public void IndicatorLabelsBuild(Bar barToPopulate, Dictionary<string, Indicator> indicators) {
if (this.initialStaticHeight == 0) this.initialStaticHeight = this.Size.Height;
this.SuspendLayout();
this.IndicatorLabelsRemoveDecreaseTooltipHeight();
this.IndicatorLabelsBuildIncreaseTooltipHeight(barToPopulate, indicators);
this.ResumeLayout(true);
}
public StreamingBarFactoryUnattached(string symbol, BarScaleInterval scaleInterval) {
Symbol = symbol;
ScaleInterval = scaleInterval;
LastBarFormedUnattached = null;
StreamingBarUnattached = new Bar(this.Symbol, this.ScaleInterval, DateTime.MinValue);
IntraBarSerno = 0;
}
public void PopulateTooltip(Bar barToPopulate, Dictionary<string, Indicator> indicators, List<Alert> alersForBar) {
if (barToPopulate.IsBarStreaming) {
this.BackColor = SystemColors.GradientActiveCaption;
} else if (barToPopulate.IsBarStaticLast) {
this.BackColor = SystemColors.ControlLight;
} else {
this.BackColor = SystemColors.Info;
}
string titleBlue = barToPopulate.DateTimeOpen.ToString("HH:mm ") + " #" + barToPopulate.ParentBarsIndex;
this.lblHeaderVal.Text = titleBlue;
this.lblDateValue.Text = barToPopulate.DateTimeOpen.ToString("ddd dd-MMM-yyyy");
string formatPrice = "N" + barToPopulate.ParentBars.SymbolInfo.DecimalsPrice;
this.lblOpenVal.Text = barToPopulate.Open.ToString(formatPrice);
this.lblHighVal.Text = barToPopulate.High.ToString(formatPrice);
this.lblLowVal.Text = barToPopulate.Low.ToString(formatPrice);
this.lblCloseVal.Text = barToPopulate.Close.ToString(formatPrice);
string formatVolume = "N" + barToPopulate.ParentBars.SymbolInfo.DecimalsPrice;
this.lblVolumeVal.Text = barToPopulate.Volume.ToString(formatVolume);
string alertsAsString = "";
foreach (var alert in alersForBar) {
if (alertsAsString != "") alertsAsString += "\r\n";
alertsAsString += alert.ToStringForTooltip();
}
//this.toolTipAlerts.SetToolTip(this.lnkAlertsVal, alertsAsString);
this.lnkAlertsVal.Text = alersForBar.Count + "";
this.IndicatorLabelsBuild(barToPopulate, indicators);
}
public BarPerst(Bar bar) {
this.Time = bar.DateTimeOpen.ToBinary();
this.Open = bar.Open;
this.High = bar.High;
this.Low = bar.Low;
this.Close = bar.Close;
this.Volume = bar.Volume;
}
public Bar BindBarToConsumerBarsAndAppend(Bar barLastFormedUnattached) {
if (consumer.ConsumerBarsToAppendInto == null) {
// StreamingSolidifier will attach the Bar itself
return barLastFormedUnattached;
}
Bar barDetached = barLastFormedUnattached.CloneDetached();
Bar barAttached = consumer.ConsumerBarsToAppendInto.CreateNewOrAbsorbIntoStreaming(barDetached);
return barAttached;
}
private void placePrototypeOncePositionClosed(Bar bar) {
bool isBacktesting = this.Executor.Backtester.IsBacktestingNow;
//WHATS_THE_DIFFERENCE? if (isBacktesting) return;
if (bar.ParentBarsIndex == 138) {
//Debugger.Break();
}
if (base.HasPositionsOpenNow) return;
if (base.HasAlertsPending) {
// only kill pending entries, but leave activated SL & TP for an open position UNTOUCHED !!!!
ExecutionDataSnapshot snap = this.Executor.ExecutionDataSnapshot;
List<Alert> pendings = snap.AlertsPendingSafeCopy;
if (pendings.Count > 0) {
string msg = pendings.Count + " last AlertsPending[" + snap.AlertsPending[pendings.Count - 1] + "]";
//PrintDebug(msg);
foreach (Alert alert in pendings) {
int wasntFilledDuringPastNbars = bar.ParentBarsIndex - alert.PlacedBarIndex;
if (wasntFilledDuringPastNbars >= 30) {
//if (alert.PositionAffected.Prototype != null) {}
//base.Executor.CallbackAlertKilledInvokeScript(alert);
base.AlertKillPending(alert);
}
}
}
return;
}
double protoPlacementOffsetPct = 1;
double TPpct = 2;
double SLpct = -1;
double SLApct = -0.8;
double protoPlacement = bar.Close + bar.Close * protoPlacementOffsetPct / 100;
double TP = bar.Close * TPpct / 100;
double SL = bar.Close * SLpct / 100;
double SLactivation = bar.Close * SLApct / 100;
SLactivation = 0; // when SLactivation == 0 Prototype generates Stop alert instead of StopLoss
PositionPrototype protoLong = new PositionPrototype(this.Bars.Symbol, PositionLongShort.Long, protoPlacement, TP, SL, SLactivation);
PositionPrototype protoShort = new PositionPrototype(this.Bars.Symbol, PositionLongShort.Short, -protoPlacement, TP, SL, SLactivation);
//PositionPrototype protoFixed = new PositionPrototype(this.Bars.Symbol, PositionLongShort.Long, 158000, +150.0, -50.0, -40.0);
