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solving system of inequalities (C# / NinjaScript)


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  #1 (permalink)
 SARdynamite 
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As a basic explanation, I'm trying to estimate in ticks where to place a stoploss to restrict my strategy without a max daily loss limit, considering my real P&L (which is not a round multiple of TickSize since including past commissions and slippage as well as anticipated commission+slippage for the stopout)

Please note I'm coding this from a NT indicator, not a strategy, hence I work from a simulated running EC.

ANYWAY, I will simplify the matter here to something along those lines :

 
Code
(ProfitDistance is a double)

X >= (ProfitDistance - Close[0]) / TickSize
X < (ProfitDistance + 1 - Close[0]) / TickSize

X must be an integer

Can it be solved efficiently in C# ? If so what needs to be written ? Never came accross such a need before. Thanks for your help (example scripts of equations solving welcomed)

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  #3 (permalink)
 
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 cory 
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you can check out his code, https://nexusfi.com/download/ninjatrader-7/indicators/1248-download.html?view

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  #4 (permalink)
 SARdynamite 
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Will give it a look. Thanks

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 shodson 
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Have you tried rounding ProfitDistance to the nearest tick size?

 
Code
this.Instrument.MasterInstrument.Round2TickSize(ProfitDistance)

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  #6 (permalink)
 SARdynamite 
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Yes, I thought about using the Round method to solve it as a first intention but actually my equation terms are more complex than the ones written and I would have gotten several terms inside the same Round function which then I cannot split to solve the one liner equation... too bad.

(not sure if my explanation is clear but end of the story is that it was not possible in that case to achieve perfect precision )

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 Cloudy 
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Just vaguely recalling from school. Linear algebra can be used to solve systems of linear equations. And there's probably code out there in C that does it.

(code on this page)
Gauss's method to solve system of linear equation.

Cramer's Rule to Solve Systems of Equations

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