protected override void OnBarUpdate()
{
if (CurrentBar < BarsRequiredToTrade)
{
return;
}
GuerillaStrategyItem activeItem = guerillaStrategy.GetActiveItem(Time[0]);
bool runActiveItem = activeItem != null && activeItem.TickInterval == BarsArray[BarsInProgress].BarsPeriod.BaseBarsPeriodValue;
bool runPositionItem = positionStrategyItem != null && positionStrategyItem.TickInterval == BarsArray[BarsInProgress].BarsPeriod.BaseBarsPeriodValue;
//Active only -> BAU
if (runActiveItem && positionStrategyItem == null)
{
FillSignals(activeItem);
OrderStuff(activeItem, true);
}
//Active == position -> BAU
else if (runActiveItem && runPositionItem && activeItem.ToString() == positionStrategyItem.ToString())
{
FillSignals(activeItem);
OrderStuff(activeItem, true);
}
//Active != position -> position to close
else if (runActiveItem && runPositionItem && activeItem.ToString() != positionStrategyItem.ToString())
{
FillSignals(positionStrategyItem);
OrderStuff(positionStrategyItem, false);
}
//Position only -> position to close
else if (runPositionItem)
{
FillSignals(positionStrategyItem);
OrderStuff(positionStrategyItem, false);
}
}
private void RecordTradeProps(Execution execution)
{
if (execution.Order != null && execution.Order.OrderState == OrderState.Filled)
{
if ((execution.Order.Name == ENTER_LONG || execution.Order.Name == ENTER_SHORT) && this.Position.Quantity >= this.Quantity)
{
this.guerillaTraderBridge.Reset();
this.guerillaTraderBridge.ot_entryTimestamp = execution.Order.Time;
this.guerillaTraderBridge.ot_tickRange = 0;
this.guerillaTraderBridge.ot_entryPrice = execution.Order.AverageFillPrice;
this.guerillaTraderBridge.ot_size = execution.Order.Quantity;
this.guerillaTraderBridge.ot_tradeType = execution.Order.Name == ENTER_LONG ? (int)TradeTypes.LongFuture : (int)TradeTypes.ShortFuture;
this.guerillaTraderBridge.ot_trigger = (int)TradeTriggers.Crossover;
this.guerillaTraderBridge.ot_trend = execution.Order.Name == ENTER_LONG ? (int)TrendTypes.Bullish : (int)TrendTypes.Bearish;
this.guerillaTraderBridge.ot_diff = 0;
this.guerillaTraderBridge.ot_diffXX = 0;
this.guerillaTraderBridge.ot_diffXDiff = 0;
this.guerillaTraderBridge.ot_diffXSlope = 0;
this.guerillaTraderBridge.ot_diffXChange = 0;
this.guerillaTraderBridge.ot_adx = 0;
this.guerillaTraderBridge.ot_adxSlope = 0;
this.guerillaTraderBridge.ot_extraData1 = this.openingPositionStrategyItem.BearishSetupsString;
this.guerillaTraderBridge.ot_extraData2 = this.openingPositionStrategyItem.BullishSetupsString;
if (this.openingPositionStrategyItem.InitialStopLoss > 0)
{
if (execution.Order.Name == ENTER_LONG)
{
if (this.openingPositionStrategyItem.Contrarian)
{
this.openingPositionStrategyItem.InitialStopLoss = this.guerillaTraderBridge.ot_entryPrice - (this.openingPositionStrategyItem.InitialStopLoss - this.guerillaTraderBridge.ot_entryPrice);
}
double currentBid = GetCurrentBid();
if (this.openingPositionStrategyItem.InitialStopLoss >= currentBid)
{
this.openingPositionStrategyItem.InitialStopLoss = currentBid - TickSize;
}
ExitLongStopMarket(0, true, this.Position.Quantity, this.openingPositionStrategyItem.InitialStopLoss, EXIT, ENTER_LONG);
