-- More information about this indicator can be found at:
-- http://fxcodebase.com/code/viewtopic.php?f=17&t=31328
-- Id: 11797
-- More information about this indicator can be found at:
-- http://fxcodebase.com/

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--+------------------------------------------------------------------+
function Init() --The strategy profile initialization
    strategy:name("Renko TMA Strategy");
	strategy:setTag("NonOptimizableParameters", "Email,SendEmail,SoundFile,RecurrentSound,PlaySound,ShowAlert");
    strategy:description("");
	
	strategy.parameters:addGroup("Renko");
    strategy.parameters:addString("Type", "Price Type", "", "Bid");
    strategy.parameters:addStringAlternative("Type", "Bid", "", "Bid");
    strategy.parameters:addStringAlternative("Type", "Ask", "", "Ask");
	strategy.parameters:addString("TF", "Time frame", "", "H1");
    strategy.parameters:setFlag("TF", core.FLAG_PERIODS);
    strategy.parameters:addInteger("Step", "Brick Size", "", 100);
    strategy.parameters:addDate("from", "From Date", "", -1000);
    strategy.parameters:addDate("to", "To Date", "", 0);
    strategy.parameters:setFlag("to", core.FLAG_DATE_OR_NULL);

    strategy.parameters:addGroup("Strategy Parameters");
    strategy.parameters:addInteger("ATR_Period", "ATR period", "", 100);
    strategy.parameters:addBoolean("CloseOnOpposite", "Close On Opposite", "Close trades when there are opposite trade signals", true);
    strategy.parameters:addString("CustomID", "Custom Identifier", "The identifier that can be used to distinguish strategy instances", "123");

    strategy.parameters:addGroup("Time Parameters");
    strategy.parameters:addString("StartTime", "Start Time for Trading", "", "00:00:00");
    strategy.parameters:addString("StopTime", "Stop Time for Trading", "", "24:00:00");

    CreateTradingParameters();
end

function CreateTradingParameters()
    strategy.parameters:addGroup("Trading Parameters");

    strategy.parameters:addBoolean("AllowTrade", "Allow strategy to trade", "", false);
    -- NG: optimizer/backtester hint
    strategy.parameters:setFlag("AllowTrade", core.FLAG_ALLOW_TRADE);
    strategy.parameters:addString("ALLOWEDSIDE", "Allowed side", "Allowed side for trading or signaling, can be Sell, Buy or Both", "Both");
    strategy.parameters:addStringAlternative("ALLOWEDSIDE", "Both", "", "Both");
    strategy.parameters:addStringAlternative("ALLOWEDSIDE", "Buy", "", "Buy");
    strategy.parameters:addStringAlternative("ALLOWEDSIDE", "Sell", "", "Sell");

    strategy.parameters:addString("Account", "Account to trade on", "", "");
    strategy.parameters:setFlag("Account", core.FLAG_ACCOUNT);
    strategy.parameters:addInteger("Amount", "Trade Amount in Lots", "", 1, 1, 1000000);
    strategy.parameters:addBoolean("SetLimit", "Set Limit Orders", "", false);
    strategy.parameters:addInteger("Limit", "Limit Order in pips", "", 30, 1, 10000);
    strategy.parameters:addBoolean("SetStop", "Set Stop Orders", "", false);
    strategy.parameters:addInteger("Stop", "Stop Order in pips", "", 30, 1, 10000);
    strategy.parameters:addBoolean("TrailingStop", "Trailing stop order", "", false);

    strategy.parameters:addGroup("Alerts");
    strategy.parameters:addBoolean("ShowAlert", "ShowAlert", "", true);
    strategy.parameters:addBoolean("PlaySound", "Play Sound", "", false);
    strategy.parameters:addFile("SoundFile", "Sound File", "", "");
    strategy.parameters:setFlag("SoundFile", core.FLAG_SOUND);
    strategy.parameters:addBoolean("RecurrentSound", "Recurrent Sound", "", true);
    strategy.parameters:addBoolean("SendEmail", "Send Email", "", false);
    strategy.parameters:addString("Email", "Email", "", "");
    strategy.parameters:setFlag("Email", core.FLAG_EMAIL);
end

local Source;

local SoundFile = nil;
local RecurrentSound = false;
local ALLOWEDSIDE;
local AllowTrade;
local Offer;
local CanClose;
local Account;
local Amount;
local SetLimit;
local Limit;
local SetStop;
local Stop;
local TrailingStop;
local ShowAlert;
local Email;
local SendEmail;
local BaseSize;
local PipSize;

local first;
local RenkoView;
local CustomID;
local ATR_Period;
local Step;
local OpenTime, CloseTime;
local CloseOnOpposite;

local ATR;

