Seperated out the experiements to record their setup, updated the web…

… ui to prevent CORS issues, and started on a new momentum calculator

scripts/backtestings/aws.sh

@@ -29,7 +29,8 @@ main() {
  # randomStrategyAmountOfHHLLSseq="5 5 5"
 
  # source $my_dir/experiments/random/forex/fixed
- source $my_dir/experiments/random/forex/variable
+ source $my_dir/experiments/random/crypto/variable
+ # source $my_dir/experiments/momentum/ftse100
  ######
 
  # Remove binary files & tests

scripts/backtestings/experiments/momentum/ftse100

@@ -0,0 +1,19 @@
+declare -a strategies=("Momentum")
+
+## Multiple Indexes
+declare -a symbolsArray=("GBRIDXGBP")
+
+# Forex from 2004
+yearsStart=2014
+yearsEnd=2023
+
+# STOP LOSS Distance in PIPs
+stopLossInPipsRange="100 100 1000"
+
+# TAKE PROFIT Distance in PIPs
+limitInPipsRange="100 100 1000"
+
+# Account Equity
+accountEquity=500
+maximumDrawndownPercentage=50
+fasterProcessingBySkippingSomeTickData=true

scripts/backtestings/experiments/random/crypto/variable

@@ -1,8 +1,11 @@
+#!/bin/bash
+
 declare -a strategies=("RandomStrategy")
 
 ## Crypto
 declare -a symbolsArray=("ETHUSD" "BTCUSD")
 yearsStart=2018
+yearsEnd=2023
 
 # STOP LOSS Distance in PIPs
 stopLossInPipsRange="20 20 100"

scripts/backtestings/experiments/random/forex/fixed

@@ -3,6 +3,7 @@ declare -a symbolsArray=("EURUSD" "USDJPY" "GBPUSD" "NZDUSD" "USDCHF" "USDCAD" "
 
 # Forex from 2004
 yearsStart=2004
+yearsEnd=2023
 
 # STOP LOSS Distance in PIPs
 stopLossInPipsRange="30 1 30"

scripts/backtestings/experiments/random/forex/trailingSL

@@ -3,6 +3,7 @@ declare -a symbolsArray=("EURUSD" "USDJPY" "GBPUSD" "NZDUSD" "USDCHF" "USDCAD" "
 
 # Forex from 2004
 yearsStart=2004
+yearsEnd=2023
 
 # STOP LOSS Distance in PIPs
 stopLossInPipsRange="200 20 200"

scripts/backtestings/experiments/random/forex/variable

@@ -1,4 +1,8 @@
+#!/bin/bash
+
 declare -a strategies=("RandomStrategy")
+
+## Multiple Currencies
 declare -a symbolsArray=("EURUSD" "USDJPY" "GBPUSD" "NZDUSD" "USDCHF" "USDCAD" "AUDUSD")
 
 # Forex from 2004

scripts/backtestings/experiments/random/indices/fixed

@@ -5,6 +5,7 @@ declare -a symbolsArray=("JPNIDXJPY" "ESPIDXEUR" "FRAIDXEUR" "DEUIDXEUR" "AUSIDX
 
 # Forex from 2004
 yearsStart=2014
+yearsEnd=2023
 
 # STOP LOSS Distance in PIPs
 stopLossInPipsRange="30 1 30"

scripts/backtestings/experiments/random/indices/variable

@@ -1,10 +1,13 @@
+#!/bin/bash
+
 declare -a strategies=("RandomStrategy")
 
 ## Multiple Indexes
 declare -a symbolsArray=("JPNIDXJPY" "ESPIDXEUR" "FRAIDXEUR" "DEUIDXEUR" "AUSIDXAUD" "USATECHIDXUSD" "USA500IDXUSD" "USA30IDXUSD" "EUSIDXEUR" "GBRIDXGBP")
 
 # Forex from 2004
 yearsStart=2014
+yearsEnd=2023
 
 # STOP LOSS Distance in PIPs
 stopLossInPipsRange="20 20 100"

src/backtesting/Consumer/WebConsumer.cs

@@ -45,7 +45,7 @@ public async Task ConsumeAsync(BufferBlock<PriceObj> buffer, CancellationToken c
 
  private async Task CacheRequests(PriceObj priceObj){
  // Clock the local time, check it's under 100 milliseconds
- if(DateTime.Now.Subtract(lastReceived).TotalSeconds <= 0.2){ //0.4
+ if(DateTime.Now.Subtract(lastReceived).TotalSeconds <= 0.1){ //0.4
 
  // Have we sent an hour
  if(priceObj.date.Subtract(priceTimeWindow).TotalMinutes<5){

