public void Scan(TradeBar data)
{
_signal.Scan(data);
Signal = _signal.Signal != _previousSignalType ? _signal.Signal : SignalType.NoSignal;
_previousSignalType = _signal.Signal;
}
public void EnterTradeSignal(QuoteBar data, bool isWarmingUp)
{
EnterSignal.Scan(data);
if (!isWarmingUp && IsTradable &&
(EnterSignal.Signal == SignalType.Long || EnterSignal.Signal == SignalType.Short) &&
_security.Exchange.ExchangeOpen)
{
//Creates a new trade profile once it enters a trade
var profile = new TradeProfile(_symbol, _security.VolatilityModel.Volatility, _risk, data.Price, _maximumTradeSize);
if (!profile.IsSpreadTradable(data))
{
return;
}
profile.ExitSignal = ExitSignal.ExitSignalFactory(profile);
if (profile.Quantity > 0 && _tradeProfiles.Count == 0)
{
var hmmPrediction = 1m;// _hmmPositionSizing.PredictionRisk();
var quantity = (int)((int)EnterSignal.Signal * profile.Quantity * hmmPrediction);
var askLimit = data.Ask.Close - (1m / 10000m);
var bidLimit = data.Bid.Close + (1m / 10000m);
var limitPrice = EnterSignal.Signal == SignalType.Long ? askLimit : bidLimit;
try
{
profile.OpenTicket = _orderMethods.MarketOrder(_symbol, quantity, false, ((int)EnterSignal.Signal).ToString());
//profile.OpenTicket = _orderMethods.LimitOrder(_symbol, quantity, OrderUtil.RoundOrderPrices(_security, limitPrice), ((int)EnterSignal.Signal).ToString());
var stopPrice = data.Close - (int)EnterSignal.Signal * profile.DeltaStopLoss;
profile.StopTicket = _orderMethods.StopMarketOrder(_symbol, -quantity, OrderUtil.RoundOrderPrices(_security, stopPrice));
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
//var stopPrice = profile.OpenTicket.AverageFillPrice - (int)EnterSignal.Signal * profile.DeltaStopLoss;
/*Console.WriteLine("{0} {1} {2} {3}",
* profile.OpenTicket.OrderEvents.Select((oe) => oe.Direction).First() == OrderDirection.Buy ? "Buy " : "Sell",
* profile.OpenTicket.AverageFillPrice,
* profile.StopTicket.Get(OrderField.StopPrice),
* Math.Abs(data.Ask.Close - data.Bid.Close) * 10000
* );*/
/*profile.StopTicket = _orderMethods.StopLimitOrder(_symbol, -(int) EnterSignal.Signal * profile.Quantity,
* profile.OpenTicket.AverageFillPrice - (int) EnterSignal.Signal * profile.DeltaStopLoss,
* profile.OpenTicket.AverageFillPrice - (int) EnterSignal.Signal * profile.DeltaStopLoss);*/
_tradeProfiles.Add(profile);
}
}
}
public void Scan(QuoteBar data)
{
_signal.Scan(data);
if (_signal.Signal != _previousSignalType)
{
Signal = _signal.Signal;
}
else
{
Signal = SignalType.NoSignal;
}
_previousSignalType = _signal.Signal;
}
/// <summary>
/// Executes all the logic when the Enter Signal is triggered
/// </summary>
/// <param name="data"></param>
public void EnterTradeSignal(TradeBar data, Security symbol)
{
EnterSignal.Scan(data);
if (symbol.IsTradable && EnterSignal.Signal == SignalType.Long || EnterSignal.Signal == SignalType.Short)
{
//Creates a new trade profile once it enters a trade
var profile = new TradeProfile(_symbol, _security.VolatilityModel.Volatility, _risk, data.Close, _maximumTradeSize);
profile.ExitSignal = ExitSignal.ExitSignalFactory(profile);
var profileQuantity = profile.Quantity;
if (profileQuantity > 0)
{
profile.OpenTicket = _orderMethods.MarketOrder(_symbol, (int)EnterSignal.Signal * profile.Quantity);
profile.StopTicket = _orderMethods.StopMarketOrder(_symbol, -(int)EnterSignal.Signal * profile.Quantity,
profile.OpenTicket.AverageFillPrice - (int)EnterSignal.Signal * profile.DeltaStopLoss);
_tradeProfiles.Add(profile);
}
}
}