public SignalFXMole(MarketData fx, IndicatorRSI rsi, ModelMacD macD, IndicatorRSI[] rsiRefs, decimal volCoeff)
: base("FXMole_" + rsi.PeriodSizeMn + "_" + rsi.NbPeriods + "_" + fx.Id, fx)
{
_startThreshold = 2m;
_timeFrameMn = 90;
_timeFramePeakMn = 75;
_timeFrameBottomMn = 30;
_timeFrameStopLossMn = 30;
_timeFrameRsiLongMn = 5;
_rsiBuyThreshold = 30m;
_rsiSellThreshold = 70m;
_minVol = 15m * volCoeff;
_maxVol = 30m * volCoeff;
_maxLongVol = 50m * volCoeff;
_maxTotalVol = 100m * volCoeff;
_rsi_loss_reset = true;
_emaVeryShort = macD.SignalLow.IndicatorLow;
_emaShort = macD.SignalHigh.IndicatorLow;
_emaLong = macD.SignalHigh.IndicatorHigh;
_rsiRefs = rsiRefs;
_nominalVol = 10m * volCoeff;
_highVol = 25m * volCoeff;
_maxSpread = volCoeff * 1.20m; // max +20% spread
_maxShortMacDSpread = 5m * volCoeff;
_maxLongMacDSpread = 10m * volCoeff;
_maxWmVol = 2m * volCoeff;
//_rsiLong = new IndicatorRSI(fx, rsi.PeriodSizeMn, rsi.NbPeriods * 2);
_trend = new IndicatorTrend(fx, rsi.PeriodSizeMn * 30, rsi.NbPeriods, false);
_wmvol = new IndicatorWMVol(fx, _emaVeryShort, 60, 90);
//_wmvolLong = new IndicatorWMVol(fx, _emaLong);
_volTrend = new IndicatorTrend(_wmvol, 30, 6, true);
//_volTrendAvg = new IndicatorEMA(_wmvol, _timeFrameMn);
_volTrendTrend = new IndicatorTrend(_volTrend, 30, 6, true);
//_volCurve = new IndicatorCurve(_volTrend);
for (int idxInterval = 0; idxInterval < _timeFrameStopLossMn; idxInterval++)
{
stopLossTimes.Add(new Interval(idxInterval, idxInterval + 1));
}
decimal prevStopLoss = _nominalVol;
for (int idxLin = 0; idxLin < _timeFrameStopLossMn; idxLin++)
{
decimal stopLoss = _nominalVol * (1m - (decimal)idxLin / _timeFrameStopLossMn);
stopLossValues.Add(new Interval(prevStopLoss, stopLoss));
stopWinValues.Add(new Interval(prevStopLoss, stopLoss));
prevStopLoss = stopLoss;
}
for (int idxLin = 0; idxLin <= _timeFrameStopLossMn; idxLin++)
{
bigStopLossValues.Add(new Interval(_highVol, _highVol));
}
_trend.Subscribe(OnUpdateTrend, null);
//_rsiLong.Subscribe(OnUpdateRsiLong, null);
_wmvol.Subscribe(OnUpdateWmVol, null);
//_wmvolLong.Subscribe(OnUpdateWmVolLong, null);
_mktIndicator.Add(rsi);
_signalCode = SIGNAL_CODE.HOLD;
}
public ModelFXMole(List <MarketData> fx, ModelMacD macD, decimal volCoeff)
{
_fx = fx;
_macD = macD;
_volCoeff = volCoeff;
_rsi = new IndicatorRSI(_fx[0], 3, 45);
_mapRsiRef = new IndicatorRSI[_fx.Count - 1];
for (int idxFX = 1; idxFX < _fx.Count; idxFX++)
{
_mapRsiRef[idxFX - 1] = new IndicatorRSI(_fx[idxFX], 1, 14);
}
}
public IndicatorWatershed(MarketData mktData, int resolutionMinutes, int nbPools, IndicatorRSI rsi)
: base("Water_" + resolutionMinutes + "_" + nbPools + "_", new List <MarketData> {
mktData
})
{
_resolutionSeconds = resolutionMinutes * 60;
_nbPools = nbPools;
_rsi = rsi;
if (Config.Settings.ContainsKey("ASSUMPTION_TREND"))
{
_trend = Config.Settings["ASSUMPTION_TREND"] == "BEAR" ? SIGNAL_CODE.SELL : SIGNAL_CODE.BUY;
}
}
public override void Subscribe(string[] epics, IHandyTableListener tableListener)
{
Dictionary <string, List <CqlQuote> > priceData = GetReplayData(epics);
if (priceData.Count == 0)
{
return;
}
Calendar dayCalendar = new Calendar(priceData.First().Value[0].t);
foreach (var epic in epics)
{
// for each quote, associate the observed gains in the near future
var mktData = new MarketData(epic);
var wmaLow = new IndicatorEMA(mktData, 2);
var wmaMid = new IndicatorEMA(mktData, 10);
var wmaHigh = new IndicatorEMA(mktData, 30);
var wmaVeryHigh = new IndicatorEMA(mktData, 90);
var rsiShort = new IndicatorRSI(mktData, 1, 14);
var rsiLong = new IndicatorRSI(mktData, 2, 14);
var trendShort = new IndicatorTrend(mktData, 90, 14, false);
var trendLong = new IndicatorTrend(mktData, 180, 14, false);
var wmvolLow = new IndicatorWMVol(mktData, wmaLow, 60, 90);
var wmvolHigh = new IndicatorWMVol(mktData, wmaMid, 60, 90);
var volTrendLow = new IndicatorTrend(wmvolLow, 30, 6, true);
