private void OnInstrumentUpdate(Tick m_Tick)
{
m_TickList.Add(m_Tick);
m_MFI = 50;
m_MF = 0;
// Begin calculation
if (m_Ticks > 0 && m_TickList.Count > m_Ticks)
{
// Calculate the RS and RSI.
m_UpTotal = 0;
m_DownTotal = 0;
for (int i = m_TickList.Count - m_Ticks; i < m_TickList.Count - 1; i++)
{
m_WeightedDiff = (m_TickList[i].Price - m_TickList[i - 1].Price) * m_TickList[i].Qty;
if (m_WeightedDiff > 0)
{
m_UpTotal += m_WeightedDiff;
}
else if (m_WeightedDiff < 0)
{
m_DownTotal -= m_WeightedDiff;
}
}
m_MF = m_UpTotal / m_DownTotal;
m_MFI = 100 - 100 / (1 + m_MF);
Debug.WriteLine(m_MFI);
//// Set the Value State.
//if (m_MFI < 40)
// m_State = Value_State.LOW;
//else if (m_MFI < 60)
// m_State = Value_State.MID;
//else
// m_State = Value_State.HIGH;
}
// START/STOP Switch
if (m_Go)
{
// If we already have a position on, and have either met out target or stop price, get out.
if (m_Position > 0 && (m_Tick.Price > m_Target || m_Tick.Price < m_Stop))
{
m_Bool = m_Instrument.EnterOrder("S", m_Qty, "TARGET/STOP OUT");
}
if (m_Position < 0 && (m_Tick.Price < m_Target || m_Tick.Price > m_Stop))
{
m_Bool = m_Instrument.EnterOrder("B", m_Qty, "TARGET/STOP OUT");
}
// First time only and on reset, set initial state.
if (m_Start)
{
if (m_MFI >= 60)
{
m_State = Value_State.HIGH;
}
else if (m_MFI >= 40)
{
m_State = Value_State.MID;
}
else
{
m_State = Value_State.LOW;
}
m_Start = false;
}
// Has there been oversold?
if (m_MFI < 40 && m_State != Value_State.LOW)
{
// Change state.
m_State = Value_State.LOW;
// If we are already short, first get flat.
if (m_Position < 0)
{
m_Bool = m_Instrument.EnterOrder("B", m_Qty, "GET OUT");
}
// Go long.
m_Bool = m_Instrument.EnterOrder("B", m_Qty, "OPEN");
// Set target price and stop loss price.
m_Target = m_Tick.Price + m_TargetTicks * m_Instrument.TickSize();
m_Stop = m_Tick.Price - m_StopTicks * m_Instrument.TickSize();
}
// Has there been overbought?
if (m_MFI >= 60 && m_State != Value_State.HIGH)
{
// Change state.
m_State = Value_State.HIGH;
// If we are already long, first get flat.
if (m_Position > 0)
{
m_Bool = m_Instrument.EnterOrder("S", m_Qty, "GET OUT");
}
// Go short.
m_Bool = m_Instrument.EnterOrder("S", m_Qty, "OPEN");
// Set target price and stop loss price.
m_Target = m_Tick.Price - m_TargetTicks * m_Instrument.TickSize();
m_Stop = m_Tick.Price + m_StopTicks * m_Instrument.TickSize();
}
}
// Send the data to the GUI.
OnSystemUpdate(m_Tick.Price, m_Tick.Qty, m_MFI, m_MF, m_Target, m_Stop);
}
private void OnInstrumentUpdate(Tick m_Tick)
{
m_TickList.Add(m_Tick);
m_K = 0;
m_D = 0;
// Begin calculating
if (m_Ticks > 0 && m_TickList.Count > m_Ticks)
{
// Calculate the K and D values.
m_Max = 0;
m_Min = 1000000000;
for (int i = m_TickList.Count - m_Ticks; i < m_TickList.Count - 1; i++)
{
m_Max = Math.Max(m_Max, m_TickList[i].Price);
m_Min = Math.Min(m_Min, m_TickList[i].Price);
}
m_RSV.Add((m_TickList.Last().Price - m_Min) / (m_Max - m_Min) * 100);
//Debug.WriteLine(m_RSV.Last());
if (m_RSV.Count >= 3)
{
m_D = (m_RSV[m_RSV.Count - 1] + m_RSV[m_RSV.Count - 2] + m_RSV[m_RSV.Count - 3]) / 3;
}
m_K = m_RSV.Last();
//Debug.WriteLine(m_K);
//Debug.WriteLine(m_D);
//// Set the Cross State.
