public override void OnTick(params Tick[] t)
{
foreach (var indicator in indicatorList)
{
indicator.Value.HandleNextTick(t[0]);
}
if (!IsLive)
{
return;
}
for (int i = 0; i < t.Count(); i++)
{
if (indicatorList["AC" + i][0] < 0)
{
if (IAccountManager.ExistsLongPositionForSymbol(t[i].Symbol))
{
IAccountManager.ClosePosition(t[i].Symbol);
}
}
if (indicatorList["AC" + i][0] > 0)
{
if (IAccountManager.ExistsShortPositionForSymbol(t[i].Symbol))
{
IAccountManager.ClosePosition(t[i].Symbol);
}
}
if (!(t[i].AskClose - t[i].BidClose < .0003))
{
return;
}
if (indicatorList["AC" + i][0] > 0 && indicatorList["AC" + i][1] < 0 && t[0].BidClose > indicatorList["SMA"][0])
{
if (!IAccountManager.ExistsPositionForSymbol(t[i].Symbol))
{
IAccountManager.PlaceMarketOrder(t[1].Symbol, 10000, Position.PositionSide.Long, .01);
}
}
if (indicatorList["AC" + i][0] < 0 && indicatorList["AC" + i][1] > 0 && t[0].BidClose < indicatorList["SMA"][0])
{
if (!IAccountManager.ExistsPositionForSymbol(t[i].Symbol))
{
IAccountManager.PlaceMarketOrder(t[1].Symbol, 10000, Position.PositionSide.Short, .01);
}
}
}
}
public override void OnTick(params Tick[] t)
{
foreach (var indicator in indicatorList)
{
indicator.Value.HandleNextTick(t[0]);
}
if (!indicatorList["IND"][0].Equals(double.NaN))
{
dataList.Enqueue(indicatorList["IND"][0]);
}
if (dataList.Count == dataList.Capacity)
{
double nextIndicatorTick = NeuralNetwork.PredictNext(dataList.ToArray());
//order fire logic
if (nextIndicatorTick > 0 && nextIndicatorTick > prevIndicatorTick && prevIndicatorTick < 0)
{
if (!IAccountManager.ExistsPositionForSymbol(t[0].Symbol))
{
IAccountManager.PlaceMarketOrder(t[0].Symbol, 10000, Position.PositionSide.Long, .001);
}
}
//order fire logic
if (nextIndicatorTick < prevIndicatorTick)
{
if (IAccountManager.ExistsLongPositionForSymbol(t[0].Symbol))
{
IAccountManager.ClosePosition(t[0].Symbol);
}
}
if (nextIndicatorTick < 0 && nextIndicatorTick < prevIndicatorTick && prevIndicatorTick > 0)
{
if (!IAccountManager.ExistsPositionForSymbol(t[0].Symbol))
{
IAccountManager.PlaceMarketOrder(t[0].Symbol, 10000, Position.PositionSide.Short, .001);
}
}
if (nextIndicatorTick > prevIndicatorTick)
{
if (IAccountManager.ExistsShortPositionForSymbol(t[0].Symbol))
{
IAccountManager.ClosePosition(t[0].Symbol);
}
}
prevIndicatorTick = nextIndicatorTick;
}
}
public override void OnTick(params Tick[] t)
{
channel.HandleNextTick(t[0]);
foreach (var indicator in indicatorList)
{
indicator.Value.HandleNextTick(t[0]);
}
if (prevTick != null)
{
if (IAccountManager.ExistsLongPositionForSymbol(t[0].Symbol))
{
if (indicatorList["EMA"][0] < channel.LOW(0))
{
IAccountManager.ClosePosition(t[0].Symbol);
}
}
if (IAccountManager.ExistsShortPositionForSymbol(t[0].Symbol))
{
if (indicatorList["EMA"][0] > channel.HI(0))
{
IAccountManager.ClosePosition(t[0].Symbol);
}
}
//Volatility high
if (indicatorList["HVOL"][0] > 40)
{
if (!IAccountManager.ExistsPositionForSymbol(t[0].Symbol))
{
if (indicatorList["EMA"][0] > channel.HI(0) && indicatorList["EMA"][1] < channel.HI(1))
{
IAccountManager.PlaceMarketOrder(t[1].Symbol, 10000, Position.PositionSide.Long, STOPLEVEL);
}
}
if (!IAccountManager.ExistsPositionForSymbol(t[0].Symbol))
{
