public NBarFade(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
atrLen = parameter <int>("ATRLen");
nDays = parameter <int>("nDays");
nATREntry = parameter <double>("nATRentry");
stopAfStep = parameter <double>("stopAfStep");
stopAfMax = parameter <double>("stopAfMax");
entryBarWindow = parameter <double>("entryBarWindow");
closeBetter = parameter <bool>("closeBetter");
riskDollars = parameter <double>("riskDollars");
atr = new AverageTrueRangeEW(bars, atrLen); // this should be a daily spud
nATRStopStart = nATREntry * parameter <double>("exitATRmultiple");
entryHighestHigh = bars.high.highest(nDays);
entryLowestLow = bars.low.lowest(nDays);
var halfNDays = (int)Math.Round(nDays * 0.5, 0);
exitHighestHigh = bars.high.highest(halfNDays);
exitLowestLow = bars.low.lowest(halfNDays);
inConfirm = false;
//Plot methods
parabolicStop = null;
stopIndicator = new RootSpud <double>(bars.manager);
addToPlot(stopIndicator, "ParabolicStop", Color.Red);
addToPlot(entryHighestHigh, "entryHighestHigh", Color.LightBlue);
addToPlot(entryLowestLow, "entryLowestLow", Color.Blue);
addToPlot(exitHighestHigh, "exitHighestHigh", Color.Pink);
addToPlot(exitLowestLow, "exitLowestLow", Color.Salmon);
addToPlot(bars.close, "price", Color.Purple);
addToPlot(atr, "ATR", Color.Blue, "ATRPane");
}
protected override void onNewBar()
{
//Remove this code later
if (parabolicStop != null)
{
if (parabolicStop.positionClosed())
{
parabolicStop = null;
}
else
{
stopIndicator.set(parabolicStop);
}
}
if (parabolicStop == null)
{
stopIndicator.set(bars[0].close);
}
//*****************************************************************
//Setup from prior bar, now in confirm
if (inConfirm)
{
confirmBarCount++;
if (confirmBarCount <= entryBarWindow)
{
placeEntryOrders();
}
else
{
inConfirm = false;
}
}
if (inConfirm)
{
return;
}
//Not in confirm from prior bar, so check for setup
setup = tradeSetup();
if (!hasPosition() && (setup != null))
{
tradeSize = (long)Math.Max(Math.Round(riskDollars / ((nATRStopStart * atr) * bigPointValue()), 0), 1);
atrAtEntry = atr;
longEntryPrice = entryLowestLow[1] + atr * nATREntry;
shortEntryPrice = entryHighestHigh[1] - atr * nATREntry;
placeEntryOrders();
inConfirm = true;
confirmBarCount = 1;
}
//Currently in position, submit exit orders
if (hasPosition())
{
placeExitOrders();
}
}
protected override void onFilled(Position position, Trade trade)
{
if (position.isEntry(trade))
{
//Only place the stop on the fill, the objective exit gets placed at close of bar
var initialStopPrice = trade.price - (position.direction() * atrAtEntry * nATRStopStart);
parabolicStop = new ParabolicStop(position, bars, initialStopPrice, stopAfStep, stopAfMax, LOOKBACK_BARS, "Parabolic Stop");
addDynamicExit(parabolicStop, false);
}
inConfirm = false;
}