//PositionPrototype proto = barNewStaticArrived.Close < 158000 ? protoLong : protoShort;
PositionPrototype proto = protoLong;
base.Executor.PositionPrototypeActivator.PlaceOnce(proto);
}
public void ConsumeBarLastStraticJustFormedWhileStreamingBarWithOneQuoteAlreadyAppended(Bar barLastFormed) {
if (barLastFormed == null) {
string msg = "Backtester starts generating quotes => first StreamingBar is added; for first four Quotes there's no static barsFormed yet!! Isi";
return;
}
//INVOCATION_WONT_DO_ANY_JOB this.simulatePendingFillPreExecuteEveryTick(null);
ExecutionDataSnapshot snap = this.backtester.Executor.ExecutionDataSnapshot;
foreach (Indicator indicator in snap.Indicators.Values) {
if (indicator.NotOnChartBarsKey == null) {
indicator.OnNewStaticBarFormed(barLastFormed);
} else {
string msg = "Generate quotes for the Non-Chart-Bars and feed them into your indicators!";
}
}
this.backtester.Executor.Strategy.Script.OnBarStaticLastFormedWhileStreamingBarWithOneQuoteAlreadyAppendedCallback(barLastFormed);
}
public void IndicatorLabelsBuildIncreaseTooltipHeight(Bar barToPopulate, Dictionary<string, Indicator> indicators) {
Label ethalonName = this.lblVolume;
Label ethalonValue = this.lblVolumeVal;
int ethalonNameX = ethalonName.Location.X;
int ethalonValueX = ethalonValue.Location.X;
Size ethalonNameSize = ethalonName.Size;
Size ethalonValueSize = ethalonValue.Size;
int lastStaticTooltipLabelY = ethalonName.Location.Y + this.spacingVerticalBeforeAnyDynamicIndicatorLabels;
int dynamicLabelY = lastStaticTooltipLabelY + this.lineIncrement;
int expandTooltipHeightBy = 0;
foreach (Indicator indicator in indicators.Values) {
Label lblIndicatorName = new Label();
lblIndicatorName.Name = dynamicItemPrefix + "_Name_" + indicator.NameWithParameters;
lblIndicatorName.Text = indicator.Name; //indicator.NameWithParameters;
lblIndicatorName.Location = new Point(ethalonNameX, dynamicLabelY);
lblIndicatorName.Size = ethalonNameSize;
lblIndicatorName.AutoSize = true;
lblIndicatorName.ForeColor = indicator.LineColor;
Label lblIndicatorValue = new Label();
lblIndicatorValue.Name = dynamicItemPrefix + "_Value_" + indicator.NameWithParameters;
lblIndicatorValue.Text = indicator.FormatValueForBar(barToPopulate);
lblIndicatorValue.TextAlign = System.Drawing.ContentAlignment.MiddleRight;
lblIndicatorValue.Anchor = ((AnchorStyles)((AnchorStyles.Top | AnchorStyles.Right)));
lblIndicatorValue.Location = new System.Drawing.Point(ethalonValueX, dynamicLabelY);
lblIndicatorValue.Size = ethalonValueSize;
this.Controls.Add(lblIndicatorName);
this.Controls.Add(lblIndicatorValue);
dynamicLabelY += this.lineIncrement;
expandTooltipHeightBy += this.lineIncrement;
}
if (expandTooltipHeightBy > 0) {
expandTooltipHeightBy += spacingVerticalBeforeAnyDynamicIndicatorLabels;
this.Size = new Size(this.Size.Width, this.initialStaticHeight + expandTooltipHeightBy);
}
}
public override void OnBarStaticLastFormedWhileStreamingBarWithOneQuoteAlreadyAppendedCallback(Bar barStaticFormed) {
Bar barStreaming = barStaticFormed.ParentBars.BarStreaming;
if (barStaticFormed.ParentBarsIndex <= this.PeriodLargestAmongMAs) return;
double maSlowThis = this.MAslow.OwnValuesCalculated[barStaticFormed.ParentBarsIndex];
double maSlowPrev = this.MAslow.OwnValuesCalculated[barStaticFormed.ParentBarsIndex - 1];
double maFastThis = this.MAfast.OwnValuesCalculated[barStaticFormed.ParentBarsIndex];
double maFastPrev = this.MAfast.OwnValuesCalculated[barStaticFormed.ParentBarsIndex - 1];
bool fastCrossedUp = false;
if (maFastThis > maSlowThis && maFastPrev < maSlowPrev) fastCrossedUp = true;
bool fastCrossedDown = false;
if (maFastThis < maSlowThis && maFastPrev > maSlowPrev) fastCrossedDown = true;
if (fastCrossedUp && fastCrossedDown) {
string msg = "TWO_CROSSINGS_SHOULD_NEVER_HAPPEN_SIMULTANEOUSLY";
Assembler.PopupException(msg);
Debugger.Break();
}
bool crossed = fastCrossedUp || fastCrossedDown;
Position lastPos = base.LastPosition;
bool isLastPositionNotClosedYet = base.IsLastPositionNotClosedYet;
if (isLastPositionNotClosedYet && crossed) {
string msg = "ExitAtMarket@" + barStaticFormed.ParentBarsIdent;
Alert exitPlaced = ExitAtMarket(barStreaming, lastPos, msg);
}
if (fastCrossedUp) {
