-- Id: 6222 local BAR = true; function Init() --The strategy profile initialization strategy:name("Trix Strategy"); strategy:description(""); -- NG: optimizer/backtester hint strategy:setTag("NonOptimizableParameters", "ShowAlert,PlaySound,SoundFile,RecurrentSound,SendMail,Email"); 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("Price", "Price Source", "", "close"); strategy.parameters:addStringAlternative("Price", "OPEN", "", "open"); strategy.parameters:addStringAlternative("Price", "HIGH", "", "high"); strategy.parameters:addStringAlternative("Price", "LOW", "", "low"); strategy.parameters:addStringAlternative("Price","CLOSE", "", "close"); strategy.parameters:addStringAlternative("Price", "MEDIAN", "", "median"); strategy.parameters:addStringAlternative("Price", "TYPICAL", "", "typical"); strategy.parameters:addStringAlternative("Price", "WEIGHTED", "", "weighted"); strategy.parameters:addString("TF", "Time Frame", "", "m5"); strategy.parameters:setFlag("TF", core.FLAG_PERIODS); strategy.parameters:addGroup("Signal Trix Calculation"); strategy.parameters:addInteger("P_NS", "TRIX Periods", "", 14); strategy.parameters:addString("MA_1S", "First Smoothing Method", "The methods marked by an asterisk (*) require the appropriate indicators to be loaded.", "EMA"); strategy.parameters:addStringAlternative("MA_1S", "MVA", "", "MVA"); strategy.parameters:addStringAlternative("MA_1S", "EMA", "", "EMA"); strategy.parameters:addStringAlternative("MA_1S", "LWMA", "", "LWMA"); strategy.parameters:addStringAlternative("MA_1S", "TMA", "", "TMA"); strategy.parameters:addStringAlternative("MA_1S", "SMMA*", "", "SMMA"); strategy.parameters:addStringAlternative("MA_1S", "Vidya (1995)*", "", "VIDYA"); strategy.parameters:addStringAlternative("MA_1S", "Vidya (1992)*", "", "VIDYA92"); strategy.parameters:addStringAlternative("MA_1S", "Wilders*", "", "WMA"); strategy.parameters:addString("MA_2S", "Second Smoothing Method", "The methods marked by an asterisk (*) require the appropriate indicators to be loaded.", "EMA"); strategy.parameters:addStringAlternative("MA_2S", "MVA", "", "MVA"); strategy.parameters:addStringAlternative("MA_2S", "EMA", "", "EMA"); strategy.parameters:addStringAlternative("MA_2S", "LWMA", "", "LWMA"); strategy.parameters:addStringAlternative("MA_2S", "TMA", "", "TMA"); strategy.parameters:addStringAlternative("MA_2S", "SMMA*", "", "SMMA"); strategy.parameters:addStringAlternative("MA_2S", "Vidya (1995)*", "", "VIDYA"); strategy.parameters:addStringAlternative("MA_2S", "Vidya (1992)*", "", "VIDYA92"); strategy.parameters:addStringAlternative("MA_2S", "Wilders*", "", "WMA"); strategy.parameters:addString("MA_3S", "Third Smoothing Method", "The methods marked by an asterisk (*) require the appropriate indicators to be loaded.", "EMA"); strategy.parameters:addStringAlternative("MA_3S", "MVA", "", "MVA"); strategy.parameters:addStringAlternative("MA_3S", "EMA", "", "EMA"); strategy.parameters:addStringAlternative("MA_3S", "LWMA", "", "LWMA"); strategy.parameters:addStringAlternative("MA_3S", "TMA", "", "TMA"); strategy.parameters:addStringAlternative("MA_3S", "SMMA*", "", "SMMA"); strategy.parameters:addStringAlternative("MA_3S", "Vidya (1995)*", "", "VIDYA"); strategy.parameters:addStringAlternative("MA_3S", "Vidya (1992)*", "", "VIDYA92"); strategy.parameters:addStringAlternative("MA_3S", "Wilders*", "", "WMA"); strategy.parameters:addInteger("S_NS", "Signal Periods", "", 9); strategy.parameters:addString("MA_SS", "Signal Smoothing Method", "The methods marked by an asterisk (*) require the appropriate indicators to be loaded.", "MVA"); strategy.parameters:addStringAlternative("MA_SS", "MVA", "", "MVA"); strategy.parameters:addStringAlternative("MA_SS", "EMA", "", "EMA"); strategy.parameters:addStringAlternative("MA_SS", "LWMA", "", "LWMA"); strategy.parameters:addStringAlternative("MA_SS", "TMA", "", "TMA"); strategy.parameters:addStringAlternative("MA_SS", "SMMA*", "", "SMMA"); strategy.parameters:addStringAlternative("MA_SS", "Vidya (1995)*", "", "VIDYA"); strategy.parameters:addStringAlternative("MA_SS", "Vidya (1992)*", "", "VIDYA92"); strategy.parameters:addStringAlternative("MA_SS", "Wilders*", "", "WMA"); strategy.parameters:addGroup("Exit Option"); strategy.parameters:addBoolean("Exit", "Use Exit", "", false); strategy.parameters:addString("ExitType", "Type of Exit signal", "", "Any"); strategy.parameters:addStringAlternative("ExitType", "Any", "", "Any"); strategy.parameters:addStringAlternative("ExitType", "Signal