public void FillSettings(StrategySettings settings)
{
var udSettings = (SimpleStrategySettings)settings;
udSettings.BuyThreshold = (double)numBuyThreshold.Value;
udSettings.SellThreshold = -(double)numSellThreshold.Value;
}
public void FillSettings(StrategySettings settings)
{
var emaSettings = (EMAStrategySettings)settings;
emaSettings.BuyThreshold = (double)numBuyThreshold.Value;
emaSettings.SellThreshold = -(double)numSellThreshold.Value;
emaSettings.FastEMAPeriod = (int)numFastMAPeriod.Value;
emaSettings.SlowEMAPeriod = (int)numSlowMAPeriod.Value;
}
/// <summary>
/// Saves settings into the object
/// </summary>
/// <param name="settings"></param>
public void FillSettings(StrategySettings settings)
{
var macdSettings = (MACDStrategySettings)settings;
macdSettings.BuyThreshold = (double)numBuyThreshold.Value;
macdSettings.SellThreshold = -(double)numSellThreshold.Value;
macdSettings.FastEMAPeriod = (int)numFastMAPeriod.Value;
macdSettings.SlowEMAPeriod = (int)numSlowMAPeriod.Value;
macdSettings.SignalPeriod = (int)numSignal.Value;
}
public static VolumeStrategySettings FromSettings(StrategySettings settings)
{
return(new VolumeStrategySettings(
(Market)settings.Get(MarketCaption),
(Pair)settings.Get(PairCaption),
(int)settings.Get(PeriodCaption),
(int)settings.Get(BarCountCaption),
(int)settings.Get(GrowingPercentageCaption)
));
}
public PickController(
ILogger <PickController> logger,
IOptions <StrategySettings> settings,
IPickStrategyFactory strategyFactory,
IPredictorProxyService predictorProxy)
{
_logger = logger;
_settings = settings.Value;
_strategyFactory = strategyFactory;
_predictorProxy = predictorProxy;
}
///////////////
#endregion //PRIVATE_MEMBERS
#region MONOBEHAVIOUR_METHODS
protected virtual void Start()
{
mCamSettings = FindObjectOfType <CameraSettings>();
mTrackableSettings = FindObjectOfType <TrackableSettings>();
mMenuAnim = FindObjectOfType <MenuAnimator>();
////////////////
mStrtSettings = FindObjectOfType <StrategySettings>();
mToggleGroup = GetComponentInChildren <ToggleGroup>();
prev_tgl = mToggleGroup.ActiveToggles().FirstOrDefault();
///////////////
}
public StrategySettings ToSettings()
{
var result = new StrategySettings();
result.Add(MarketCaption, Market);
result.Add(PairCaption, Pair);
result.Add(PeriodCaption, PeriodMinute);
result.Add(BarCountCaption, GrowingBarCount);
result.Add(GrowingPercentageCaption, GrowingPercentage);
return(result);
}
private void DetermineStopLoss(object sender, ElapsedEventArgs e)
{
settings = AppSettings.GetStrategySettings2(_StategyName); //AppSettings.GetStrategySettings("macd");
LastBuyAtPrice = settings.last_buy_price; //Convert.ToDecimal(settings[0]["last_buy_price"].ToString());
LastSellAtPrice = settings.last_sell_price; //Convert.ToDecimal(settings[0]["last_sell_price"].ToString());
if (LastBuyAtPrice == 0)
{
return;
}
var stopLossPercent = settings.stop_loss_percent; //Convert.ToDecimal(settings[0]["stop_loss_percent"].ToString());
var curPrice = contextVals.CurrentBufferedPrice;
var curDiff = Math.Round(curPrice - LastBuyAtPrice, 4);
var diffPercentage = Math.Round((curDiff / LastBuyAtPrice) * 100, 4);
if (stopLossCounter % 3 == 0 || stopLossCounter == 0)
{
var msg = string.Format(_StategyName + ": Price change since last buy: {0}-{1} = {2} ({3}%)",
