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Open Feature request MC-1673

MC.NET Synchronous Indicators

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There comes times when I need many indicators that work together synchronously. At the moment each indicator is executed separately (in separate threads?). What I want to do, is have a number of indicators that work as filters, other indicators that give signals for trading. All of these (custom written) indicators then flow their data into a central "engine" indicator that decides whether filter is active and whether we can execute a signal. This must be done synchronously BAR-BY-BAR. Then, if we have a signal, a strategy can execute the signal. Communication is handled via static C# structures.
What is needed:
(a) I need an attribute for my indicator/strategy classes in C# that say they must all be executed together synchronously (bar-by-bar).
(b) I need a way to programmatically give a "priority" to my indicators, to say for example filters are at level "1", signals at level "2", engine at level "5" and execution strategy at level "9". Then the calling sequence of the different indicators on each bar must be in this priority level (things at same priority can be called in whatever sequence).
This bar-by-bar processing is how other trading platforms work and this is the only way that one can split up code into different code blocks. My approach: take any number of filter indicators, take any number of signal components, any number of stoploss/exit indicators and then just plug in the engine to aggregate the signals and make decisions.
I attach a screenshot of how another platform solves this very nice and after using it for a while have to admit I really like this flexiibility.

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