVolume"];
cparam.ID = 0;
if (this.param.Contains("InitHistoryMinutes"))
{
cparam.InitHistoryMinutes = this.param["InitHistoryMinutes"];
}
else
{
cparam.InitHistoryMinutes = 0;
}
if (this.param.Contains(ReadOnlyParamName))
{
cparam.ReadOnly = this.param[ReadOnlyParamName];
}
else
{
cparam.ReadOnly = 0;
}
customParams.Add(cparam);
}
this.logger.AddMessage("Start strategy with parameter {0}", param.ToString());
foreach (MartinGaleParam cParam in customParams)
{
ExtremumPoints.Add(new ExtremumPointStrategy(cParam.TP));
}
//this.logger.AddMessage("Init Extremums 1000");
//InitExtremum(1000);
spreadAnalyzer = new SpreadAnalyzer(100);
return(true);
}
bool IsMaximumExceeded(MartinGaleParam cparam, int currShift)
{
return(currShift >= cparam.StartShift + cparam.MaxSteps * cparam.TP / 2);
}
int GetVolumeByStep(MartinGaleParam cparam, int step)
{
return((int)(cparam.BasicVolume *
(Math.Pow(cparam.CoefVolume, step) - 1)));
}
//internal void InitExtremum(int AmountBars)
//{
// ExtremumPoints.Min = Math.Max(Meta.Open(this.Symbol, AmountBars), Meta.High(this.Symbol, AmountBars + 1)); ;
// ExtremumPoints.Max = Math.Min(Meta.Open(this.Symbol, AmountBars), Meta.Low(this.Symbol, AmountBars + 1));
// for (int i = AmountBars; i >= 1; i--)
// ExtremumPoints.Process(Math.Max(Meta.Open(this.Symbol, i), Meta.High(this.Symbol, i + 1)), Math.Min(Meta.Open(this.Symbol, i), Meta.Low(this.Symbol, i + 1)));
//}
public override void onTick(Tick <int> currTick)
{
try
{
spreadAnalyzer.EvaluateSpread(currTick);
InitComment();
if ((currTick.DateTime.DayOfWeek == DayOfWeek.Friday && currTick.DateTime.Hour > 23) ||
(currTick.DateTime.DayOfWeek == DayOfWeek.Monday && currTick.DateTime.Hour < 1))
{
this.OrderOperation.CloseAllOrders();
return;
}
for (int i = 0; i < customParams.Count; i++)
{
AddComment(() => string.Format("{0}; {1}\n", customParams[i].Symbol, ExtremumPoints[i].ToString()));
MartinGaleParam cparam = customParams[i];
Tick <int> currSymbolTick = new Tick <int>
{
Ask = Meta.MarketInfo(cparam.Symbol, MarketInfoType.MODE_ASK),
Bid = Meta.MarketInfo(cparam.Symbol, MarketInfoType.MODE_BID),
DateTime = currTick.DateTime,
volume = 1
};
IEnumerable <Order> allBuyOrders = OrderOperation.GetBuyMarketOrders()
.Where(p => p.Comment.StartsWith(cparam.IdentityComment));
IEnumerable <Order> allSellOrders = OrderOperation.GetSellMarketOrders()
.Where(p => p.Comment.StartsWith(cparam.IdentityComment));
if (allBuyOrders.Any() && ExtremumPoints[i].FlagUP)
{
Meta.Print("Closing all buy orders");
CloseOrders(allBuyOrders);
}
if (allSellOrders.Any() && !ExtremumPoints[i].FlagUP)
{
Meta.Print("Closing all sell orders");
CloseOrders(allSellOrders);
}
if (!ExtremumPoints[i].FlagUP)
{
int shift = (ExtremumPoints[i].Max - currSymbolTick.Bid);
AddComment(() => "Current Shift = " + shift);
int summOpenVolume = allBuyOrders.Sum(p => p.Volume);
int step = CalculateCurrentStep(cparam, shift, 0);
int reqVolume = GetVolumeByStep(cparam, step);
AddComment(() => " Required Volume = " + reqVolume + "\n\n");
if (IsMaximumExceeded(cparam, shift))
{
CloseOrders(allBuyOrders);
}
else if (step == 1 || (step > 1 && allBuyOrders.Any()))
{
TryToOpenCorrectVolume(OrderSide.Buy, reqVolume - summOpenVolume, cparam);
}
}//FLagUP
else
{
int shift = (currSymbolTick.Bid - ExtremumPoints[i].Min);
AddComment(() => "Current Shift = " + shift.ToString());
int summOpenVolume = allSellOrders.Sum(p => p.Volume);
int step = CalculateCurrentStep(cparam, shift, 0);
int reqVolume = GetVolumeByStep(cparam, step);
AddComment(delegate { return(" Required Volume = " + reqVolume.ToString() + "\n\n"); });
if (IsMaximumExceeded(cparam, shift))
{
CloseOrders(allSellOrders);
}
else if (step == 1 || (step > 1 && allSellOrders.Any()))
{
TryToOpenCorrectVolume(OrderSide.Sell, reqVolume - summOpenVolume, cparam);
}
}
}
}
catch (HistoryNotAvailableExceptions exc)
{
Meta.Print("HistoryNotAvailableExceptions exc");
return;
}
finally
{
ShowComment();
}
}