--
function Prepare( nameOnly)
    CustomID = instance.parameters.CustomID;
    Step = instance.parameters.Step;
    ATR_Period = instance.parameters.ATR_Period;
    CloseOnOpposite = instance.parameters.CloseOnOpposite;

    local name;
    name = profile:id() .. "( " .. instance.bid:name() .. "," .. Step .. "," .. ATR_Period .. "," .. CustomID ..  " )";
    instance:name(name);

    local valid;
    OpenTime, valid = ParseTime(instance.parameters.StartTime);
    assert(valid, "Time " .. instance.parameters.StartTime .. " is invalid");
    CloseTime, valid = ParseTime(instance.parameters.StopTime);
    assert(valid, "Time " .. instance.parameters.StopTime .. " is invalid");
   
    PrepareTrading();

    if nameOnly then
        return ;
    end
	
    Source = ExtSubscribe(1, nil, instance.parameters.TF, instance.parameters.Type == "Bid", "bar");
    PipSize = Source:pipSize();

    local renkoProf = core.indicators:findIndicator("RENKO_CANDLES_NEW");
    assert(core.indicators:findIndicator("RENKO_CANDLES_NEW") ~= nil, "RENKO_CANDLES_NEW" .. " indicator must be installed");
    local params = renkoProf:parameters();

    core.host:trace("Instrument: " .. instance.bid:instrument());
    params:setString("instrument", instance.bid:instrument());
    core.host:trace("TF: " .. instance.parameters.TF);
    params:setString("frame", instance.parameters.TF);
    params:setBoolean("type", instance.parameters.Type == "Bid");
    params:setInteger("Step", Step);
    params:setDate("from", instance.parameters.from);
    if (instance.parameters.to ~= nil) then
        params:setDate("to", instance.parameters.to);
    end

    RenkoView = renkoProf:createInstance(nil, params);

    assert(core.indicators:findIndicator("ATROMAR") ~= nil, "ATROMAR" .. " indicator must be installed");
    ATR = core.indicators:create("ATROMAR", RenkoView:getCandleOutput(0), ATR_Period);

    first = 10;
end

-- NG: create a function to parse time
function ParseTime(time)
    local pos = string.find(time, ":");
    if pos == nil then
        return nil, false;
    end
    local h = tonumber(string.sub(time, 1, pos - 1));
    time = string.sub(time, pos + 1);
    pos = string.find(time, ":");
    if pos == nil then
        return nil, false;
    end
    local m = tonumber(string.sub(time, 1, pos - 1));
    local s = tonumber(string.sub(time, pos + 1));
    return (h / 24.0 + m / 1440.0 + s / 86400.0),                          --time in ole format
            ((h >= 0 and h< 24 and m >= 0 and m< 60 and s >= 0 and s< 60) or(h == 24 and m == 0 and s == 0)); --validity flag
end

function PrepareTrading()
    ALLOWEDSIDE = instance.parameters.ALLOWEDSIDE;

    local PlaySound = instance.parameters.PlaySound;
    if PlaySound then
        SoundFile = instance.parameters.SoundFile;
    else
        SoundFile = nil;
    end
    assert(not(PlaySound) or (PlaySound and SoundFile ~= ""), "Sound file must be chosen");

    ShowAlert = instance.parameters.ShowAlert;
    RecurrentSound = instance.parameters.RecurrentSound;

    SendEmail = instance.parameters.SendEmail;

    if SendEmail then
        Email = instance.parameters.Email;
    else
        Email = nil;
    end
    assert(not(SendEmail) or (SendEmail and Email ~= ""), "E-mail address must be specified");

