public override void OnBarOpen(Bar bar)
{
if (!bar.IsWithinRegularTradingHours(Instrument.Type))
{
return;
}
if (bar.Size == PeriodConstants.PERIOD_DAILY)
{
return;
}
PublishOpenBar(bar);
base.OnBarOpen(bar);
}
protected bool IsItOkToHandleBar(Bar bar)
{
if (!bar.IsWithinRegularTradingHours(Instrument.Type))
{
LoggingUtility.WriteTraceFormat(this, "Bar is not within regular trading hours: {0}", bar);
return false;
}
return true;
}
public override void OnBarOpen(Bar bar)
{
if (!bar.IsWithinRegularTradingHours(Instrument.Type))
{
return;
}
if (bar.Size == PeriodConstants.PERIOD_DAILY)
{
// Since we will like to capture any gaps in the current day
// open and corresponding effects of ATR calculations
OnBar(bar);
}
else if (bar.BeginTime.Date >= CurrentValidityDateTime.Date)
{
OnBar(bar);
}
base.OnBarOpen(bar);
}
public override void OnBar(Bar bar)
{
if (!bar.IsWithinRegularTradingHours(Instrument.Type))
{
return;
}
else
{
DataManager.Add(Instrument, bar);
}
try
{
CurrentBarRef = bar;
if (bar.Size == PeriodConstants.PERIOD_DAILY)
{
if (CurrentDailyBarSeries.Count <= AtrPeriod)
{
return;
}
}
if (bar.Size == CurrentExecutionTimePeriodInSeconds)
{
int[] periods = new[]
{
SlowMaPeriod,
FastMaPeriod,
StochasticsDPeriod,
StochasticsKPeriod,
StochasticsSmoothPeriod
};
int maxPeriod = periods.Max();
if (CurrentExecutionBarSeries.Count <= maxPeriod)
{
return;
}
}
// If everything is filled - then exit:
if (IsStrategyOrderFilled)
return;
CurrentClosePrice = bar.Close;
if (bar.Size == PeriodConstants.PERIOD_DAILY)
{
CurrentAtrPrice = DailyAtrIndicator.Last;
if (CurrentClosePrice > 0 && IsBarCloseEnoughForLogging(bar))
{
LoggingUtility.WriteInfoFormat(this,
"Setting ATR to {0:c} which is {1:p} of the last close price {2:c}",
CurrentAtrPrice,
CurrentAtrPrice / CurrentClosePrice,
CurrentClosePrice);
}
}
if (bar.Size == PeriodConstants.PERIOD_DAILY)
{
// We do not need to worry about any other type of bar
return;
}
if (bar.Size == CurrentExecutionTimePeriodInSeconds)
{
// Ensure that intraday indicators are evaluated
GetIsStochInBullishMode(bar);
GetIsStochInBearishMode(bar);
GetIsEmaInBearishMode(bar);
GetIsEmaInBullishMode(bar);
}
if (CurrentAtrPrice <= 0)
{
// need the ATR to process further
return;
}
if (CurrentAskPrice <= 0)
{
// need the Ask to process further
return;
}
if (CurrentBidPrice <= 0)
{
// need the Bid to process further
return;
}
if (GetCurrentDateTime() < CurrentValidityDateTime)
{
return;
}
// 1. If the order is not triggered yet - then check when is the right time to trigger the order
if (null == CurrentOrder)
{
if (GetHasOrderBeenTriggered())
{
QueueOrder();
}
}
else
{
if (IsStrategyOrderInFailedState)
{
throw new InvalidOperationException("Order is in an invalid state");
}
else
{
// 4. Partially filled? then queue up the remaining order
// We need to retry by adjusting the prices
if (GetHasOrderBeenReTriggered())
{
QueueOrder();
}
}
}
}
finally
{
CurrentBarRef = null;
}
}