var volTrendHigh = new IndicatorTrend(wmvolHigh, 60, 6, true);
var allIndicators = new List <IndicatorWMA>();
allIndicators.Add(wmaLow);
allIndicators.Add(wmaMid);
allIndicators.Add(wmaHigh);
allIndicators.Add(wmaVeryHigh);
allIndicators.Add(rsiShort);
allIndicators.Add(rsiLong);
allIndicators.Add(trendShort);
allIndicators.Add(trendLong);
allIndicators.Add(wmvolLow);
allIndicators.Add(wmvolHigh);
allIndicators.Add(volTrendLow);
allIndicators.Add(volTrendHigh);
foreach (var quote in priceData[epic])
{
var mktDataValue = new Price(quote.MidPrice());
mktData.Process(quote.t, mktDataValue);
foreach (var ind in allIndicators)
{
ind.Process(quote.t, mktDataValue);
}
}
var expectations = new Dictionary <DateTime, KeyValuePair <CqlQuote, decimal> >();
var gainDistribution = new SortedList <int, DateTime>();
KeyValuePair <int, DateTime> minProfit = new KeyValuePair <int, DateTime>(1000000, DateTime.MinValue);
KeyValuePair <int, DateTime> maxProfit = new KeyValuePair <int, DateTime>(-1000000, DateTime.MinValue);
var rnd = new Random(155);
var tradingStart = Config.ParseDateTimeLocal(Config.Settings["TRADING_START_TIME"]);
var tradingStop = Config.ParseDateTimeLocal(Config.Settings["TRADING_STOP_TIME"]);
var wmaVeryHighStart = wmaVeryHigh.Average(tradingStart);
var amplitude = 100.0m;
foreach (var quote in priceData[epic])
{
if (quote.t.TimeOfDay < tradingStart.TimeOfDay || quote.t.TimeOfDay > tradingStop.TimeOfDay)
{
continue;
}
string evtName = "";
if (dayCalendar.IsNearEvent(mktData.Name, quote.t, ref evtName))
{
continue;
}
var futureVal = (mktData.TimeSeries.Max(quote.t.AddMinutes(5), quote.t.AddMinutes(20)) +
mktData.TimeSeries.Min(quote.t.AddMinutes(5), quote.t.AddMinutes(20))) / 2m;
var profit = (int)Math.Round(futureVal - quote.MidPrice());
expectations.Add(quote.t, new KeyValuePair <CqlQuote, decimal>(quote, profit));
if (gainDistribution.ContainsKey(profit))
{
if ((quote.t - gainDistribution[profit]).Hours > 3 && (rnd.Next(100) == 0))
{
gainDistribution[profit] = quote.t;
}
}
else
{
gainDistribution[profit] = quote.t;
}
if (profit < minProfit.Key)
{
minProfit = new KeyValuePair <int, DateTime>(profit, gainDistribution[profit]);
}
if (profit > maxProfit.Key)
{
maxProfit = new KeyValuePair <int, DateTime>(profit, gainDistribution[profit]);
}
quote.b = (quote.b - wmaVeryHighStart.Bid) / amplitude;
quote.o = (quote.o - wmaVeryHighStart.Offer) / amplitude;
}
gainDistribution = new SortedList <int, DateTime>((from elt in gainDistribution
where !isTooClose(elt, gainDistribution)
select elt).ToDictionary(keyVal => keyVal.Key, keyVal => keyVal.Value));
int nbPoints = 10;
int idxProfit = 0;
KeyValuePair <int, DateTime> nextProfit = minProfit;
var selection = new SortedList <DateTime, KeyValuePair <int, CqlQuote> >();
while (idxProfit++ < nbPoints)
{
selection.Add(gainDistribution[nextProfit.Key], new KeyValuePair <int, CqlQuote>(nextProfit.Key, expectations[gainDistribution[nextProfit.Key]].Key));
var nextKeyVal = gainDistribution.FirstOrDefault(keyVal => keyVal.Key > nextProfit.Key &&
keyVal.Key >= ((decimal)minProfit.Key + (decimal)idxProfit * (decimal)(maxProfit.Key - minProfit.Key) / (decimal)nbPoints));
if (nextKeyVal.Equals(default(KeyValuePair <int, DateTime>)))
{
break;
}
nextProfit = nextKeyVal;
}
foreach (var dt in selection.Keys)
{
bool allValid = true;
foreach (var ind in allIndicators)
{
if (ind.TimeSeries[dt] == null)
{
allValid = false;
break;
}
}
if (!allValid)
{
continue;
}
PublisherConnection.Instance.Insert(dt, wmaLow, (wmaLow.TimeSeries[dt].Value.Value.Mid() - wmaVeryHighStart.Mid()) / amplitude);
PublisherConnection.Instance.Insert(dt, wmaMid, (wmaMid.TimeSeries[dt].Value.Value.Mid() - wmaVeryHighStart.Mid()) / amplitude);
PublisherConnection.Instance.Insert(dt, wmaHigh, (wmaHigh.TimeSeries[dt].Value.Value.Mid() - wmaVeryHighStart.Mid()) / amplitude);