    AllowTrade = instance.parameters.AllowTrade;
    Account = instance.parameters.Account;
    Amount = instance.parameters.Amount;
    BaseSize = core.host:execute("getTradingProperty", "baseUnitSize", instance.bid:instrument(), Account);
    Offer = core.host:findTable("offers"):find("Instrument", instance.bid:instrument()).OfferID;
    CanClose = core.host:execute("getTradingProperty", "canCreateMarketClose", instance.bid:instrument(), Account);
    SetLimit = instance.parameters.SetLimit;
    Limit = instance.parameters.Limit;
    SetStop = instance.parameters.SetStop;
    Stop = instance.parameters.Stop;
    TrailingStop = instance.parameters.TrailingStop;
end

local lastDirection = 0;
function ExtUpdate(id, source, period)  -- The method called every time when a new bid or ask price appears.
    if AllowTrade then
        if not(checkReady("trades")) or not(checkReady("orders")) then
            return ;
        end
    end

    if id ~= 1 then
        -- if this is an unknown source, abort.
        return;
    end

    -- get the latest period.
    local renkoPeriod = RenkoView.open:size() - 1;
    ExtTrace("Period: " .. period .. " RenkoPeriod: " .. renkoPeriod .. " First: " .. first);

    -- update indicators.
    RenkoView:update(core.UpdateLast);
    ATR:update(core.UpdateAll);

    if (renkoPeriod < first) then
        return;
    end

end

-- NG: Introduce async function for timer/monitoring for the order results
function ExtAsyncOperationFinished(cookie, success, message)
    if cookie == 200 and not success then
        terminal:alertMessage(instance.bid:instrument(), instance.bid[instance.bid:size() - 1], "Open order failed: " .. message, instance.bid:date(instance.bid:size() - 1));
    elseif cookie == 201 and not success then
        terminal:alertMessage(instance.bid:instrument(), instance.bid[instance.bid:size() - 1], "Close order failed: " .. message, instance.bid:date(instance.bid:size() - 1));
    end
end


-- ---------------------------------------------------------
-- Trace helper function
-- ---------------------------------------------------------
function ExtTrace(message)
    local theDate = core.dateToTable(core.host:execute("convertTime", 1, 4, math.max(instance.bid:date(instance.bid:size() - 1), instance.ask:date(instance.ask:size() - 1))));
    core.host:trace(string.format("%d/%02d/%02d %02d:%02d:%02d ", theDate.year, theDate.month, theDate.day, theDate.hour, theDate.min, theDate.sec) .. " " .. message);
end

--===========================================================================--
--                    TRADING UTILITY FUNCTIONS                              --
--============================================================================--
function BUY()
    if AllowTrade then
        if CloseOnOpposite and haveTrades("S") then
            -- close on opposite signal
            exitSpecific("S");
            Signal ("Close Short");
        end

        if ALLOWEDSIDE == "Sell"  then
            -- we are not allowed buys.
            return;
        end 

        enter("B");
    else
        Signal ("Buy Signal");	
    end
end   
    
function SELL ()		
    if AllowTrade then
        if CloseOnOpposite and haveTrades("B") then
            -- close on opposite signal
            exitSpecific("B");
            Signal ("Close Long");
        end

        if ALLOWEDSIDE == "Buy"  then
            -- we are not allowed sells.
            return;
        end

        enter("S");
    else
        Signal ("Sell Signal");	
    end
end

function Signal (Label)
    if ShowAlert then
        terminal:alertMessage(instance.bid:instrument(), instance.bid[NOW],  Label, instance.bid:date(NOW));
    end

    if SoundFile ~= nil then
        terminal:alertSound(SoundFile, RecurrentSound);
    end

    if Email ~= nil then
        terminal:alertEmail(Email, Label, profile:id() .. "(" .. instance.bid:instrument() .. ")" .. instance.bid[NOW]..", " .. Label..", " .. instance.bid:date(NOW));
    end
end								

function checkReady(table)
    local rc;
    if Account == "TESTACC_ID" then
        -- run under debugger/simulator
        rc = true;
    else
        rc = core.host:execute("isTableFilled", table);
    end

    return rc;
end

function tradesCount(BuySell) 
    local enum, row;
    local count = 0;
    enum = core.host:findTable("trades"):enumerator();
    row = enum:next();
    while row ~= nil do
        if row.AccountID == Account and row.OfferID == Offer and row.QTXT == CustomID and (row.BS == BuySell or BuySell == nil) then
            count = count + 1;
        end