Math.Round(curPrice, 4).ToString(), Math.Round(LastBuyAtPrice, 4).ToString(), curDiff.ToString(), diffPercentage.ToString());
Logger.WriteLog(msg);
}
stopLossCounter += 1;
if (diffPercentage <= Math.Abs(stopLossPercent) * -1)
{
StopLossInEffect = true;
if (stopLossCounter % 2 == 0 || stopLossCounter == 0)
{
Logger.WriteLog("Stop Loss in effect");
}
Sell = true;
Buy = false;
}
else
{
//Sell = false;
//Buy = false;
StopLossInEffect = false;
}
}
/// <summary>
/// Initialises a new instance of the class
/// </summary>
/// <param name="settings">the strategy settings</param>
/// <param name="tradingIndicator">The indicator to use</param>
public BaseTradingStrategy(StrategySettings settings, ITradingIndicator tradingIndicator)
{
_settings = settings;
_tradingIndicator = tradingIndicator;
_pair = settings.Pair;
Actions = new List <MarketAction>();
// Only do back testing trading for now
_proxy = new FakeExchange();
if (_proxy is FakeExchange)
{
(_proxy as FakeExchange).Init(settings.InitialItem1Balance, settings.InitialItem2Balance, settings.BuyFee, settings.SellFee);
}
}
public TrainingSession(StockPortfolio portfolio, Stock stock, BestNetworkDTO dto, NeuralStockSettings settings)
{
_statisticsService = ApplicationHelper.CurrentCompositionContainer.GetExportedValue <IStatisticsService>();
Portfolio = portfolio;
Stock = stock;
TrainSamplePercentage = settings.PercentageTraining;
NumberAnns = settings.NumberANNs;
NumberHiddenLayers = settings.NumberHiddenLayers;
NumberNeuronsPerHiddenLayer = settings.NumberNeuronsHiddenLayer;
NumberDaysBetweenTransactions = settings.NumberDaysBetweenTransactions;
BuyLevel = dto.BuyLevel;
SellLevel = dto.SellLevel;
var strategy = new StrategyI(StrategySettings.FromJson(dto.StrategySettings), settings)
{
TrainingMeansInput = dto.TrainingMeansInput?.ToArray(),
TrainingStdDevsInput = dto.TrainingStdDevsInput?.ToArray(),
TrainingMeansOutput = dto.TrainingMeansOutput?.ToArray(),
TrainingStdDevsOutput = dto.TrainingStdDevsOutput?.ToArray()
};
var tmpFileName = Path.GetTempFileName();
File.WriteAllBytes(tmpFileName, dto.BestNeuralNet);
var net = new NeuralNet(tmpFileName);
_cachedPredictions.Clear();
SplitTrainTestData();
var trainingTestingData = PrepareAnnData(strategy, false);
var prediction = Predict(trainingTestingData, net, false);
var profitLossCalculator = new ProfitLossCalculator(Portfolio.Reset(), this, prediction.Item1);
_cachedPredictions.Add(new Prediction(profitLossCalculator, strategy, net, prediction.Item2,
prediction.Item3));
}
public BitmexDOMListener(IBitmexApiSocketService svc, StrategySettings settings)
{
_svc = svc;
_svc.Connect();
_svc.Subscribe(BitmetSocketSubscriptions.CreateOrderBookL2Subsription(
msg =>
{
foreach (var dto in msg.Data)
{
if (!string.Equals(dto.Symbol, settings.Instrument.Symbol, StringComparison.OrdinalIgnoreCase))
{
continue;
}
var tmp = OnDOMChanged;
if (tmp != null)
{
tmp();
}
}
}
));
}
public OrderManager(IExecutionStrategy exec, StrategySettings settings)
{
_exec = exec;
_settings = settings;
_exec.DeleteAllOrders(_settings.Instrument).Wait();
}
private void UpdateMacdValues(object sender, EventArgs e)
{
Logger.WriteLog(String.Format("Udating {0} strategy values", _StategyName));
//if (StopLossInEffect)
