public Day(List<Candle> fiveMins)
{
FiveMins = fiveMins;
Params = new Candle(fiveMins.First().Date + fiveMins.First().Time,
fiveMins.First().Open,
fiveMins.Max(c => c.High),
fiveMins.Min(c => c.Low),
fiveMins[fiveMins.Count - 1].Close,
24*60);
}
public void AddCandle(Candle candle)
{
if (history.Any() && history.GetAtBack().DateTime >= candle.DateTime)
throw new Exception("Last candle in history is later then added");
history.AddToBack(candle);
if (history.Count > maxHistoryCount)
{
history.RemoveFromFront();
}
}
private Extremum AppendToTree(Candle candle, int currentIndex)
{
var leftIter = searchTree.First;
Extremum lastSecondExtremum = null;
while (leftIter != null)
{
var midIter = leftIter.Value.Children.First;
while (midIter != null)
{
if (IsSkipped(midIter.Value.Candle, candle))
{
midIter = midIter.Next;
continue;
}
if (IsPegTop(leftIter.Value.Candle) && IsPegTop(midIter.Value.Candle) && IsPegTop(candle))
{
midIter = midIter.Next;
continue;
}
var extremum = TryGetExtremum(leftIter.Value.Candle, midIter.Value.Candle, candle, currentIndex);
if (extremum == null)
{
leftIter = searchTree.RemoveElement(leftIter);
goto NextIteration;
}
var secondExtremum = ExtremumsRepo.AddExtremum(extremum);
if (secondExtremum != null && (lastSecondExtremum == null || lastSecondExtremum.DateTime < secondExtremum.DateTime))
{
lastSecondExtremum = secondExtremum;
}
midIter = midIter.RemoveFromList();
}
if (!IsSkipped(leftIter.Value.Candle, candle))
{
leftIter.Value.Children.AddLast(new CandleNode(candle, currentIndex));
}
leftIter = leftIter.Next;
NextIteration:;
}
searchTree.AddLast(new CandleNode(candle, currentIndex));
return lastSecondExtremum;
}
public Candle AddTick(Tick tick)
{
try
{
if (candle.AppendTick(tick))
{
var res = candle;
candle = new Candle(new List<Tick> { tick }, periodMins);
return res;
}
}
catch (Exception ex)
{
Logger.Warn(ex);
}
return candle;
}
public virtual ITradeEvent Process(RobotContext context, Candle candle)
{
if (candle.Time >= context.EndTime)
{
context.Logger.Debug("End time exit. StopPrice: {0}, Candle: {1}", context.StopLossPrice, candle);
context.CurrentState = context.Factory.GetEndState(context);
return new DealEvent(new Deal(candle.Close, candle.DateTime, !TrendIsLong));
}
if (TrendIsLong && candle.Low <= context.StopLossPrice ||
!TrendIsLong && candle.High >= context.StopLossPrice)
{
context.Logger.Debug("Stop has catched. StopPrice: {0}, Candle: {1}", context.StopLossPrice, candle);
context.CurrentState = context.Factory.GetEndState(context);
return new StopLossEvent(new Deal(context.StopLossPrice, candle.DateTime, !TrendIsLong));
}
return null;
}
public ITradeEvent Process(RobotContext context, Candle candle)
{
int currentIndex = context.Candles.Count - 1;
var bestSecondExtremum = AppendToTree(candle, currentIndex);
if (bestSecondExtremum == null)
return null;
if (NeedToTrade(context, bestSecondExtremum))
{
context.Logger.Debug("Need to trade, extremum: {0}", bestSecondExtremum);
var deal = new Deal(candle.Close, candle.DateTime, bestSecondExtremum.IsMinimum, context.Advisor.GetAdvice(candle.Close, bestSecondExtremum.IsMinimum));
context.Logger.Debug("Deal: {0}", deal);
context.CurrentState = context.Factory.GetTradeState(context, deal);
return new DealEvent(deal);
}
return new SecondExtremumEvent(bestSecondExtremum, ExtremumsRepo.FirstMaximums, ExtremumsRepo.FirstMinimums);
}
public override ITradeEvent Process(RobotContext context, Candle candle)
{
var result = base.Process(context, candle);
if (result != null)
return result;
if (!hasBreakeven &&
