From 7680ed81a278ab1b8ba2059f98c70f820b3db07b Mon Sep 17 00:00:00 2001
From: Seth Ladygo <alx-gitlab@arclight.industries>
Date: Wed, 14 Nov 2018 21:08:36 -0800
Subject: [PATCH] Add LE derived values

---
 epl/trading_system_1.epl | 51 +++++++++++++++++++++++++++++++++++++---
 1 file changed, 48 insertions(+), 3 deletions(-)

diff --git a/epl/trading_system_1.epl b/epl/trading_system_1.epl
index d455a3d..f64aa54 100644
--- a/epl/trading_system_1.epl
+++ b/epl/trading_system_1.epl
@@ -244,8 +244,11 @@ insert into LongEntryStream
 --
 -- LongEntryDistinct filters out duplicate LongEntryStream events,
 -- leaving a maximum of one event per tick.
-create schema LongEntryDistinct as (current BigDecimal, time DateTime,
-                                    instrument String, units int)
+create schema LongEntryDistinct
+ as (current BigDecimal,
+     time DateTime,
+     instrument String,
+     units int)
 
 insert into LongEntryDistinct
   select le.current as current, le.time as time,
@@ -254,13 +257,55 @@ insert into LongEntryDistinct
 
 
 --
--- Long entry derived variables
+-- Long entry derived values
 --
 
 -- Register if We're in a long entry when we get the LongEntryDistinct
 -- event.  (InLongEntry is declared near top of file)
 on LongEntryDistinct as le set InLongEntry = true
 
+-- LongEntryTime contains the timestamp of the last long entry,
+-- or null if none has happened yet.
+create variable DateTime LongEntryTime = null
+
+on LongEntryDistinct as le set LongEntryTime = le.time
+
+-- LongEntryStopBarCount contains the number of OHLCStream bars that
+-- have occurred since the most recent long entry.
+create variable int LongEntryStopBarCount = 0
+
+-- Reset LongEntryStopBarCount when we get a new LE.
+on LongEntryDistinct as le set LongEntryStopBarCount = 0
+
+-- Increment LongEntryStopBarCount on every bar.
+on OHLCStream as ohlc set LongEntryStopBarCount = LongEntryStopBarCount + 1
+
+-- LongEntryPrice contains the price of the last long entry,
+-- or null if none has happened yet.
+create variable BigDecimal LongEntryPrice = null
+
+on LongEntryDistinct as le set LongEntryPrice = le.current
+
+-- LongEntryPreEntryBar is a stream that keeps bars just prior to the
+-- last long entry
+create schema LongEntryPreEntryBar
+  as (time DateTime,
+      open double,
+      high double,
+      low double,
+      close double)
+
+-- Add bars so long as we're not in a long position
+insert into LongEntryPreEntryBar
+  select time, open, high, low, close from OHLCStream
+    where InLongEntry is false
+
+-- Contains the second-most-recent LongEntryPreEntryBar's "low" value
+create schema LongEntryPreEntryBarPrevLow (low double)
+
+insert into LongEntryPreEntryBarPrevLow select prev(1, low) as low
+  from LongEntryPreEntryBar#length(2)
+
 --
 -- Event logging
 --