protected override void OnTimer()
{
var remainingTime = _triggerTimeInServerTimeZone - Server.Time;
DrawRemainingTime(remainingTime);
if (!_ordersCreated)
{
var sellOrderTargetPrice = Symbol.Bid - PipsAway * Symbol.PipSize;
ChartObjects.DrawHorizontalLine("sell target", sellOrderTargetPrice, Colors.Red, 1, LineStyle.DotsVeryRare);
var buyOrderTargetPrice = Symbol.Ask + PipsAway * Symbol.PipSize;
ChartObjects.DrawHorizontalLine("buy target", buyOrderTargetPrice, Colors.Blue, 1, LineStyle.DotsVeryRare);
if (Server.Time <= _triggerTimeInServerTimeZone && (_triggerTimeInServerTimeZone - Server.Time).TotalSeconds <= SecondsBefore)
{
_ordersCreated = true;
var expirationTime = _triggerTimeInServerTimeZone.AddSeconds(SecondsTimeout);
PlaceStopOrder(TradeType.Sell, Symbol, Volume, sellOrderTargetPrice, Label, StopLoss, TakeProfit, expirationTime);
PlaceStopOrder(TradeType.Buy, Symbol, Volume, buyOrderTargetPrice, Label, StopLoss, TakeProfit, expirationTime);
ChartObjects.RemoveObject("sell target");
ChartObjects.RemoveObject("buy target");
}
}
if (_ordersCreated && !PendingOrders.Any(o => o.Label == Label))
{
Print("Orders expired");
Stop();
}
}
protected override void OnBar()
{
if (_currentPosition != null)
{
BarsSinceEntry++;
//Print("Bars since entry: {0}", BarsSinceEntry);
ModifyOppositeColourBarTrailingStop();
}
if (!_canOpenPosition || PendingOrders.Any())
{
return;
}
if (ShouldWaitBeforeLookingForNewSetup())
{
return;
}
if (_takeLongsParameter && HasBullishSignal())
{
EnterLongPosition();
}
else if (_takeShortsParameter && HasBearishSignal())
{
EnterShortPosition();
}
}
protected override void OnBar()
{
if (AdjustPendingOrder && PendingOrders.Any())
{
CheckToAdjustPendingOrder();
}
base.OnBar();
}
/// <summary>Called when new data is received</summary>
public override void Step()
{
base.Step();
Debugging.BreakOnPointOfInterest();
if (Instrument.NewCandle)
{
Debugging.LogInstrument();
}
if (PendingOrders.Any())
{
return;
}
// Look for an existing trade for this strategy.
var position = Positions.FirstOrDefault();
if (position == null)
{
// 'ep' must be lower than 'tp'
var ep = 0.2;
var tp = 0.6;
var sl = 0.8;
var exp = 1;
var step = Instrument.MCS; //MedianCandleSize(-5,1);
var sym = Instrument.LatestPrice;
var trade0 = new Trade(Instrument, TradeType.Buy, Label, ep: sym.Ask + ep * step, sl: sym.Ask - sl * step, tp: sym.Ask + tp * step, risk: 0.5f)
{
Expiration = (Bot.UtcNow + Instrument.TimeFrame.ToTimeSpan(exp)).DateTime
};
var trade1 = new Trade(Instrument, TradeType.Sell, Label, ep: sym.Bid - ep * step, sl: sym.Bid + sl * step, tp: sym.Bid - tp * step, risk: 0.5f)
{
Expiration = (Bot.UtcNow + Instrument.TimeFrame.ToTimeSpan(exp)).DateTime
};
Broker.CreatePendingOrder(trade0);
Broker.CreatePendingOrder(trade1);
}
else
{
}
}
/// <summary>Called when new data is received</summary>
public override void Step()
{
base.Step();
if (Instrument.NewCandle || Positions.Any() || PendingOrders.Any())
{
Dump();
}
var sign0 = Math.Sign(EMA0[0].CompareTo(EMA1[0]));
var sign1 = Math.Sign(EMA0[-1].CompareTo(EMA1[-1]));
var order = PendingOrders.FirstOrDefault();
var position = Positions.FirstOrDefault();
// Cancel or close positions/orders that are against the trend
