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Speed of Trade
Source: https://fxcodebase.com/code/viewtopic.php?f=17&t=62766
Forum: 17 · Topic 62766 · 7 post(s)
Speed of Trade
Apprentice · Sun Oct 11, 2015 5:33 am
Based on request. viewtopic.php?f=27&t=25492
MT5 version viewtopic.php?f=38&t=70032
Re: Speed of Trade
Stance · Sun Oct 11, 2015 4:24 pm
I’ve managed to create a strategy for this indicator.
Code: Select all `function Init() –The strategy profile initialization strategy:name(“SoT strategy”); strategy:description(“”); strategy.parameters:addGroup(“Price”); 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:addGroup(“Calculation”); strategy.parameters:addString(“CandleType”, “Candle Type”, “”, “OC”); strategy.parameters:addStringAlternative(“CandleType”, “Open / Close”, “”, “OC”); strategy.parameters:addStringAlternative(“CandleType”, “High / Low”, “”, “HL”); strategy.parameters:addInteger(“Period”, “MA Period”, “”, 14); strategy.parameters:addInteger(“Trigger”, “Trigger Level”, “”, 2);
CreateTradingParameters(); end
function CreateTradingParameters() strategy.parameters:addGroup(“Trading Parameters”);
strategy.parameters:addBoolean(“AllowTrade”, “Allow strategy to trade”, “”, false); strategy.parameters:setFlag(“AllowTrade”, core.FLAG_ALLOW_TRADE); strategy.parameters:addString(“ExecutionType”, “End of Turn / Live”, “”, “End of Turn”); strategy.parameters:addStringAlternative(“ExecutionType”, “End of Turn”, “”, “End of Turn”); strategy.parameters:addStringAlternative(“ExecutionType”, “Live”, “”, “Live”); strategy.parameters:addBoolean(“CloseOnOpposite”, “Close On Opposite”, “”, true); strategy.parameters:addString(“CustomID”, “Custom Identifier”, “The identifier that can be used to distinguish strategy instances”, “ETLS”); strategy.parameters:addInteger(“MaxNumberOfPositionInAnyDirection”, “Max Number Of Open Position In Any Direction”, “”, 2, 1, 100); strategy.parameters:addInteger(“MaxNumberOfPosition”, “Max Number Of Position In One Direction”, “”, 1, 1, 100); 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(“Direction”, “Type of Signal / Trade”, “”, “direct”); strategy.parameters:addStringAlternative(“Direction”, “Direct”, “”, “direct”); strategy.parameters:addStringAlternative(“Direction”, “Reverse”, “”, “reverse”);
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, 1000); 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”, “”, false); 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”, “”, false); strategy.parameters:addBoolean(“SendEmail”, “Send Email”, “”, false); strategy.parameters:addString(“Email”, “Email”, “”, “”); strategy.parameters:setFlag(“Email”, core.FLAG_EMAIL); 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”);
strategy.parameters:addBoolean(“UseMandatoryClosing”, “Use Mandatory Closing”, “”, false); strategy.parameters:addString(“ExitTime”, “Mandatory Closing Time”, “”, “23:59:00”); strategy.parameters:addInteger(“ValidInterval”, “Valid interval for operation in second”, “”, 60); end local OpenTime, CloseTime, ExitTime,ValidInterval; local source,Ticksource; local MaxNumberOfPositionInAnyDirection, MaxNumberOfPosition; 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 ExecutionType; local CloseOnOpposite local first; local Direction; local CustomID; local SOT = nil; local Trigger; local Period; local Avg; local Size, up, down; local CandleType; local pipsize;
– Don’t need to store hour + minute + second for each time local OpenTime, CloseTime, ExitTime; – function Prepare( nameOnly) CustomID = instance.parameters.CustomID; ExecutionType = instance.parameters.ExecutionType; CloseOnOpposite = instance.parameters.CloseOnOpposite; MaxNumberOfPositionInAnyDirection = instance.parameters.MaxNumberOfPositionInAnyDirection; MaxNumberOfPosition = instance.parameters.MaxNumberOfPosition; Direction = instance.parameters.Direction == “direct”; ValidInterval = instance.parameters.ValidInterval; UseMandatoryClosing = instance.parameters.UseMandatoryClosing; pipsize = instance.bid:pipSize(); CandleType=instance.parameters.CandleType; Trigger=instance.parameters.Trigger; Period=instance.parameters.Period; Size=instance.parameters.Size;
