Create-buy-list-after-signals-are-generated

CODE:

        //create indicators and other objects here, this is executed prior to the main trading loop
        public override void Initialize(BarHistory bars)
        {
         bars.Cache["Ind1"] = new SMA(bars.Close, 20);   // whatever the indicators are
         bars.Cache["Ind2"] = new SMA(bars.Close, 40);
        }

      public override void PreExecute(DateTime dt, List<BarHistory> participants)
      {
         // rank the candidates by rsi
         foreach (BarHistory bh in participants)
         {
            RSI symbolRsi = (RSI)bh.Cache[seriesKey];
            int idx = GetCurrentIndex(bh);  //this returns the index of the BarHistory for the bar currently being processed
            double rsiVal = symbolRsi[idx];

            bh.UserData = rsiVal; //save the current AvgROC value along with the BarHistory instance
         }

         //sort the participants by AvgROC value (lowest to highest)
         participants.Sort((a, b) => a.UserDataAsDouble.CompareTo(b.UserDataAsDouble));

         //keep the top symbols
         buys.Clear();
         for (int n = 0; n < 12; n++)
         {
            if (n >= participants.Count)
               break;
            buys.Add(participants[n]);
         }

         for (int n = buys.Count - 1; n >= 0; n--)
         {
            BarHistory bars = buys[n];
            int idx = GetCurrentIndex(bars);
            TimeSeries indicator1 = (TimeSeries)bars.Cache["Ind1"];
            TimeSeries indicator2 = (TimeSeries)bars.Cache["Ind2"];
            bool keep = (idx - Parameters[5].AsInt >= 0 && (indicator1[idx] < indicator2[idx - Parameters[5].AsInt] * (1.0 - (Parameters[4].AsDouble / 100.0))));
            if (!keep)
            {
               buys.Remove(bars);
            }
         }
      }