if (indicatorList["EMA"][0] < channel.LOW(0) && indicatorList["EMA"][1] > channel.LOW(1))
{
IAccountManager.PlaceMarketOrder(t[1].Symbol, 10000, Position.PositionSide.Short, STOPLEVEL);
}
}
}
}
prevTick = t[0];
}
public override void OnTick(params Tick[] t)
{
data1.Enqueue(t[0].BidClose);
data2.Enqueue(t[1].BidClose);
double STOP = 1.005;
if (counter++ >= n)
{
var d1 = new DenseVector(data1.ToArray().NormalizeZScore());
var d2 = new DenseVector(data2.ToArray().NormalizeZScore());
double spread;
//spread= (d1 - d2).ToArray().NormalizeZScore()[d1.Count - 1];
List <double[]> mat = new List <double[]>();
mat.Add(d1.ToArray());
mat.Add(d2.ToArray());
List <MaxEigenData> maxEigen = new List <MaxEigenData>();
double[] maxEigenValues;
double[,] eigenMatrix;
JohansenHelper.DoMaxEigenValueTest(mat, 5, out maxEigen, out maxEigenValues, out eigenMatrix);
spread = (maxEigenValues[0] * d1 - maxEigenValues[1] * d2).ToArray().NormalizeZScore()[d1.Count - 1];
TEMA.HandleNextTick(spread);
((GenericContainer)indicatorList["Container"]).HandleNextTick(spread);
/*
* //t[0] hit stop / limit
* if ( (IAccountManager.ExistsShortPositionForSymbol(t[1].Symbol) &&
* !IAccountManager.ExistsLongPositionForSymbol(t[0].Symbol))
||
|| (IAccountManager.ExistsLongPositionForSymbol(t[1].Symbol) &&
|| !IAccountManager.ExistsShortPositionForSymbol(t[0].Symbol))
|| )
||{
|| if(!IAccountManager.GetStopOrder(t[1].Symbol).Trailing)
|| IAccountManager.ModifyTrailingStop(t[1], STOP/2);
||}
||
||//t[1] positiong hit stop/limit
||if ((IAccountManager.ExistsShortPositionForSymbol(t[0].Symbol) &&
|| !IAccountManager.ExistsLongPositionForSymbol(t[1].Symbol))
||
|| (IAccountManager.ExistsLongPositionForSymbol(t[0].Symbol) &&
|| !IAccountManager.ExistsShortPositionForSymbol(t[1].Symbol))
|| )
||{
|| if (!IAccountManager.GetStopOrder(t[0].Symbol).Trailing)
|| IAccountManager.ModifyTrailingStop(t[0], STOP/2);
||}
*/
if (spread < -1 && IAccountManager.ExistsShortPositionForSymbol(t[0].Symbol) &&
IAccountManager.ExistsLongPositionForSymbol(t[1].Symbol))
{
IAccountManager.ClosePosition(t[0].Symbol);
IAccountManager.ClosePosition(t[1].Symbol);
Console.WriteLine("Closed Pair Trade.");
}
if (spread > 1 && IAccountManager.ExistsLongPositionForSymbol(t[0].Symbol) &&
IAccountManager.ExistsShortPositionForSymbol(t[1].Symbol))
{
IAccountManager.ClosePosition(t[0].Symbol);
IAccountManager.ClosePosition(t[1].Symbol);
Console.WriteLine("Closed Pair Trade.");
}
//short d1, long d2 if spread > 2.0
if (TEMA[0] < 3 && TEMA[1] > 3 && !IAccountManager.ExistsPositionForSymbol(t[0].Symbol) &&
!IAccountManager.ExistsPositionForSymbol(t[1].Symbol))
{
IAccountManager.PlaceMarketOrder(t[0].Symbol, 10000, Position.PositionSide.Short, STOP);
IAccountManager.PlaceMarketOrder(t[1].Symbol, 10000, Position.PositionSide.Long, STOP);
Console.WriteLine("Placed Pair Trade.");
}
if (TEMA[0] > -3 && TEMA[1] < -3 && !IAccountManager.ExistsPositionForSymbol(t[0].Symbol) &&
!IAccountManager.ExistsPositionForSymbol(t[1].Symbol))
{
IAccountManager.PlaceMarketOrder(t[0].Symbol, 10000, Position.PositionSide.Long, STOP);
IAccountManager.PlaceMarketOrder(t[1].Symbol, 10000, Position.PositionSide.Short, STOP);
Console.WriteLine("Placed Pair Trade.");
}
}
}