PublisherConnection.Instance.Insert(dt, wmaVeryHigh, (wmaVeryHigh.TimeSeries[dt].Value.Value.Mid() - wmaVeryHighStart.Mid()) / amplitude);
PublisherConnection.Instance.Insert(dt, rsiShort, (rsiShort.TimeSeries[dt].Value.Value.Mid() - 50m) / amplitude);
PublisherConnection.Instance.Insert(dt, rsiLong, (rsiLong.TimeSeries[dt].Value.Value.Mid() - 50m) / amplitude);
PublisherConnection.Instance.Insert(dt, trendShort, trendShort.TimeSeries[dt].Value.Value.Mid() / 1000m);
PublisherConnection.Instance.Insert(dt, trendLong, trendLong.TimeSeries[dt].Value.Value.Mid() / 1000m);
PublisherConnection.Instance.Insert(dt, wmvolLow, wmvolLow.TimeSeries[dt].Value.Value.Mid() / 10m);
PublisherConnection.Instance.Insert(dt, wmvolHigh, wmvolHigh.TimeSeries[dt].Value.Value.Mid() / 10m);
PublisherConnection.Instance.Insert(dt, volTrendLow, volTrendLow.TimeSeries[dt].Value.Value.Mid());
PublisherConnection.Instance.Insert(dt, volTrendHigh, volTrendHigh.TimeSeries[dt].Value.Value.Mid());
PublisherConnection.Instance.Insert(dt, epic, new Value((double)selection[dt].Key / ((double)amplitude / 2.0)));
}
priceData[epic] = selection.Values.Select(kv => kv.Value).ToList();
}
replay(priceData, tableListener);
}
protected override bool Process(MarketData indicator, DateTime updateTime, Price value, ref Signal.Tick tradingOrder)
{
if (_calendar == null)
{
_calendar = new Calendar(updateTime);
}
IndicatorRSI rsi = (IndicatorRSI)indicator;
if (indicator.TimeSeries.TotalMinutes(updateTime) < _timeFrameMn)
{
return(false);
}
if (!_startValue.HasValue)
{
_startValue = value.Mid();
}
Price curRsi = rsi.TimeSeries.Last();
Price prevRsi = rsi.TimeSeries.PrevValue(updateTime).Value.Value;
if ((prevRsi.Bid <= 50m && curRsi.Bid >= 50m) || (curRsi.Bid <= 50m && prevRsi.Bid >= 50m))
{
_rsi_loss_reset = true;
}
//_rsiSellThreshold += Math.Max(0m, curRsi.Bid - (decimal)getSellThreshold()) / 2m;
//_rsiBuyThreshold += Math.Min(0m, curRsi.Bid - (decimal)getBuyThreshold()) / 2m;
var minVal = _asset.TimeSeries.Min(updateTime.AddMinutes(-_timeFrameStopLossMn), updateTime);
var maxVal = _asset.TimeSeries.Max(updateTime.AddMinutes(-_timeFrameStopLossMn), updateTime);
if (maxVal - minVal > _maxVol)
{
//WriteBlockReason(updateTime, string.Format("reset due to vol > {0}", _maxVol));
_rsi_loss_reset = false;
}
minVal = _asset.TimeSeries.Min(updateTime.AddMinutes(-_timeFrameBottomMn), updateTime);
maxVal = _asset.TimeSeries.Max(updateTime.AddMinutes(-_timeFrameBottomMn), updateTime);
if (maxVal - minVal > _maxLongVol)
{
//WriteBlockReason(updateTime, string.Format("reset due to long vol > {0}", _maxLongVol));
_rsi_loss_reset = false;
}
if (Math.Abs(value.Mid() - _startValue.Value) > _maxTotalVol)
{
WriteBlockReason(updateTime, string.Format("stopped trading due to vol > {0}", _maxTotalVol));
_stopTrading = true;
}
if (_tradingStart > DateTime.MinValue)
{
if ((decimal)(updateTime - _tradingStart).TotalMilliseconds > _timeFrameStopLossMn * 60000m)
{
_rsi_loss_reset = false;
return(close(_id + string.Format(" close event due to timeout, AssetStart = {0}, Value = {1}", _tradingStartValue, value.Bid), ref tradingOrder));
}
else
{
int idxStopLoss = -1;
decimal ratio = 0m;
foreach (var interval in stopLossTimes)
{
idxStopLoss++;
if (interval.IsInside((int)(updateTime - _tradingStart).TotalMinutes))
{
ratio = interval.Ratio((decimal)(updateTime - _tradingStart).TotalMinutes);
break;
}
}
if (_signalCode == SIGNAL_CODE.BUY)
{
var assetMin = rsi.MinAsset((int)(updateTime - _tradingStart).TotalMinutes + 1);
var stopWin = stopWinValues[idxStopLoss].Value(ratio);
var stopBigLoss = bigStopLossValues[idxStopLoss].Value(ratio);
if (value.Bid >= _tradingStartValue + stopWin && curRsi.Bid >= getBuyThreshold() + 10)
{
return(close(_id + string.Format(" close event due to stop win. SELL AssetStart = {0}, LastValue = {1}, StopWin = {2}", _tradingStartValue, value.Bid, stopWin), ref tradingOrder));
}
else if (value.Bid - assetMin >= stopWin && curRsi.Bid >= getBuyThreshold() + 10)