src/strategies/Momentum.cs

@@ -0,0 +1,137 @@
+using System.Diagnostics.CodeAnalysis;
+using backtesting_engine;
+using backtesting_engine.interfaces;
+using backtesting_engine_models;
+using Newtonsoft.Json;
+using Utilities;
+
+namespace backtesting_engine_strategies;
+
+// https://mccaffers.com/randomly_trading/
+public class Momentum : BaseStrategy, IStrategy
+{
+
+ private List<OhlcObject> ohlcList = new List<OhlcObject>();
+ private OhlcObject lastItem = new OhlcObject();
+ private DateTime lastReportedEvent = DateTime.MinValue;
+ private PriceObj? earlyMorningPrice;
+ private PriceObj? lateMorningPrice;
+
+ public Momentum( IRequestOpenTrade requestOpenTrade, 
+ ITradingObjects tradeObjs, 
+ IEnvironmentVariables envVariables,
+ ICloseOrder closeOrder,
+ IWebNotification webNotification ) : base(requestOpenTrade, tradeObjs, envVariables, closeOrder, webNotification) {}
+
+
+ public async Task Invoke(PriceObj priceObj)
+ {
+
+ foreach(var item in this.tradeObjs.openTrades.Where(x => x.Key.Contains(priceObj.symbol)).Select(x => x.Value)){
+ if(priceObj.date.Subtract(item.openDate).TotalHours > 1 && item.profit > 10){
+ this.closeOrder.Request(item, priceObj);
+ return;
+ }
+
+ if(priceObj.date.Subtract(item.openDate).TotalHours > 3 && item.profit > 5){
+ this.closeOrder.Request(item, priceObj);
+ return;
+ }
+ if(priceObj.date.Subtract(item.openDate).TotalHours > 4 && item.profit > 0){
+ this.closeOrder.Request(item, priceObj);
+ return;
+ }
+ }
+ // Maximum of one open trade
+ // TODO Make configurable
+ if (tradeObjs.openTrades.Count() >= 1)
+ {
+ return;
+ }
+
+ if(lastReportedEvent == DateTime.MinValue){
+ lastReportedEvent = priceObj.date;
+ return;
+ }
+
+
+ var randomInt = new Random().Next(8); 
+
+ // TradeDirection direction = TradeDirection.BUY;
+
+ if (randomInt==0)
+ { 
+ return;
+ }
+
+ // if(priceObj.date.DayOfWeek == DayOfWeek.Sunday)
+ // {
+ // return;
+ // }
+
+ if(priceObj.date.Hour < 6 || priceObj.date.Hour > 23){
+ return;
+ }
+
+ if(priceObj.date.DayOfWeek == DayOfWeek.Sunday || priceObj.date.DayOfWeek == DayOfWeek.Friday ){
+ return;
+ }
+
+ // The day has changed
+ // if(lastReportedEvent.Hour != priceObj.date.Hour) {
+ // After 7 am, lets start recording
+ if(earlyMorningPrice == null){
+ earlyMorningPrice=priceObj;
+ }
+
+ // After 7 am, lets start recording
+ if(earlyMorningPrice?.date.Subtract(priceObj.date).TotalMinutes < -30 && lateMorningPrice == null) {
+ lateMorningPrice=priceObj;
+ }
+
+ if(earlyMorningPrice!=null && lateMorningPrice != null){
+ lastReportedEvent=priceObj.date.Date;
+ var diff = 1 - (earlyMorningPrice.bid / lateMorningPrice.bid);
+
+ if(Math.Abs(diff*1000) >= 1 ){
+
+ TradeDirection dir = TradeDirection.SELL;
+ if(diff > 0) {
+ dir = TradeDirection.BUY;
+ }
+ var size = decimal.Parse(envVariables.tradingSize);
+
+
+ OpenTrade(priceObj, dir, size);
+
+
+ }
+
+ earlyMorningPrice=null;
+ lateMorningPrice=null;
+ }
+
+ // }
+
+
+ // Surpress CS1998
+ // Async method lacks 'await' operators and will run synchronously
+ await Task.CompletedTask;
+
+ return;
+ }
+
+ private void OpenTrade(PriceObj priceObj, TradeDirection direction, decimal size){
+
+ var key = DictionaryKeyStrings.OpenTrade(priceObj.symbol, priceObj.date);
+
+ var openOrderRequest = new RequestObject(priceObj, direction, envVariables, key)
+ {
+ size = size ,
+ stopDistancePips = decimal.Parse(envVariables.stopDistanceInPips),
+ limitDistancePips = decimal.Parse(envVariables.limitDistanceInPips),
+ };
+
+ this.requestOpenTrade.Request(openOrderRequest);
+ }
+}

src/ui/src/TradingUI/Dashboard.js

@@ -165,7 +165,7 @@ const Chat = () => {
 
  function connectToSignalR(){
  const connection = new HubConnectionBuilder()
- .withUrl('http:https://localhost:5000/hubs/chat', {  transport: HttpTransportType.WebSockets | HttpTransportType.LongPolling })
+ .withUrl('http:https://localhost:5000/hubs/chat', {skipNegotiation:true, withCredentials:false, transport: HttpTransportType.WebSockets })
  .withHubProtocol(new signalRMsgPack.MessagePackHubProtocol())
  .withAutomaticReconnect()
  .build();

src/webserver/Startup.cs

@@ -20,14 +20,11 @@ public void ConfigureServices(IServiceCollection services)
 
  services.AddCors(options =>
  {
- options.AddPolicy("ClientPermission", policy =>
- {
- policy.WithOrigins("http:https://localhost:3000")
- .AllowAnyHeader()
- .AllowAnyMethod()
- .SetIsOriginAllowed((host) => true)
- .AllowCredentials();
- });
+ options.AddPolicy("ClientPermission", pb =>
+ pb.AllowAnyHeader()
+ .AllowAnyMethod()
+ .SetIsOriginAllowed(_ => true)
+ );
  });
  }
 
@@ -43,7 +40,6 @@ public void Configure(IApplicationBuilder app, IWebHostEnvironment env)
 
 
  app.UseHttpsRedirection();
-
 
 
  app.UseRouting();
@@ -52,7 +48,7 @@ public void Configure(IApplicationBuilder app, IWebHostEnvironment env)
 
  app.UseEndpoints(endpoints =>
  {
- 
+  
  endpoints.MapControllers();
  endpoints.MapHub<ChatHub>("/hubs/chat");