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Miha Kralj
2023-10-14 17:54:45 -07:00
parent 97f0c78a70
commit 1faf47e85f
5 changed files with 146 additions and 221 deletions
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Strategies/SimpleMACross1.cs
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using System;
using System.Collections.Generic;
using System.Linq;
using TradingPlatform.BusinessLayer;
using QuanTAlib;
using System.Drawing;
namespace SimpleMACross {
public class SimpleMACross1 : Strategy, ICurrentAccount, ICurrentSymbol {
[InputParameter("Symbol", 0)]
public Symbol CurrentSymbol { get; set; }
[InputParameter("Account", 1)]
public Account CurrentAccount { get; set; }
[InputParameter("Fast MA", 2, minimum: 1, maximum: 100, increment: 1, decimalPlaces: 0)]
private int FastMA = 5;
[InputParameter("Slow MA", 3, minimum: 1, maximum: 100, increment: 1, decimalPlaces: 0)]
private int SlowMA = 10;
[InputParameter("Quantity", 4, 0.1, 99999, 0.1, 2)]
private double Quantity = 1.0;
[InputParameter("Period", 5)]
private Period period = Period.MIN1;
public override string[] MonitoringConnectionsIds => new string[] { this.CurrentSymbol?.ConnectionId, this.CurrentAccount?.ConnectionId };
private HistoricalData hdm;
private DateTime prev_time;
private readonly TBars bars = new();
public SimpleMACross1() {
this.Name = "MA Cross strategy 3";
this.Description = "Raw strategy without any additional functional";
}
protected override void OnRun() {
if (this.CurrentAccount != null && this.CurrentAccount.State == BusinessObjectState.Fake) {this.CurrentAccount = Core.Instance.GetAccount(this.CurrentAccount.CreateInfo());}
if (this.CurrentSymbol != null && this.CurrentSymbol.State == BusinessObjectState.Fake) {this.CurrentSymbol = Core.Instance.GetSymbol(this.CurrentSymbol.CreateInfo());}
if (this.CurrentSymbol == null || this.CurrentAccount == null || this.CurrentSymbol.ConnectionId != this.CurrentAccount.ConnectionId) {
this.Log("Incorrect input parameters... Symbol or Account are not specified or they have different connectionID.", StrategyLoggingLevel.Error);
return; }
/////////////////////////////////////////////////////
this.hdm = this.CurrentSymbol.GetHistory(Period.MIN1, this.CurrentSymbol.HistoryType, Core.TimeUtils.DateTimeUtcNow.AddDays(-1));
////////////////////////////////////////////////////
this.LogInfo($"Symbol: {CurrentSymbol.Name} period: {this.period} :-: {this.CurrentSymbol.HistoryType.ToString()} :-: {this.hdm.Count} bars loaded");
this.hdm.HistoryItemUpdated += this.Hdm_HistoryItemUpdated;
}
private void Hdm_HistoryItemUpdated(object sender, HistoryEventArgs e) {
this.OnUpdate();
}
private void OnUpdate() {
bool update = hdm.Last().TimeLeft - prev_time < this.period.Duration ? true : false;
if (!update) {prev_time = hdm.Last().TimeLeft;}
bars.Add(hdm.Last().TimeLeft, hdm.Last()[PriceType.Open], hdm.Last()[PriceType.High],
hdm.Last()[PriceType.Low], hdm.Last()[PriceType.Close], hdm.Last()[PriceType.Volume], update);
if (!update) {this.LogInfo($"{bars.Close.Last().t} OHLC4:{(double)bars.OHLC4.Last.v}");}
}
protected override List<StrategyMetric> OnGetMetrics() {
var result = base.OnGetMetrics();
// An example of adding custom strategy metrics:
result.Add("Bars processed", this.bars.Count.ToString());
return result;
}
protected override void OnStop() {
if (this.hdm != null) {
this.hdm.HistoryItemUpdated -= this.Hdm_HistoryItemUpdated;
this.hdm.Dispose();
}
base.OnStop();
}
}
}