// public StgPairSimple () {
// VendorLicense("TheTradingBook", "StgPairSimple", "thetradingbook.com", "*****@*****.**",null);
// }
protected override void OnStateChange()
{
base.OnStateChange();
if (State == State.SetDefaults)
{
Description = "Pair Trading by Spread Ladders";
Name = "StgATR3";
//Account.Name = "Sim102";
SlippageRate = 0.04; //percent of the price/100
Calculate = Calculate.OnPriceChange;
IsFillLimitOnTouch = false;
TraceOrders = false;
BarsRequiredToTrade = 12;
IsUnmanaged = false;
IncludeCommission = true;
OrderFillResolution = OrderFillResolution.Standard;
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
DefaultQuantity = 100;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
IsExitOnSessionCloseStrategy = false;
//ExitOnSessionCloseSeconds = 30;
// MM_ProfitFactorMax = 1;
// MM_ProfitFactorMin = 0;
// TG_TradeEndH = 10;
// TG_TradeEndM = 45;
TG_OpenStartH = 8;
TG_OpenStartM = 30;
PeriodNear = 10;
PeriodMiddle = 30;
PeriodFar = 90;
MktPosition1 = MarketPosition.Flat;
MktPosition2 = MarketPosition.Flat;
SPKLineThresholdLow = 3;
SPKLineThresholdMid = 50;
SPKLineThresholdHigh = 96;
TradeCostRate = 0.3;
DaysToHoldPos = 9;
PrintOut = 1;
// IsInstantiatedOnEachOptimizationIteration = false;
}
else if (State == State.Configure)
{
// Add an MSFT 1 minute Bars object to the strategy
//AddDataSeries("NQ 06-20", Data.BarsPeriodType.Minute, 13);
if (ChartMinutes > 0)
{
AddDataSeries(SecondSymbol, BarsPeriodType.Minute, ChartMinutes, MarketDataType.Last);
}
else
{
AddDataSeries(SecondSymbol, BarsPeriodType.Day, 1, MarketDataType.Last);
}
//AddDataSeries(SecondSymbol, BarsPeriodType.Minute, ChartMinutes);
SetOrderQuantity = SetOrderQuantity.Strategy; // calculate orders based off default size
// Sets a 20 tick trailing stop for an open position
//SetTrailStop(CalculationMode.Ticks, 200);
}
else if (State == State.DataLoaded)
{
giSpdLadder = GISpdLadder(SecondSymbol, ChartMinutes, PeriodNear, PeriodMiddle, PeriodFar, SPKLineThresholdLow, SPKLineThresholdMid, SPKLineThresholdHigh, 1); // CapRatio1, CapRatio2, PctChgSpdThresholdEn, PctChgSpdThresholdEx);
AddChartIndicator(giSpdLadder);
giSpdLadder.RaiseIndicatorEvent += OnTradeBySpdLadder;
// giPctSpd.RaiseIndicatorEvent += OnTradeByPctSpd;
// giPctSpd.TM_ClosingH = TG_TradeEndH;
// giPctSpd.TM_ClosingM = TG_TradeEndM;
SetPrintOut(-1);
CapRatio2 = 1;
CapRatio1 = Closes[1][0] / Closes[0][0];
if (!IsInStrategyAnalyzer && PrintOut > 1)
{
Print(String.Format("{0}: IsUnmanaged={1}", this.GetType().Name, IsUnmanaged));
Print(String.Format("{0}: DataLoaded...BarsArray.Length={1}", this.GetType().Name, BarsArray.Length));
}
ctxPairSpdDaily = giSpdLadder.CtxPairSpreadDaily;
// if(BarsPeriod.BarsPeriodType == BarsPeriodType.Day) {
// //SetMarketContext();
// ctxPairSpd = new Dictionary<string, List<CtxPairSpd>>();
// }
if (BarsPeriod.BarsPeriodType != BarsPeriodType.Day)
{
GetMarketContext();
}
}
}
// public StgPairSimple () {
// VendorLicense("TheTradingBook", "StgPairSimple", "thetradingbook.com", "*****@*****.**",null);
// }
protected override void OnStateChange()
{
base.OnStateChange();
if (State == State.SetDefaults)
{
Description = "Pair Trading by Spread Diff or Ratio";
Name = "StgPairSpdRS";
Calculate = Calculate.OnPriceChange;
IsFillLimitOnTouch = false;
TraceOrders = false;
BarsRequiredToTrade = 128;
IsUnmanaged = false;
IncludeCommission = true;
OrderFillResolution = OrderFillResolution.Standard;
EntriesPerDirection = 2;
EntryHandling = EntryHandling.AllEntries;
DefaultQuantity = 100;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
IsExitOnSessionCloseStrategy = false;
//ExitOnSessionCloseSeconds = 30;
// MM_ProfitFactorMax = 1;
// MM_ProfitFactorMin = 0;
// TG_TradeEndH = 10;
// TG_TradeEndM = 45;
TG_OpenStartH = 8;
TG_OpenStartM = 30;
MktPosition1 = MarketPosition.Flat;
MktPosition2 = MarketPosition.Flat;
NumStdDevUp = 1.6;
NumStdDevDown = 1.6;
NumStdDevUpMin = 0.2;
NumStdDevDownMin = 0.2;
// IsInstantiatedOnEachOptimizationIteration = false;
}
else if (State == State.Configure)
{
// Add an MSFT 1 minute Bars object to the strategy
//AddDataSeries("NQ 06-20", Data.BarsPeriodType.Minute, 13);
if (ChartMinutes > 0)
{
AddDataSeries(SecondSymbol, BarsPeriodType.Minute, ChartMinutes, MarketDataType.Last);
}
else
{
AddDataSeries(SecondSymbol, BarsPeriodType.Day, 1, MarketDataType.Last);
}
//AddDataSeries(SecondSymbol, BarsPeriodType.Minute, ChartMinutes);
SetOrderQuantity = SetOrderQuantity.Strategy; // calculate orders based off default size
// Sets a 20 tick trailing stop for an open position
//SetTrailStop(CalculationMode.Ticks, 200);
}
else if (State == State.DataLoaded)
{
giSpdRs = GISpdRS(NumStdDevUp, NumStdDevDown, NumStdDevUpMin, NumStdDevDownMin, MAPeriod, ATRPeriod, SecondSymbol, ChartMinutes); // CapRatio1, CapRatio2, PctChgSpdThresholdEn, PctChgSpdThresholdEx);
AddChartIndicator(giSpdRs);
giSpdRs.RaiseIndicatorEvent += OnTradeByPairSpdRs;
// giPctSpd.RaiseIndicatorEvent += OnTradeByPctSpd;
// giPctSpd.TM_ClosingH = TG_TradeEndH;
// giPctSpd.TM_ClosingM = TG_TradeEndM;
SetPrintOut(1);
CapRatio2 = 1;
CapRatio1 = Closes[1][0] / Closes[0][0];
Print(String.Format("{0}: IsUnmanaged={1}", this.GetType().Name, IsUnmanaged));
Print(String.Format("{0}: DataLoaded...BarsArray.Length={1}", this.GetType().Name, BarsArray.Length));
ctxPairSpdDaily = giSpdRs.CtxPairSpreadDaily;
// if(BarsPeriod.BarsPeriodType == BarsPeriodType.Day) {
// //SetMarketContext();
// ctxPairSpd = new Dictionary<string, List<CtxPairSpd>>();
// }
if (BarsPeriod.BarsPeriodType != BarsPeriodType.Day)
{
GetMarketContext();
}
}
}