}
else
{
if (this.openingPositionStrategyItem.Contrarian)
{
this.openingPositionStrategyItem.InitialStopLoss = this.guerillaTraderBridge.ot_entryPrice + (this.guerillaTraderBridge.ot_entryPrice - this.openingPositionStrategyItem.InitialStopLoss);
}
double currentAsk = GetCurrentAsk();
if (this.openingPositionStrategyItem.InitialStopLoss <= currentAsk)
{
this.openingPositionStrategyItem.InitialStopLoss = currentAsk + TickSize;
}
ExitShortStopMarket(0, true, this.Position.Quantity, this.openingPositionStrategyItem.InitialStopLoss, EXIT, ENTER_SHORT);
}
this.openingPositionStrategyItem.InitialStopLoss = 0;
}
this.openingPosition = false;
this.positionStrategyItem = openingPositionStrategyItem;
this.openingPositionStrategyItem = null;
}
else if (this.Position.MarketPosition == MarketPosition.Flat)
{
this.guerillaTraderBridge.ot_exitTimestamp = execution.Order.Time;
this.guerillaTraderBridge.ot_exitPrice = execution.Order.AverageFillPrice;
if (execution.Order.Instrument.MasterInstrument.Name == "ES")
{
this.guerillaTraderBridge.ot_marketId = 1;
this.guerillaTraderBridge.ot_commissions = 4.04 * Quantity;
}
else if (execution.Order.Instrument.MasterInstrument.Name == "NQ")
{
this.guerillaTraderBridge.ot_marketId = 4;
this.guerillaTraderBridge.ot_commissions = 4.04 * Quantity;
}
else if (execution.Order.Instrument.MasterInstrument.Name == "6E")
{
this.guerillaTraderBridge.ot_marketId = 7;
this.guerillaTraderBridge.ot_commissions = 5.32 * Quantity;
}
else if (execution.Order.Instrument.MasterInstrument.Name == "GC")
{
this.guerillaTraderBridge.ot_marketId = 33;
this.guerillaTraderBridge.ot_commissions = 2.34 * Quantity;
}
else if (execution.Order.Instrument.MasterInstrument.Name == "UB")
{
this.guerillaTraderBridge.ot_marketId = 14;
this.guerillaTraderBridge.ot_commissions = 1.69 * Quantity;
}
if (this.guerillaTraderBridge.ot_tradeType == (int)TradeTypes.LongFuture)
{
this.guerillaTraderBridge.ot_profitLoss = ((this.guerillaTraderBridge.ot_exitPrice - this.guerillaTraderBridge.ot_entryPrice) * execution.Order.Instrument.MasterInstrument.PointValue) * this.guerillaTraderBridge.ot_size;
}
else if (this.guerillaTraderBridge.ot_tradeType == (int)TradeTypes.ShortFuture)
{
this.guerillaTraderBridge.ot_profitLoss = ((this.guerillaTraderBridge.ot_entryPrice - this.guerillaTraderBridge.ot_exitPrice) * execution.Order.Instrument.MasterInstrument.PointValue) * this.guerillaTraderBridge.ot_size;
}
this.guerillaTraderBridge.ot_adjProfitLoss = this.guerillaTraderBridge.ot_profitLoss - this.guerillaTraderBridge.ot_commissions;
this.guerillaTraderBridge.ot_profitLossPerContract = this.guerillaTraderBridge.ot_adjProfitLoss / this.guerillaTraderBridge.ot_size;
if (State == State.Realtime && this.TradingAccountId > 0)
{
Bridge.SaveTradeFromNt(this.guerillaTraderBridge.ot_marketId, this.guerillaTraderBridge.ot_tradeType, this.guerillaTraderBridge.ot_trigger, this.guerillaTraderBridge.ot_trend, this.guerillaTraderBridge.ot_diff, this.guerillaTraderBridge.ot_diffXX, this.guerillaTraderBridge.ot_diffXDiff, this.guerillaTraderBridge.ot_diffXSlope, this.guerillaTraderBridge.ot_diffXChange,