{
if (value.Bid > _tradingStartValue)
{
return(close(_id + string.Format(" close event due to stop win. SELL AssetStart = {0}, LastValue = {1}", _tradingStartValue, value.Bid), ref tradingOrder));
}
else
{
_rsi_loss_reset = false;
return(close(_id + string.Format(" close event due to stop loss. SELL AssetStart = {0}, LastValue = {1}", _tradingStartValue, value.Bid), ref tradingOrder));
}
}
else if (value.Bid - _tradingStartValue >= stopBigLoss)
{
_rsi_loss_reset = false;
return(close(_id + string.Format(" close event due to stop loss. SELL AssetMin = {0}, LastValue = {1}, StopLoss = {2}", assetMin, value.Bid, stopBigLoss), ref tradingOrder));
}/*
* else if (_trend.TimeSeries.Last().Bid <= _tradingTrend - 5m && curRsi.Bid >= getBuyThreshold() + 10)
* {
* if (value.Offer > _tradingStartValue)
* return close(_id + string.Format(" close event due to stop win forced by trend. SELL AssetStart = {0}, LastValue = {1}", _tradingStartValue, value.Offer), ref tradingOrder);
* else
* {
* _rsi_loss_reset = false;
* return close(_id + string.Format(" close event due to stop loss forced by trend. SELL AssetStart = {0}, LastValue = {1}", _tradingStartValue, value.Offer), ref tradingOrder);
* }
* }*/
else
{
var stopLoss = stopLossValues[idxStopLoss].Value(ratio);
var bigStopLoss = bigStopLossValues[idxStopLoss].Value(ratio);
if ((_tradingStartValue - value.Bid >= stopLoss && curRsi.Bid >= getBuyThreshold() + 20) ||
(_tradingStartValue - value.Bid >= bigStopLoss))
{
_rsi_loss_reset = false;
return(close(_id + string.Format(" close event due to stop loss. SELL AssetStart = {0}, LastValue = {1}, StopLoss = {2}", _tradingStartValue, value.Bid, stopLoss), ref tradingOrder));
}
}
}
else
{
var assetMax = rsi.MaxAsset((int)(updateTime - _tradingStart).TotalMinutes + 1);
var stopWin = stopWinValues[idxStopLoss].Value(ratio);
var stopBigLoss = bigStopLossValues[idxStopLoss].Value(ratio);
if (value.Offer <= _tradingStartValue - stopWin && curRsi.Bid <= getSellThreshold() - 10)
{
return(close(_id + string.Format(" close event due to stop win. BUY AssetStart = {0}, LastValue = {1}, StopWin = {2}", _tradingStartValue, value.Offer, stopWin), ref tradingOrder));
}
else if (assetMax - value.Offer >= stopWin && curRsi.Bid <= getSellThreshold() - 10)
{
if (value.Offer < _tradingStartValue)
{
return(close(_id + string.Format(" close event due to stop win. BUY AssetStart = {0}, LastValue = {1}", _tradingStartValue, value.Offer), ref tradingOrder));
}
else
{
_rsi_loss_reset = false;
return(close(_id + string.Format(" close event due to stop loss. BUY AssetStart = {0}, LastValue = {1}", _tradingStartValue, value.Offer), ref tradingOrder));
}
}
else if (assetMax - value.Offer >= stopBigLoss)
{
_rsi_loss_reset = false;
return(close(_id + string.Format(" close event due to stop loss. BUY AssetMax = {0}, LastValue = {1}, StopLoss = {2}", assetMax, value.Offer, stopBigLoss), ref tradingOrder));
}/*
* else if (_trend.TimeSeries.Last().Bid >= _tradingTrend + 5m && curRsi.Bid <= getSellThreshold() - 10)
* {
* if (value.Offer < _tradingStartValue)
* return close(_id + string.Format(" close event due to stop win forced by trend. BUY AssetStart = {0}, LastValue = {1}", _tradingStartValue, value.Offer), ref tradingOrder);
* else
* {
* _rsi_loss_reset = false;
* return close(_id + string.Format(" close event due to stop loss forced by trend. BUY AssetStart = {0}, LastValue = {1}", _tradingStartValue, value.Offer), ref tradingOrder);
* }
* }*/
else
{
var stopLoss = stopLossValues[idxStopLoss].Value(ratio);
var bigStopLoss = bigStopLossValues[idxStopLoss].Value(ratio);
if ((value.Offer - _tradingStartValue >= stopLoss && curRsi.Bid <= getSellThreshold() - 20) ||
(value.Offer - _tradingStartValue >= bigStopLoss))
{
_rsi_loss_reset = false;
return(close(_id + string.Format(" close event due to stop loss. BUY AssetStart = {0}, LastValue = {1}, StopLoss = {2}", _tradingStartValue, value.Offer, stopLoss), ref tradingOrder));
