protected override void OnBarUpdate()
{
if (_CurrentBar != CurrentBar)
{
if (BarDataCollection.Count > 0)
{
int lastBarIndexInCollection = BarDataCollection.Count - 1;
SortedList<double, QuoteDataAtPrice> LastSL =
BarDataCollection[lastBarIndexInCollection];
if (LastSL.Count > 0)
{
double thePriceOfLargestSizeAtBidAndAtAsk =
GetPriceOfLargestSize(lastBarIndexInCollection,
dataType.bidAndAskSize);
double theLargestSizeSinged =
GetLargestSizeSigned(lastBarIndexInCollection,
dataType.bidAndAskSize);
int percentageOfBids = 0;
int percentageOfAsks = 0;
percentageOfBids = GetPercentageOfBids(lastBarIndexInCollection,
dataType.bidAndAskSize);
percentageOfAsks = 100 - percentageOfBids;
int percentageOfBidsAtTop = 0;
int percentageOfAsksAtTop = 0;
percentageOfBidsAtTop =
GetPercentageOfBidsAtTopOrBottom(lastBarIndexInCollection,
dataType.bidAndAskSize, Median[1], TopOrBottomEnum.Top);
percentageOfAsksAtTop = 100 - percentageOfBidsAtTop;
int percentageOfBidsAtBottom = 0;
int percentageOfAsksAtBottom = 0;
percentageOfBidsAtBottom =
GetPercentageOfBidsAtTopOrBottom(lastBarIndexInCollection,
dataType.bidAndAskSize, Median[1], TopOrBottomEnum.Bottom);
percentageOfAsksAtBottom = 100 - percentageOfBidsAtBottom;
int percentageOfDataAtTop = 0;
int percentageOfDataAtBottom = 0;
percentageOfDataAtTop =
GetPercentageOfDataAtTopHalfOfBar(lastBarIndexInCollection,
dataType.bidAndAskSize, Median[1]);
percentageOfDataAtBottom = 100 - percentageOfDataAtTop;
if (thePriceOfLargestSizeAtBidAndAtAsk > 0)
{
if (thePriceOfLargestSizeAtBidAndAtAsk > Median[1]
&& (Open[1] > Median[1])
&& IsTopOrBottomQuarter(Close[1], High[1], Low[1],TopOrBottomEnum.Bottom)
&& Close[1] < EMA(Close,20)[1])
{
//Potential short
// if (theLargestSizeSinged > 0)
// {
// BackColor = Color.MistyRose;
// PrintAlert(Time[1], "FULL SHORT");
// }
// else
// {
// PrintAlert(Time[1], "PARTIAL SHORT");
// BackColor = Color.LightGray;
// }
PotentialTrade newTrade = new PotentialTrade();
newTrade.SignalBar = lastBarIndexInCollection;
newTrade.SignalPrice = thePriceOfLargestSizeAtBidAndAtAsk;
newTrade.theTradeDirection = TradeDirection.Short;
newTrade.StopPrice = High[1] + TickSize;
newTrade.theTradeState = TradeState.Closed;
newTrade.ProfitPrice = newTrade.SignalPrice -
(Math.Abs(newTrade.SignalPrice - newTrade.StopPrice) * 2);
PotentialTradesList.Add (newTrade);
// Print ("SHORT - Close[1] = " + Close[1]
// + " theLargestSizeAtBidAndAtAsk = " + thePriceOfLargestSizeAtBidAndAtAsk
// + " High = " + High[1]
// + " Low = " + Low[1]
// + " Time = " + Time[1]);
}
else if (thePriceOfLargestSizeAtBidAndAtAsk < Median[1]
&& (Open[1] < Median[1])
&& IsTopOrBottomQuarter(Close[1], High[1], Low[1], TopOrBottomEnum.Top)
&& Close[1] > EMA(Close,20)[1])
{
//ALL - Close[1] = 139.77
//theLargestSizeAtBidAndAtAsk = 139.65
//High = 139.77
//Low = 139.59
//Close = 139.77
//Median = 139.68
//EMA20 = 139.656132929072
//Time = 4/4/2012 2:35:00 PM
// if (theLargestSizeSinged < 0)
// {
// BackColor = Color.LightCyan;
// PrintAlert(Time[1], "FULL LONG");
// }
// else
// {