string msg = "BuyAtMarket@" + barStaticFormed.ParentBarsIdent;
Position buyPlaced = BuyAtMarket(barStreaming, msg);
}
if (fastCrossedDown) {
string msg = "ShortAtMarket@" + barStaticFormed.ParentBarsIdent;
Position shortPlaced = ShortAtMarket(barStreaming, msg);
}
}
public override void OnNewQuoteOfStreamingBarCallback(Quote quote) {
//double slowStreaming = this.MAslow.BarClosesProxied.StreamingValue;
double slowStatic = this.MAslow.ClosesProxyEffective.LastStaticValue;
DateTime slowStaticDate = this.MAslow.ClosesProxyEffective.LastStaticDate;
if (this.Executor.Backtester.IsBacktestingNow == false) {
Bar bar = quote.ParentStreamingBar;
int barNo = bar.ParentBarsIndex;
if (barNo == -1) return;
DateTime lastStaticBarDateTime = bar.ParentBars.BarStaticLast.DateTimeOpen;
DateTime streamingBarDateTime = bar.DateTimeOpen;
Bar barNormalizedDateTimes = new Bar(bar.Symbol, bar.ScaleInterval, quote.ServerTime);
DateTime thisBarDateTimeOpen = barNormalizedDateTimes.DateTimeOpen;
int a = 1;
}
//log("OnNewQuoteCallback(): [" + quote.ToString() + "]");
string msg = "OnNewQuoteCallback(): [" + quote.ToString() + "]";
log("EnterEveryBar.cs now=[" + DateTime.Now.ToString("ddd dd-MMM-yyyy HH:mm:ss.fff" + "]: " + msg));
if (quote.IntraBarSerno == 0) {
return;
}
}
public override double CalculateOwnValueOnNewStaticBarFormed(Bar newStaticBar) {
if (this.Period <= 0) return double.NaN;
if (base.ClosesProxyEffective.Count - 1 < this.FirstValidBarIndex) return double.NaN;
if (newStaticBar.ParentBarsIndex - 1 < this.FirstValidBarIndex) return double.NaN;
double sum = 0;
int slidingWindowRightBar = newStaticBar.ParentBarsIndex;
int slidingWindowLeftBar = slidingWindowRightBar - this.Period + 1; // FirstValidBarIndex must be Period+1
int barsProcessedCheck = 0;
for (int i = slidingWindowLeftBar; i <= slidingWindowRightBar; i++) {
double eachBarCloses = base.ClosesProxyEffective[i];
if (double.IsNaN(eachBarCloses)) {
Debugger.Break();
continue;
}
sum += eachBarCloses;
barsProcessedCheck++;
}
if (barsProcessedCheck != this.Period) {
Debugger.Break();
}
double ret = sum / this.Period;
return ret;
}
public void TooltipPriceShowAlone(Bar barToPopulate, Rectangle barWithShadowsRectangle) {
if (this.ChartSettings.TooltipPriceShow == false) return;
// MouseX will never go over tooltip => PanelNamedFolding.OnMouseLeave() never invoked
int awayFromBarXpx = this.ChartSettings.TooltipsPaddingFromBarLeftRightEdgesToAvoidMouseLeave;
int x = barWithShadowsRectangle.Left - this.tooltipPrice.Width - awayFromBarXpx;
if (x < 0) x = barWithShadowsRectangle.Right + awayFromBarXpx;
int y = barWithShadowsRectangle.Top - this.ChartSettings.TooltipBordersMarginToKeepBordersVisible;
if (y < 0) y = 0;
if (y + this.tooltipPrice.Height > this.HeightMinusBottomHscrollbar)
y = this.HeightMinusBottomHscrollbar - this.tooltipPrice.Height - this.ChartSettings.TooltipBordersMarginToKeepBordersVisible;
this.tooltipPriceShowXY(barToPopulate, x, y);
}
// TODO: don't be lazy and move to StreamingProvider.QuoteAbsnoForSymbol<string Symbol, int Absno> and init it on Backtester.RunSimulation
//public void AbsnoReset() { Quote.AbsnoStaticCounter = 0; }
public void SetParentBar(Bar parentBar) {
if (this.Symbol != parentBar.Symbol) {
string msg = "here is the problem for a streaming bar to carry another symbol!";
}
this.ParentStreamingBar = parentBar;
}
public override void OnBarStaticLastFormedWhileStreamingBarWithOneQuoteAlreadyAppendedCallback(Bar barNewStaticArrived) {
//this.placePrototypeOncePositionClosed(barNewStaticArrived);
}
void generateQuotesForBarAndPokeStreaming(Bar bar) {
if (bar == null) return;
if (bar.IsBarStreaming && double.IsNaN(bar.Open)) {
string msg = "it's ok for Bars.LastBar from StaticProvider doesn't contain PartialValues;"
+ " filled by Streaming, NA for Backtest, skipping LastBar";
//throw new Exception(msg);
return;
}
List<Quote> quotesGenerated = this.QuotesGenerator.GenerateQuotesFromBar(bar);
if (quotesGenerated == null) return;
for (int i = 0; i < quotesGenerated.Count; i++) {
Quote quote = quotesGenerated[i];
this.BacktestDataSource.BacktestStreamingProvider.SpreadModeler.GenerateFillBidAskSymmetricallyFromLastPrice(quote);
//if (this.Executor.Bars.Count == 186) {
// Debugger.Break();
//}
int pendingsToFillInitially = this.Executor.ExecutionDataSnapshot.AlertsPending.Count;
