/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
CalculateOnBarClose = true;
//zigzag
zigZagHighSeries = new DataSeries(this, MaximumBarsLookBack.Infinite);
zigZagHighZigZags = new DataSeries(this, MaximumBarsLookBack.Infinite);
zigZagLowSeries = new DataSeries(this, MaximumBarsLookBack.Infinite);
zigZagLowZigZags = new DataSeries(this, MaximumBarsLookBack.Infinite);
Add(PeriodType.Tick, 1);
Add(PeriodType.Day, 1);
historyData = new HistoryData(SaveZigZagDaysOnHistory);
dailyData = new DailyData(Time[0]);
zigZagDiapasone = new ZigZagDiapasone(5);
onBarData = new OnBarData(0);
priceVolume = new PriceVolume();
}
public OnBarData(int index)
{
BarIndex = index;
PriceVolumeOnBar = new PriceVolume();
LargestPriceOnVolume = GetMostLargePriceOfVolume();
}
protected override void OnBarUpdate()
{
if (BarsInProgress == 0)
{
Print("==============");
smaLine = SMA(SMAPeriod)[0];
Print("Day middleValot " + middleValot);
Print("SMA Line -> " + smaLine);
double procentOfMiddleValot = (middleValot / 100) * ProcentFromMiddleValot;
lowLineRSIAnalog = smaLine - procentOfMiddleValot;
highLineRSIAnalog = smaLine + procentOfMiddleValot;
Print("lowLineRSIAnalog " + lowLineRSIAnalog);
Print("highLineRSIAnalog " + highLineRSIAnalog);
Print(Time[0].ToString());
OnBarUpdateMain();
Print(Time[0].ToString());
//onBarData.PriceVolumeList.AddPriceVolume(priceVolume);
Print("Count PriceVolume: " + onBarData.PriceVolumeOnBar.VolumePriceOnBar.Count);
foreach (KeyValuePair <double, double> a in onBarData.PriceVolumeOnBar.VolumePriceOnBar)
{
string priceVolumeText = string.Format("Price: {0}, count: {1}", a.Key, a.Value);
Print(priceVolumeText);
}
dailyData.OnBarDataList.Add(onBarData);
priceVolume = new PriceVolume();
onBarData = new OnBarData(CurrentBar);
}
if (BarsInProgress == 1)
{
double openPrice = Opens[1][0];
_lastPrice = Price;
Price = openPrice;
StopLossAndTakeProfit(Price);
double volume = Volumes[1][0];
onBarData.PriceVolumeOnBar.AddPriceVolume(Price, volume);
double currentVolume = onBarData.PriceVolumeOnBar.VolumePriceOnBar[Price];
bool isCanInputOrders = false;
foreach (DailyData dailyData in historyData.DailyDataList)
{
foreach (ZigZagDiapasone zigZag in dailyData.ZigZagDiapasoneList)
{
double averageVolume = dailyData.GetAveragePriceVolume(5);
Print("Price -> " + Price);
Print("zigZag.SellLevelWithPostTicks -> " + zigZag.SellLevelWithPostTicks);
Print("zigZag.BuyLevelWithPostTicks -> " + zigZag.BuyLevelWithPostTicks);
if (Price > zigZag.SellLevelWithPostTicks && Price < zigZag.HighZigZag)
{
if (currentVolume > averageVolume)
{
BuyOrSell(Price, _lastPrice, OrderAction.Sell);
Print("Test sell");
}
}
else
if (Price < zigZag.BuyLevelWithPostTicks && Price > zigZag.LowZigZag)
{
if (currentVolume > averageVolume)
{
BuyOrSell(Price, _lastPrice, OrderAction.Buy);
Print("Test buy");
}
}
}
}
//historyData.ZigZagDiapasoneList[1].
}
if (BarsInProgress == 2)
{
historyData.AddDaylyZigZag(dailyData);
int count = dailyData.ZigZagDiapasoneList.Count;
for (int i = 0; i < count; i++)
{
Print("Level by Day -> Index: " + i + " Sell Level: " + dailyData.ZigZagDiapasoneList[i].SellLevel + " Buy Level: " + dailyData.ZigZagDiapasoneList[i].BuyLevel);
}
dailyData = new DailyData(Time[0]);
middleValot = 0;
for (int i = 0; i < DayOfSMAValot; i++)
{
middleValot = middleValot + Highs[2][i] - Lows[2][i];
}
middleValot = middleValot / DayOfSMAValot;
Print("Day middleValot " + middleValot);
}
}
private void SetPrice(out PriceVolume thePrice, IFIXGroup singleGroup)
{
int iVolume = singleGroup.get_AsNumber(FIXTagConstants.esFIXTagMDEntrySize);
if (iVolume == 0)
{
thePrice = new PriceVolume(null, null);
}
else
thePrice = new PriceVolume(iVolume, singleGroup.get_AsDouble(FIXTagConstants.esFIXTagMDEntryPx));
}