//{
// Logger.WriteLog("Stop loss in effect");
// return;
//}
var largeSmaDataPoints = BigSma.SmaDataPoints;
var smallSmaDataPoints = SmallSma.SmaDataPoints;
//var emaTest = MovingAverage.SharedRawExchangeData.Select((d) => (double)d.Close).ToList().EMA(500);
//var fst = emaTest.First();
//var lst = emaTest.Last();
var smaDiff =
from i in
Enumerable.Range(0, Math.Max(largeSmaDataPoints.Count, smallSmaDataPoints.Count))
select smallSmaDataPoints.ElementAtOrDefault(i) - largeSmaDataPoints.ElementAtOrDefault(i);
var curSmaDiff = Math.Round(smaDiff.First(), 4);
settings = AppSettings.GetStrategySettings2(_StategyName);
var largeSignal = settings.signal; //Convert.ToInt16(settings[0]["signal"].ToString());
var smallSignal = settings.my_sma; //Convert.ToInt16(settings[0]["my_sma"].ToString());
var L_SIGNAL_LEN = largeSignal; //14;
var S_SIGNAL_LEN = smallSignal; //5;
var bigSmaOfMacd = Math.Round(smaDiff.ToList().SMA(L_SIGNAL_LEN).First(), 4);
var smallSmaOfMacd = Math.Round(smaDiff.ToList().SMA(S_SIGNAL_LEN).First(), 4);
//todo:
//Logger.WriteLog("current large ema " + MovingAverage.SharedRawExchangeData.Select((d) => (double)d.Close).ToList().EMA(100).First());
//Logger.WriteLog("current small ema " + MovingAverage.SharedRawExchangeData.Select((d) => (double)d.Close).ToList().EMA(15).First()); //largeSmaDataPoints.EMA(15));
Logger.WriteLog(string.Format("macd values: \n" +
"\tcurent small sma: {0}\n" +
"\tcurent large sma: {1}\n" +
"\tsmall - large = macd: {2}\n" +
"\tbig sma of macd: {3}\n" +
"\tsmall sma of macd: {4}\n", Math.Round(smallSmaDataPoints.First(), 4), Math.Round(largeSmaDataPoints.First(), 4), curSmaDiff, bigSmaOfMacd, smallSmaOfMacd));
var useBothSma = settings.use_two_sma; //Convert.ToBoolean(settings[0]["use_two_sma"].ToString());
if (IsValuesToClose(curSmaDiff, smallSmaOfMacd))
{
Logger.WriteLog("values to close to each other, skipping buy / sell. \n" +
"macd: " + curSmaDiff.ToString() + " smallSmaMacd: " + smallSmaOfMacd.ToString());
return;
}
if (useBothSma)
{
if (curSmaDiff > bigSmaOfMacd && curSmaDiff > smallSmaOfMacd)
{
//if stop loss in effect -> no need to indicate to buy since stop loss already sold and graph suggests buy
if (StopLossInEffect)
{
Logger.WriteLog("Stop Loss in effect (BUY = True), cant buy again now");
return;
}
//buy condition
Logger.WriteLog("BUY = true");
Buy = true;
Sell = false;
}
else
{
//if stop loss in effect (and graph saying sell)-> then turn it off and signal to sell if not already sold
if (StopLossInEffect)
{
StopLossInEffect = false;
//set last buy price (value will be overridden in buy func) to 0
//this stops dterimeStopLoss to return false and
//so that stop loss does not get set to on again
//AppSettings.SaveUpdateStrategySetting("macd", "last_buy_price", "0.01");
//update all strategies with last buy price to 0.01
var allStrategies = AppSettings.GetAllStrategies();
foreach (var s in allStrategies)
{
AppSettings.SaveUpdateStrategySetting(s.StrategyName, "last_buy_price", "0.01");
}
Logger.WriteLog("Stop Loss in effect (SELL = True), resetting stoploss flag to false.");
//reload the settings to get 0.00 for last_buy_price
//which disables stopLoss flag
AppSettings.Reloadsettings();
return;
}
//sell
Logger.WriteLog("Sell = true");