int quotesInjected = this.QuotesGenerator.InjectQuotesToFillPendingAlerts(quote);
if (quotesInjected == 0) {
string msg = "SEEMS_ONLY_STOP_ALERTS_FAR_BEYOND_TARGET_ARE_ON_THE_WAY; pendingsToFillInitially[" + pendingsToFillInitially + "]"
+ "STOPS_ARE_TOO_FAR OR_WILL_BE_FILLED_NEXT_THING_UPSTACK";
}
if (quotesInjected == pendingsToFillInitially) {
int pendingsLeft = this.Executor.ExecutionDataSnapshot.AlertsPending.Count;
string msg = "GENERATED_EXACTLY_AS_MANY_AS_PENDINGS; PENDINGS_UNFILLED_LEFT_" + pendingsLeft;
}
int pendingsStrategyJustGenerated = quotesInjected - pendingsToFillInitially;
if (pendingsStrategyJustGenerated > 0) {
string msg = "SEEMS_STRATEGY_GENERATED_NEW_ALERTS_ON_NEW_QUOTES"
+ "; quotesInjected[" + quotesInjected + "] > pendingsToFillInitially[" + pendingsToFillInitially + "]";
}
if (pendingsStrategyJustGenerated < 0) {
string msg = "STOP_ALERTS_IGNORED_OTHERS_FILLED";
}
int pendingsLeftAfterInjected = this.Executor.ExecutionDataSnapshot.AlertsPending.Count;
this.BacktestDataSource.BacktestStreamingProvider.GeneratedQuoteEnrichSymmetricallyAndPush(quote);
int pendingsLeftAfterTargetQuote = this.Executor.ExecutionDataSnapshot.AlertsPending.Count;
//stats, nothing poductive, only monitoring
if (pendingsToFillInitially == 0) {
continue;
}
int pendingsFilledByInjected = pendingsLeftAfterInjected - pendingsToFillInitially;
if (pendingsFilledByInjected > 0) {
string msg = "SEEMS_LIKE_INJECTING_DOES_ITS_JOB; pendingsFilledByInjected[" + pendingsFilledByInjected + "]";
}
int targetQuoteIsntExpectedToFillAnything = pendingsLeftAfterTargetQuote - pendingsLeftAfterInjected;
if (targetQuoteIsntExpectedToFillAnything > 0) {
string msg = "SEEMS_LIKE_TARGET_QUOTE_HAD_OWN_FILL POSSIBLE_BUT_UNLIKELY";
}
}
}
public virtual void LineDrawModify(string id, Color color, int width, Bar barStart, double priceStart, Bar barEnd, double priceEnd) {
throw new NotImplementedException();
}
public void FillExitWith(Bar exitBar, double exitFillPrice, double exitFillQty, double exitSlippage, double exitCommission) {
string msig = " FillExitWith(" + exitBar + ", " + exitFillPrice + ", " + exitFillQty + ", " + exitSlippage + ", " + exitCommission + ")";
// 1) absolutely acceptable to have a limit order beoynd the bar;
// 2) Market order must be filled now at SpreadGenerator-generated ANY price while StreamingBar may contain only 1 quote (height=0)
//if (exitBar.ContainsPrice(exitFillPrice) == false) {
// string msg = "PRICE_FILLED_POSITION_EXIT_DOESNT_EXIST_IN_EXITBAR exitFilledPrice[" + exitFillPrice + "] exitBar[" + exitBar + "]";
// throw new Exception(msg + msig);
//}
if (exitBar.Volume < exitFillQty) {
string msg = "VOLUME_FILLED_POSITION_EXIT_NEVER_TRADED_DURING_THE_EXITBAR exitFilledQty[" + exitFillQty + "] exitBar.Volume[" + exitBar.Volume + "]";
throw new Exception(msg + msig);
}
if (this.EntryFilledBarIndex == -1) {
string msg = "ATTEMPT_TO_CLOSE_NON_OPENED_POSITION this.EntryBarIndex=-1 " + this;
throw new Exception(msg + msig);
}
if (this.EntryFilledBarIndex > exitBar.ParentBarsIndex) {
string msg = "ATTEMPT_TO_CLOSE_POSITION_AT_BAR_EARLIER_THAN_POSITION_WAS_OPENED this.EntryBarIndex[" + this.EntryFilledBarIndex + "] > exitBar.ParentBarsIndex[" + exitBar.ParentBarsIndex + "]";
throw new Exception(msg + msig);
}
if (this.ExitFilledBarIndex != -1) {
string alertClosedThisPosition = (this.ExitAlert == null) ? "NO_EXIT_ALERT" : this.ExitAlert.ToString();
string msg = "PositionExit was already filled earlier @ExitBar[" + this.ExitFilledBarIndex + "]"
+ ", you can't override it with [" + exitBar + "]; alertClosedThisPosition[" + alertClosedThisPosition + "]";
throw new Exception(msg);
}
this.ExitFilledBarIndex = exitBar.ParentBarsIndex;
if (this.ExitBar == null) {
string msg = "BARINDEX_FILLED_POSITION_EXIT_DOESNT_BELONG_TO_ITS_OWN_PARENT_BARS_CHECK_Position.EntryBar_PROPERTY exitBar[" + exitBar + "] this.Bars[" + this.Bars + "]";
throw new Exception(msg + msig);
}
if (exitBar.Open != this.ExitBar.Open) {
string msg = "BAR_FILLED_POSITION_EXIT_DOESNT_HAVE_SAME_OPEN_CHECK_Position.EntryBar_PROPERTY exitBar.Open[" + exitBar.Open + "] this.Bars[" + this.ExitFilledBarIndex + "].Open[" + exitBar.Open + "]";
throw new Exception(msg + msig);
}
if (exitBar.ParentBars != this.EntryBar.ParentBars) {
