protected override bool Process(MarketData indicator, DateTime updateTime, Price value, ref Signal.Tick tradingOrder)
{
KeyValuePair<DateTime, Price>? timeValueLow = _low.TimeSeries[updateTime];
KeyValuePair<DateTime, Price>? timeValueHigh = _high.TimeSeries[updateTime];
if (timeValueLow == null || timeValueHigh == null)
return false;
if (_high.TimeSeries.TotalMinutes(updateTime) < _high.Period / 60)
return false;
Price lowWMA = timeValueLow.Value.Value;
Price highWMA = timeValueHigh.Value.Value;
var signalValue = lowWMA - highWMA;
SIGNAL_CODE oldSignalCode = _signalCode;
if (signalValue.Offer > 0)
{
tradingOrder = _onBuy;
_signalCode = SIGNAL_CODE.BUY;
}
else if (signalValue.Bid < 0)
{
tradingOrder = _onSell;
_signalCode = SIGNAL_CODE.SELL;
}
else
return false;
return oldSignalCode != SIGNAL_CODE.UNKNOWN && oldSignalCode != SIGNAL_CODE.HOLD && oldSignalCode != _signalCode;
}
protected override bool Buy(Signal signal, DateTime time, Price stockValue)
{
if (base.Buy(signal, time, stockValue))
{
Console.WriteLine(time + " Signal " + signal.Id + " buy " + signal.TradingAsset.Id + " " + stockValue.Bid);
return true;
}
return false;
}
protected override bool Process(MarketData indicator, DateTime updateTime, Price value, ref Signal.Tick tradingOrder)
{
if (indicator.TimeSeries.Count == 0)
return false;
_indicatorLatestValues[indicator.Id] = new KeyValuePair<DateTime, Price>(updateTime, indicator.TimeSeries.Last());
DateTime dt = DateTime.MinValue;
foreach (var ind in _indicatorLatestValues)
{
if (dt == DateTime.MinValue)
{
dt = ind.Value.Key;
continue;
}
if (dt != ind.Value.Key)
return false;
}
_inputValues.Clear();
if (!ComputeOutput())
return false;
_ann.CalculateOutput(_inputValues);
var output = _ann.GetOutput()[0];
if (output > 0.5 && _signalCode != SIGNAL_CODE.BUY)
{
tradingOrder = _onBuy;
_signalCode = SIGNAL_CODE.BUY;
}
else if (output < -0.5 && _signalCode != SIGNAL_CODE.SELL)
{
tradingOrder = _onSell;
_signalCode = SIGNAL_CODE.SELL;
}
else{
tradingOrder = _onHold;
_signalCode = SIGNAL_CODE.HOLD;
}
return true;
}
public abstract void Insert(DateTime updateTime, Signal signal, SIGNAL_CODE code, decimal stockvalue);
protected override bool Buy(Signal signal, DateTime time, Price stockValue)
{
if (_ptf.GetPosition(_index.Id).Quantity < 0)
{
signal.Trade.Price = stockValue.Offer;
_ptf.ClosePosition(signal.Trade, time);
string tradeRef = signal.Trade == null ? "" : " " + signal.Trade.Reference;
Log.Instance.WriteEntry(time + tradeRef + " Signal " + signal.Id + ": BUY " + signal.TradingAsset.Id + " " + stockValue.Offer, EventLogEntryType.Information);
}
return true;
}
protected bool _onHold(Signal signal, DateTime updateTime, Price value)
{
// hold your position; do nothing
return true;
}
protected override bool Process(MarketData indicator, DateTime updateTime, Price value, ref Signal.Tick tradingOrder)
{
if (_tradingOrder == _onSell)
{
tradingOrder = _onBuy;
_tradingOrder = _onBuy;
return true;
}
else
{
tradingOrder = _onSell;
_tradingOrder = _onSell;
return true;
}
}
public void Subscribe(Signal.Tick onBuy, Signal.Tick onSell)
{
_onBuy = onBuy;
_onSell = onSell;
foreach (Indicator indicator in _mktIndicator)
indicator.Subscribe(OnUpdate, null);
}
protected abstract bool Process(MarketData indicator, DateTime updateTime, Price value, ref Signal.Tick tradingOrder);
protected override bool Buy(Signal signal, DateTime time, Price stockValue)
{
if (_ptf.GetPosition(_tradingIndex.Id).Quantity < 0)
{
if (time >= _closingTime)
{
signal.Trade.Price = stockValue.Offer;