this.guerillaTraderBridge.ot_tickRange, this.guerillaTraderBridge.ot_entryTimestamp, this.guerillaTraderBridge.ot_entryPrice, this.guerillaTraderBridge.ot_exitTimestamp, this.guerillaTraderBridge.ot_exitPrice, this.guerillaTraderBridge.ot_commissions, this.guerillaTraderBridge.ot_profitLoss,
this.guerillaTraderBridge.ot_adjProfitLoss, this.guerillaTraderBridge.ot_size, this.guerillaTraderBridge.ot_profitLossPerContract, this.TradingAccountId, this.guerillaTraderBridge.ot_adx, 0, false, true, false,
this.positionStrategyItem.Contrarian,
this.guerillaTraderBridge.ot_adxSlope, 0, this.guerillaTraderBridge.ot_extraData1, this.guerillaTraderBridge.ot_extraData2, this.positionStrategyItem.ToString());
}
if (execution.Order.IsStopMarket)
{
if (this.LogTrades)
{
PrintValues(Time[0].ToString("g"), "ExitStop", positionStrategyItem);
}
}
this.closingPosition = false;
this.positionStrategyItem = null;
}
}
}
private bool OrderStuff(GuerillaStrategyItem strategyItem, bool canOpenPosition)
{
if (strategyItem == null)
{
return(false);
}
bool orderSent = false;
if (!strategyItem.Contrarian)
{
if (this.Position.MarketPosition == MarketPosition.Flat && !openingPosition && canOpenPosition && strategyItem.BearishEntrySignal)
{
openingPosition = true;
openingPositionStrategyItem = strategyItem;
EnterShort(0, Quantity, ENTER_SHORT);
if (this.LogTrades)
{
PrintValues(Time[0].ToString("g"), "EnterShort", strategyItem);
}
}
else if (this.Position.MarketPosition == MarketPosition.Flat && !openingPosition && canOpenPosition && strategyItem.BullishEntrySignal)
{
openingPosition = true;
openingPositionStrategyItem = strategyItem;
EnterLong(0, Quantity, ENTER_LONG);
if (this.LogTrades)
{
PrintValues(Time[0].ToString("g"), "EnterLong", strategyItem);
}
}
else if (this.Position.MarketPosition == MarketPosition.Long && strategyItem.BullishExitSignal)
{
if (strategyItem.BearishEntrySignal && canOpenPosition)
{
openingPosition = true;
openingPositionStrategyItem = strategyItem;
closingPosition = true;
EnterShort(0, this.Position.Quantity, ENTER_SHORT);
if (this.LogTrades)
{
PrintValues(Time[0].ToString("g"), "ReverseToShort", strategyItem);
}
}
else
{
closingPosition = true;
ExitLong(0, this.Position.Quantity, EXIT, ENTER_LONG);
if (this.LogTrades)
{
PrintValues(Time[0].ToString("g"), "ExitLong", strategyItem);
}
}
}
else if (this.Position.MarketPosition == MarketPosition.Short && strategyItem.BearishExitSignal)
{
if (strategyItem.BullishEntrySignal && canOpenPosition)
{
openingPosition = true;
openingPositionStrategyItem = strategyItem;
closingPosition = true;
EnterLong(0, this.Position.Quantity, ENTER_LONG);
if (this.LogTrades)
{
PrintValues(Time[0].ToString("g"), "ReverseToLong", strategyItem);
}
}
else
{
closingPosition = true;
ExitShort(0, this.Position.Quantity, EXIT, ENTER_SHORT);
if (this.LogTrades)
{
PrintValues(Time[0].ToString("g"), "ExitShort", strategyItem);
}
}
}
}
else
{
if (this.Position.MarketPosition == MarketPosition.Flat && !openingPosition && canOpenPosition && strategyItem.BullishEntrySignal)
{
openingPosition = true;
openingPositionStrategyItem = strategyItem;