Sell = true;
Buy = false;
}
}
else
{
if (curSmaDiff > smallSmaOfMacd)
{
//if stop loss in effect -> no need to indicate to buy since stop loss already sold and graph suggests buy
if (StopLossInEffect)
{
Logger.WriteLog("Stop Loss in effect, cant buy again now");
return;
}
//buy condition
Buy = true;
Sell = false;
}
else
{
//if stop loss in effect (and graph saying sell)-> then turn it off and signal to sell if not already sold
if (StopLossInEffect)
{
StopLossInEffect = false;
//set last buy price (value will be overridden in buy func) to 0
//this stops dterimeStopLoss to return false and
//so that stop loss does not get set to on again
//AppSettings.SaveUpdateStrategySetting("macd", "last_buy_price", "0.00");
var allStrategies = AppSettings.GetAllStrategies();
foreach (var s in allStrategies)
{
AppSettings.SaveUpdateStrategySetting(s.StrategyName, "last_buy_price", "0.01");
}
Logger.WriteLog("Stop Loss in effect, resetting stoploss flag to false.");
//reload the settings to get 0.00 for last_buy_price
//which disables stopLoss flag
AppSettings.Reloadsettings();
return;
}
//sell
Sell = true;
Buy = false;
}
}
//throw new NotImplementedException();
}
public Macd(ref ContextValues inputContextValues, string macdStrategyName)
{
Buy = false;
Sell = false;
stopLossCounter = 0;
StopLossInEffect = false;
_StategyName = macdStrategyName;
settings = AppSettings.GetStrategySettings2(_StategyName);
if (settings == null)
{
throw new Exception("CantInitSettingsError");
}
Logger.WriteLog("macd settings found: ");
AppSettings.PrintStrategySetting(settings.StrategyName);
LastBuyAtPrice = settings.last_buy_price; //Convert.ToDecimal(settings[0]["last_buy_price"].ToString());
LastSellAtPrice = settings.last_sell_price; //Convert.ToDecimal(settings[0]["last_sell_price"].ToString());
CommonINTERVAL = settings.time_interval; //30;//30; //min
int largeSmaLENGTH = settings.slow_sma; //100;
int smallSmaLENGTH = settings.fast_sma; //15;
updateInterval = CommonINTERVAL; //update values every 1 min to keep sma data updated
BigSma = new MovingAverage(ref inputContextValues.CurrentTicker, inputContextValues.ProductName, CommonINTERVAL, largeSmaLENGTH);
SmallSma = new MovingAverage(ref inputContextValues.CurrentTicker, inputContextValues.ProductName, CommonINTERVAL, smallSmaLENGTH);
contextVals = inputContextValues;
//if (aTimer != null) //timer already in place
//{
// aTimer.Elapsed -= UpdateMacdValues;
// aTimer.Stop();
// aTimer = null;
//}
//aTimer = new System.Timers.Timer();
//aTimer.Elapsed += UpdateMacdValues;
//aTimer.Interval = updateInterval * 60 * 1000;
//aTimer.Enabled = true;
//aTimer.Start();
BigSma.MovingAverageUpdatedEvent += UpdateMacdValues;
UpdateMacdValues(this, null);
if (StopLossTimer != null) //timer already in place
{
StopLossTimer.Elapsed -= DetermineStopLoss;
StopLossTimer.Stop();
StopLossTimer = null;
}
StopLossTimer = new System.Timers.Timer();
StopLossTimer.Elapsed += DetermineStopLoss;
StopLossTimer.Interval = 1 * 60 * 1000; //every minute check the stop loss condition
StopLossTimer.Enabled = true;
StopLossTimer.Start();
DetermineStopLoss(this, null);
}
public VolumeStrategy(StrategySettings settings)
{
_settings = VolumeStrategySettings.FromSettings(settings);
Updater.SetSettings(settings);
}