(TrendIsLong && candle.High >= StartPrice + context.StopLossSize ||
!TrendIsLong && candle.Low <= StartPrice - context.StopLossSize))
{
hasBreakeven = true;
context.StopLossPrice = GetStopPrice(StartPrice, -context.BreakevenSize);
context.Logger.Debug("Breakeven. StopPrice: {0}, Candle: {1}", context.StopLossPrice, candle);
return new StopLossMovingEvent(context.StopLossPrice, TrendIsLong);
}
return null;
}
public override ITradeEvent Process(RobotContext context, Candle candle)
{
var result = base.Process(context, candle);
if (result != null)
return result;
if (TrendIsLong)
{
if (candle.High - context.StopLossPrice >= context.TrailingStopLoss)
{
var newPrice = GetStopPrice(candle.High, context.TrailingStopLoss);
if (newPrice > context.StopLossPrice //if stopSize < trailingStopSize
&& newPrice < candle.Close)
{
context.StopLossPrice = newPrice;
context.Logger.Debug("Trailing moving. StopPrice: {0}, Candle: {1}", context.StopLossPrice, candle);
result = new StopLossMovingEvent(context.StopLossPrice, TrendIsLong);
}
}
}
else
{
if (context.StopLossPrice - candle.Low >= context.TrailingStopLoss)
{
var newPrice = GetStopPrice(candle.Low, context.TrailingStopLoss);
if (newPrice < context.StopLossPrice
&& newPrice > candle.Close)
{
context.StopLossPrice = newPrice;
context.Logger.Debug("Trailing moving. StopPrice: {0}, Candle: {1}", context.StopLossPrice, candle);
result = new StopLossMovingEvent(context.StopLossPrice, TrendIsLong);
}
}
}
return result;
}
public Extremum(Candle extremumCandle, int checkerIndex, bool isMinimum)
: this(isMinimum ? extremumCandle.Low : extremumCandle.High, checkerIndex, extremumCandle.DateTime, isMinimum)
{
}
public bool IsOuterTo(Candle c) => High >= c.High && Low <= c.Low;
private Extremum TryGetExtremum(Candle leftCandle, Candle midCandle, Candle rightCandle, int rightIndex)
{
var isMinimum = IsMinimum(leftCandle, midCandle, rightCandle);
if (!isMinimum && !IsMaximum(leftCandle, midCandle, rightCandle))
return null;
return new Extremum(midCandle, rightIndex, isMinimum);
}
private bool IsSkipped(Candle previous, Candle current)
{
return current.IsOuterTo(previous) || current.IsInnerTo(previous);
}
private bool IsPegTop(Candle candle)
{
return Math.Abs(candle.Open - candle.Close) <= pegTopSize;
}
public bool IsInnerTo(Candle c) => High <= c.High && Low >= c.Low;
private bool IsMaximum(Candle left, Candle mid, Candle right)
{
return mid.High > left.High && mid.High > left.High && mid.Low >= left.Low && mid.Low >= right.Low;
}
private static Candle ParseCandle(string row)
{
var fields = row.Split('\t');
var candle = new Candle(ParseDateTime(fields[0], fields[1]),
(int)decimal.Parse(fields[2], new CultureInfo("en-us")),
(int)decimal.Parse(fields[3], new CultureInfo("en-us")),
(int)decimal.Parse(fields[4], new CultureInfo("en-us")),
(int)decimal.Parse(fields[5], new CultureInfo("en-us")),
5);
return candle;
}
public Day(Candle @params, List<Candle> fiveMins)
{
Params = @params;
FiveMins = fiveMins;
}
public ITradeEvent Process(RobotContext context, Candle candle)
{
return new EndEvent();
}
public CandleNode(Candle candle, int candleIndex)
{
Candle = candle;
CandleIndex = candleIndex;
Children = new LinkedList<CandleNode>();
}
public ITradeEvent Process(Candle candle)
{
Advisor.AddCandle(candle);
candles.Add(candle);
var result = CurrentState.Process(this, candle);
return result;
}
private bool IsMinimum(Candle left, Candle mid, Candle right)
{
return mid.Low < left.Low && mid.Low < left.Low && mid.High <= left.High && mid.High <= right.High;
}