EnterShort(0, this.Quantity, ENTER_SHORT);
if (this.LogTrades)
{
PrintValues(Time[0].ToString("g"), "EnterShort", strategyItem);
}
}
else if (this.Position.MarketPosition == MarketPosition.Flat && !openingPosition && canOpenPosition && strategyItem.BearishEntrySignal)
{
openingPosition = true;
openingPositionStrategyItem = strategyItem;
EnterLong(0, this.Quantity, ENTER_LONG);
if (this.LogTrades)
{
PrintValues(Time[0].ToString("g"), "EnterLong", strategyItem);
}
}
else if (this.Position.MarketPosition == MarketPosition.Long && strategyItem.BearishExitSignal)
{
if (strategyItem.BullishEntrySignal && canOpenPosition)
{
openingPosition = true;
openingPositionStrategyItem = strategyItem;
closingPosition = true;
EnterShort(0, this.Position.Quantity, ENTER_SHORT);
if (this.LogTrades)
{
PrintValues(Time[0].ToString("g"), "ReverseToShort", strategyItem);
}
}
else
{
closingPosition = true;
ExitLong(0, this.Position.Quantity, EXIT, ENTER_LONG);
if (this.LogTrades)
{
PrintValues(Time[0].ToString("g"), "ExitLong", strategyItem);
}
}
}
else if (this.Position.MarketPosition == MarketPosition.Short && strategyItem.BullishExitSignal)
{
if (strategyItem.BearishEntrySignal && canOpenPosition)
{
openingPosition = true;
openingPositionStrategyItem = strategyItem;
closingPosition = true;
EnterLong(0, this.Position.Quantity, ENTER_LONG);
if (this.LogTrades)
{
PrintValues(Time[0].ToString("g"), "ReverseToLong", strategyItem);
}
}
else
{
closingPosition = true;
ExitShort(0, this.Position.Quantity, EXIT, ENTER_SHORT);
if (this.LogTrades)
{
PrintValues(Time[0].ToString("g"), "ExitShort", strategyItem);
}
}
}
}
return(orderSent);
}
private void FillSignals(GuerillaStrategyItem strategyItem)
{
if (strategyItem == null)
{
return;
}
#region Misc
int previousTrendLookback = 4;
int previousTrendBarLookback = 4;
int previousRequiredTrendBars = 2;
int requiredTrendBars = 1;
int jumpInTrendPeriod = 5;
int indecisionPeriod = 5;
bool previousIndecision = this.GuerillaCountIf(bullishTrendBarIndicatorList[BarsInProgress], x => x == 1, 2, indecisionPeriod, x => x == 0) &&
this.GuerillaCountIf(bearishTrendBarIndicatorList[BarsInProgress], x => x == 1, 2, indecisionPeriod, x => x == 0);
#endregion
#region Bearish Signals
List <bool> bearishEntrySetups = new List <bool>();
bool overbought = strategyItem.StochasticsFilter ? this.GuerillaCountIf(stochasticsList[BarsInProgress], x => x >= 70, 0, 4, x => x > 0) : true;
#region Shooting star reversal
bearishEntrySetups.Add(this.GuerillaCountIf(greenBarIndicatorList[BarsInProgress], x => x == 1, 2, previousTrendLookback, x => x >= previousTrendLookback - 1) &&
this.GuerillaCountIf(bullishTrendBarIndicatorList[BarsInProgress], x => x == 1, 2, previousTrendBarLookback, x => x >= previousRequiredTrendBars) &&
shootingStarIndicatorList[BarsInProgress][1] == 1 &&
bearishTrendBarIndicatorList[BarsInProgress][0] == 1 &&
overbought);
if (bearishEntrySetups.Last())
{
strategyItem.InitialStopLoss = High[1] + TickSize;
}
#endregion
#region Doji entries
if (!bearishEntrySetups.Any(x => x))
{
bearishEntrySetups.Add(this.GuerillaCountIf(dojiIndicatorList[BarsInProgress], x => x == 1, 2, 2, x => x >= 1) &&