string msg = "PARENTS_OF_BAR_FILLED_POSITION_EXIT_MUST_BE_SAME_AS_ENTRY_BAR_PARENTS exitBar.ParentBars[" + exitBar.ParentBars + "] != this.EntryBar.ParentBars[" + this.EntryBar.ParentBars + "]";
throw new Exception(msg + msig);
}
this.ExitFilledPrice = exitFillPrice;
this.ExitFilledQty = exitFillQty;
this.ExitFilledSlippage = exitSlippage;
this.ExitFilledCommission = exitCommission;
}
// overridable proxy methods routed by default to DataDistributor
public virtual void ConsumerBarRegister(string symbol, BarScaleInterval scaleInterval, IStreamingConsumer consumer, Bar PartialBarInsteadOfEmpty) {
this.ConsumerBarRegister(symbol, scaleInterval, consumer);
SymbolScaleDistributionChannel channel = this.DataDistributor.GetDistributionChannelFor(symbol, scaleInterval);
channel.StreamingBarFactoryUnattached.InitWithStreamingBarInsteadOfEmpty(PartialBarInsteadOfEmpty);
}
public virtual Quote EnrichQuoteWithSernoUpdateStreamingBarCreateNewBar(Quote quoteClone) {
if (quoteClone.PriceLastDeal == 0) {
string msg = "quote.PriceLastDeal[" + quoteClone.PriceLastDeal + "] == 0;"
+ "what kind of quote is that?... (" + quoteClone + ")";
throw new Exception(msg);
//return;
}
if (this.StreamingBarUnattached.Symbol != quoteClone.Symbol) {
string msg = "StreamingBar.Symbol=[" + this.StreamingBarUnattached.Symbol + "]!=quote.Symbol["
+ quoteClone.Symbol + "] (" + quoteClone + ")";
throw new Exception(msg);
//return;
}
// included in if (quoteClone.ServerTime >= StreamingBar.DateTimeNextBarOpenUnconditional) !!!
// on very first quote StreamingBar.DateTimeNextBarOpenUnconditional = DateTime.MinValue
//SEE_BELOW if (StreamingBar.DateTimeOpen == DateTime.MinValue)
//SEE_BELOW this.initStreamingBarResetIntraBarSerno(quoteClone.ServerTime, quoteClone.PriceLastDeal, quoteClone.Size);
//SEE_BELOW }
if (quoteClone.ServerTime >= this.StreamingBarUnattached.DateTimeNextBarOpenUnconditional) {
this.LastBarFormedUnattached = this.StreamingBarUnattached.Clone(); //beware! on very first quote LastBarFormed.DateTimeOpen == DateTime.MinValue
this.initStreamingBarResetIntraBarSerno(quoteClone.ServerTime, quoteClone.PriceLastDeal, quoteClone.Size);
// quoteClone.IntraBarSerno doesn't feel new Bar; can contain 100004 for generatedQuotes;
// I only want to reset to 0 when it's attributed to a new Bar; it's unlikely to face a new bar here for generatedQuotes;
if (this.IntraBarSerno != 0) {
string msg = "STREAMING_JUST_INITED_TO_ZERO WHY_NOW_IT_IS_NOT?";
Debugger.Break();
}
if (quoteClone.IntraBarSerno != 0) {
if (quoteClone.IntraBarSerno >= Quote.IntraBarSernoShiftForGeneratedTowardsPendingFill) {
string msg = "GENERATED_QUOTES_ARENT_SUPPOSED_TO_GO_TO_NEXT_BAR";
Debugger.Break();
}
quoteClone.IntraBarSerno = this.IntraBarSerno;
}
if (this.IntraBarSerno >= Quote.IntraBarSernoShiftForGeneratedTowardsPendingFill) {
string msg = "BAR_FACTORY_INTRABAR_SERNO_NEVER_GOES_TO_SYNTHETIC_ZONE";
Debugger.Break();
}
} else {
if (Double.IsNaN(this.StreamingBarUnattached.Open) || this.StreamingBarUnattached.Open == 0.0) {
throw new Exception("nonsense! we should've had StreamingBar already initialized with first quote of a bar");
//log.Warn("Initializing OHL as quote.PriceLastDeal[" + quoteClone.PriceLastDeal + "];"
// + " following previous InitWithStreamingBarInsteadOfEmpty message"
// + " (if absent then never initialized)");
//StreamingBar.Open = quoteClone.PriceLastDeal;
//StreamingBar.High = quoteClone.PriceLastDeal;
//StreamingBar.Low = quoteClone.PriceLastDeal;
}
this.StreamingBarUnattached.MergeExpandHLCVforStreamingBarUnattached(quoteClone);
this.IntraBarSerno++;
}
if (quoteClone.ParentStreamingBar != null) {
string msg = "QUOTE_ALREADY_ENRICHED_WITH_PARENT_STREAMING_BAR; I think it's a pre- bindStreamingBarForQueue() atavism";
//Assembler.PopupException(msg);
} else {
quoteClone.SetParentBar(this.StreamingBarUnattached);
}
return quoteClone;
}
public int BarAppend(Bar barLastFormed) {
Bars allBars = this.BarsLoadAllThreadSafe();
if (allBars == null) {
allBars = new Bars(barLastFormed.Symbol, barLastFormed.ScaleInterval, "DUMMY: LoadBars()=null");
}
//allBars.DumpPartialInitFromStreamingBar(bar);
// this happens on a very first quote - this.pushBarToConsumers(StreamingBarFactory.LastBarFormed.Clone());
