Scaling Out Strategy

using System;
using System.Drawing;
using System.Linq;
using System.IO;
using System.Collections.Generic;
using PowerLanguage.Function;
using ATCenterProxy.interop;


/**
 * @author Andrea Corriga
 */
namespace PowerLanguage.Strategy {
    public class PredizioniCET : SignalObject {
        // Costruttore
        public PredizioniCET(object _ctx):base(_ctx){}

        // Longs, Short Orders, buy and sells
        private List<IOrderPriced> buy_order_long = new List<IOrderPriced>();
        private List<IOrderPriced> sell_order_long = new List<IOrderPriced>();
        private List<IOrderPriced> buy_order_short = new List<IOrderPriced>();
        private List<IOrderPriced> sell_order_short = new List<IOrderPriced>();

        // List with all CSV Rows
        static public List<Csv> Decisions = new List<Csv>();

        // To prevent Runtime Errors
        static int CountBar = 0;

        const int ShortValue = 0; // CSV Short Value
        const int HoldValue = 1; // CSV Hold Value
        const int LongValue = 2; // CSV Long Value

        private string LastDaySeen = "01/01/1970"; // Last day seen, used to avoid the problem to buy more futures in one day
        // CSV PATH
        private string CsvPath = @"D:/PhD-Market-Nets/experiments/050 - Prova GOLD predizioni 5 giorni/predictions/final_decisions/final_decision_prova_small.csv";

        /**
         *
         */
        protected override void Create() {
            ReadCsv(this.CsvPath); // Read the CSV

            // Foreach element of my CSV I create an Operation inside the list of long/short operations
            for (int i=0; i <= Decisions.Count; i++){
                buy_order_long.Add( OrderCreator.Limit(new SOrderParameters(Contracts.UserSpecified, "[Enty] Long " + i.ToString(), EOrderAction.Buy)) );
                sell_order_long.Add( OrderCreator.Limit(new SOrderParameters(Contracts.UserSpecified, "[Exit] Long " + i.ToString(), EOrderAction.Sell, OrderExit.FromEntry(buy_order_long[i]))) );

                sell_order_short.Add( OrderCreator.Limit(new SOrderParameters(Contracts.UserSpecified, "[Enty] Short " + i.ToString(), EOrderAction.SellShort)) );
                buy_order_short.Add( OrderCreator.Limit(new SOrderParameters(Contracts.UserSpecified, "[Exit] Short " + i.ToString(), EOrderAction.BuyToCover, OrderExit.FromEntry(sell_order_short[i])))  );
            }

        }

        // Default
        protected override void StartCalc() {
            CountBar = Bars.CurrentBar;
        }

        /**
         *
         */
        protected override void CalcBar(){

            // Get the current bar date in dd/mm/yyyy format
            string DateBar = Bars.Time[CountBar].ToShortDateString();

            /*
             * Since the resolution of the datasets is 5 minutes, many bars will have the same date with this if I enter to make an operation
             * only when the current day is different from the last visa since the dates are in order, I do not need any further checks.
 */
            if(!this.LastDaySeen.Equals(DateBar)){

                // I take the CSV line corresponding to the current day
                Csv Line = Decisions.Find(x => x.getDateItalian().Equals(DateBar));

                Csv LineExit = Decisions.Find(x => x.getExitDateItalian().Equals(DateBar));

                // Exit condition
                if(LineExit != null){
                    if(LineExit.getExitDateItalian() == DateBar){
                        switch(LineExit.Decision){
                            case LongValue:
                                Output.WriteLine("[EXIT] Long date: " + Bars.Time[CountBar].ToShortDateString() + " at: " +
                                    Bars.Time[CountBar].ToShortTimeString() + " con ID: " + LineExit.UniqueID.ToString());
                                this.sell_order_long[LineExit.UniqueID].Send(Bars.Open[0], 1); // Chiudo una long
                                break;
                            case ShortValue:
                                Output.WriteLine("[EXIT] Short date: " + Bars.Time[CountBar].ToShortDateString() + " at: " +
                                    Bars.Time[CountBar].ToShortTimeString() + " con ID: " + LineExit.UniqueID.ToString() );
                                this.sell_order_short[LineExit.UniqueID].Send(Bars.Open[0], 1); // Chiudo una short
                                break;
                        } // Switch


                    } // If Line.get_exit...
                } // if LineExit != null



                // Entry condition
                if(Line != null){
                    switch(Line.Decision){
                        case LongValue:
                            Output.WriteLine("[ENTRY] Long date: " + Bars.Time[CountBar].ToShortDateString() + " at: " +
                                Bars.Time[CountBar].ToShortTimeString() + " con ID: " + Line.UniqueID.ToString());
                                this.buy_order_long[Line.UniqueID].Send(Bars.Open[0], 1); // Effettuo una long
                            break;
                        case ShortValue:
                            Output.WriteLine("[ENTRY] Short date: " + Bars.Time[CountBar].ToShortDateString() + " at: " +
                                Bars.Time[CountBar].ToShortTimeString() + " con ID: " + Line.UniqueID.ToString());
                                this.buy_order_short[Line.UniqueID].Send(Bars.Open[0], 1); // Effettuo una short
                            break;
                        default:
                            break;
                    }


                } // Line != null

                // Update last day seen
                this.LastDaySeen = DateBar;

            } // if(!this.LastDaySeen.Equals(DateBar))

        }


        //Create Decisions Object by Reading the CSV FILE
        static protected void ReadCsv(string CsvPath){
            using(var reader = new StreamReader(CsvPath)){
                reader.ReadLine();
                while (!reader.EndOfStream){
                    var Line = reader.ReadLine();
                    Decisions.Add(new Csv(Line));
                }
            }
        }

    } // class PredizioniCET

    /**
     *
     * CSV Class
     */
    public class Csv{
        public string Date { get; set; }
        public int Decision { get; set; }
        public string ExitDate { get; set; }
        public int UniqueID {get; set; }

        public Csv(string line){
            var values = line.Split(',');
            this.Date = values[0]; // yyyy-mm-dd
            this.Decision = Int32.Parse(values[1]);
            this.ExitDate = values[2]; // yyyy-mm-dd
            this.UniqueID = Int32.Parse(values[3]);
        }

        // Get the dates in Italian Format dd/mm/yyyy
        public String getDateItalian () {
            var values = Date.Split('-');
            return values[2] + "/" + values[1] + "/" + values[0];;
        }
        public String getExitDateItalian () {
            var values = ExitDate.Split('-');
            return values[2] + "/" + values[1] + "/" + values[0];;
        }

    } // class Csv
} // namespace