// BackColor = Color.LightGray;
// PrintAlert(Time[1], "PARTIAL LONG");
// }
PotentialTrade newTrade = new PotentialTrade();
newTrade.SignalBar = lastBarIndexInCollection;
newTrade.SignalPrice = thePriceOfLargestSizeAtBidAndAtAsk;
newTrade.theTradeDirection = TradeDirection.Long;
newTrade.StopPrice = Low[1] - TickSize;
newTrade.theTradeState = TradeState.Closed;
newTrade.ProfitPrice = newTrade.SignalPrice +
(Math.Abs(newTrade.SignalPrice - newTrade.StopPrice) * 2);
PotentialTradesList.Add (newTrade);
}
PrintAlert(Time[1], "percentageOfAsksAtTop = " +
percentageOfAsksAtTop + " percentageOfBidsAtTop = " +
percentageOfBidsAtTop);
PrintAlert(Time[1], "percentageOfAsksAtBottom = " +
percentageOfDataAtBottom + " percentageOfBidsAtBottom = " +
percentageOfDataAtTop);
PrintAlert(Time[1], "percentageOfDataAtBottom = " +
percentageOfDataAtBottom + " percentageOfDataAtTop = " +
percentageOfDataAtTop);
PrintAlert(Time[1], "percentageOfBids = " + percentageOfBids + "
percentageOfAsks = " + percentageOfAsks);
PrintAlert(Time[1], "percentageOfDataAtBottom = " +
percentageOfDataAtBottom + " percentageOfDataAtTop = " +
percentageOfDataAtTop);
PrintAlert(Time[1], "thePriceOfLargestSizeAtBidAndAtAsk = " +
thePriceOfLargestSizeAtBidAndAtAsk);
PrintAlert(Time[1], "IsBarAerodynamic Bullish = " +
IsBarAerodynamic(1, MarketDirectionEnum.Bullish,
DirectionalFilterEnum.VeryStrong));
PrintAlert(Time[1], "IsBarAerodynamic Bearish = " +
IsBarAerodynamic(1, MarketDirectionEnum.Bearish,
DirectionalFilterEnum.VeryStrong));
//04/24/2012 01:55:00 - QQQ (5 min): percentageOfAsksAtTop = 42
percentageOfBidsAtTop = 58
//04/24/2012 01:55:00 - QQQ (5 min): percentageOfAsksAtBottom = 13
percentageOfBidsAtBottom = 87
//04/24/2012 01:55:00 - QQQ (5 min): percentageOfDataAtBottom = 13
percentageOfDataAtTop = 87
//04/24/2012 01:55:00 - QQQ (5 min): percentageOfBids = 59
percentageOfAsks = 41
// && IsTopOrBottomQuarter(Close[1], High[1], Low[1], TopOrBottomEnum.Top)
///BULL
if (percentageOfBids > percentageOfAsks
&& (percentageOfDataAtTop) < percentageOfDataAtBottom
&& thePriceOfLargestSizeAtBidAndAtAsk < (Open[1] + Close[1]) / 2
&& IsBarAerodynamic(1, MarketDirectionEnum.Bullish,
DirectionalFilterEnum.VeryStrong)
&& Close[1] > EMA(Close,20)[1]
&& Math.Abs(Open[1] - Close[1]) > EMA(_BodySize, 3)[1])
{
//Bull breakout
DrawDiamond("Long" + CurrentBar, true, 1, Low[1] - (TickSize *
4), Color.LightCyan);
PrintAlert(Time[1],"LONG");
}
//BEAR
else if (percentageOfBids < percentageOfAsks
&& (percentageOfDataAtBottom) < percentageOfDataAtTop
&& thePriceOfLargestSizeAtBidAndAtAsk > (Open[1] + Close[1]) / 2
&& IsBarAerodynamic(1, MarketDirectionEnum.Bearish,
DirectionalFilterEnum.VeryStrong)
&& Close[1] < EMA(Close,20)[1]
&& Math.Abs(Open[1] - Close[1]) > EMA(_BodySize, 3)[1])
{
//Bear breakout
DrawDiamond("Shprt" + CurrentBar, true, 1, High[1] + (TickSize
* 4), Color.MistyRose);
PrintAlert(Time[1],"SHORT");
}
}
}
}
_CurrentBar = CurrentBar;
BarDataCollection.Add(CurrentBar, new SortedList<double,
QuoteDataAtPrice>());
_BodySize.Set (Math.Abs(Open[1] - Close[1]));
}
