private List <TradeSignal> Calculate(Dictionary <Selection, IEnumerable <Bar> > marketData)
{
var signals = new List <TradeSignal>();
if (State == SignalState.Backtesting)
{
foreach (var data in marketData)
{
if (_dataStorage.TryGetValue(data.Key, out var neededValue))
{
_dataStorage[data.Key] = neededValue.Concat(data.Value);
}
else
{
_dataStorage.Add(data.Key, data.Value);
}
}
}
else
{
_dataStorage = marketData;
}
//calculate for each selection
foreach (var data in _dataStorage)
{
if (data.Value.Count() < RequiredBarsCount)
{
continue;
}
//MQL Compatibility Methods
decimal GetCurrentBid() => data.Value.Last()?.CloseBid ?? 0m;
decimal GetCurrentAsk() => data.Value.Last()?.CloseAsk ?? 0m;
DateTime GetCurrentDate() => data.Value.Last()?.Date ?? DateTime.Now;
Bar RatesArray(int index) => data.Value.ElementAt(data.Value.Count() - ++index);
///////////////////////////
var zigZag = new ZigZag();
zigZag.Init(null, DataProvider);
zigZag.Calculate(data.Value);
_zzBuffer = new List <decimal>(zigZag.Series[0].Values.Select(s => (decimal)s.Value));
_hl[0] = 666;
if (_hl[0] == 666)
{
var zCount = 0;
for (var i = 0; i <= _zzBuffer.Count && zCount <= 3; i++)
{
if (_zzBuffer[i] == 0)
{
continue;
}
_hl[zCount] = _zzBuffer[i];
_hlTime[zCount] = RatesArray(i).Date;
zCount++;
}
_trendDirection = CheckTrend(_hl[0], _hl[1], _hl[2], _hl[3]);
_fibo00 = _hl[0];
_fibo100 = _hl[1];
_fiboBase = Math.Abs(_fibo100 - _fibo00);
}
// high-low points mapping in concequence
if (_zzBuffer[0] != 0 && _zzBuffer[0] != _hl[0])
{
_hl[3] = _hl[2];
_hl[2] = _hl[1];
_hl[1] = _hl[0];
_hl[0] = _zzBuffer[0];
_hlTime[3] = _hlTime[2];
_hlTime[2] = _hlTime[1];
_hlTime[1] = _hlTime[0];
_hlTime[0] = RatesArray(0).Date;
_trendDirection = CheckTrend(_hl[0], _hl[1], _hl[2], _hl[3]);
}
if (BrokerAccounts == null)
{
continue;
}
foreach (var brokerAccount in BrokerAccounts)
{
if (GetPositions(brokerAccount, data.Key.Symbol)?.Count != 0)
{
continue;
}
switch (_trendDirection)
{
case 1:
_fiboBase = _fibo00 - _fibo100;
_fibo23 = _fibo00 - 0.236m * _fiboBase;
_fibo38 = _fibo00 - 0.382m * _fiboBase;
_fibo61 = _fibo00 - 0.618m * _fiboBase;
_fibo76 = _fibo00 - 0.764m * _fiboBase;
if (_hl[0] > _fibo00)
{
_fibo00 = _hl[0];
if (_hl[0] - _hl[1] > _fiboBase)
{
_fibo100 = _hl[1];
}
}
if (_hl[0] < _fibo100)
{
_fibo00 = _hl[0];
_fibo100 = _hl[1];
_trendDirection = CheckTrend(_hl[0], _hl[1], _hl[2], _hl[3]);
}
if (RatesArray(0).MeanClose - _fibo76 > Point * _safetyBuffer &&
_fibo76 - RatesArray(1).MeanClose > Point * _safetyBuffer ||
RatesArray(0).MeanClose - _fibo61 > Point * _safetyBuffer &&
_fibo61 - RatesArray(1).MeanClose > Point * _safetyBuffer ||
RatesArray(0).MeanClose - _fibo38 > Point * _safetyBuffer &&
_fibo38 - RatesArray(1).MeanClose > Point * _safetyBuffer ||
RatesArray(0).MeanClose - _fibo23 > Point * _safetyBuffer &&
_fibo23 - RatesArray(1).MeanClose > Point * _safetyBuffer)
{
var signal = TradeCheck(1, data.Key, GetCurrentBid(), GetCurrentAsk(), GetCurrentDate());
if (signal != null)
{
signals.Add(signal);
}
}
break;
case -1:
_fiboBase = _fibo100 - _fibo00;
_fibo23 = _fibo00 + 0.236m * _fiboBase;
_fibo38 = _fibo00 + 0.382m * _fiboBase;
_fibo61 = _fibo00 + 0.618m * _fiboBase;
_fibo76 = _fibo00 + 0.764m * _fiboBase;
if (_hl[0] < _fibo00)
{
_fibo00 = _hl[0];
if (_hl[1] - _hl[0] > _fiboBase)
{
_fibo100 = _hl[1];
}
}
if (_hl[0] > _fibo100)
{
_fibo00 = _hl[0];
_fibo100 = _hl[1];
_trendDirection = CheckTrend(_hl[0], _hl[1], _hl[2], _hl[3]);
}
if (_fibo76 - RatesArray(0).MeanClose > Point * _safetyBuffer &&
_fibo76 - RatesArray(1).MeanClose < Point * _safetyBuffer ||
_fibo61 - RatesArray(0).MeanClose > Point * _safetyBuffer &&
_fibo61 - RatesArray(1).MeanClose < Point * _safetyBuffer ||
_fibo38 - RatesArray(0).MeanClose > Point * _safetyBuffer &&
_fibo38 - RatesArray(1).MeanClose < Point * _safetyBuffer ||
_fibo23 - RatesArray(0).MeanClose > Point * _safetyBuffer &&
_fibo23 - RatesArray(1).MeanClose < Point * _safetyBuffer)
{
var signal = TradeCheck(-1, data.Key, GetCurrentBid(), GetCurrentAsk(), GetCurrentDate());
if (signal != null)
{
signals.Add(signal);
}
}
break;
case 0:
_fiboBase = 0;
_fibo23 = 0;
_fibo38 = 0;
_fibo61 = 0;
_fibo76 = 0;
break;
}
}
}
return(signals);
}