}
}
}
}
}
else
{
if (!_rsi_loss_reset || _stopTrading || maxVal - minVal < _minVol || value.Offer - value.Bid > _maxSpread)
{
return(false);
}
/*
* foreach (var rsiRef in _rsiRefs)
* {
* if (rsiRef.TimeSeries.Count > 0)
* {
* if (Math.Abs(curRsi.Mid() - 50m) < Math.Abs(rsiRef.TimeSeries.Last().Mid() - 50m))
* return false;
* }
* }*/
string eventName = "";
if (_calendar.IsNearEvent(_asset.Name, updateTime, ref eventName))
{
WriteBlockReason(updateTime, "deal blocked by event: " + eventName);
_rsi_loss_reset = false;
return(false);
}
var rsiMax = rsi.MaxRsi(_timeFramePeakMn);
var rsiMin = rsi.MinRsi(_timeFramePeakMn);
//var rsiLongMax = _rsiLong.MaxRsi(_timeFrameRsiLongMn);
//var rsiLongMin = _rsiLong.MinRsi(_timeFrameRsiLongMn);
var rsiAdjustment = Math.Max(0, rsi.MaxRsi(_timeFrameBottomMn) - getSellThreshold()) - Math.Max(0, getBuyThreshold() - rsi.MinRsi(_timeFrameBottomMn));
var curEmaVeryShort = _emaVeryShort.TimeSeries.Last();
var curEmaShort = _emaShort.TimeSeries.Last();
var curEmaLong = _emaLong.TimeSeries.Last();
var curVol = _wmvol.TimeSeries.Last().Bid;
if (curVol < _maxWmVol)
{
WriteBlockReason(updateTime, "deal blocked due to vol < " + _maxWmVol);
return(false);
}
var curVolAvg = (_wmvol.Min() + _wmvol.Max()) / 2m;
if (curVol < curVolAvg)
{
WriteBlockReason(updateTime, "deal blocked due to vol < vol average");
return(false);
}
if ((curRsi.Bid >= getSellThreshold()) &&
//(curRsi.Bid - rsiAdjustment >= getSellThreshold() && curRsi.Bid >= (getSellThreshold() - 10))) && (rsiLongMax >= getSellThreshold() - 15m) &&
(curRsi.Bid > rsiMax - _startThreshold) && (curEmaVeryShort.Mid() + _maxShortMacDSpread > curEmaLong.Mid()) &&
(Math.Abs(curEmaShort.Mid() - curEmaLong.Mid()) < _maxLongMacDSpread))
{
var curVolTrend = _volTrend.TimeSeries.Last().Bid;
if (curVolTrend > 0.5m || curVolTrend < 0m)
{
WriteBlockReason(updateTime, "deal blocked due to vol not within 0 < trend < 0.5");
return(false);
}
if (!_volTrendTrend.IsMin(2, curVolTrend, 0.01m) || _volTrendTrend.IsMax(2, curVolTrend, 0.02m))
{
WriteBlockReason(updateTime, "sell event blocked due to vol trend not 1mn minimum");
return(false);
}
tradingOrder = _onSell;
_signalCode = SIGNAL_CODE.SELL;
_tradingStart = updateTime;
_tradingStartValue = value.Bid;
_tradingTrend = _trend.TimeSeries.Last().Bid;
if (curRsi.Bid >= getSellThreshold())
{
Log.Instance.WriteEntry(_id + " sell event due to RSI >= getSellThreshold()");
}
// else if (Math.Abs(curRsi.Bid - rsiMax) < _startThreshold)
// Log.Instance.WriteEntry(_id + " sell event due highest RSI peak reached");
else
{
Log.Instance.WriteEntry(_id + " sell event due to adjusted RSI >= getSellThreshold()");
}
return(true);
}
else if ((curRsi.Bid <= getBuyThreshold()) &&
//(curRsi.Bid + rsiAdjustment <= getBuyThreshold() && curRsi.Bid <= (getBuyThreshold() + 10))) && (rsiLongMin <= getBuyThreshold() + 15m) &&
(curRsi.Bid < rsiMin + _startThreshold) && (curEmaVeryShort.Mid() - _maxShortMacDSpread < curEmaLong.Mid()) &&
(Math.Abs(curEmaShort.Mid() - curEmaLong.Mid()) < _maxLongMacDSpread))
{
var curVolTrend = _volTrend.TimeSeries.Last().Bid;
if (curVolTrend < -0.5m || curVolTrend > 0m)
{
WriteBlockReason(updateTime, "deal blocked due to vol not within -0.5 < trend < 0");
return(false);
}
if (!_volTrendTrend.IsMax(2, curVolTrend, 0.01m) || _volTrendTrend.IsMin(2, curVolTrend, 0.02m))
{
WriteBlockReason(updateTime, "buy event blocked due to vol trend not 1mn maximum");
return(false);
}
tradingOrder = _onBuy;
_signalCode = SIGNAL_CODE.BUY;
_tradingStart = updateTime;
_tradingStartValue = value.Offer;
_tradingTrend = _trend.TimeSeries.Last().Bid;
if (curRsi.Bid <= getBuyThreshold())
{
Log.Instance.WriteEntry(_id + " buy event due to RSI <= getBuyThreshold()");
}
// else if (Math.Abs(curRsi.Bid - rsiMin) < _startThreshold)
// Log.Instance.WriteEntry(_id + " buy event due lowest RSI peak reached");
