public void Update(int barNumber)
{
security.BarNumber = barNumber;
if (!flagToDebugLog)
{
var message = string.Format("ГО на покупку: {0}; ГО на продажу: {1}; Шаг цены: {2}", security.BuyDeposit, security.SellDeposit, security.StepPrice);
logger.Log(message);
flagToDebugLog = true;
}
var le = sec.Positions.GetLastActiveForSignal("LE", barNumber);
var subBars = security.GetBars(barNumber);
var lastBar = security.LastBar;
var lows = pivotPointsIndicator.GetLows(barNumber);
logger.Log("lows.Count = " + lows.Count.ToString());
var lowsValues = new List <double>();
foreach (var low in lows)
{
lowsValues.Add(low.Value);
}
var compressedSec = sec.CompressTo(new Interval(30, DataIntervals.MINUTE));
var filterBarNumber = compressedSecurity.GetBarCompressedNumberFromBarBaseNumber(barNumber);
var lowsFilter = pivotPointsIndicatorFilter.GetLows(filterBarNumber - 1);
var valuesFilterLows = new List <double>();
foreach (var low in lowsFilter)
{
valuesFilterLows.Add(low.Value);
}
var highsFilter = pivotPointsIndicatorFilter.GetHighs(filterBarNumber - 1);
var valuesFilterHighs = new List <double>();
foreach (var high in highsFilter)
{
valuesFilterHighs.Add(high.Value);
}
#region Long
if (le == null)
{
if (!IsAboutEndOfSession(lastBar.Date))
{
var message = string.Format("Номер бара = {0}; patternPivotPoints_1g2.Check(lowsValues) = {1}; patternPivotPoints_1g2g3.Check(valuesFilterLows) = {2}; " +
"!patternPivotPoints_1l2.Check(valuesFilterHighs) = {3}", barNumber, patternPivotPoints_1g2.Check(lowsValues), patternPivotPoints_1g2g3.Check(valuesFilterLows),
!patternPivotPoints_1l2.Check(valuesFilterHighs));
logger.Log(message);
message = string.Format("lowsValues.Count = {0}", lowsValues.Count);
logger.Log(message);
if (patternPivotPoints_1g2.Check(lowsValues) && patternPivotPoints_1g2g3.Check(valuesFilterLows) && !patternPivotPoints_1l2.Check(valuesFilterHighs))
{
logger.Log("Номер бара = " + barNumber.ToString() + "; Условие входа выполнено!");
if (barNumber == lows.Last().BarNumber + 3)
{
var lowLast = lows.Last();
var stopPrice = lowLast.Value - 1;
var lastPrice = lastBar.Close;
if (lastPrice > stopPrice)
{
var contracts = localMoneyManager.GetQntContracts(lastPrice, stopPrice, PositionSide.Long);
//var contracts = 1;
sec.Positions.BuyAtMarket(barNumber + 1, contracts, "LE");
takeProfitLong = 0;
}
}
}
}
}
else
{
if (lows.Count == 0)
{
return;
}
var low = lows.Last();
stopLossLong = low.Value - 1;
var riskValue = le.EntryPrice - stopLossLong;
if (takeProfitLong == 0)
{
takeProfitLong = le.EntryPrice + riskValue * 2;
}
if (IsAboutEndOfSession(lastBar.Date))
{
le.CloseAtMarket(barNumber + 1, "LXT");
}
le.CloseAtStop(barNumber + 1, stopLossLong, 100, "LXS");
le.CloseAtProfit(barNumber + 1, takeProfitLong, 100, "LXP");
}
#endregion
#region Short
var se = sec.Positions.GetLastActiveForSignal("SE", barNumber);
var highs = pivotPointsIndicator.GetHighs(barNumber);
var highsValues = new List <double>();
foreach (var high in highs)
{
highsValues.Add(high.Value);
}
if (se == null)
{
if (!IsAboutEndOfSession(lastBar.Date))
{
if (patternPivotPoints_1l2.Check(highsValues) && patternPivotPoints_1l2l3.Check(valuesFilterHighs) && !patternPivotPoints_1g2.Check(valuesFilterLows))
{
if (barNumber == highs.Last().BarNumber + 3)
{
var highLast = highs.Last();
var stopPrice = highLast.Value + 1;
var lastPrice = lastBar.Close;
if (lastPrice < stopPrice)
{
var contracts = localMoneyManager.GetQntContracts(lastPrice, stopPrice, PositionSide.Short);
//var contracts = 1;
sec.Positions.SellAtMarket(barNumber + 1, contracts, "SE");
takeProfitShort = 0;
}
}
}
}
}
else
{
if (highs.Count == 0)
{
return;
}
var high = highs.Last();
stopLossShort = high.Value + 1;
var riskValue = stopLossShort - se.EntryPrice;
if (takeProfitShort == 0)
{
takeProfitShort = se.EntryPrice - riskValue * 2;
}
if (IsAboutEndOfSession(lastBar.Date))
{
se.CloseAtMarket(barNumber + 1, "SXT");
}
se.CloseAtStop(barNumber + 1, stopLossShort, 100, "SXS");
se.CloseAtProfit(barNumber + 1, takeProfitShort, 100, "SXP");
}
#endregion
}
public void Update(int barNumber)
{
security.BarNumber = barNumber;
if (!flagToDebugLog)
{
var message = string.Format("ГО на покупку: {0}; ГО на продажу: {1}; Шаг цены: {2}", security.BuyDeposit, security.SellDeposit, security.StepPrice);
