public class SmaChartStrategy : ChartStrategy
{
#region Private fields
private readonly SMA _shortSma = new SMA();
private readonly SMA _longSma = new SMA();
private int _lastBar;
#endregion
#region Public properties
[Display(
Name = "Short period",
Order = 10)]
[Parameter]
public int ShortPeriod
{
get => _shortSma.Period;
set
{
_shortSma.Period = Math.Max(1, value);
RecalculateValues();
}
}
[Display(
Name = "Long period",
Order = 20)]
[Parameter]
public int LongPeriod
{
get => _longSma.Period;
set
{
_longSma.Period = Math.Max(1, value);
RecalculateValues();
}
}
[Display(
Name = "Volume",
Order = 30)]
[Parameter]
public decimal Volume { get; set; }
[Display(ResourceType = typeof(Resources),
Name = "ClosePositionOnStopping",
Order = 40)]
[Parameter]
public bool ClosePositionOnStopping { get; set; }
#endregion
#region ctor
public SmaChartStrategy()
{
var firstSeries = (ValueDataSeries)DataSeries[0];
firstSeries.Name = "Short";
firstSeries.Color = Colors.Red;
firstSeries.VisualType = VisualMode.Line;
DataSeries.Add(new ValueDataSeries("Long")
{
VisualType = VisualMode.Line,
Color = Colors.Green,
});
ShortPeriod = 21;
LongPeriod = 75;
Volume = 1;
ClosePositionOnStopping = true;
}
#endregion
#region Overrides of BaseIndicator
protected override void OnCalculate(int bar, decimal value)
{
var shortSma = _shortSma.Calculate(bar, value);
var longSma = _longSma.Calculate(bar, value);
DataSeries[0][bar] = shortSma;
DataSeries[1][bar] = longSma;
var prevBar = _lastBar;
_lastBar = bar;
if (!CanProcess(bar) || prevBar == bar)
return;
if (_shortSma[prevBar - 1] < _longSma[prevBar - 1] && _shortSma[prevBar] >= _longSma[prevBar])
{
//cross up
OpenPosition(OrderDirections.Buy);
}
if (_shortSma[prevBar - 1] > _longSma[prevBar - 1] && _shortSma[prevBar] <= _longSma[prevBar])
{
//cross down
OpenPosition(OrderDirections.Sell);
}
}
protected override void OnStopping()
{
if (CurrentPosition != 0 && ClosePositionOnStopping)
{
RaiseShowNotification($"Closing current position {CurrentPosition} on stopping.", level: LoggingLevel.Warning);
CloseCurrentPosition();
}
base.OnStopping();
}
#endregion
#region Private methods
private void OpenPosition(OrderDirections direction)
{
var order = new Order
{
Portfolio = Portfolio,
Security = Security,
Direction = direction,
Type = OrderTypes.Market,
QuantityToFill = GetOrderVolume(),
};
OpenOrder(order);
}
private void CloseCurrentPosition()
{
var order = new Order
{
Portfolio = Portfolio,
Security = Security,
Direction = CurrentPosition > 0 ? OrderDirections.Sell : OrderDirections.Buy,
Type = OrderTypes.Market,
QuantityToFill = Math.Abs(CurrentPosition),
};
OpenOrder(order);
}
private decimal GetOrderVolume()
{
if (CurrentPosition == 0)
return Volume;
if (CurrentPosition > 0)
return Volume + CurrentPosition;
return Volume + Math.Abs(CurrentPosition);
}
#endregion
}
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