else
{
Log.Instance.WriteEntry(_id + " buy event due to adjusted RSI <= getBuyThreshold()");
}
return(true);
}
else
{
_signalCode = SIGNAL_CODE.HOLD;
_tradingStart = DateTime.MinValue;
_tradingStartValue = 0m;
}
}
return(false);
}
public override void Init()
{
base.Init();
_wma_verylow = new IndicatorEMA(_macD.Index, 2);
_wma_low = new IndicatorEMA(_macD.SignalLow.IndicatorLow);
_wma_low.PublishingEnabled = false;
_wma_mid = new IndicatorEMA(_macD.SignalLow.IndicatorHigh);
_wma_mid.PublishingEnabled = false;
_wma_high = new IndicatorEMA(_macD.SignalHigh.IndicatorHigh);
_wma_high.PublishingEnabled = false;
var rsiShort = new IndicatorRSI(_macD.Index, 1, 14);
rsiShort.PublishingEnabled = false;
var rsiLong = new IndicatorRSI(_macD.Index, 2, 14);
rsiLong.PublishingEnabled = false;
var wmVol = new IndicatorWMVol(_macD.Index, _wma_low, 60, 90);
wmVol.PublishingEnabled = false;
_mktIndices.AddRange(_otherIndices);
//_mktIndicators.Add(_wma_verylow);
//_mktIndicators.Add(_wma_low);
//_mktIndicators.Add(_wma_mid);
//_mktIndicators.Add(_wma_high);
//_mktIndicators.Add(wmVol);
//_mktIndicators.Add(new IndicatorWMVol(_index, _wma_mid, 60, 90));
_mktIndicators.Add(new IndicatorNearestLevel(_index));
int lastversion = StaticDataConnection.Instance.GetAnnLatestVersion(_annId, _index.Id);
_annWeights = StaticDataConnection.Instance.GetAnnWeights(_annId, _index.Id, lastversion);
var signalType = Type.GetType("MidaxLib.SignalANN" + _annId);
List <Indicator> annIndicators = new List <Indicator>();
annIndicators.Add(_wma_verylow);
annIndicators.Add(_wma_low);
annIndicators.Add(_wma_mid);
annIndicators.Add(_wma_high);
annIndicators.Add(rsiShort);
annIndicators.Add(rsiLong);
annIndicators.Add(wmVol);
List <object> signalParams = new List <object>();
signalParams.Add(_index);
signalParams.Add(annIndicators);
signalParams.Add(_annWeights);
this._ann = (SignalANN)Activator.CreateInstance(signalType, signalParams.ToArray());
this._mktSignals.Add(this._ann);
var allIndices = new List <MarketData>();
allIndices.Add(_index);
allIndices.AddRange(_otherIndices);
foreach (var index in allIndices)
{
var indicatorLow = new IndicatorLow(index);
var indicatorHigh = new IndicatorHigh(index);
var indicatorCloseBid = new IndicatorCloseBid(index);
var indicatorCloseOffer = new IndicatorCloseOffer(index);
_mktIndicators.Add(indicatorLow);
_mktIndicators.Add(indicatorHigh);
_mktIndicators.Add(indicatorCloseBid);
_mktIndicators.Add(indicatorCloseOffer);
_mktEODIndicators.Add(indicatorLow);
_mktEODIndicators.Add(indicatorHigh);
_mktEODIndicators.Add(indicatorCloseBid);
_mktEODIndicators.Add(indicatorCloseOffer);
_mktEODIndicators.Add(new IndicatorLevelPivot(index));
_mktEODIndicators.Add(new IndicatorLevelR1(index));
_mktEODIndicators.Add(new IndicatorLevelR2(index));
_mktEODIndicators.Add(new IndicatorLevelR3(index));
_mktEODIndicators.Add(new IndicatorLevelS1(index));
_mktEODIndicators.Add(new IndicatorLevelS2(index));
_mktEODIndicators.Add(new IndicatorLevelS3(index));
}
}
public override void Subscribe(string[] epics, IHandyTableListener tableListener)
{
Dictionary<string, List<CqlQuote>> priceData = GetReplayData(epics);
if (priceData.Count == 0)
return;
Calendar dayCalendar = new Calendar(priceData.First().Value[0].t);
foreach(var epic in epics){
// for each quote, associate the observed gains in the near future
var mktData = new MarketData(epic);
var wmaLow = new IndicatorEMA(mktData, 2);
var wmaMid = new IndicatorEMA(mktData, 10);
var wmaHigh = new IndicatorEMA(mktData, 30);
var wmaVeryHigh = new IndicatorEMA(mktData, 90);
var rsiShort = new IndicatorRSI(mktData, 1, 14);
var rsiLong = new IndicatorRSI(mktData, 2, 14);
var trendShort = new IndicatorTrend(mktData, 90, 14, false);
var trendLong = new IndicatorTrend(mktData, 180, 14, false);
var wmvolLow = new IndicatorWMVol(mktData, wmaLow, 60, 90);
var wmvolHigh = new IndicatorWMVol(mktData, wmaMid, 60, 90);
