public void Add(DateTime date_time, double bid, double ask)
{
PriceCandle candle = Second1.GetFuture(0);
// Compute equity
this.Equity = Cash;
foreach (TradingOrder open_order in OpenOrders.Values)
{
Equity += open_order.ComputeValue(Prices.GetHistory(0));
}
Prices.Step();
Second1.Step();
if ((0 < Minute1.FutureCount) && (Prices.GetHistory(0).Time == Minute1.GetFuture(0).CloseTime))
{
Minute1.Step();
}
else
{
// if it is not the end of a minute the others also do not nee to step
return;
}
//if ((0 < Minute15.FutureCount) && (Prices.GetHistory(0).Time == Minute15.GetFuture(0).CloseTime))
//{
// Minute15.Step();
//}
//if ((0 < Minute30.FutureCount) && (Prices.GetHistory(0).Time == Minute30.GetFuture(0).CloseTime))
//{
// Minute30.Step();
//}
//if ((0 < Hour1.FutureCount) && (Prices.GetHistory(0).Time == Hour1.GetFuture(0).CloseTime))
//{
// Hour1.Step();
//}
//if ((0 < Hour4.FutureCount) && (Prices.GetHistory(0).Time == Hour4.GetFuture(0).CloseTime))
//{
// Hour4.Step();
//}
//if ((0 < Day1.FutureCount) && (Prices.GetHistory(0).Time == Day1.GetFuture(0).CloseTime))
//{
// Day1.Step();
//}
//if ((0 < Week1.FutureCount) && (Prices.GetHistory(0).Time == Week1.GetFuture(0).CloseTime))
//{
// Week1.Step();
//}
//if ((0 < Month1.FutureCount) && (Prices.GetHistory(0).Time == Month1.GetFuture(0).CloseTime))
//{
// Month1.Step();
//}
}
public static PriceSet Read(BinaryReader reader)
{
TradingSymbol symbol = TradingSymbol.Read(reader);
int price_list_clean_count = reader.ReadInt32();
List <Price> price_list_clean = new List <Price>();
for (int price_index = 0; price_index < price_list_clean_count; price_index++)
{
price_list_clean.Add(Price.Read(reader));
}
int second1_count = reader.ReadInt32();
List <PriceCandle> second1 = new List <PriceCandle>();
for (int price_index = 0; price_index < second1_count; price_index++)
{
second1.Add(PriceCandle.Read(reader));
}
return(new PriceSet(symbol, price_list_clean, second1));
}
public void AddStep(PriceCandle priceCandle)
{
throw new NotImplementedException("Not for fast mode");
}
public static List <TradingOrder> CheckOrderLimits(IDictionary <int, TradingOrder> open_orders, PriceCandle candle)
{
//TODO there is something nasty here if a candle hits the stoploss as well as the take profit.
//Conservatively we go for the stop loss but this should be configurable.
//UPDATE for second candles this should not matter
List <TradingOrder> closing_orders = new List <TradingOrder>();
//TODO speed this up, cos most of the time no orders would close
foreach (TradingOrder trade_order in open_orders.Values)
{
//Check stop loss and take profits
if (trade_order.UseLimits)
{
switch (trade_order.OrderType)
{
case TradingOrderType.Long:
if (candle.LowBid < trade_order.StopLoss)
{
closing_orders.Add(trade_order.Close(candle.CloseTime, trade_order.StopLoss));
}
else if (trade_order.TakeProfit < candle.HighBid)
{
closing_orders.Add(trade_order.Close(candle.CloseTime, trade_order.TakeProfit));
}
break;
case TradingOrderType.Short:
if (trade_order.StopLoss < candle.HighAsk)
{
closing_orders.Add(trade_order.Close(candle.CloseTime, trade_order.StopLoss));
}
else if (candle.LowAsk < trade_order.TakeProfit)
{
closing_orders.Add(trade_order.Close(candle.CloseTime, trade_order.TakeProfit));
}
break;
default:
throw new NotImplementedException();
}
}
}
return(closing_orders);
}
public void StepSecond()
{
if (Second1.FutureCount == 0)
{
throw new Exception("No future to step to");
}
PriceCandle candle = Second1.GetFuture(0);
// Close orders
List <TradingOrder> ClosingOrders = CheckOrderLimits(OpenOrders, candle);
foreach (TradingOrder closed_order in ClosingOrders)
{
this.OpenOrders.Remove(closed_order.OrderTicket);
this.ClosedOrders.Add(closed_order);
this.Cash += closed_order.Profit;
}
// Compute equity
this.Equity = Cash;