//if (m_K > m_D)
// m_State = Cross_State.ABOVE;
//else
// m_State = Cross_State.BELOW;
}
// START/STOP Switch
if (m_Go)
{
// If we already have a position on, and have either met out target or stop price, get out.
if (m_Position > 0 && (m_Tick.Price > m_Target || m_Tick.Price < m_Stop))
{
m_Bool = m_Instrument.EnterOrder("S", m_Qty, "TARGET/STOP OUT");
}
if (m_Position < 0 && (m_Tick.Price < m_Target || m_Tick.Price > m_Stop))
{
m_Bool = m_Instrument.EnterOrder("B", m_Qty, "TARGET/STOP OUT");
}
// First time only and on reset, set initial state.
if (m_Start)
{
if (m_K > m_D)
{
m_State = Cross_State.ABOVE;
}
else
{
m_State = Cross_State.BELOW;
}
m_Start = false;
}
// Has there been a crossover up?
if (m_K > m_D && m_State == Cross_State.BELOW)
{
// Change state.
m_State = Cross_State.ABOVE;
// If we are already short, first get flat.
if (m_Position < 0)
{
m_Bool = m_Instrument.EnterOrder("B", m_Qty, "GET OUT");
}
// Go long.
m_Bool = m_Instrument.EnterOrder("B", m_Qty, "OPEN");
// Set target price and stop loss price.
m_Target = m_Tick.Price + m_TargetTicks * m_Instrument.TickSize();
m_Stop = m_Tick.Price - m_StopTicks * m_Instrument.TickSize();
}
// Has there been a crossover down?
if (m_K < m_D && m_State == Cross_State.ABOVE)
{
// Change state.
m_State = Cross_State.BELOW;
// If we are already long, first get flat.
if (m_Position > 0)
{
m_Bool = m_Instrument.EnterOrder("S", m_Qty, "GET OUT");
}
// Go short.
m_Bool = m_Instrument.EnterOrder("S", m_Qty, "OPEN");
// Set target price and stop loss price.
m_Target = m_Tick.Price - m_TargetTicks * m_Instrument.TickSize();
m_Stop = m_Tick.Price + m_StopTicks * m_Instrument.TickSize();
}
}
// Send the data to the GUI.
OnSystemUpdate(m_Tick.Price, m_Tick.Qty, m_D, m_K, m_Target, m_Stop);
}
private void OnInstrumentUpdate(Tick m_Tick)
{
m_TickList.Add(m_Tick);
m_FI = 0;
m_F = 0;
// Begin calculation
if (m_Ticks > 0 && m_TickList.Count > m_Ticks)
{
// Calculate the Force and Force Index.
for (int i = m_TickList.Count - m_Ticks; i < m_TickList.Count - 1; i++)
{
m_WeightedDiff = (m_TickList[i].Price - m_TickList[i - 1].Price) * m_TickList[i].Qty;
}
m_F += m_WeightedDiff;
m_FI = m_F / m_Ticks;
Debug.WriteLine(m_FI);
}
// START/STOP Switch
if (m_Go)
{
// If we already have a position on, and have either met out target or stop price, get out.
if (m_Position > 0 && (m_Tick.Price > m_Target || m_Tick.Price < m_Stop))
{
m_Bool = m_Instrument.EnterOrder("S", m_Qty, "TARGET/STOP OUT");
}
if (m_Position < 0 && (m_Tick.Price < m_Target || m_Tick.Price > m_Stop))
{
m_Bool = m_Instrument.EnterOrder("B", m_Qty, "TARGET/STOP OUT");
}
// First time only and on reset, set initial state.
if (m_Start)
{
if (m_FI > 0)
{
m_State = Cross_State.ABOVE;
}
else
{
m_State = Cross_State.BELOW;
}
m_Start = false;
}
// Has there been a crossover up? Buy Signal
if (m_FI > 0 && m_State == Cross_State.BELOW)
{
// Change state.
m_State = Cross_State.ABOVE;
// If we are already short, first get flat.