}
protected override void OnBarUpdate()
{
if (_CurrentBar != CurrentBar)
{
if (BarDataCollection.Count > 0)
{
int lastBarIndexInCollection = BarDataCollection.Count - 1;
SortedList<double, QuoteDataAtPrice> LastSL =
BarDataCollection[lastBarIndexInCollection];
if (LastSL.Count > 0)
{
double thePriceOfLargestSizeAtBidAndAtAsk =
GetPriceOfLargestSize(lastBarIndexInCollection,
dataType.bidAndAskSize);
double theLargestSizeSinged =
GetLargestSizeSigned(lastBarIndexInCollection,
dataType.bidAndAskSize);
int percentageOfBids = 0;
int percentageOfAsks = 0;
percentageOfBids = GetPercentageOfBids(lastBarIndexInCollection,
dataType.bidAndAskSize);
percentageOfAsks = 100 - percentageOfBids;
int percentageOfBidsAtTop = 0;
int percentageOfAsksAtTop = 0;
percentageOfBidsAtTop =
GetPercentageOfBidsAtTopOrBottom(lastBarIndexInCollection,
dataType.bidAndAskSize, Median[1], TopOrBottomEnum.Top);
percentageOfAsksAtTop = 100 - percentageOfBidsAtTop;
int percentageOfBidsAtBottom = 0;
int percentageOfAsksAtBottom = 0;
percentageOfBidsAtBottom =
GetPercentageOfBidsAtTopOrBottom(lastBarIndexInCollection,
dataType.bidAndAskSize, Median[1], TopOrBottomEnum.Bottom);
percentageOfAsksAtBottom = 100 - percentageOfBidsAtBottom;
int percentageOfDataAtTop = 0;
int percentageOfDataAtBottom = 0;
percentageOfDataAtTop =
GetPercentageOfDataAtTopHalfOfBar(lastBarIndexInCollection,
dataType.bidAndAskSize, Median[1]);
percentageOfDataAtBottom = 100 - percentageOfDataAtTop;
if (thePriceOfLargestSizeAtBidAndAtAsk > 0)
{
if (thePriceOfLargestSizeAtBidAndAtAsk > Median[1]
&& (Open[1] > Median[1])
&& IsTopOrBottomQuarter(Close[1], High[1], Low[1],TopOrBottomEnum.Bottom)
&& Close[1] < EMA(Close,20)[1])
{
//Potential short
// if (theLargestSizeSinged > 0)
// {
// BackColor = Color.MistyRose;
// PrintAlert(Time[1], "FULL SHORT");
// }
// else
// {
// PrintAlert(Time[1], "PARTIAL SHORT");
// BackColor = Color.LightGray;
// }
PotentialTrade newTrade = new PotentialTrade();
newTrade.SignalBar = lastBarIndexInCollection;
newTrade.SignalPrice = thePriceOfLargestSizeAtBidAndAtAsk;
newTrade.theTradeDirection = TradeDirection.Short;
newTrade.StopPrice = High[1] + TickSize;
newTrade.theTradeState = TradeState.Closed;
newTrade.ProfitPrice = newTrade.SignalPrice -
(Math.Abs(newTrade.SignalPrice - newTrade.StopPrice) * 2);
PotentialTradesList.Add (newTrade);
// Print ("SHORT - Close[1] = " + Close[1]
// + " theLargestSizeAtBidAndAtAsk = " + thePriceOfLargestSizeAtBidAndAtAsk
// + " High = " + High[1]
// + " Low = " + Low[1]
// + " Time = " + Time[1]);
}
else if (thePriceOfLargestSizeAtBidAndAtAsk < Median[1]
&& (Open[1] < Median[1])
&& IsTopOrBottomQuarter(Close[1], High[1], Low[1], TopOrBottomEnum.Top)
&& Close[1] > EMA(Close,20)[1])
{
//ALL - Close[1] = 139.77
//theLargestSizeAtBidAndAtAsk = 139.65
//High = 139.77
//Low = 139.59
//Close = 139.77
//Median = 139.68
//EMA20 = 139.656132929072
//Time = 4/4/2012 2:35:00 PM
// if (theLargestSizeSinged < 0)
// {
// BackColor = Color.LightCyan;
// PrintAlert(Time[1], "FULL LONG");
// }
// else
// {