this.GuerillaCountIf(bearishTrendBarIndicatorList[BarsInProgress], x => x == 1, 0, 2, x => x >= 1) &&
overbought);
if (bearishEntrySetups.Last())
{
int dojiIndex = dojiIndicatorList[BarsInProgress][2] == 1 ? 2 : 3;
strategyItem.InitialStopLoss = High[dojiIndex] + TickSize;
}
}
else
{
bearishEntrySetups.Add(false);
}
if (!bearishEntrySetups.Any(x => x))
{
bearishEntrySetups.Add(dojiIndicatorList[BarsInProgress][1] == 1 &&
bearishTrendBarIndicatorList[BarsInProgress][0] == 1 &&
overbought);
if (bearishEntrySetups.Last())
{
strategyItem.InitialStopLoss = High[1] + TickSize;
}
}
else
{
bearishEntrySetups.Add(false);
}
#endregion
#region Trend bar reversal
if (!bearishEntrySetups.Any(x => x))
{
bearishEntrySetups.Add(this.GuerillaCountIf(greenBarIndicatorList[BarsInProgress], x => x == 1, 2, previousTrendLookback, x => x >= previousTrendLookback - 1) &&
this.GuerillaCountIf(bullishTrendBarIndicatorList[BarsInProgress], x => x == 1, 2, previousTrendBarLookback, x => x >= previousRequiredTrendBars) &&
this.GuerillaCountIf(bearishTrendBarIndicatorList[BarsInProgress], x => x == 1, 0, 2, x => x == requiredTrendBars) &&
overbought);
if (bearishEntrySetups.Last())
{
strategyItem.InitialStopLoss = High[2] + TickSize;
}
}
else
{
bearishEntrySetups.Add(false);
}
#endregion
#region Indecision breakout
if (!bearishEntrySetups.Any(x => x))
{
bearishEntrySetups.Add(previousIndecision &&
this.GuerillaCountIf(bearishTrendBarIndicatorList[BarsInProgress], x => x == 1, 0, 2, x => x == requiredTrendBars));
if (bearishEntrySetups.Last())
{
double high = 0;
for (int i = 0; i < indecisionPeriod; i++)
{
if (High[i + 2] > high)
{
high = High[i + 2];
}
}
strategyItem.InitialStopLoss = high + TickSize;
}
}
else
{
bearishEntrySetups.Add(false);
}
#endregion
#region Jump in trend
if (!bearishEntrySetups.Any(x => x) && !strategyItem.Contrarian)
{
bearishEntrySetups.Add(this.GuerillaCountIf(bearishTrendBarIndicatorList[BarsInProgress], x => x == 1, 0, jumpInTrendPeriod, x => x == jumpInTrendPeriod));
if (bearishEntrySetups.Last())
{
strategyItem.InitialStopLoss = MAX(High, jumpInTrendPeriod)[0];
}
}
else
{
bearishEntrySetups.Add(false);
}
#endregion
strategyItem.BearishSetupsString = String.Join(",", bearishEntrySetups.Select(x => x.ToString().ToLower()));
strategyItem.BearishEntrySignal = bearishEntrySetups.Any(x => x);
#endregion
#region Bullish Signals
List <bool> bullishEntrySetups = new List <bool>();
bool oversold = strategyItem.StochasticsFilter ? this.GuerillaCountIf(stochasticsList[BarsInProgress], x => x <= 30, 0, 4, x => x > 0) : true;
#region Shooting star reversal
bullishEntrySetups.Add(this.GuerillaCountIf(redBarIndicatorList[BarsInProgress], x => x == 1, 2, previousTrendLookback, x => x >= previousTrendLookback - 1) &&
this.GuerillaCountIf(bearishTrendBarIndicatorList[BarsInProgress], x => x == 1, 2, previousTrendBarLookback, x => x >= previousRequiredTrendBars) &&
hammerIndicatorList[BarsInProgress][1] == 1 &&
bullishTrendBarIndicatorList[BarsInProgress][0] == 1 &&
oversold);
if (bullishEntrySetups.Last())
{