        row = enum:next();
    end

    return count;
end

function haveTrades(BuySell) 
    local enum, row;
    local found = false;
    enum = core.host:findTable("trades"):enumerator();
    row = enum:next();
    while (row ~= nil) do
        if row.AccountID == Account and row.OfferID == Offer and row.QTXT == CustomID and (row.BS == BuySell or BuySell == nil) then
            found = true;
            break;
        end

        row = enum:next();
    end

    return found;
end

-- enter into the specified direction
function enter(BuySell)
    -- do not enter if position in the specified direction already exists
    if tradesCount(BuySell) > 0 then
        return true;
    end

    -- send the alert after the checks to see if we can trade.
    if (BuySell == "S") then
        Signal ("Sell Signal");	
    else
        Signal ("Buy Signal");	
    end

    return MarketOrder(BuySell);
end


-- enter into the specified direction
function MarketOrder(BuySell)
    local valuemap, success, msg;
    valuemap = core.valuemap();

    valuemap.Command = "CreateOrder";
    valuemap.OrderType = "OM";
    valuemap.OfferID = Offer;
    valuemap.AcctID = Account;
    valuemap.Quantity = Amount * BaseSize;
    valuemap.BuySell = BuySell;
    valuemap.CustomID = CustomID;

    -- add stop/limit
    valuemap.PegTypeStop = "O";
    if SetStop then 
        if BuySell == "B" then
            valuemap.PegPriceOffsetPipsStop = -Stop;
        else
            valuemap.PegPriceOffsetPipsStop = Stop;
        end
    end
    if TrailingStop then
        valuemap.TrailStepStop = 1;
    end

    valuemap.PegTypeLimit = "O";
    if SetLimit then
        if BuySell == "B" then
            valuemap.PegPriceOffsetPipsLimit = Limit;
        else
            valuemap.PegPriceOffsetPipsLimit = -Limit;
        end
    end

    if (not CanClose) then
        valuemap.EntryLimitStop = 'Y'
    end

    success, msg = terminal:execute(200, valuemap);

    if not(success) then
        terminal:alertMessage(instance.bid:instrument(), instance.bid[instance.bid:size() - 1], "Open order failed: " .. msg, instance.bid:date(instance.bid:size() - 1));
        return false;
    end

    return true;
end

-- exit from the specified trade using the direction as a key
function exitSpecific(BuySell)
    -- we have to loop through to exit all trades in each direction instead
    -- of using the net qty flag because we may be running multiple strategies on the same account.
    local enum, row;
    local found = false;
    enum = core.host:findTable("trades"):enumerator();
    row = enum:next();
    while (not found) and (row ~= nil) do
        -- for every trade for this instance.
        if row.AccountID == Account and row.OfferID == Offer and row.QTXT == CustomID and (row.BS == BuySell or BuySell == nil) then
           exitTrade(row);
        end

        row = enum:next();
    end
end

-- exit from the specified direction
function exitTrade(tradeRow)
    if not(AllowTrade) then
        return true;
    end

    local valuemap, success, msg;
    valuemap = core.valuemap();

    -- switch the direction since the order must be in oppsite direction
    if tradeRow.BS == "B" then
        BuySell = "S";
    else
        BuySell = "B";
    end
    valuemap.OrderType = "CM";
    valuemap.OfferID = Offer;
    valuemap.AcctID = Account;
    if (CanClose) then
        -- Non-FIFO can close each trade independantly.
        valuemap.TradeID = tradeRow.TradeID;
        valuemap.Quantity = tradeRow.Lot;
    else
        -- FIFO.
        valuemap.NetQtyFlag = "Y"; -- this forces all trades to close in the opposite direction.
    end
    valuemap.BuySell = BuySell;
    valuemap.CustomID = CustomID;
    success, msg = terminal:execute(201, valuemap);

    if not(success) then
        terminal:alertMessage(instance.bid:instrument(), instance.bid[instance.bid:size() - 1], "Close order failed: " .. msg, instance.bid:date(instance.bid:size() - 1));
        return false;
    end

    return true;
end

dofile(core.app_path() .. "\\strategies\\standard\\include\\helper.lua");