/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">TradeBars IDictionary object with your stock data</param>
public void OnData(TradeBars data)
{
#region logging
comment = string.Empty;
tradingDate = this.Time;
#endregion
barcount++;
// Logs a TradeBar to the mylog
TradeBar tradebar;
List <TradeBar> list = new List <TradeBar>();
foreach (var item in data.Values)
{
list.Add(new TradeBar(item.EndTime, item.Symbol, item.Open, item.High, item.Low, item.Close, item.Volume, null));
}
string output = JsonConvert.SerializeObject(list);
string path = @"C:\Users\Nick\Documents\Visual Studio 2013\Projects\LeanITrend\Engine\bin\Debug\";
string pathname = path + "BrokerSimulatorTestData.json";
if (File.Exists(pathname))
{
File.Delete(pathname);
}
using (StreamWriter sw = new StreamWriter(pathname))
{
sw.Write(output);
sw.Flush();
sw.Close();
}
_brokerSimulator.PricesWindow.Add(data);
// Add the history for the bar
var time = this.Time;
Price.Add(idp(time, (data[symbol].Close + data[symbol].Open) / 2));
//// Update the indicators
trend.Update(idp(time, Price[0].Value));
trendHistory.Add(CalculateNewTrendHistoryValue(barcount, time, Price, trend));
#region lists
foreach (var listitem in trendHistoryList)
{
trendList[listitem.Key].Update(idp(time, Price[0].Value));
listitem.Value.Add(idp(time, CalculateNewTrendHistoryValue(barcount, time, Price, trendList[listitem.Key])));
}
#endregion
if (Portfolio[symbol].Invested)
{
tradesize = Math.Abs(Portfolio[symbol].Quantity);
}
else
{
tradesize = (int)(_transactionSize / Convert.ToInt32(Price[0].Value + 1));
}
string matrix = GetTradingSignals(data);
#region logging
sharesOwned = Portfolio[symbol].Quantity;
string logmsg =
string.Format(
"{0},{1},{2},{3},{4},{5},{6},{7},{8},{9},{10},{11},{12},{13},{14},{15},{16},{17},{18},{19},{20},{21},{22},{23}",
this.Time,
barcount,
tradesize,
data[symbol].Open,
data[symbol].High,
data[symbol].Low,
data[symbol].Close,
this.Time.ToShortTimeString(),
Price[0].Value,
//trend.Current.Value,
//trendTrigger[0].Value,
comment,
signal,
nEntryPrice,
nEntryPrice1,
orderId,
Portfolio.TotalUnrealisedProfit,
sharesOwned,
tradeprofit,
tradefees,
tradenet,
Portfolio.TotalPortfolioValue,
"",
"",
"",
""
);
logmsg += matrix;
mylog.Debug(logmsg);
// reset the trade profit
tradeprofit = 0;
tradefees = 0;
tradenet = 0;
#endregion
if (this.Time.Hour == 16)
{
trend.Reset();
trendHistory.Reset();
iTrendStrategy.Reset();
foreach (var r in trendHistoryList)
{
r.Value.Reset();
strategyList[r.Key].Reset();
}
//trendTrigger.Reset();
barcount = 0;
Plot("Strategy Equity", "Portfolio", Portfolio.TotalPortfolioValue);
}
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">TradeBars IDictionary object with your stock data</param>
public void OnData(TradeBars data)
{
#region logging
comment = string.Empty;
tradingDate = this.Time;
#endregion
barcount++;
// Add the history for the bar
var time = this.Time;
Price.Add(idp(time, (data[symbol].Close + data[symbol].Open) / 2));
// Update the indicators
trend.Update(idp(time, Price[0].Value));
trendHistory.Add(CalculateNewTrendHistoryValue(barcount, time, Price, trend));
#region lists
#endregion
if (barcount > 17)
{
comment = "";
}
var of = CancelUnfilledLimitOrders();
iTrendStrategy.orderFilled = of;
signal = Strategy(data);
#region logging
sharesOwned = Portfolio[symbol].Quantity;
string logmsg =
string.Format(
"{0},{1},{2},{3},{4},{5},{6},{7},{8},{9},{10},{11},{12},{13},{14},{15},{16},{17},{18},{19},{20}" +
",{21},{22},{23},{24},{25},{26},{27},{28},{29},{30},{31},{32},{33},{34},{35},{36},{37}",
time,
barcount,
data[symbol].Volume,
data[symbol].Open,
data[symbol].High,
data[symbol].Low,
data[symbol].Close,
data[symbol].EndTime,
data[symbol].Period,
data[symbol].DataType,
data[symbol].IsFillForward,
data[symbol].Time,
data[symbol].Symbol,
data[symbol].Value,
data[symbol].Price,
"",
time.ToShortTimeString(),
Price[0].Value,
trend.Current.Value,
signals[0],
iTrendStrategy.nTrig,
iTrendStrategy.orderFilled,
iTrendStrategy.nEntryPrice,
comment,
"",
nEntryPrice,
nExitPrice,
tradeResult,
orderId,
Portfolio.TotalUnrealisedProfit,
sharesOwned,
tradeprofit,
tradefees,
tradenet,
Portfolio.TotalPortfolioValue,
"",
"",
""
);
mylog.Debug(logmsg);
// reset the trade profit
tradeprofit = 0;
tradefees = 0;
tradenet = 0;
#endregion
// At the end of day, reset the trend and trendHistory
if (time.Hour == 16)
{
trend.Reset();
trendHistory.Reset();
iTrendStrategy.Reset();
barcount = 0;
Plot("Strategy Equity", "Portfolio", Portfolio.TotalPortfolioValue);
}
}