_ptf.ClosePosition(signal.Trade, time, null, null, signal);
string closeRef = signal.Trade == null ? "" : " " + signal.Trade.Reference;
Log.Instance.WriteEntry(time + closeRef + " Signal close " + signal.Id + ": BUY " + signal.TradingAsset.Id + " " + stockValue.Bid, EventLogEntryType.Information);
return false;
}
else
{
if (_trendAssumption != SIGNAL_CODE.SELL)
signal.Trade.Size = _tradeSize * 2;
_ptf.BookTrade(signal.Trade);
}
}
else if (_trendAssumption != SIGNAL_CODE.SELL && _ptf.GetPosition(_tradingIndex.Id).Quantity == 0)
{
if (time <= _closingTime)
{
_tradeSize = signal.Trade.Size;
_ptf.BookTrade(signal.Trade);
}
else
return false;
}
else
return false;
string tradeRef = signal.Trade == null ? "" : " " + signal.Trade.Reference;
Log.Instance.WriteEntry(time + tradeRef + " Signal " + signal.Id + ": BUY " + signal.TradingAsset.Id + " " + stockValue.Bid, EventLogEntryType.Information);
return true;
}
protected override bool Process(MarketData indicator, DateTime updateTime, Price value, ref Signal.Tick tradingOrder)
{
if (base.Process(indicator, updateTime, value, ref tradingOrder))
{
if (_trendAssumption != SIGNAL_CODE.BUY && tradingOrder == _onSell)
{
if (_low.TimeSeries.Count >= 2)
{
var lowVal = _low.TimeSeries[updateTime].Value.Value;
var prevValues = _low.TimeSeries.Values(updateTime, new TimeSpan(0, 1, 0), true);
if (prevValues != null)
{
if (prevValues.Count >= 2)
{
var prevVal = prevValues[prevValues.Count - 2].Value;
if (_cascading)
{
if (_localMinimum > lowVal.Bid)
_localMinimum = lowVal.Bid;
if (_localMaximum < lowVal.Bid)
_localMaximum = lowVal.Bid;
if (_buying)
{
if (lowVal.Bid < _localMaximum - _threshold)
{
_pivot = _localMaximum;
_localMinimum = _localMaximum;
_buying = false;
}
else if (lowVal.Bid > _pivot + _threshold)
{
_signalCode = SIGNAL_CODE.BUY;
tradingOrder = _onBuy;
}
}
else
{
if (lowVal.Bid > _localMinimum + _threshold)
{
_pivot = _localMinimum;
_localMaximum = _localMinimum;
_signalCode = SIGNAL_CODE.BUY;
tradingOrder = _onBuy;
_buying = true;
}
}
}
else
{
_cascading = true;
_localMinimum = lowVal.Bid;
_localMaximum = lowVal.Bid;
_pivot = _localMaximum;
_buying = false;
}
return true;
}
}
}
}
else if (_trendAssumption != SIGNAL_CODE.SELL && tradingOrder == _onBuy)
{
if (_low.TimeSeries.Count >= 2)
{
var lowVal = _low.TimeSeries[updateTime].Value.Value;
var prevValues = _low.TimeSeries.Values(updateTime, new TimeSpan(0, 1, 0), true);
if (prevValues != null)
{
if (prevValues.Count >= 2)
{
var prevVal = prevValues[prevValues.Count - 2].Value;
if (_cascading)
{
if (_localMinimum > lowVal.Offer)
_localMinimum = lowVal.Offer;
if (_localMaximum < lowVal.Offer)
_localMaximum = lowVal.Offer;
if (_selling)
{
if (lowVal.Offer > _localMinimum + _threshold)
{
_pivot = _localMinimum;
_localMaximum = _localMinimum;
_selling = false;
}
else if (lowVal.Offer < _pivot - _threshold)
{
_signalCode = SIGNAL_CODE.SELL;
tradingOrder = _onSell;
}
}
else
{
if (lowVal.Offer < _localMaximum - _threshold)
{
_pivot = _localMaximum;
_localMinimum = _localMaximum;
_signalCode = SIGNAL_CODE.SELL;
tradingOrder = _onSell;
_selling = true;
}
}
}
else
{
_cascading = true;
_localMinimum = lowVal.Offer;
_localMaximum = lowVal.Offer;
_pivot = _localMinimum;
_selling = false;
}
return true;
}
}
}
}
_cascading = false;
_buying = false;
_selling = false;
return true;
}
return false;
}
protected override bool Sell(Signal signal, DateTime time, Price stockValue)
{
if (_tradingSet.PlaceTrade(signal.Trade, stockValue.Bid))
