public override bool ExitSuccessfull(MoveGenericActiveOrder order, DateTime now, double open, double close, double high, double low)
{
if (low <= _exitAt)
return true;
return false;
}
public override bool ExitFailed(MoveGenericActiveOrder order, DateTime now, double open, double close,
double high, double low)
{
if (high >= _exitAt)
return true;
return false;
}
public override bool ExitFailed(MoveGenericActiveOrder order, DateTime now, double open, double close, double high, double low)
{
if (low <= _exitAt)
{
return(true);
}
return(false);
}
public override bool ExitSuccessfull(MoveGenericActiveOrder order, DateTime now, double open, double close,
double high, double low)
{
if (high >= _exitAt)
{
return(true);
}
return(false);
}
public void AddOrder(MoveGenericActiveOrder order)
{
var stratName = GetStratName(order);
if (!_strats.ContainsKey(stratName))
{
_strats.Add(stratName, new StratStats());
}
_strats[stratName].Count++;
_activerOrders.Add(order.Id, order);
}
public void AddOrder(MoveGenericActiveOrder order)
{
var stratName = GetStratName(order);
if (!_strats.ContainsKey(stratName))
{
_strats.Add(stratName, new StratStats());
}
_strats[stratName].Count++;
_activerOrders.Add(order.Id, order);
}
private void SendNotification(MoveGenericActiveOrder order)
{
var instrumentName = Instrument.ToString().Replace("Default", "").Replace(" ", "").Replace("$", "");
var mailSubject = string.Format("KC-SIGNAL-{0}: {1} @ {2}", instrumentName,
(order.IsLong) ? "BULL" : "BEAR",
Close[0]);
var mailContentTemplate = @"A {0} signal was observed in '{1}' at {2} at a closing price of {3}.
{4}
Strike Width: {5}
Strategy: {6}
";
var mailContent = string.Format(mailContentTemplate, (order.IsLong) ? "BULL" : "BEAR", Instrument, Time,
Close[0], order.ExitStrategy.ExitStategyDescr, order.StrikeWidth, order.ExitStrategy.GetType().Name);
if (Historical)
{
return;
}
SendMail("*****@*****.**", "*****@*****.**", mailSubject, mailContent);
}
public override bool SettlesSuccessFull(MoveGenericActiveOrder order, double close)
{
throw new NotImplementedException();
}
protected override void OnBarUpdate()
{
try
{
var now = DateTime.Parse(Time.ToString());
_activeOrderTracker.HandleCurrentOrders(now, Open[0], Close[0], High[0], Low[0]);
Print(_activeOrderTracker.GetStatusReport());
var isBull = IsBull();
var isBear = IsBear();
var volScore = GetVoltilityScore();
if (isBull && volScore == Volatility.High && (new int[] { 10, 20, 30 }).Contains(now.Minute) && IsBullOtmReady())
{
var expiryTime = now.AddHours(1);
var
order = new MoveGenericActiveOrder
{
Id = Guid.NewGuid(),
Time = now,
ExpiryHour = expiryTime.Hour,
ExpiryDay = expiryTime.Day,
EnteredAt = Close[0],
StrikeWidth = _strikeWidth
};
order.IsLong = true;
order.SuccessFullySettlesAt = Close[0] + (Math.Abs(_strikeWidth*.25));
order.ExitStrategy = new BullishOtmExitStrategy(Close[0] + (Math.Abs(_strikeWidth) * 1.5), order.SuccessFullySettlesAt);
SendNotification(order);
_activeOrderTracker.AddOrder(order);
}
else if (isBear && volScore == Volatility.High && (new int[] { 10, 20, 30 }).Contains(now.Minute))
{
var expiryTime = now.AddHours(1);
var
order = new MoveGenericActiveOrder
{
Id = Guid.NewGuid(),