if (order != null && order.Sign() != sign0)
{
Broker.CancelPendingOrder(order);
order = null;
}
if (position != null && position.Sign() != sign0)
{
Broker.CloseAt(Instrument, position, EMA0[0]);
}
// Look for EMA crosses
if (sign0 != sign1)
{
var mcs = Instrument.MCS;
var price = EMA0[0] - sign0 * Instrument.Spread;
if (order == null || Math.Abs(order.TargetPrice - price) > 2)
{
// Cancel any previous pending orders
Broker.CancelAllPendingOrders(Label);
// Create a pending order at the cross price
var sl = price - sign0 * mcs * 5;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(price - sl), risk: Risk);
var trade = new Trade(Instrument, CAlgo.SignToTradeType(sign0), Label, price, sl, null, vol);
Broker.CreatePendingOrder(trade);
}
}
}
protected override void OnTimer()
{
int index = MarketSeries.Close.Count - 1;
Thread.CurrentThread.CurrentCulture = CultureInfo.InvariantCulture;
try
{
NI = DisplayUpcomingNews();
} catch (Exception e)
{
Log("Exception3: {0}", e.Message);
}
//If we have an order we can che
if (!ShowNewsOnly)
{
try
{
var remainingTime = _triggerTimeInServerTimeZone - Server.Time;
DrawRemainingTime(remainingTime);
} catch (Exception e)
{
Log("Exception4: {0}", e.Message);
}
}
if (ShowPastNews)
{
//If first loop, we need to check all histarical bars for news
if (first_run)
{
for (int idx = 0; idx < index; idx++)
{
DisplayPastNews(idx);
}
first_run = false;
}
//Otherwise just the latest
else
{
DisplayPastNews(index);
}
}
//If we have no pending ordes or positions open we need to setup next newstrade (switch _ordersCreated to false)
if (_ordersCreated && !PendingOrders.Any(o => o.Label == Label) && ((Positions.FindAll(Label, Symbol, TradeType.Buy).Length + Positions.FindAll(Label, Symbol, TradeType.Sell).Length) == 0))
{
Log("Resuming Order operations");
_ordersCreated = false;
}
//If we have a market order and it is active then leave. This is really Ugly....
if (_ordersCreated && (Positions.Count > 0))
{
if (TrailingStop)
{
updateSL();
}
return;
}
try
{
_triggerTimeInServerTimeZone = NI.UtcDateTime;
} catch (Exception e)
{
Log("Exception5: {0}", e.Message);
}
if (!_ordersCreated && !ShowNewsOnly)
{
//ExecuteMarketOrder(TradeType.Sell, Symbol, 1000, Label, null, 1);
//ExecuteMarketOrder(TradeType.Buy, Symbol, 1000, Label, null, 1);
//_ordersCreated = true;
var sellOrderTargetPrice = Symbol.Bid - PipsAway * Symbol.PipSize;
ChartObjects.DrawHorizontalLine("sell target", sellOrderTargetPrice, Colors.Red, 1, LineStyle.DotsVeryRare);
var buyOrderTargetPrice = Symbol.Ask + PipsAway * Symbol.PipSize;
ChartObjects.DrawHorizontalLine("buy target", buyOrderTargetPrice, Colors.Blue, 1, LineStyle.DotsVeryRare);
if (Server.Time <= _triggerTimeInServerTimeZone && (_triggerTimeInServerTimeZone - Server.Time).TotalSeconds <= SecondsBefore)
{
_ordersCreated = true;
var expirationTime = _triggerTimeInServerTimeZone.AddSeconds(SecondsTimeout);
if (TrailingStop)
{
PlaceStopOrder(TradeType.Sell, Symbol, Volume, sellOrderTargetPrice, Label, StopLoss, null, expirationTime);
PlaceStopOrder(TradeType.Buy, Symbol, Volume, buyOrderTargetPrice, Label, StopLoss, null, expirationTime);
}
else
{
PlaceStopOrder(TradeType.Sell, Symbol, Volume, sellOrderTargetPrice, Label, StopLoss, TakeProfit, expirationTime);
