public override void OnBar(Bar bar)
{
if (Bars.Count < length)
{
return;
}
highestHigh = Bars.HighestHigh(length);
lowestLow = Bars.LowestLow(length);
}
private void SetExit()
{
if (ExtremeExitEnabled)
{
if (exitExtremeOrder != null)
{
exitExtremeOrder.Cancel();
}
if (Position.Side == PositionSide.Long)
{
exitExtremeOrder = SellStopOrder(Qty, Bars.LowestLow(ExitLength), "Exit (Extreme");
}
else
{
exitExtremeOrder = BuyStopOrder(Qty, Bars.HighestHigh(ExitLength), "Exit (Extreme");
}
exitExtremeOrder.OCAGroup = Instrument.Symbol + " OCA " + ocaCount;
}
if (VolatilityExitEnabled)
{
if (rangeSMA.Count > 0)
{
if (exitVolatilityOrder != null)
{
exitVolatilityOrder.Cancel();
}
if (Position.Side == PositionSide.Long)
{
exitVolatilityOrder = SellStopOrder(Qty, series.HighestHigh(EntryLength) - rangeSMA.Last * VolatilitiesCount, "Exit (Volatility)");
}
else
{
exitVolatilityOrder = BuyStopOrder(Qty, series.LowestLow(EntryLength) + rangeSMA.Last * VolatilitiesCount, "Exit (Volatility)");
}
exitVolatilityOrder.OCAGroup = Instrument.Symbol + " OCA " + ocaCount;
}
}
if (ExtremeExitEnabled)
{
exitExtremeOrder.Send();
}
if (VolatilityExitEnabled)
{
exitVolatilityOrder.Send();
}
ocaCount++;
}
public override void OnBar(Bar bar)
{
if (entryEnabled)
{
if (Bars.Count > Length)
{
if (bar.High > highestHigh)
{
Buy(Qty, "Entry");
if (OCAExitEnabled)
{
limitOrder = SellLimitOrder(Qty, LimitOCALevel * bar.Close, "Limit OCA " + OCACount);
limitOrder.OCAGroup = "OCA " + Instrument.Symbol + " " + OCACount;
stopOrder = SellStopOrder(Qty, StopOCALevel * bar.Close, "Stop OCA " + OCACount);
stopOrder.OCAGroup = "OCA " + Instrument.Symbol + " " + OCACount;
limitOrder.Send();
stopOrder.Send();
OCACount++;
}
entryEnabled = false;
barCount = 0;
}
}
}
else
{
barCount++;
if (TimeExitEnabled && barCount > BarsToExit)
{
Sell(Qty, "Time Exit");
entryEnabled = true;
}
}
if (Bars.Count >= Length)
{
highestHigh = Bars.HighestHigh(Length);
}
}
public override void OnBar(Bar bar)
{
if (sma.Count == 0)
{
return;
}
// if we are using a trend-following exit and have an open
// positiong that we should close
if (TrendFollowingExitEnabled && HasPosition && Bars.Count > TrendFollowingExitLength + 1)
{
// check if we are long and today's close is lower than
// lowest low of the last "trendFollowingExitLength" bars.
// If so, then exit on the next bar open
if (Position.Side == PositionSide.Long)
{
double prevLow = Bars.LowestLow(Bars.Count - TrendFollowingExitLength - 1, Bars.Count - 2);
if (bar.Close < prevLow)
{
exitOnBarOpen = true;
}
}
// check if we are short and today's close is higher than
// highest high of the last "trendFollowingExitLength" bars
// If so, exit on the next bar open
if (Position.Side == PositionSide.Short)
{
double prevHigh = Bars.HighestHigh(Bars.Count - TrendFollowingExitLength - 1, Bars.Count - 2);
if (bar.Close > prevHigh)
{
exitOnBarOpen = true;
}
}
}
// look for N consecutive closes after a crossover
Cross cross = Bars.Crosses(sma, bar);
// if any cross occurred, reset the consecutive close count,
// and copy the cross value so we can reset our copy of it
// without wiping out the original indicator.
if (cross != Cross.None)
{
smaCross = cross;
ccCount = 0;
}
// if a cross occurred, increment the cc count, because the
// first bar counts as the first consecutive close
if (smaCross != Cross.None)
{
ccCount++;
}
// if we have enough consecutive closes, it's time to trade
if (ccCount == ConsClosesCount)
{
// if we have no position open, or if we have a position
// that is opposite the cross direction (ie, we need to
// close the position)
if (!HasPosition ||
(Position.Side == PositionSide.Long && smaCross == Cross.Below) ||
(Position.Side == PositionSide.Short && smaCross == Cross.Above))
{
switch (FilterType)
{
// enter a trade if no filters are being used
case FilterType.None:
{
entryEnabled = true;
break;
}
// enter a trade if the RAVI filter says ok
case FilterType.RAVI:
{
entryEnabled = FilterRAVI();
break;
}
// enable a trade if the ADX filter says ok
case FilterType.ADX:
{
entryEnabled = FilterADX();
break;
}
}
// if an entry was enabled, open a position on next bar open
if (entryEnabled)
{
exitOnBarOpen = false;
}
// and reset our copy of the cross status to none
smaCross = Cross.None;
}
// reset the consecutive close count too
ccCount = 0;
}
}
protected override void OnBar(Instrument instrument, Bar bar)
{
// Add bar to bar series.
Bars.Add(bar);
// Add bar to group.
Log(bar, barsGroup);
// Add highest value to group.
if (highest != 0)
{
Log(highest, highestGroup);
}
// Add lowest value to group.
if (lowest != 0)
{
Log(lowest, lowestGroup);
}
// Calculate performance.
Portfolio.Performance.Update();
// Add equity to group.
Log(Portfolio.Value, equityGroup);
// Check strategy logic.
if (highest != 0 && lowest != 0)
{
if (!HasPosition(instrument))
{
// Enter long/short.
if (bar.Close > highest)
{
Order enterOrder = BuyOrder(Instrument, Qty, "Enter Long");
Send(enterOrder);
}
else if (bar.Close < lowest)
{
Order enterOrder = SellOrder(Instrument, Qty, "Enter Short");
Send(enterOrder);
}
}
else
{
// Reverse to long/short.
if (Position.Side == PositionSide.Long && bar.Close < lowest)
{
Order reverseOrder = SellOrder(Instrument, Math.Abs(Position.Amount) + Qty, "Reverse to Short");
Send(reverseOrder);
}
else if (Position.Side == PositionSide.Short && bar.Close > highest)
{
Order reverseOrder = BuyOrder(Instrument, Math.Abs(Position.Amount) + Qty, "Reverse to Long");
Send(reverseOrder);
}
}
}
// Calculate channel's highest/lowest values.
if (Bars.Count > Length)
{
highest = Bars.HighestHigh(Length);
lowest = Bars.LowestLow(Length);
}
}