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Prevent LE when we're already in a LE

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Seth Ladygo
2018-11-14 21:06:51 -08:00
parent 8cf12a27fb
commit b0f254b006
1 changed files with 15 additions and 0 deletions
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15
epl/trading_system_1.epl
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@ -57,6 +57,12 @@ create variable bool InTradingHours = false
on TickEvent as t on TickEvent as t
set InTradingHours = EPLHelpers.inTimeRange(t.time, TradingStartTime, TradingEndTime) set InTradingHours = EPLHelpers.inTimeRange(t.time, TradingStartTime, TradingEndTime)
--
-- In long position. Set later.
--
create variable bool InLongEntry = false
-- --
@ -228,6 +234,7 @@ insert into LongEntryStream
and EPLHelpers.laterThan(B2.time, P2.time) and EPLHelpers.laterThan(B2.time, P2.time)
and EPLHelpers.laterThan(P1.time, B2.time) and EPLHelpers.laterThan(P1.time, B2.time)
and InTradingHours and InTradingHours
and not InLongEntry
-- Because multiple streams feed LongEntryStream (CurrentTick, -- Because multiple streams feed LongEntryStream (CurrentTick,
-- MaxHigh3Window, B1, B2...), an event on any of those streams causes -- MaxHigh3Window, B1, B2...), an event on any of those streams causes
@ -246,6 +253,14 @@ insert into LongEntryDistinct
from pattern [every-distinct(le.time) le=LongEntryStream] from pattern [every-distinct(le.time) le=LongEntryStream]
--
-- Long entry derived variables
--
-- 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
-- --
-- Event logging -- Event logging
-- --