Time = now,
ExpiryHour = expiryTime.Hour,
ExpiryDay = expiryTime.Day,
EnteredAt = Close[0],
StrikeWidth = _strikeWidth
};
order.IsLong = false;
order.SuccessFullySettlesAt = Close[0] - (Math.Abs(_strikeWidth*.25));
order.ExitStrategy = new BearishOtmExitStrategy(Close[0] - (Math.Abs(_strikeWidth) * 1.5), order.SuccessFullySettlesAt);
SendNotification(order);
_activeOrderTracker.AddOrder(order);
}
else if (false && isBull && volScore == Volatility.Low && (new int[]{40,50}).Contains(now.Minute))
{
var expiryTime = now;
var
order = new MoveGenericActiveOrder
{
Id = Guid.NewGuid(),
Time = now,
ExpiryHour = expiryTime.Hour,
ExpiryDay = expiryTime.Day,
EnteredAt = Close[0],
StrikeWidth = _strikeWidth,
SuccessFullySettlesAt = Close[0] - (Math.Abs(_strikeWidth * .25)),
IsLong = true,
ExitStrategy = new BullishItmExitStrategy(Close[0] - (Math.Abs(_strikeWidth * 5)))
};
SendNotification(order);
_activeOrderTracker.AddOrder(order);
}
else if (false && isBear && volScore == Volatility.Low && (new int[] { 50 }).Contains(now.Minute))
{
var expiryTime = now;
var
order = new MoveGenericActiveOrder
{
Id = Guid.NewGuid(),
Time = now,
ExpiryHour = expiryTime.Hour,
ExpiryDay = expiryTime.Day,
EnteredAt = Close[0],
StrikeWidth = _strikeWidth,
SuccessFullySettlesAt = Close[0] + (Math.Abs(_strikeWidth * .25)),
IsLong = false,
ExitStrategy = new BearishItmExitStrategy(Close[0] + (Math.Abs(_strikeWidth * 5)))
};
SendNotification(order);
_activeOrderTracker.AddOrder(order);
}
}
catch (Exception e)
{
Print("error found:" + e.Message + " " + e.Source + " " + e.StackTrace);
//Log("error found:" + e.Message + " " + e.Source + " " + e.StackTrace, LogLevel.Error);
}
}
private void SendNotification(MoveGenericActiveOrder order)
{
var instrumentName = Instrument.ToString().Replace("Default", "").Replace(" ", "").Replace("$", "");
var mailSubject = string.Format("KC-SIGNAL-{0}: {1} @ {2}", instrumentName,
(order.IsLong) ? "BULL" : "BEAR",
Close[0]);
var mailContentTemplate = @"A {0} signal was observed in '{1}' at {2} at a closing price of {3}.
{4}
Strike Width: {5}
Strategy: {6}
";
var mailContent = string.Format(mailContentTemplate, (order.IsLong) ? "BULL" : "BEAR", Instrument, Time,
Close[0], order.ExitStrategy.ExitStategyDescr, order.StrikeWidth, order.ExitStrategy.GetType().Name);
if (Historical)
return;
SendMail("*****@*****.**", "*****@*****.**", mailSubject, mailContent);
}
public abstract bool ExitSuccessfull(MoveGenericActiveOrder order, DateTime now, double open, double close,
double high, double low);
protected override void OnBarUpdate()
{
try
{
var now = DateTime.Parse(Time.ToString());
_activeOrderTracker.HandleCurrentOrders(now, Open[0], Close[0], High[0], Low[0]);
Print(_activeOrderTracker.GetStatusReport());
var isBull = IsBull();
var isBear = IsBear();
var volScore = GetVoltilityScore();
if (isBull && volScore == Volatility.High && (new int[] { 10, 20, 30 }).Contains(now.Minute) && IsBullOtmReady())
{
var expiryTime = now.AddHours(1);
var
order = new MoveGenericActiveOrder
{
Id = Guid.NewGuid(),
Time = now,
ExpiryHour = expiryTime.Hour,
ExpiryDay = expiryTime.Day,
EnteredAt = Close[0],
StrikeWidth = _strikeWidth
};
order.IsLong = true;
