def manage_open_order(self, order, position, bars, to_update, to_cancel,
open_positions):
if position is not None and self.factor > 0:
# trail
newStop = order.stop_price
refRange = 0
if self.atrPeriod > 0:
atrId = "ATR" + str(self.atrPeriod)
refRange = Indicator.get_data_static(bars[1], atrId)
if refRange is None:
refRange = clean_range(bars,
offset=1,
length=self.atrPeriod)
Indicator.write_data_static(bars[1], refRange, atrId)
elif position.wanted_entry is not None and position.initial_stop is not None:
refRange = (position.wanted_entry - position.initial_stop)
if refRange != 0:
ep = bars[0].high if position.amount > 0 else bars[0].low
be = position.wanted_entry + refRange * self.buffer
if (ep - (position.wanted_entry + refRange * self.factor)) * position.amount > 0 \
and (be - newStop) * position.amount > 0:
newStop = math.floor(
be) if position.amount < 0 else math.ceil(be)
if newStop != order.stop_price:
order.stop_price = newStop
to_update.append(order)
def process_bar(self, bars: List[Bar]):
atr = clean_range(bars, offset=0, length=self.max_look_back * 2)
offset = 1
move_length = 1
if (bars[offset].high - bars[offset].low) < (bars[offset + 1].high -
bars[offset + 1].low):
move_length = 2
threshold = atr * self.threshold_factor
maxDist = atr * self.max_dist_factor
buffer = atr * self.buffer_factor
[sinceLongReset,
longTrail] = self.calc_trail(bars, offset, 1, move_length, threshold,
maxDist)
[sinceShortReset,
shortTrail] = self.calc_trail(bars, offset, -1, move_length,
threshold, maxDist)
sinceReset = min(sinceLongReset, sinceShortReset)
if sinceReset >= 3:
last_data: Data = self.get_data(bars[1])
lastLongSwing = self.calc_swing(bars, 1, last_data.longSwing,
sinceReset, buffer)
lastShortSwing = self.calc_swing(bars, -1, last_data.shortSwing,
sinceReset, buffer)
if last_data.longSwing is not None and last_data.longSwing < bars[
0].high:
lastLongSwing = None
if last_data.shortSwing is not None and last_data.shortSwing > bars[
0].low:
lastShortSwing = None
else:
lastLongSwing = None
lastShortSwing = None
self.write_data(
bars[0],
Data(sinceLongReset=sinceLongReset,
sinceShortReset=sinceShortReset,
longTrail=longTrail,
shortTrail=shortTrail,
longSwing=lastLongSwing,
shortSwing=lastShortSwing,
buffer=buffer,
atr=atr))
def manage_open_order(self, order, position, bars, to_update, to_cancel,
open_positions):
if position is not None and self.maxATRDiff > 0 and self.atrPeriod > 0:
# trail
newStop = order.stop_price
atrId = "ATR" + str(self.atrPeriod)
refRange = Indicator.get_data_static(bars[1], atrId)
if refRange is None:
refRange = clean_range(bars, offset=1, length=self.atrPeriod)
Indicator.write_data_static(bars[1], refRange, atrId)
if refRange != 0:
ep = bars[0].high if position.amount > 0 else bars[0].low
maxdistStop = ep - math.copysign(refRange * self.maxATRDiff,
position.amount)
if (maxdistStop - newStop) * position.amount > 0:
newStop = math.floor(
maxdistStop) if position.amount < 0 else math.ceil(
maxdistStop)
if newStop != order.stop_price:
order.stop_price = newStop
to_update.append(order)