foreach (TradingOrder open_order in OpenOrders.Values)
{
Equity += open_order.ComputeValue(Prices.GetHistory(0));
}
Prices.Step();
Second1.Step();
if ((0 < Minute1.FutureCount) && (Prices.GetHistory(0).Time == Minute1.GetFuture(0).CloseTime))
{
Minute1.Step();
}
else
{
// if it is not the end of a minute the others also do not nee to step
return;
}
if ((0 < Minute15.FutureCount) && (Prices.GetHistory(0).Time == Minute15.GetFuture(0).CloseTime))
{
Minute15.Step();
}
if ((0 < Minute30.FutureCount) && (Prices.GetHistory(0).Time == Minute30.GetFuture(0).CloseTime))
{
Minute30.Step();
}
if ((0 < Hour1.FutureCount) && (Prices.GetHistory(0).Time == Hour1.GetFuture(0).CloseTime))
{
Hour1.Step();
}
if ((0 < Hour4.FutureCount) && (Prices.GetHistory(0).Time == Hour4.GetFuture(0).CloseTime))
{
Hour4.Step();
}
if ((0 < Day1.FutureCount) && (Prices.GetHistory(0).Time == Day1.GetFuture(0).CloseTime))
{
Day1.Step();
}
if ((0 < Week1.FutureCount) && (Prices.GetHistory(0).Time == Week1.GetFuture(0).CloseTime))
{
Week1.Step();
}
if ((0 < Month1.FutureCount) && (Prices.GetHistory(0).Time == Month1.GetFuture(0).CloseTime))
{
Month1.Step();
}
}
//Should yield the same results regardless of what chandles are used for input, but faster on closer candles
private static List <PriceCandle> CreatePriceCandleList(IReadOnlyList <PriceCandle> price_candles, TimeScale time_scale)
{
if (price_candles.Count == 0)
{
return(new List <PriceCandle>());
}
//Set times next candle
DateTimeUTC open_time = PriceCandle.GetOpenTime(price_candles[0].OpenTime, time_scale);
DateTimeUTC close_time = PriceCandle.GetCloseTime(open_time, time_scale);
int current_candle_index = 0;
//if we do not start on a candle open:
if (price_candles[0].OpenTime != open_time)
{
//Wind forward to first candle in the next candle
while ((current_candle_index < price_candles.Count) && (price_candles[current_candle_index].OpenTime != close_time))
{
current_candle_index++;
}
//Set times next candle
open_time = PriceCandle.GetOpenTime(close_time, time_scale);
close_time = PriceCandle.GetCloseTime(open_time, time_scale);
}
if (price_candles.Count <= current_candle_index)
{
return(new List <PriceCandle>());
}
//Work
List <PriceCandle> new_price_candles = new List <PriceCandle>();
double open_bid = price_candles[current_candle_index].OpenBid;
double high_bid = price_candles[current_candle_index].HighBid;
double low_bid = price_candles[current_candle_index].LowBid;
double close_bid = price_candles[current_candle_index].CloseBid;
double open_ask = price_candles[current_candle_index].OpenAsk;
double high_ask = price_candles[current_candle_index].HighAsk;
double low_ask = price_candles[current_candle_index].LowAsk;
double close_ask = price_candles[current_candle_index].CloseAsk;
while (current_candle_index < price_candles.Count)
{
//If it is the end of our current price candle
if (price_candles[current_candle_index].CloseTime == close_time)
{
// Update everything one last time
//open_bid =
high_bid = price_candles[current_candle_index].HighBid;
low_bid = price_candles[current_candle_index].LowBid;
close_bid = price_candles[current_candle_index].CloseBid;
//open_ask =
high_ask = price_candles[current_candle_index].HighAsk;
low_ask = price_candles[current_candle_index].LowAsk;
close_ask = price_candles[current_candle_index].CloseAsk;
// Create candle
new_price_candles.Add(new PriceCandle(
open_time,
time_scale,
open_bid,
high_bid,
low_bid,
close_bid,
open_ask,
high_ask,
low_ask,
close_ask, 0, 0));
//Set begin and end for our next candle
open_time = PriceCandle.GetOpenTime(close_time, time_scale);
close_time = PriceCandle.GetCloseTime(open_time, time_scale);
//scroll forward
current_candle_index++;
//And if there is a next candle:
if (current_candle_index < price_candles.Count)
{
// initialize