var volTrendLow = new IndicatorTrend(wmvolLow, 30, 6, true);
var volTrendHigh = new IndicatorTrend(wmvolHigh, 60, 6, true);
var allIndicators = new List<IndicatorWMA>();
allIndicators.Add(wmaLow);
allIndicators.Add(wmaMid);
allIndicators.Add(wmaHigh);
allIndicators.Add(wmaVeryHigh);
allIndicators.Add(rsiShort);
allIndicators.Add(rsiLong);
allIndicators.Add(trendShort);
allIndicators.Add(trendLong);
allIndicators.Add(wmvolLow);
allIndicators.Add(wmvolHigh);
allIndicators.Add(volTrendLow);
allIndicators.Add(volTrendHigh);
foreach (var quote in priceData[epic])
{
var mktDataValue = new Price(quote.MidPrice());
mktData.Process(quote.t, mktDataValue);
foreach (var ind in allIndicators)
ind.Process(quote.t, mktDataValue);
}
var expectations = new Dictionary<DateTime, KeyValuePair<CqlQuote, decimal>>();
var gainDistribution = new SortedList<int, DateTime>();
KeyValuePair<int, DateTime> minProfit = new KeyValuePair<int, DateTime>(1000000, DateTime.MinValue);
KeyValuePair<int, DateTime> maxProfit = new KeyValuePair<int, DateTime>(-1000000, DateTime.MinValue);
var rnd = new Random(155);
var tradingStart = Config.ParseDateTimeLocal(Config.Settings["TRADING_START_TIME"]);
var tradingStop = Config.ParseDateTimeLocal(Config.Settings["TRADING_STOP_TIME"]);
var wmaVeryHighStart = wmaVeryHigh.Average(tradingStart);
var amplitude = 100.0m;
foreach (var quote in priceData[epic])
{
if (quote.t.TimeOfDay < tradingStart.TimeOfDay || quote.t.TimeOfDay > tradingStop.TimeOfDay)
continue;
string evtName = "";
if (dayCalendar.IsNearEvent(mktData.Name, quote.t, ref evtName))
continue;
var futureVal = (mktData.TimeSeries.Max(quote.t.AddMinutes(5), quote.t.AddMinutes(20)) +
mktData.TimeSeries.Min(quote.t.AddMinutes(5), quote.t.AddMinutes(20))) / 2m;
var profit = (int)Math.Round(futureVal - quote.MidPrice());
expectations.Add(quote.t, new KeyValuePair<CqlQuote, decimal>(quote, profit));
if (gainDistribution.ContainsKey(profit))
{
if ((quote.t - gainDistribution[profit]).Hours > 3 && (rnd.Next(100) == 0))
gainDistribution[profit] = quote.t;
}
else
gainDistribution[profit] = quote.t;
if (profit < minProfit.Key)
minProfit = new KeyValuePair<int, DateTime>(profit, gainDistribution[profit]);
if (profit > maxProfit.Key)
maxProfit = new KeyValuePair<int, DateTime>(profit, gainDistribution[profit]);
quote.b = (quote.b - wmaVeryHighStart.Bid) / amplitude;
quote.o = (quote.o - wmaVeryHighStart.Offer) / amplitude;
}
gainDistribution = new SortedList<int,DateTime>((from elt in gainDistribution
where !isTooClose(elt, gainDistribution)
select elt).ToDictionary(keyVal => keyVal.Key, keyVal => keyVal.Value));
int nbPoints = 10;
int idxProfit = 0;
KeyValuePair<int, DateTime> nextProfit = minProfit;
var selection = new SortedList<DateTime, KeyValuePair<int, CqlQuote>>();
while (idxProfit++ < nbPoints)
{
selection.Add(gainDistribution[nextProfit.Key], new KeyValuePair<int, CqlQuote>(nextProfit.Key, expectations[gainDistribution[nextProfit.Key]].Key));
var nextKeyVal = gainDistribution.FirstOrDefault(keyVal => keyVal.Key > nextProfit.Key &&
keyVal.Key >= ((decimal)minProfit.Key + (decimal)idxProfit * (decimal)(maxProfit.Key - minProfit.Key) / (decimal)nbPoints));
if (nextKeyVal.Equals(default(KeyValuePair<int, DateTime>)))
break;
nextProfit = nextKeyVal;
}
foreach (var dt in selection.Keys)
{
bool allValid = true;
foreach (var ind in allIndicators)
{
if (ind.TimeSeries[dt] == null)
{
allValid = false;
break;
}
}
if (!allValid)
continue;
PublisherConnection.Instance.Insert(dt, wmaLow, (wmaLow.TimeSeries[dt].Value.Value.Mid() - wmaVeryHighStart.Mid()) / amplitude);
PublisherConnection.Instance.Insert(dt, wmaMid, (wmaMid.TimeSeries[dt].Value.Value.Mid() - wmaVeryHighStart.Mid()) / amplitude);
PublisherConnection.Instance.Insert(dt, wmaHigh, (wmaHigh.TimeSeries[dt].Value.Value.Mid() - wmaVeryHighStart.Mid()) / amplitude);
