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OneShotPAR.cs
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OneShotPAR.cs
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#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Gui.Tools;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.Indicators;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion
namespace NinjaTrader.NinjaScript.Strategies
{
public class OneShotPAR : Strategy
{
// private Series<double> upper;
bool cocked;
string parState;
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"PAR trader";
Name = "OneShotPAR";
Calculate = Calculate.OnBarClose;
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = false;
ExitOnSessionCloseSeconds = 30;
IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
OrderFillResolution = OrderFillResolution.Standard;
Slippage = 0;
StartBehavior = StartBehavior.WaitUntilFlat;
TimeInForce = TimeInForce.Gtc;
TraceOrders = false;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
BarsRequiredToTrade = 30;
// Disable this property for performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
period = 15;
profitTaker = 10;
allowMulti = false;
cocked = false;
parState = "none";
// stopLoss = 50;
}
else if (State == State.Configure)
{
RealtimeErrorHandling = RealtimeErrorHandling.IgnoreAllErrors;
SetProfitTarget(CalculationMode.Ticks, profitTaker);
// SetStopLoss(CalculationMode.Ticks, stopLoss);
}
else if (State == State.DataLoaded)
{
// upper = new Series<double>(this,MaximumBarsLookBack.Infinite);
// if (State != State.Historical && BarsPeriod.BarsPeriodType != BarsPeriodType.Range)
// {
// MessageBox.Show("You must use the range chart type");
// }
AddChartIndicator(ParabolicSAR(0.02, 0.2, 0.02));
AddChartIndicator(ZLEMA(period));
ClearOutputWindow();
}
}
protected override void OnBarUpdate()
{
if (CurrentBars[0] < (BarsRequiredToTrade))
return;
// upper[0] = (std[0] * dev + (SMA(macd,length))[0]);
// Print(Time[0] + " Close: " + Close[0] + " MACD: " + macd[0] + " Upper: " + upper[0] + " Lower: " + lower[0] );
if (Position.MarketPosition != MarketPosition.Flat)
{
SetStopLoss(CalculationMode.Price,ParabolicSAR(Close, 0.02, 0.2, 0.02)[0]);
Print(Time[0] + " Not Flat, Setting Stop Loss " + ParabolicSAR(Close, 0.02, 0.2, 0.02)[0].ToString());
}
else
{
SetStopLoss(CalculationMode.Price,ParabolicSAR(Close, 0.02, 0.2, 0.02)[0]);
Print(Time[0] + " Flat, Setting Stop Loss " + (ParabolicSAR(Close, 0.02, 0.2, 0.02)[0]).ToString());
}
if (ParabolicSAR(Close, 0.02, 0.2, 0.02)[0] > High[0])
{
if (parState != "high") cocked = true;
parState = "high";
}
else
{
if (parState != "low") cocked = true;
parState = "low";
}
if ((cocked || allowMulti) && parState == "high" && Close[0] > ZLEMA(period)[0])
{
if (GetCurrentBid() > Close[0]-0.5) EnterShortStopLimit(Close[0]-0.5,Close[0]-0.5);
else EnterShortLimit(Close[0]-0.5);
cocked = false;
}
if ((cocked || allowMulti) && parState == "low" && Close[0] < ZLEMA(period)[0])
{
if (GetCurrentAsk() < Close[0]+0.5) EnterLongStopLimit(Close[0]+0.5,Close[0]+0.5);
else EnterLongLimit(Close[0]+0.5);
cocked = false;
}
}
protected override void OnExecutionUpdate(Execution execution, string executionId, double price, int quantity, MarketPosition marketPosition, string orderId, DateTime time)
{
}
protected override void OnOrderUpdate(Order order, double limitPrice, double stopPrice, int quantity, int filled, double averageFillPrice,
OrderState orderState, DateTime time, ErrorCode error, string nativeError)
{
// Rejection handling
if (order.OrderState == OrderState.Rejected)
{
Print(time.ToString() + " Error: Order rejected, order type " + order.OrderType + " " + nativeError);
}
}
#region Properties
[Range(1, int.MaxValue), NinjaScriptProperty]
[Display(Name="Period", Description="", Order=1, GroupName="Parameters")]
public int period
{ get; set; }
[Display(Name="Allow Multi-Entry", Description="", Order=2, GroupName="Parameters")]
public bool allowMulti
{ get; set; }
[NinjaScriptProperty]
[Range(1, int.MaxValue)]
[Display(Name="Profit Taker", Description="Take Profit Ticks", Order=9, GroupName="Parameters")]
public int profitTaker
{ get; set; }
// [NinjaScriptProperty]
// [Range(1, int.MaxValue)]
// [Display(Name="Stop Loss", Description="Stop Loss Ticks", Order=10, GroupName="Parameters")]
// public int stopLoss
// { get; set; }
#endregion
}
}