if (allBars.BarStaticLast.DateTimeOpen == barLastFormed.DateTimeOpen) return 0;
// not really needed to clone to save it in a file, but we became strict to eliminate other bugs
barLastFormed = barLastFormed.CloneDetached();
// SetParentForBackwardUpdateAutoindex used within Bar only()
//barLastFormed.SetParentForBackwardUpdateAutoindex(allBars);
if (allBars.BarStaticLast.DateTimeOpen == barLastFormed.DateTimeOpen) {
return 0;
}
allBars.BarAppendBindStatic(barLastFormed);
int barsSaved = this.BarsSaveThreadSafe(allBars);
return barsSaved;
}
internal int BarAppend(Bar barLastFormed) {
int ret = -1;
if (this.ScaleInterval != barLastFormed.ScaleInterval) return ret;
if (this.Symbols.Contains(barLastFormed.Symbol) == false) return ret;
if (this.BarsRepository == null) return ret;
ret = this.BarsRepository.DataFileForSymbol(barLastFormed.Symbol).BarAppend(barLastFormed);
return ret;
}
void IStreamingConsumer.ConsumeBarLastStraticJustFormedWhileStreamingBarWithOneQuoteAlreadyAppended(Bar barLastFormed) {
if (this.DataSource == null) return;
int barsSaved = this.DataSource.BarAppend(barLastFormed);
string msg = "Saved [ " + barsSaved + "] bars; DataSource[" + this.DataSource.Name + "] received barLastFormed[" + barLastFormed + "] from streaming";
}
public void FillPositionAffectedEntryOrExitRespectively(Bar barFill, int barFillRelno,
double priceFill, double qtyFill, double slippageFill, double commissionFill) {
//if (this.BarRelnoFilled != -1) {
if (this.FilledBar != null) {
string msg = "ALERT_ALREADY_FILLED_EARLIER_CANT_OVERRIDE @FilledBarIndex[" + this.FilledBarIndex + "]"
+ ", duplicateFill @[" + barFill + "]";
throw new Exception(msg);
}
this.FilledBar = barFill;
this.FilledBarIndex = barFillRelno;
if (this.PositionAffected == null) {
//if (this.IsExecutorBacktestingNow) return;
throw new Exception("Backtesting or Realtime, an alert always has a PositionAffected, oder?...");
}
if (this.IsEntryAlert) {
this.PositionAffected.FillEntryWith(barFill, priceFill, qtyFill, slippageFill, commissionFill);
} else {
this.PositionAffected.FillExitWith(barFill, priceFill, qtyFill, slippageFill, commissionFill);
}
}
public Alert(Bar bar, double qty, double priceScript, string signalName,
Direction direction, MarketLimitStop marketLimitStop, OrderSpreadSide orderSpreadSide,
Strategy strategy) : this() {
if (direction == Direction.Unknown) {
string msg = "ALERT_CTOR_DIRECTION_MUST_NOT_BE_UNKNOWN: when creating an Alert, direction parameter can't be null";
throw new Exception(msg);
}
if (bar == null) {
string msg = "ALERT_CTOR_BAR_MUST_NOT_BE_NULL: when creating an Alert, bar parameter can't be null";
throw new Exception(msg);
}
if (bar.ParentBars == null) {
string msg = "ALERT_CTOR_PARENT_BARS_MUST_NOT_BE_NULL: when creating an Alert, bar.ParentBars can't be null";
throw new Exception(msg);
}
this.Bars = bar.ParentBars;
this.PlacedBar = bar;
this.PlacedBarIndex = bar.ParentBarsIndex;
this.Symbol = bar.Symbol;
this.BarsScaleInterval = this.Bars.ScaleInterval;
if (this.Bars.SymbolInfo != null) {
SymbolInfo symbolInfo = this.Bars.SymbolInfo;
this.SymbolClass = (string.IsNullOrEmpty(symbolInfo.SymbolClass) == false) ? symbolInfo.SymbolClass : "UNKNOWN_CLASS";
this.MarketOrderAs = symbolInfo.MarketOrderAs;
}
this.AccountNumber = "UNKNOWN_ACCOUNT";
if (this.DataSource.BrokerProvider != null && this.DataSource.BrokerProvider.AccountAutoPropagate != null
&& string.IsNullOrEmpty(this.Bars.DataSource.BrokerProvider.AccountAutoPropagate.AccountNumber) != false) {
this.AccountNumber = this.Bars.DataSource.BrokerProvider.AccountAutoPropagate.AccountNumber;
}
this.Qty = qty;
this.PriceScript = priceScript;
this.SignalName = signalName;
this.Direction = direction;
this.MarketLimitStop = marketLimitStop;
this.OrderSpreadSide = orderSpreadSide;
this.Strategy = strategy;
if (this.Strategy != null) {
this.StrategyID = this.Strategy.Guid;
this.StrategyName = this.Strategy.Name;
}
if (this.Strategy.Script != null) {
string msg = "Looks like a manual Order submitted from the Chart";
return;
}
}
public void TooltipPositionAndPriceShow(AlertArrow alertArrow, Bar barToPopulate, Rectangle rectangleYarrowXbar) {
if (this.ChartSettings.TooltipPriceShow == false) return;
// MouseX will never go over tooltip => PanelNamedFolding.OnMouseLeave() never invoked ???