if (m_Position < 0)
{
m_Bool = m_Instrument.EnterOrder("B", m_Qty, "GET OUT");
}
// Go long.
m_Bool = m_Instrument.EnterOrder("B", m_Qty, "OPEN");
// Set target price and stop loss price.
m_Target = m_Tick.Price + m_TargetTicks * m_Instrument.TickSize();
m_Stop = m_Tick.Price - m_StopTicks * m_Instrument.TickSize();
}
// Has there been overbought? Sell Signal
if (m_FI < 0 && m_State == Cross_State.ABOVE)
{
// Change state.
m_State = Cross_State.BELOW;
// If we are already long, first get flat.
if (m_Position > 0)
{
m_Bool = m_Instrument.EnterOrder("S", m_Qty, "GET OUT");
}
// Go short.
m_Bool = m_Instrument.EnterOrder("S", m_Qty, "OPEN");
// Set target price and stop loss price.
m_Target = m_Tick.Price - m_TargetTicks * m_Instrument.TickSize();
m_Stop = m_Tick.Price + m_StopTicks * m_Instrument.TickSize();
}
}
// Send the data to the GUI.
OnSystemUpdate(m_Tick.Price, m_Tick.Qty, m_FI, m_F, m_Target, m_Stop);
}
private void OnInstrumentUpdate(Tick m_Tick)
{
m_TickList.Add(m_Tick);
m_Max = m_Tick.Price;
m_Min = m_Tick.Price;
// Begin calculation
if (m_Ticks > 0 && m_TickList.Count > m_Ticks)
{
// Calculate the Force and Force Index.
m_Max = 0;
m_Min = 999999999;
for (int i = m_TickList.Count - m_Ticks; i < m_TickList.Count - 1; i++)
{
m_Max = Math.Max(m_Max, m_TickList[i].Price);
m_Min = Math.Min(m_Min, m_TickList[i].Price);
}
Debug.WriteLine(m_Max);
}
// START/STOP Switch
if (m_Go)
{
// If we already have a position on, and have either met out target or stop price, get out.
if (m_Position > 0 && (m_Tick.Price > m_Target || m_Tick.Price < m_Stop))
{
m_Bool = m_Instrument.EnterOrder("S", m_Qty, "TARGET/STOP OUT");
}
if (m_Position < 0 && (m_Tick.Price < m_Target || m_Tick.Price > m_Stop))
{
m_Bool = m_Instrument.EnterOrder("B", m_Qty, "TARGET/STOP OUT");
}
// First time only and on reset, set initial state.
if (m_Start)
{
if (m_Tick.Price > m_Max)
{
m_State = Value_State.HIGH;
}
else if (m_Tick.Price >= m_Min)
{
m_State = Value_State.MID;
}
else
{
m_State = Value_State.LOW;
}
m_Start = false;
}
// Has there been a crossover up? Buy Signal
if (m_Tick.Price > m_Max && m_State != Value_State.HIGH)
{
// Change state.
m_State = Value_State.HIGH;
// If we are already short, first get flat.
if (m_Position < 0)
{
m_Bool = m_Instrument.EnterOrder("B", m_Qty, "GET OUT");
}
// Go long.
m_Bool = m_Instrument.EnterOrder("B", m_Qty, "OPEN");
// Set target price and stop loss price.
m_Target = m_Tick.Price + m_TargetTicks * m_Instrument.TickSize();
m_Stop = m_Tick.Price - m_StopTicks * m_Instrument.TickSize();
}
// Has there been overbought? Sell Signal
if (m_Tick.Price < m_Min && m_State != Value_State.LOW)
{
// Change state.
m_State = Value_State.LOW;
// If we are already long, first get flat.
if (m_Position > 0)
{
m_Bool = m_Instrument.EnterOrder("S", m_Qty, "GET OUT");
}
// Go short.
m_Bool = m_Instrument.EnterOrder("S", m_Qty, "OPEN");
// Set target price and stop loss price.
m_Target = m_Tick.Price - m_TargetTicks * m_Instrument.TickSize();
m_Stop = m_Tick.Price + m_StopTicks * m_Instrument.TickSize();
}
}
// Send the data to the GUI.
OnSystemUpdate(m_Tick.Price, m_Tick.Qty, m_Min, m_Max, m_Target, m_Stop);
}