assert(instance.parameters.TF ~= “t1”, “The time frame must not be tick”);
local name; name = profile:id() .. “( “ .. instance.bid:name() .. “,” .. CustomID .. “ )”; instance:name(name); PrepareTrading();
if nameOnly then return ; end assert(core.indicators:findIndicator(“SOT”) ~= nil, “Please, download and install SOT.LUA indicator”); if ExecutionType== “Live” then Ticksource = ExtSubscribe(1, nil, “t1”, instance.parameters.Type == “Bid”, “close”); end source = ExtSubscribe(2, nil, instance.parameters.TF, instance.parameters.Type == “Bid”, “bar”); SOTindicator = core.indicators:create(“SOT”, source, CandleType, Period, Trigger); first=SOTindicator.SOT:first(); 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”); ExitTime, valid = ParseTime(instance.parameters.ExitTime); assert(valid, “Time “ .. instance.parameters.ExitTime .. “ is invalid”); if UseMandatoryClosing then core.host:execute(“setTimer”, 100, math.max(ValidInterval / 2, 1)); end end
– NG: create a function to parse time function ParseTime(time) local Pos = string.find(time, “:”); local h = tonumber(string.sub(time, 1, Pos - 1)); time = string.sub(time, Pos + 1); Pos = string.find(time, “:”); 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 Last; local LAST; local ONE;
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 ExecutionType == “Live” and id == 1 then period= core.findDate (source.close, Ticksource:date(period), false ); end
if ExecutionType == “Live” then if ONE == source:serial(period) then return; end if id == 2 then return; end else if id ~= 2 then return; end end
– update indicators. SOTindicator:update(core.UpdateLast);
if period < first then return; end – only buy if we have a fast cross over slow and the price is above the moving averages. if SOTindicator.SOT[period] > SOTindicator.AVG[period] *Trigger then if source.close[period] > source.open[period] then if Direction then BUY(); else SELL(); end ONE= source:serial(period); elseif source.close[period] < source.open[period] then if Direction then SELL(); else BUY(); end ONE= source:serial(period); end end
end
– NG: Introduce async function for timer/monitoring for the order results function ExtAsyncOperationFinished(cookie, success, message)
if cookie == 100 then – timer if UseMandatoryClosing and AllowTrade then now = core.host:execute(“getServerTime”); – get only time now = now - math.floor(now); – check whether the time is in the exit time period if now >= ExitTime and now < ExitTime + ValidInterval then if not(checkReady(“trades”)) or not(checkReady(“orders”)) then return ; end if haveTrades(“S”) then exitSpecific(“S”); Signal (“Close Short”); end if haveTrades(“B”) then exitSpecific(“B”); Signal (“Close Long”); end end end elseif 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
–===========================================================================– – 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) >= MaxNumberOfPosition or ((tradesCount(nil)) >= MaxNumberOfPositionInAnyDirection) 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”);`
Re: Speed of Trade
Apprentice · Mon Oct 12, 2015 3:33 am
Requested can be found here. viewtopic.php?f=31&t=62769
Please download above-indicator, due to detected bug fix.
Re: Speed of Trade
juju1024 · Mon Oct 12, 2015 12:01 pm
Can you convert this file to mq4 please ? with arrows and MA period setup
Re: Speed of Trade
Apprentice · Wed Oct 14, 2015 5:21 am
Requested can be found here. viewtopic.php?f=38&t=62785
Re: Speed of Trade
juju1024 · Thu Oct 15, 2015 6:58 am
Thanks for link, can you see it, this mq4 file display a black windows on most charts
Re: Speed of Trade
Apprentice · Wed Jul 26, 2017 9:42 am
The indicator was revised and updated.