// BackColor = Color.LightGray;
// PrintAlert(Time[1], "PARTIAL LONG");
// }
PotentialTrade newTrade = new PotentialTrade();
newTrade.SignalBar = lastBarIndexInCollection;
newTrade.SignalPrice = thePriceOfLargestSizeAtBidAndAtAsk;
newTrade.theTradeDirection = TradeDirection.Long;
newTrade.StopPrice = Low[1] - TickSize;
newTrade.theTradeState = TradeState.Closed;
newTrade.ProfitPrice = newTrade.SignalPrice +
(Math.Abs(newTrade.SignalPrice - newTrade.StopPrice) * 2);
PotentialTradesList.Add (newTrade);
}
PrintAlert(Time[1], "percentageOfAsksAtTop = " +
percentageOfAsksAtTop + " percentageOfBidsAtTop = " +
percentageOfBidsAtTop);
PrintAlert(Time[1], "percentageOfAsksAtBottom = " +
percentageOfDataAtBottom + " percentageOfBidsAtBottom = " +
percentageOfDataAtTop);
PrintAlert(Time[1], "percentageOfDataAtBottom = " +
percentageOfDataAtBottom + " percentageOfDataAtTop = " +
percentageOfDataAtTop);
PrintAlert(Time[1], "percentageOfBids = " + percentageOfBids + "
percentageOfAsks = " + percentageOfAsks);
PrintAlert(Time[1], "percentageOfDataAtBottom = " +
percentageOfDataAtBottom + " percentageOfDataAtTop = " +
percentageOfDataAtTop);
PrintAlert(Time[1], "thePriceOfLargestSizeAtBidAndAtAsk = " +
thePriceOfLargestSizeAtBidAndAtAsk);
PrintAlert(Time[1], "IsBarAerodynamic Bullish = " +
IsBarAerodynamic(1, MarketDirectionEnum.Bullish,
DirectionalFilterEnum.VeryStrong));
PrintAlert(Time[1], "IsBarAerodynamic Bearish = " +
IsBarAerodynamic(1, MarketDirectionEnum.Bearish,
DirectionalFilterEnum.VeryStrong));
//04/24/2012 01:55:00 - QQQ (5 min): percentageOfAsksAtTop = 42
percentageOfBidsAtTop = 58
//04/24/2012 01:55:00 - QQQ (5 min): percentageOfAsksAtBottom = 13
percentageOfBidsAtBottom = 87
//04/24/2012 01:55:00 - QQQ (5 min): percentageOfDataAtBottom = 13
percentageOfDataAtTop = 87
//04/24/2012 01:55:00 - QQQ (5 min): percentageOfBids = 59
percentageOfAsks = 41
// && IsTopOrBottomQuarter(Close[1], High[1], Low[1], TopOrBottomEnum.Top)
///BULL
if (percentageOfBids > percentageOfAsks
&& (percentageOfDataAtTop) < percentageOfDataAtBottom
&& thePriceOfLargestSizeAtBidAndAtAsk < (Open[1] + Close[1]) / 2
&& IsBarAerodynamic(1, MarketDirectionEnum.Bullish,
DirectionalFilterEnum.VeryStrong)
&& Close[1] > EMA(Close,20)[1]
&& Math.Abs(Open[1] - Close[1]) > EMA(_BodySize, 3)[1])
{
//Bull breakout
DrawDiamond("Long" + CurrentBar, true, 1, Low[1] - (TickSize *
4), Color.LightCyan);
PrintAlert(Time[1],"LONG");
}
//BEAR
else if (percentageOfBids < percentageOfAsks
&& (percentageOfDataAtBottom) < percentageOfDataAtTop
&& thePriceOfLargestSizeAtBidAndAtAsk > (Open[1] + Close[1]) / 2
&& IsBarAerodynamic(1, MarketDirectionEnum.Bearish,
DirectionalFilterEnum.VeryStrong)
&& Close[1] < EMA(Close,20)[1]
&& Math.Abs(Open[1] - Close[1]) > EMA(_BodySize, 3)[1])
{
//Bear breakout
DrawDiamond("Shprt" + CurrentBar, true, 1, High[1] + (TickSize
* 4), Color.MistyRose);
PrintAlert(Time[1],"SHORT");
}
}
}
}
_CurrentBar = CurrentBar;
BarDataCollection.Add(CurrentBar, new SortedList<double,
QuoteDataAtPrice>());
_BodySize.Set (Math.Abs(Open[1] - Close[1]));
}