Console.WriteLine(time + " Signal " + signal.Id + " sell " + signal.TradingAsset.Id + " " + stockValue.Bid);
return false;
}
protected override bool Sell(Signal signal, DateTime time, Price stockValue)
{
if (_ptf.GetPosition(_index.Id).Quantity > 0)
{
_ptf.BookTrade(signal.Trade);
Log.Instance.WriteEntry(time + " Signal " + signal.Id + ": Unexpected positive position. SELL " + signal.Trade.Id + " " + stockValue.Offer, EventLogEntryType.Error);
}
else if (_ptf.GetPosition(_index.Id).Quantity == 0)
{
if (!_ptf.BookTrade(signal.Trade))
return false;
string tradeRef = signal.Trade == null ? "" : " " + signal.Trade.Reference;
Log.Instance.WriteEntry(time + tradeRef + " Signal " + signal.Id + ": SELL " + signal.TradingAsset.Id + " " + stockValue.Bid, EventLogEntryType.Information);
}
return true;
}
protected virtual bool OnSell(Signal signal, DateTime time, Price stockValue)
{
if (_tradingSignals != null)
{
if (_tradingSignals.Contains(signal.Id))
{
var pos = _ptf.GetPosition(signal.TradingAsset.Id);
if (pos == null)
{
Reset(time, stockValue.Mid(), true);
return false;
}
if (pos.Quantity < 0)
{
Log.Instance.WriteEntry(time + " Signal " + signal.Id + ": Some trades are still open. last trade: " + signal.Trade.Id + " " + stockValue.Bid + ". Closing all positions...", EventLogEntryType.Error);
Portfolio.Instance.CloseAllPositions(time, signal.TradingAsset.Id, stockValue.Offer, signal);
return false;
}
signal.Trade = new Trade(time, signal.TradingAsset.Id, SIGNAL_CODE.SELL, _amount, stockValue.Bid, 0, Reset);
return Sell(signal, time, stockValue);
}
}
return false;
}
public override void Insert(DateTime updateTime, Signal signal, SIGNAL_CODE code, decimal stockvalue)
{
var time = new DateTime(updateTime.Year, updateTime.Month, updateTime.Day,
updateTime.Hour, updateTime.Minute, updateTime.Second);
if (((SIGNAL_CODE)_expectedSignalData[signal.Id].Value(time).Value.Value.Bid != code) ||
Math.Abs(_expectedSignalData[signal.Id].Value(time).Value.Value.Offer - stockvalue) > TOLERANCE)
{
string error;
if ((SIGNAL_CODE)_expectedSignalData[signal.Id].Value(time).Value.Value.Bid != code)
error = "Test failed: signal " + signal.Name + " time " + time.ToShortTimeString() + " expected value " +
((SIGNAL_CODE)_expectedSignalData[signal.Id].Value(time).Value.Value.Bid).ToString() + " != " + code.ToString();
else
error = "Test failed: signal stock value " + signal.Name + " time " + time.ToShortTimeString() + " expected value " +
(_expectedSignalData[signal.Id].Value(time).Value.Value.Offer).ToString() + " != " + stockvalue.ToString();
Log.Instance.WriteEntry(error, EventLogEntryType.Error);
throw new ApplicationException(error);
}
}
public override void Insert(DateTime updateTime, Signal signal, SIGNAL_CODE code, decimal stockvalue)
{
check(updateTime, signal.Id);
string tradeRef = signal.Trade == null ? "" : " " + signal.Trade.Reference;
var newLine = string.Format("{0},{1},{2},{3},{4},{5}{6}",
DATATYPE_SIGNAL, signal.Id,
formatDateTime(updateTime), tradeRef, (int)code, stockvalue, Environment.NewLine);
_csvSignalStringBuilder.Append(newLine);
}
protected override bool Sell(Signal signal, DateTime time, Price stockValue)
{
if (!_ptf.BookTrade(signal.Trade))
return false;
string tradeRef = signal.Trade == null ? "" : " " + signal.Trade.Reference;
Log.Instance.WriteEntry(time + tradeRef + " Signal " + signal.Id + ": SELL " + signal.TradingAsset.Id + " " + stockValue.Offer, EventLogEntryType.Information);
return true;
}
protected abstract bool Sell(Signal signal, DateTime time, Price stockValue);