PlaceStopOrder(TradeType.Buy, Symbol, Volume, buyOrderTargetPrice, Label, StopLoss, TakeProfit, expirationTime);
}
ChartObjects.RemoveObject("sell target");
ChartObjects.RemoveObject("buy target");
}
}
}
/// <summary>Called when new data is received</summary>
public override void Step()
{
base.Step();
if (Instrument.NewCandle)
{
Dump();
}
// Don't open new positions while there are pending orders or existing positions
if (Positions.Any() || PendingOrders.Any())
{
return;
}
// Look for peak patterns
TradeType tt;
QuoteCurrency ep;
var pat = Instrument.IsPeakPattern(Instrument.IdxNow, out tt, out ep);
if (pat != null)
{
var pattern = pat.Value;
Dump();
Debugging.Dump(new PricePeaks(Instrument, 0));
Debugging.Dump(new SnR(Instrument));
Debugging.Trace("Peak pattern: {0}".Fmt(pattern));
var sign = tt.Sign();
var mcs = Instrument.MCS;
// Convert the patterns to trades
switch (pattern)
{
case EPeakPattern.BreakOutHigh:
case EPeakPattern.BreakOutLow:
{
// For break outs, enter immediately and use a candle
// follow position manager because they tend to run.
var price_range = Instrument.PriceRange(-10, 1);
var sl = price_range.Mid - sign * price_range.Size * 0.6;
var tp = (QuoteCurrency?)null;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk: Risk);
var trade = new Trade(Instrument, tt, Label, ep, sl, tp, vol);
var pos = Broker.CreateOrder(trade);
if (pos != null)
{
PositionManagers.Add(new PositionManagerCandleFollow(this, pos, 5));
}
break;
}
case EPeakPattern.HighReversal:
case EPeakPattern.LowReversal:
{
// For reversals, enter when the price is near the trend line.
// Use a fixed SL/TP
var price_range = Instrument.PriceRange(-10, 1);
var sl = price_range.Mid - sign * price_range.Size * 0.6;
var tp = price_range.Mid + sign * price_range.Size * 0.4;
var vol = Broker.ChooseVolume(Instrument, Math.Abs(ep - sl), risk: Risk);
// If the current price is better than the entry price, enter immediately
if (sign * (ep - Instrument.CurrentPrice(sign)) > 0)
{
var trade = new Trade(Instrument, tt, Label, ep, sl, tp, vol);
Broker.CreateOrder(trade);
}
else
{
var order = new Trade(Instrument, tt, Label, ep, sl, tp, vol)
{
Expiration = Instrument.ExpirationTime(1)
};
Broker.CreatePendingOrder(order);
}
break;
}
}
}
}
/// <summary>Called when new data is received</summary>
public override void Step()
{
base.Step();
using (Broker.SuspendRiskCheck(ignore_risk: true))
{
const double TakeProfitFrac = 1.020;
const double ReverseFrac = 0.998;
Dump();
// The unit of volume to trade
var mcs = Instrument.MCS;
var ep = Instrument.LatestPrice.Mid;
var vol = Broker.ChooseVolume(Instrument, 5.0 * mcs);
// Open a trade in the direction of the trend
if (ProfitSign == 0)
{
Dump();
Debugging.Trace("Idx={0},Tick={1} - Setting profit sign ({2}) - Equity = ${3}".Fmt(Instrument.Count, Bot.TickNumber, TrendSign, Equity));
var tt = CAlgo.SignToTradeType(TrendSign);
var trade = new Trade(Instrument, tt, Label, ep, null, null, vol);
Broker.CreateOrder(trade);
LastEquity = Equity;
}
// While the profit direction is the same as the trend direction
// look for good spots to add hedged pending orders
if (ProfitSign == TrendSign)
{
// If the current price is at a SnR level, add pending orders on either side.