int awayFromBarXpx = this.ChartSettings.TooltipsPaddingFromBarLeftRightEdgesToAvoidMouseLeave;
int xPosition = -1;
int xPrice = -1;
int twoTooltipsVerticalDistance = 4;
int twoTooltipsCombinedHeight = this.tooltipPosition.Height + twoTooltipsVerticalDistance + this.tooltipPrice.Height;
if (alertArrow.ArrowIsForPositionEntry) {
xPosition = rectangleYarrowXbar.Left - this.tooltipPosition.Width - awayFromBarXpx;
xPrice = rectangleYarrowXbar.Left - this.tooltipPrice.Width - awayFromBarXpx;
// LET_POSITION_TOOLTIP_GO_BEHIND_LEFT_EDGE_AND_PARTIALLY_OVERLAP_I_NEED_POSITION_LINE_TO_BE_FULLY_VISIBLE_TO_HIGHLIGHT
// if (xPrice < 0) xPrice = rectangleYarrowXbar.Right + awayFromBarXpx;
// if (xPosition < 0) { // positionTooltip is wider, dont squeeze priceTooltip but take the same side as the big brother
// xPosition = rectangleYarrowXbar.Right + awayFromBarXpx;
// xPrice = rectangleYarrowXbar.Right + awayFromBarXpx;
// }
} else {
xPosition = rectangleYarrowXbar.Right + awayFromBarXpx;
xPrice = xPosition;
}
int yPrice = rectangleYarrowXbar.Top - twoTooltipsCombinedHeight / 2;
if (yPrice <= 0) yPrice = this.ChartSettings.TooltipBordersMarginToKeepBordersVisible;
if (yPrice + twoTooltipsCombinedHeight > this.HeightMinusBottomHscrollbar) {
yPrice = this.HeightMinusBottomHscrollbar - twoTooltipsCombinedHeight - this.ChartSettings.TooltipBordersMarginToKeepBordersVisible;
if (yPrice <= 0) yPrice = this.ChartSettings.TooltipBordersMarginToKeepBordersVisible;
}
int yPosition = yPrice + this.tooltipPrice.Height + twoTooltipsVerticalDistance;
this.tooltipPriceShowXY(barToPopulate, xPrice, yPrice);
this.tooltipPositionShowXY(alertArrow, xPosition, yPosition);
}
public void InitWithStreamingBarInsteadOfEmpty(Bar StreamingBarInsteadOfEmpty) {
string msg = "";
if (StreamingBarInsteadOfEmpty.DateTimeOpen <= this.StreamingBarUnattached.DateTimeOpen) {
msg += "StreamingBarInsteadOfEmpty.DateTimeOpen[" + StreamingBarInsteadOfEmpty.DateTimeOpen
+ "] <= CurrentStreamingBar.Open[" + StreamingBarUnattached.Open + "]";
//log.Warn(msg + " // " + this);
return;
}
if (StreamingBarInsteadOfEmpty.DateTimeOpen == DateTime.MinValue) {
msg += "StreamingBarInsteadOfEmpty.DateTimeOpen[" + StreamingBarInsteadOfEmpty.DateTimeOpen + "] == DateTime.MinValue ";
}
if (double.IsNaN(StreamingBarInsteadOfEmpty.Open)) {
msg += "double.IsNaN(StreamingBarInsteadOfEmpty.Open[" + StreamingBarInsteadOfEmpty.Open + "]) ";
}
if (StreamingBarInsteadOfEmpty.Open == 0) {
msg += "StreamingBarInsteadOfEmpty.Open[" + StreamingBarInsteadOfEmpty.Open + "] == 0 ";
}
this.StreamingBarUnattached = StreamingBarInsteadOfEmpty.Clone();
if (string.IsNullOrEmpty(msg) == false) {
//log.Warn("InitWithStreamingBarInsteadOfEmpty: " + msg + " // " + this);
}
}
private void tooltipPriceShowXY(Bar barToPopulate, int x, int y) {
Point newLocation = new Point(x, y);
//DOESNT_SHOWUP_MOUSE_BETWEEN_ARROW_AND_BAR
if (this.tooltipPrice.Location == newLocation) { //REMOVES_FLICKERING Point is a structure with Equals() overriden => we are safe to compare
this.tooltipPrice.Visible = true;
return;
}
//if (barToPopulate.IsStreamingBar)...
