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);
}