open_bid = price_candles[current_candle_index].OpenBid;
high_bid = price_candles[current_candle_index].HighBid;
low_bid = price_candles[current_candle_index].LowBid;
close_bid = price_candles[current_candle_index].CloseBid;
open_ask = price_candles[current_candle_index].OpenAsk;
high_ask = price_candles[current_candle_index].HighAsk;
low_ask = price_candles[current_candle_index].LowAsk;
close_ask = price_candles[current_candle_index].CloseAsk;
}
}
else
{
//If we are not the end we must be some part so just update data
//open_bid =
high_bid = Math.Max(high_bid, price_candles[current_candle_index].HighBid);
low_bid = Math.Min(low_bid, price_candles[current_candle_index].LowBid);
close_bid = price_candles[current_candle_index].CloseBid;
// open_ask =
high_ask = Math.Max(high_ask, price_candles[current_candle_index].HighAsk);
low_ask = Math.Min(low_ask, price_candles[current_candle_index].LowAsk);
close_ask = price_candles[current_candle_index].CloseAsk;
//scroll forward
current_candle_index++;
}
}
return(new_price_candles);
}
private static List <PriceCandle> CreateSecond1(IReadOnlyList <Price> price_list_unclean)
{
//Build second 1
List <PriceCandle> second1 = new List <PriceCandle>();
DateTimeUTC current_time = price_list_unclean[0].Time;
DateTimeUTC open_time = PriceCandle.GetOpenTime(current_time, TimeScale.Second1);
DateTimeUTC close_time = PriceCandle.GetCloseTime(current_time, TimeScale.Second1);
int price_index = 0;
//if we do not start on a candle open:
if (!current_time.Equals(open_time))
{
//Wind forward to first candle in the next candle
while (price_list_unclean[price_index].Time != close_time)
{
price_index++;
}
}
double open_bid = price_list_unclean[price_index].Bid;
double high_bid = price_list_unclean[price_index].Bid;
double low_bid = price_list_unclean[price_index].Bid;
double close_bid = price_list_unclean[price_index].Bid;
double open_ask = price_list_unclean[price_index].Ask;
double high_ask = price_list_unclean[price_index].Ask;
double low_ask = price_list_unclean[price_index].Ask;
double close_ask = price_list_unclean[price_index].Ask;
while (price_index < price_list_unclean.Count)
{
//If it is our current price candle
if (price_list_unclean[price_index].Time <= close_time)
{
//Update data
//open_bid = close_bid;
high_bid = Math.Max(high_bid, price_list_unclean[price_index].Bid);
low_bid = Math.Min(low_bid, price_list_unclean[price_index].Bid);
close_bid = price_list_unclean[price_index].Bid;
//open_ask = close_bid;
high_ask = Math.Max(high_ask, price_list_unclean[price_index].Ask);
low_ask = Math.Min(low_ask, price_list_unclean[price_index].Ask);
close_ask = price_list_unclean[price_index].Ask;
price_index++;
}
else
{
//Other wise append a new candle
second1.Add(new PriceCandle(open_time, TimeScale.Second1, open_bid, high_bid, low_bid, close_bid, open_ask, high_ask, low_ask, close_ask, 0, 0));
//And prepare the next one
open_time = close_time;
close_time = PriceCandle.GetCloseTime(open_time, TimeScale.Second1);
open_bid = close_bid;
high_bid = Math.Max(close_bid, price_list_unclean[price_index].Bid);
low_bid = Math.Min(close_bid, price_list_unclean[price_index].Bid);
close_bid = price_list_unclean[price_index].Bid;
open_ask = close_ask;
high_ask = Math.Max(close_ask, price_list_unclean[price_index].Ask);
low_ask = Math.Min(close_ask, price_list_unclean[price_index].Ask);
close_ask = price_list_unclean[price_index].Ask;
//current.Clear();
//current.Add(new Price(close_time, second1.Last().CloseBid, second1.Last().CloseAsk));
}
}
//If last candle was complete
if (price_list_unclean.Last().Time == close_time)
{
//Add last candle
second1.Add(new PriceCandle(open_time, TimeScale.Second1, open_bid, high_bid, low_bid, close_bid, open_ask, high_ask, low_ask, close_ask, 0, 0));
}
return(second1);
}