// Hopefully price will reverse at the SnR level and only trigger one of the pending orders.
// If price then reverses we can sell an existing profitable trade and be left with the
// profit direction going in the right direction
var snr = new SnR(Instrument, ep);
var lvl_above = snr.Nearest(ep, +1, min_dist: 0.5 * mcs, min_strength: 0.7);
var lvl_below = snr.Nearest(ep, -1, min_dist: 0.5 * mcs, min_strength: 0.7);
// Choose price levels for the pending orders
var above = lvl_above != null ? lvl_above.Price + 0.5 * mcs : ep + mcs;
var below = lvl_below != null ? lvl_below.Price - 0.5 * mcs : ep - mcs;
// Only recreate if necessary
if (!PendingOrders.Any(x => x.TradeType == TradeType.Buy && Maths.FEql(x.TargetPrice, above, 5 * Instrument.PipSize)) ||
!PendingOrders.Any(x => x.TradeType == TradeType.Sell && Maths.FEql(x.TargetPrice, below, 5 * Instrument.PipSize)))
{
Dump();
Debugging.Dump(snr);
Debugging.Trace("Idx={0},Tick={1} - Adjusting pending orders - Equity = ${2}".Fmt(Instrument.Count, Bot.TickNumber, Equity));
// Cancel any other pending orders further away than these too
Broker.CancelAllPendingOrders(Label);
var buy = new Trade(Instrument, TradeType.Buy, Label, above, null, null, vol);
var sel = new Trade(Instrument, TradeType.Sell, Label, below, null, null, vol);
Broker.CreatePendingOrder(buy);
Broker.CreatePendingOrder(sel);
}
}
// If the profit is against the Trend, do nothing until losing a fraction of last equity
if (ProfitSign != TrendSign && Equity < ReverseFrac * LastEquity)
{
Dump();
Debugging.Trace("Idx={0},Tick={1} - Changing profit sign to ({2}) - Equity = ${3}".Fmt(Instrument.Count, Bot.TickNumber, TrendSign, Equity));
var sign = -ProfitSign;
// Try to reverse the sign by closing profitable positions
foreach (var pos in Positions.Where(x => x.Sign() != sign && x.NetProfit > 0).OrderBy(x => - x.NetProfit).ToArray())
{
Broker.ClosePosition(pos);
// Break out when the profit direction has been reversed
if (ProfitSign == sign)
{
break;
}
}
// Couldn't reverse the sign by closing positions, open a new one
if (ProfitSign != sign)
{
var tt = CAlgo.SignToTradeType(sign);
var reverse_vol = Math.Abs(NetVolume) + vol;
var trade = new Trade(Instrument, tt, Label, ep, null, null, reverse_vol);
Broker.CreateOrder(trade);
}
LastEquity = Equity;
}
// If equity is greater than a threshold, take profits
if (Equity > TakeProfitFrac * LastEquity)
{
Dump();
Debugging.Trace("Idx={0},Tick={1} - Profit taking - Equity = ${2}".Fmt(Instrument.Count, Bot.TickNumber, Equity));
var sign = ProfitSign;
foreach (var pos in Positions.Where(x => x.Sign() == sign && x.NetProfit > 0).OrderBy(x => - x.NetProfit).ToArray())
{
if (pos.Volume >= Math.Abs(NetVolume))
{
continue;
}
Broker.ClosePosition(pos);
}
LastEquity = Equity;
}
}
}