strategyItem.InitialStopLoss = Low[1] - TickSize;
}
#endregion
#region Doji entries
if (!bullishEntrySetups.Any(x => x))
{
bullishEntrySetups.Add(this.GuerillaCountIf(dojiIndicatorList[BarsInProgress], x => x == 1, 2, 2, x => x >= 1) &&
this.GuerillaCountIf(bullishTrendBarIndicatorList[BarsInProgress], x => x == 1, 0, 2, x => x >= 1) &&
oversold);
if (bullishEntrySetups.Last())
{
int dojiIndex = dojiIndicatorList[BarsInProgress][2] == 1 ? 2 : 3;
strategyItem.InitialStopLoss = Low[dojiIndex] - TickSize;
}
}
else
{
bullishEntrySetups.Add(false);
}
if (!bullishEntrySetups.Any(x => x))
{
bullishEntrySetups.Add(dojiIndicatorList[BarsInProgress][1] == 1 && bullishTrendBarIndicatorList[BarsInProgress][0] == 1 &&
oversold);
if (bullishEntrySetups.Last())
{
strategyItem.InitialStopLoss = Low[1] - TickSize;
}
}
else
{
bullishEntrySetups.Add(false);
}
#endregion
#region Trend bar reversal
if (!bullishEntrySetups.Any(x => x))
{
bullishEntrySetups.Add(this.GuerillaCountIf(redBarIndicatorList[BarsInProgress], x => x == 1, 2, previousTrendLookback, x => x >= previousTrendLookback - 1) &&
this.GuerillaCountIf(bearishTrendBarIndicatorList[BarsInProgress], x => x == 1, 2, previousTrendBarLookback, x => x >= previousRequiredTrendBars) &&
this.GuerillaCountIf(bullishTrendBarIndicatorList[BarsInProgress], x => x == 1, 0, 2, x => x == requiredTrendBars) &&
oversold);
if (bullishEntrySetups.Last())
{
strategyItem.InitialStopLoss = Low[2] - TickSize;
}
}
else
{
bullishEntrySetups.Add(false);
}
#endregion
#region Indecision breakout
if (!bullishEntrySetups.Any(x => x))
{
bullishEntrySetups.Add(previousIndecision &&
this.GuerillaCountIf(bullishTrendBarIndicatorList[BarsInProgress], x => x == 1, 0, 2, x => x == requiredTrendBars));
if (bearishEntrySetups.Last())
{
double low = 0;
for (int i = 0; i < indecisionPeriod; i++)
{
if (High[i + 2] > low)
{
low = Low[i + 2];
}
}
strategyItem.InitialStopLoss = low - TickSize;
}
}
else
{
bullishEntrySetups.Add(false);
}
#endregion
#region Jump in trend
if (!bullishEntrySetups.Any(x => x) && !strategyItem.Contrarian)
{
bullishEntrySetups.Add(this.GuerillaCountIf(bullishTrendBarIndicatorList[BarsInProgress], x => x == 1, 0, jumpInTrendPeriod, x => x == jumpInTrendPeriod));
if (bullishEntrySetups.Last())
{
strategyItem.InitialStopLoss = MIN(Low, jumpInTrendPeriod)[0];
}
}
else
{
bullishEntrySetups.Add(false);
}
#endregion
strategyItem.BullishSetupsString = String.Join(",", bullishEntrySetups.Select(x => x.ToString().ToLower()));
strategyItem.BullishEntrySignal = bullishEntrySetups.Any(x => x);
#endregion
#region Exit Signals
strategyItem.BullishExitSignal = this.GuerillaCountIf(indecisionBarIndicatorList[BarsInProgress], x => x == 1, 0, 2, x => x == 2) ||
dojiIndicatorList[BarsInProgress][0] == 1 ||
bearishTrendBarIndicatorList[BarsInProgress][0] == 1 ||
strategyItem.BearishEntrySignal;
strategyItem.BearishExitSignal = this.GuerillaCountIf(indecisionBarIndicatorList[BarsInProgress], x => x == 1, 0, 2, x => x == 2) ||
dojiIndicatorList[BarsInProgress][0] == 1 ||
bullishTrendBarIndicatorList[BarsInProgress][0] == 1 ||
strategyItem.BullishEntrySignal;
#endregion
}