order.SuccessFullySettlesAt = Close[0] + (Math.Abs(_strikeWidth * .25));
order.ExitStrategy = new BullishOtmExitStrategy(Close[0] + (Math.Abs(_strikeWidth) * 1.5), order.SuccessFullySettlesAt);
SendNotification(order);
_activeOrderTracker.AddOrder(order);
}
else if (isBear && volScore == Volatility.High && (new int[] { 10, 20, 30 }).Contains(now.Minute))
{
var expiryTime = now.AddHours(1);
var
order = new MoveGenericActiveOrder
{
Id = Guid.NewGuid(),
Time = now,
ExpiryHour = expiryTime.Hour,
ExpiryDay = expiryTime.Day,
EnteredAt = Close[0],
StrikeWidth = _strikeWidth
};
order.IsLong = false;
order.SuccessFullySettlesAt = Close[0] - (Math.Abs(_strikeWidth * .25));
order.ExitStrategy = new BearishOtmExitStrategy(Close[0] - (Math.Abs(_strikeWidth) * 1.5), order.SuccessFullySettlesAt);
SendNotification(order);
_activeOrderTracker.AddOrder(order);
}
else if (false && isBull && volScore == Volatility.Low && (new int[] { 40, 50 }).Contains(now.Minute))
{
var expiryTime = now;
var
order = new MoveGenericActiveOrder
{
Id = Guid.NewGuid(),
Time = now,
ExpiryHour = expiryTime.Hour,
ExpiryDay = expiryTime.Day,
EnteredAt = Close[0],
StrikeWidth = _strikeWidth,
SuccessFullySettlesAt = Close[0] - (Math.Abs(_strikeWidth * .25)),
IsLong = true,
ExitStrategy = new BullishItmExitStrategy(Close[0] - (Math.Abs(_strikeWidth * 5)))
};
SendNotification(order);
_activeOrderTracker.AddOrder(order);
}
else if (false && isBear && volScore == Volatility.Low && (new int[] { 50 }).Contains(now.Minute))
{
var expiryTime = now;
var
order = new MoveGenericActiveOrder
{
Id = Guid.NewGuid(),
Time = now,
ExpiryHour = expiryTime.Hour,
ExpiryDay = expiryTime.Day,
EnteredAt = Close[0],
StrikeWidth = _strikeWidth,
SuccessFullySettlesAt = Close[0] + (Math.Abs(_strikeWidth * .25)),
IsLong = false,
ExitStrategy = new BearishItmExitStrategy(Close[0] + (Math.Abs(_strikeWidth * 5)))
};
SendNotification(order);
_activeOrderTracker.AddOrder(order);
}
}
catch (Exception e)
{
Print("error found:" + e.Message + " " + e.Source + " " + e.StackTrace);
//Log("error found:" + e.Message + " " + e.Source + " " + e.StackTrace, LogLevel.Error);
}
}
public override bool ExitFailed(MoveGenericActiveOrder order, DateTime now, double open, double close, double high, double low)
{
//always go to settlement if we have not exited.
return false;
}
public override bool SettlesSuccessFull(MoveGenericActiveOrder order, double close)
{
return(close < _settlesAt);
}
public override bool ExitFailed(MoveGenericActiveOrder order, DateTime now, double open, double close, double high, double low)
{
//always go to settlement if we have not exited.
return(false);
}
private string GetStratName(MoveGenericActiveOrder order)
{
return(order.ExitStrategy.GetType().Name);
}
public override bool SettlesSuccessFull(MoveGenericActiveOrder order, double close)
{
throw new NotImplementedException();
}
public override bool SettlesSuccessFull(MoveGenericActiveOrder order, double close)
{
return close < _settlesAt;
}
private string GetStratName(MoveGenericActiveOrder order)
{
return order.ExitStrategy.GetType().Name;
}
public abstract bool SettlesSuccessFull(MoveGenericActiveOrder order, double close);