Logger.Log(message);
flagToDebugLog = true;
}
var le = sec.Positions.GetLastActiveForSignal("LE", barNumber);
var lastBar = security.LastBar;
var lows = pivotPointsIndicator.GetLows(barNumber);
//Logger.Log("lows.Count = " + lows.Count.ToString());
var lowsValues = new List <double>();
foreach (var low in lows)
{
lowsValues.Add(low.Value);
}
var lastPrice = lastBar.Close;
var lastLowValue = 0d;
if (lows.Count != 0)
{
lastLowValue = lowsValues.Last();
}
#region Long
if (le == null)
{
if (lastLowForOpenLongPosition != 0)
{
lastLowCaseLongClose = lastLowForOpenLongPosition;
}
lastLowForOpenLongPosition = 0;
if (patternPivotPoints_1g2.Check(lowsValues) && (lastPrice > ema[barNumber]) && (lastLowValue != lastLowCaseLongClose))
{
lastLowForOpenLongPosition = lastLowValue;
Logger.Log("Номер бара = " + barNumber.ToString() + "; Условие входа в лонг выполнено!");
var lowLast = lows.Last();
var stopPrice = lowLast.Value - atr[barNumber];
if (lastPrice > stopPrice)
{
var contracts = localMoneyManager.GetQntContracts(lastPrice, stopPrice, PositionSide.Long);
//var contracts = 1;
sec.Positions.BuyAtMarket(barNumber + 1, contracts, "LE");//174: 78583
lastPriceOpenLongPosition = lastPrice;
stopLossLong = 0;
}
}
}
else
{
if (patternPivotPoints_1g2.Check(lowsValues) && (lastPrice > ema[barNumber]) && (lastLowForOpenLongPosition != lastLowValue))
{
lastLowForOpenLongPosition = lastLowValue; //минимум для открытия (в том числе и потенциального)
if (lastPrice > lastPriceOpenLongPosition)
{
var lowLast = lows.Last();
var stopPrice = lowLast.Value - atr[barNumber];
if (lastPrice > stopPrice)
{
Logger.Log("Номер бара = " + barNumber.ToString() + "; Условие наращивания позиции лонг выполнено!");
var contracts = localMoneyManager.GetQntContracts(lastPrice, stopPrice, PositionSide.Long);
var shares = le.Shares + contracts;
le.ChangeAtMarket(barNumber + 1, shares, "LE");
lastPriceOpenLongPosition = lastPrice;
}
}
}
else
{
if (lows.Count == 0)
{
return;
}
var low = lows.Last();
var stopLoss = low.Value - atr[barNumber];
if (stopLoss > stopLossLong)
{
stopLossLong = stopLoss;
}
le.CloseAtStop(barNumber + 1, stopLossLong, 100, "LXS");
}
}
#endregion
#region Short
var se = sec.Positions.GetLastActiveForSignal("SE", barNumber);
var highs = pivotPointsIndicator.GetHighs(barNumber);
var highsValues = new List <double>();
foreach (var high in highs)
{
highsValues.Add(high.Value);
}
var lastHighValue = 0d;
if (highs.Count != 0)
{
lastHighValue = highsValues.Last();
}
if (se == null)
{
if (lastHighForOpenShortPosition != 0)
{
lastHighCaseShortClose = lastHighForOpenShortPosition;
}
lastHighForOpenShortPosition = 0;
if (patternPivotPoints_1l2.Check(highsValues) && (lastPrice < ema[barNumber]) && (lastHighValue != lastHighCaseShortClose))
{
lastHighForOpenShortPosition = lastHighValue;
Logger.Log("Номер бара = " + barNumber.ToString() + "; Условие входа в шорт выполнено!");
var highLast = highs.Last();
var stopPrice = highLast.Value + atr[barNumber];
if (lastPrice < stopPrice)
{
Logger.Log("Номер бара = " + barNumber.ToString() + "; Условие наращивания позиции шорт выполнено!");
var contracts = localMoneyManager.GetQntContracts(lastPrice, stopPrice, PositionSide.Short);
//var contracts = 1;
sec.Positions.SellAtMarket(barNumber + 1, contracts, "SE");
lastPriceOpenShortPosition = lastPrice;
stopLossShort = double.MaxValue;
}
}
}
else
{
if (patternPivotPoints_1l2.Check(highsValues) && (lastPrice < ema[barNumber]) && (lastHighForOpenShortPosition != lastHighValue))
{
lastHighForOpenShortPosition = lastHighValue; //максимум для открытия (в том числе и потенциального)
if (lastPrice < lastPriceOpenShortPosition)
{
var highLast = highs.Last();
var stopPrice = highLast.Value + atr[barNumber];
if (lastPrice < stopPrice)
{
var contracts = localMoneyManager.GetQntContracts(lastPrice, stopPrice, PositionSide.Short);
//var contracts = 1;
var shares = se.Shares + contracts;
se.ChangeAtMarket(barNumber + 1, -shares, "SE");
lastPriceOpenShortPosition = lastPrice;
}
}
}
else
{
if (highs.Count == 0)
{
return;
}
var high = highs.Last();
var stopLoss = high.Value + atr[barNumber];
if (stopLoss < stopLossShort)
{
stopLossShort = stopLoss;
}
se.CloseAtStop(barNumber + 1, stopLossShort, 100, "SXS");
}
}
#endregion
}