List<Alert> tooltipAlertsForBar = new List<Alert>();
// Dictionary<int, List<Alert>> alertsForBarsFromExecution = this.executor.ExecutionDataSnapshot
// .AlertsPendingHistorySafeCopyForRenderer(mouseBar, mouseBar);
// if (alertsForBarsFromExecution.ContainsKey(mouseBar)) tooltipAlertsForBar = alertsForBarsFromExecution[mouseBar];
Dictionary<string, Indicator> indicators = this.ScriptExecutorObjects.Indicators;
this.tooltipPrice.PopulateTooltip(barToPopulate, indicators, tooltipAlertsForBar);
//this.tooltipPrice.Capture = false;
this.tooltipPrice.Location = newLocation;
this.tooltipPrice.Visible = true;
}
// IStreamingConsumer
public void ConsumeBarLastStraticJustFormedWhileStreamingBarWithOneQuoteAlreadyAppended(Bar barLastFormed) {
this.msigForNpExceptions = "ConsumeBarLastFormed(): ";
var barsSafe = this.Bars;
var chartFormSafe = this.ChartForm;
var executorSafe = this.Executor;
//CHART_CONTROL_REGISTERED_HIMSELF_FOR_BAR_EVENTS_THANX chartFormSafe.ChartControl.UpdateHorizontalScrollMaximumAfterBarAdd();
//if (this.NewBar != null) this.NewBar(this, new BarEventArgs(barLastFormed));
//this.chartFormsManager.Executor.onNewBarEnqueueExecuteStrategyInNewThread(this, new BarEventArgs(barLastFormed));
executorSafe.ExecuteOnNewBarOrNewQuote(null); //new Quote());
chartFormSafe.ChartControl.InvalidateAllPanelsFolding();
}
public abstract List<Quote> GenerateQuotesFromBar(Bar bar);
public override void OnBarStaticLastFormedWhileStreamingBarWithOneQuoteAlreadyAppendedCallback(Bar barStaticFormed) {
Bar barStreaming = base.Bars.BarStreaming;
if (this.Executor.Backtester.IsBacktestingNow == false) {
Debugger.Break();
}
if (barStaticFormed.ParentBarsIndex <= 2) return;
if (barStaticFormed.IsBarStreaming) {
string msg = "SHOULD_NEVER_HAPPEN [email protected][" + barStaticFormed + "] while Streaming[" + barStreaming + "]";
Debugger.Break();
}
Position lastPos = base.LastPosition;
bool isLastPositionNotClosedYet = base.IsLastPositionNotClosedYet;
if (isLastPositionNotClosedYet) {
if (lastPos.EntryFilledBarIndex > barStaticFormed.ParentBarsIndex) {
string msg1 = "prev bar you placed on streaming, now that streaming is static and positionEntry is still in the future but you have it filled?...";
Debugger.Break();
}
if (lastPos.ExitAlert != null) {
string msg1 = "you want to avoid POSITION_ALREADY_HAS_AN_EXIT_ALERT_REPLACE_INSTEAD_OF_ADDING_SECOND"
+ " ExitAtMarket by throwing [can't have two closing alerts for one positionExit] Strategy[" + this.Strategy.ToString() + "]";
Debugger.Break();
return;
}
if (barStaticFormed.ParentBarsIndex == 163) {
Debugger.Break();
StreamingDataSnapshot streaming = this.Executor.DataSource.StreamingProvider.StreamingDataSnapshot;
Quote lastQuote = streaming.LastQuoteGetForSymbol(barStaticFormed.Symbol);
double priceForMarketOrder = streaming.LastQuoteGetPriceForMarketOrder(barStaticFormed.Symbol);
}
string msg = "ExitAtMarket@" + barStaticFormed.ParentBarsIdent;
Alert exitPlaced = ExitAtMarket(barStreaming, lastPos, msg);
log("Execute(): " + msg);
}
ExecutionDataSnapshot snap = base.Executor.ExecutionDataSnapshot;
int alertsPendingCount = snap.AlertsPending.Count;
int positionsOpenNowCount = snap.PositionsOpenNow.Count;
bool hasAlertsPendingOrPositionsOpenNow = base.HasAlertsPendingOrPositionsOpenNow;
if (hasAlertsPendingOrPositionsOpenNow) {
if (alertsPendingCount > 0) {
if (snap.AlertsPending[0] == lastPos.EntryAlert) {
string msg = "EXPECTED: I don't have open positions but I have an unfilled alert from lastPosition.EntryAlert=alertsPending[0]";
} else if (snap.AlertsPending[0] == lastPos.ExitAlert) {
string msg = "EXPECTED: I have and open lastPosition with .ExitAlert=alertsPending[0]";
} else {
string msg = "UNEXPECTED: pending alert doesn't relate to lastPosition; who is here?";
}
}
if (positionsOpenNowCount > 1) {
string msg = "EXPECTED: I got multiple positions[" + positionsOpenNowCount + "]";
if (snap.PositionsOpenNow[0] == lastPos) {
msg += "50/50: positionsMaster.Last = positionsOpenNow.First";
}
}
return;
}
if (barStaticFormed.ParentBarsIndex == 30) {
Debugger.Break();
StreamingDataSnapshot streaming = this.Executor.DataSource.StreamingProvider.StreamingDataSnapshot;
Quote lastQuote = streaming.LastQuoteGetForSymbol(barStaticFormed.Symbol);
double priceForMarketOrder = streaming.LastQuoteGetPriceForMarketOrder(barStaticFormed.Symbol);
}
if (barStaticFormed.Close > barStaticFormed.Open) {
string msg = "BuyAtMarket@" + barStaticFormed.ParentBarsIdent;
Position buyPlaced = BuyAtMarket(barStreaming, msg);
//Debugger.Break();
} else {
string msg = "ShortAtMarket@" + barStaticFormed.ParentBarsIdent;
Position shortPlaced = ShortAtMarket(barStreaming, msg);
//Debugger.Break();
}
//base.Executor.ChartShadow.LineDrawModify(...);
}