PublisherConnection.Instance.Insert(dt, wmaVeryHigh, (wmaVeryHigh.TimeSeries[dt].Value.Value.Mid() - wmaVeryHighStart.Mid()) / amplitude);
PublisherConnection.Instance.Insert(dt, rsiShort, (rsiShort.TimeSeries[dt].Value.Value.Mid() - 50m) / amplitude);
PublisherConnection.Instance.Insert(dt, rsiLong, (rsiLong.TimeSeries[dt].Value.Value.Mid() - 50m) / amplitude);
PublisherConnection.Instance.Insert(dt, trendShort, trendShort.TimeSeries[dt].Value.Value.Mid() / 1000m);
PublisherConnection.Instance.Insert(dt, trendLong, trendLong.TimeSeries[dt].Value.Value.Mid() / 1000m);
PublisherConnection.Instance.Insert(dt, wmvolLow, wmvolLow.TimeSeries[dt].Value.Value.Mid() / 10m);
PublisherConnection.Instance.Insert(dt, wmvolHigh, wmvolHigh.TimeSeries[dt].Value.Value.Mid() / 10m);
PublisherConnection.Instance.Insert(dt, volTrendLow, volTrendLow.TimeSeries[dt].Value.Value.Mid());
PublisherConnection.Instance.Insert(dt, volTrendHigh, volTrendHigh.TimeSeries[dt].Value.Value.Mid());
PublisherConnection.Instance.Insert(dt, epic, new Value((double)selection[dt].Key / ((double)amplitude / 2.0)));
}
priceData[epic] = selection.Values.Select(kv => kv.Value).ToList();
}
replay(priceData, tableListener);
}
public override void Init()
{
base.Init();
_wma_verylow = new IndicatorEMA(_macD.Index, 2);
_wma_low = new IndicatorEMA(_macD.SignalLow.IndicatorLow);
_wma_low.PublishingEnabled = false;
_wma_mid = new IndicatorEMA(_macD.SignalLow.IndicatorHigh);
_wma_mid.PublishingEnabled = false;
_wma_high = new IndicatorEMA(_macD.SignalHigh.IndicatorHigh);
_wma_high.PublishingEnabled = false;
var rsiShort = new IndicatorRSI(_macD.Index, 1, 14);
rsiShort.PublishingEnabled = false;
var rsiLong = new IndicatorRSI(_macD.Index, 2, 14);
rsiLong.PublishingEnabled = false;
var wmVol = new IndicatorWMVol(_macD.Index, _wma_low, 60, 90);
wmVol.PublishingEnabled = false;
_mktIndices.AddRange(_otherIndices);
//_mktIndicators.Add(_wma_verylow);
//_mktIndicators.Add(_wma_low);
//_mktIndicators.Add(_wma_mid);
//_mktIndicators.Add(_wma_high);
//_mktIndicators.Add(wmVol);
//_mktIndicators.Add(new IndicatorWMVol(_index, _wma_mid, 60, 90));
_mktIndicators.Add(new IndicatorNearestLevel(_index));
int lastversion = StaticDataConnection.Instance.GetAnnLatestVersion(_annId, _index.Id);
_annWeights = StaticDataConnection.Instance.GetAnnWeights(_annId, _index.Id, lastversion);
var signalType = Type.GetType("MidaxLib.SignalANN" + _annId);
List<Indicator> annIndicators = new List<Indicator>();
//annIndicators.Add(_wma_verylow);
annIndicators.Add(_wma_low);
//annIndicators.Add(_wma_mid);
annIndicators.Add(_wma_high);
annIndicators.Add(rsiShort);
annIndicators.Add(rsiLong);
annIndicators.Add(wmVol);
List<object> signalParams = new List<object>();
signalParams.Add(_index);
signalParams.Add(annIndicators);
signalParams.Add(_annWeights);
this._ann = (SignalANN)Activator.CreateInstance(signalType, signalParams.ToArray());
this._mktSignals.Add(this._ann);
var allIndices = new List<MarketData>();
allIndices.Add(_index);
allIndices.AddRange(_otherIndices);
foreach (var index in allIndices)
{
var indicatorLow = new IndicatorLow(index);
var indicatorHigh = new IndicatorHigh(index);
var indicatorCloseBid = new IndicatorCloseBid(index);
var indicatorCloseOffer = new IndicatorCloseOffer(index);
_mktIndicators.Add(indicatorLow);
_mktIndicators.Add(indicatorHigh);
_mktIndicators.Add(indicatorCloseBid);
_mktIndicators.Add(indicatorCloseOffer);
_mktEODIndicators.Add(indicatorLow);
_mktEODIndicators.Add(indicatorHigh);
_mktEODIndicators.Add(indicatorCloseBid);
_mktEODIndicators.Add(indicatorCloseOffer);
_mktEODIndicators.Add(new IndicatorLevelPivot(index));
_mktEODIndicators.Add(new IndicatorLevelR1(index));
_mktEODIndicators.Add(new IndicatorLevelR2(index));
_mktEODIndicators.Add(new IndicatorLevelR3(index));
_mktEODIndicators.Add(new IndicatorLevelS1(index));
_mktEODIndicators.Add(new IndicatorLevelS2(index));
_mktEODIndicators.Add(new IndicatorLevelS3(index));
}
}