private HashMap<String, double[]> findMTMShorterAlligators(
int width, Period basePeriod, int shift) throws JFException {
HashMap<String, double[]> result = new HashMap<String, double[]>();
int baseIndex = this.periods.indexOf(basePeriod);
Period shortPeriod = this.periods.get(baseIndex + width);
console.getOut().println("Short period " + shortPeriod.toString());
IBar shortBar = history.getBar(instrument, shortPeriod, OfferSide.BID, shift);
/*
* not necessarily quickest double[][] longAlligator =
* indicators.alligator(instrument, longPeriod, OfferSide.BID,
* AppliedPrice.MEDIAN_PRICE, jaw, teeth, lips, longBar.getTime(),
* longBar.getTime());
*
* double[][] shortAlligator = indicators.alligator(instrument,
* shortPeriod, OfferSide.BID, AppliedPrice.MEDIAN_PRICE, jaw, teeth,
* lips, shortBar.getTime(), shortBar.getTime());
*/
double[] shortAlligator =
indicators.alligator(
instrument,
shortPeriod,
OfferSide.BID,
AppliedPrice.MEDIAN_PRICE,
jaw,
teeth,
lips,
shift);
double[] alligator =
indicators.alligator(
instrument,
alligatorTimeframe,
OfferSide.BID,
AppliedPrice.MEDIAN_PRICE,
jaw,
teeth,
lips,
shift);
result.put(shortPeriod.name(), shortAlligator);
result.put(alligatorTimeframe.name(), alligator);
console.getOut().println("result " + result.size());
return result;
}
private IOrder putTheAlligatorToSleep(IOrder alligatorOrder, int shift) throws JFException {
IOrder result = null;
// dirty
// get alligator from previous bar and the alligator from alligatorWidth
// bars back
// to check for alligator reversal
IBar prevBar = history.getBar(instrument, alligatorTimeframe, OfferSide.BID, shift);
// dirty
double[][] alligator =
indicators.alligator(
instrument,
alligatorTimeframe,
OfferSide.BID,
AppliedPrice.MEDIAN_PRICE,
jaw,
teeth,
lips,
prevBar.getTime(),
prevBar.getTime());
// Trend trend = askTheAlligator(alligator, prevBar, shift);
// close on shorter trend switch
HashMap<String, double[]> alis =
findMTMShorterAlligators(timeframeWidth, alligatorTimeframe, shift);
if (!isAlligatorCoherent(new ArrayList(alis.values()), alligatorTimeframe)) {
alligatorOrder.close();
}
return result;
}
// TODO - make possible to parameterize the Trend conditions Lips/Jaw and
// Gator
private boolean didAlligatorReverse(
double[][] alligator, IBar alligatorBar, Period timeframe, int shift) throws JFException {
IBar historicalAlligatorBar =
history.getBar(instrument, timeframe, OfferSide.BID, alligatorLength + shift);
double[][] historicalAlligator =
indicators.alligator(
instrument,
timeframe,
OfferSide.BID,
AppliedPrice.MEDIAN_PRICE,
jaw,
teeth,
lips,
historicalAlligatorBar.getTime(),
alligatorBar.getTime());
double alligatorTeeth = alligator[0][1];
double alligatorLips = alligator[0][2];
// double historicalAlligatorJaw = historicalAlligator[0][0];
double historicalAlligatorTeeth = historicalAlligator[1][0];
double historicalAlligatorLips = historicalAlligator[2][0];
boolean result =
Math.signum(historicalAlligatorTeeth - historicalAlligatorLips)
== Math.signum(alligatorTeeth - alligatorLips)
? false
: true;
return result;
}
private HashMap<String, double[]> findMTMLongerAlligators(int width, Period basePeriod, int shift)
throws JFException {
HashMap<String, double[]> result = new HashMap<String, double[]>();
int baseIndex = this.periods.indexOf(basePeriod);
Period longPeriod = this.periods.get(baseIndex - width);
console.getOut().println("Long period " + longPeriod.toString());
IBar longBar = history.getBar(instrument, longPeriod, OfferSide.BID, shift);
double[] longAlligator =
indicators.alligator(
instrument,
longPeriod,
OfferSide.BID,
AppliedPrice.MEDIAN_PRICE,
jaw,
teeth,
lips,
shift);
double[] alligator =
indicators.alligator(
instrument,
alligatorTimeframe,
OfferSide.BID,
AppliedPrice.MEDIAN_PRICE,
jaw,
teeth,
lips,
shift);
result.put(alligatorTimeframe.name(), alligator);
result.put(longPeriod.name(), longAlligator);
return result;
}
private IOrder bounceOnBolek(int shift) throws JFException {
IOrder result = null;
// bolek
int timePeriod = 5;
MaType maType = MaType.EMA;
double nbDevDn = 2;
double nbDevUp = 2;
double[] bolek =
indicators.bbands(
instrument,
alligatorTimeframe,
OfferSide.BID,
AppliedPrice.CLOSE,
timePeriod,
nbDevUp,
nbDevDn,
maType,
shift);
return result;
}
private IOrder feedTheAlligator(int shift) throws JFException {
IOrder result = null;
OrderCommand feed = null;
double stopLossPrice, takeProfitPrice;
// dirty
// get alligator from previous bar and the alligator from alligatorWidth
// bars back
// to check for alligator reversal
IBar prevBar = history.getBar(instrument, alligatorTimeframe, OfferSide.BID, shift);
// dirty
double[][] alligator =
indicators.alligator(
instrument,
alligatorTimeframe,
OfferSide.BID,
AppliedPrice.MEDIAN_PRICE,
jaw,
teeth,
lips,
prevBar.getTime(),
prevBar.getTime());
double alligatorJaw = alligator[0][0];
double alligatorTeeth = alligator[1][0];
double alligatorLips = alligator[2][0];
Date date = new Date(prevBar.getTime());
console
.getOut()
.println(
"On "
+ date
+ " Alligator says - Jaw: "
+ alligatorJaw
+ " Teeth: "
+ alligatorTeeth
+ " Lips: "
+ alligatorLips);
Trend alligatorSays = askTheAlligator(alligator, prevBar, 1);
HashMap<String, double[]> mtmAlligators =
findMTMShorterAlligators(timeframeWidth, alligatorTimeframe, shift);
boolean isAliCoherent =
isAlligatorCoherent(new ArrayList(mtmAlligators.values()), alligatorTimeframe);
if (alligatorSays == Trend.BEARISH && isAliCoherent) feed = OrderCommand.SELL;
else if (alligatorSays == Trend.BULLISH && isAliCoherent) feed = OrderCommand.BUY;
if (feed != null) {
if (feed == OrderCommand.BUY) {
stopLossPrice =
history.getLastTick(this.instrument).getAsk()
- this.stopLossPips * this.instrument.getPipValue();
takeProfitPrice =
history.getLastTick(this.instrument).getAsk()
+ takeProfitPips * this.instrument.getPipValue();
} else {
stopLossPrice =
history.getLastTick(this.instrument).getBid()
+ this.stopLossPips * this.instrument.getPipValue();
takeProfitPrice =
history.getLastTick(this.instrument).getBid()
- takeProfitPips * this.instrument.getPipValue();
}
result =
engine.submitOrder(
getLabel(feed),
this.instrument,
feed,
amount,
0,
20,
stopLossPips != 0 ? stopLossPrice : stopLossPips,
takeProfitPips != 0 ? takeProfitPrice : takeProfitPips);
// engine.submitOrder("order", Instrument.EURUSD, feed, amount, 0,
// 20, stopLossPrice, 0);
}
return result;
}