Line Cross", "", "First"); strategy.parameters:addStringAlternative("ExitType", "Zero Line Cross", "", "Second"); strategy.parameters:addGroup("Strategy Parameters"); strategy.parameters:addString("Direction", "Type of signal", "", "direct"); strategy.parameters:addStringAlternative("Direction", "direct", "", "direct"); strategy.parameters:addStringAlternative("Direction", "reverse", "", "reverse"); 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); 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:addBoolean("AllowMultiple", "Allow Multiple", "", true); 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 AllowMultiple; 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 Exit,ExitType; local P_NS,MA_1S,MA_2S,MA_3S,MA_SS,S_NS; local Indicator={}; local Short={}; local Source; local Direction; local UseMandatoryClosing; local ValidInterval; local first; local Price; -- Don't need to store hour + minute + second for each time local OpenTime, CloseTime, ExitTime; -- function Prepare(nameOnly) ExitType = instance.parameters.ExitType; Exit = instance.parameters.Exit; Price = instance.parameters.Price; UseMandatoryClosing = instance.parameters.UseMandatoryClosing; P_NS= instance.parameters.P_NS; MA_1S = instance.parameters.MA_1S; MA_2S = instance.parameters.MA_2S; MA_3S = instance.parameters.MA_3S; MA_SS = instance.parameters.MA_SS; S_NS = instance.parameters.S_NS; -- NG: replace string comparison everytime in future. Direction = instance.parameters.Direction == "direct"; ValidInterval = instance.parameters.ValidInterval; Indicator[1] = nil; -- NG: check TF1/TF2 instead of TF assert(instance.parameters.TF ~= "t1", "The time frame must not be tick"); local name; name = profile:id() .. "( " .. instance.bid:name(); local i; assert(core.indicators:findIndicator("TRIX") ~= nil, "Please, download and install TRIX.LUA indicator"); name = name .. " )"; instance:name(name); -- NG: parsing of the time is moved to separate function 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"); PrepareTrading(); if nameOnly then return ; end Source = ExtSubscribe(1, nil, instance.parameters.TF, instance.parameters.Type == "Bid", "bar"); Indicator[1] = core.indicators:create("TRIX", Source[Price] ,P_NS,MA_1S,MA_2S,MA_3S,S_NS, MA_SS ); Short[11] = Indicator[1]:getStream(0); Short[12] = Indicator[1]:getStream(1); first=math.max(Short[12]:first() ); if UseMandatoryClosing then core.host:execute("setTimer", 100, math.max(ValidInterval / 2, 1)); end end function PrepareTrading() AllowMultiple = instance.parameters.AllowMultiple; 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; if AllowTrade then 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 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 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 return; end Indicator[1]:update(core.UpdateLast); if period < first +1 then return ; end local now = core.host:execute("getServerTime"); now = now - math.floor(now); if now >= OpenTime and now <= CloseTime then if core.crossesOver(Short[11], Short[12] ,period) and Short[12][period] > 0 then if Direction then BUY(); else SELL(); end elseif core.crossesOver(Short[11], Short[12] ,period) and Short[12][period] < 0 then if Direction then SELL(); else BUY(); end end if Exit then if (core.crossesUnder(Short[11], Short[12] ,period) and ( ExitType == "First" or ExitType == "Any") ) or ( Short[11][period] < 0 and ( ExitType == "Second" or ExitType == "Any") ) then if Direction then if haveTrades("B") then exit("B"); Signal ("Close Long"); end else if haveTrades("S") then exit("S"); Signal ("Close Short"); end end end if ( core.crossesOver(Short[11], Short[12] ,period) and (ExitType == "First" or ExitType == "Any") ) or ( Short[11][period] > 0 and (ExitType == "Second" or ExitType == "Any") ) then if Direction then if haveTrades("S") then exit("S"); Signal ("Close Short"); end else if haveTrades("B") then exit("B"); Signal ("Close Long"); end end end 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 exit("S"); Signal ("Close Short"); end if haveTrades("B") then exit("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 haveTrades("B") and not AllowMultiple then if haveTrades("S") then exit("S"); Signal ("Close Short"); end return; end if ALLOWEDSIDE == "Sell" then if haveTrades("S") then exit("S"); Signal ("Close Short"); end return; end if haveTrades("S") then exit("S"); Signal ("Close Short"); end enter("B"); Signal ("Open Long"); elseif ShowAlert then Signal ("Up Trend"); end end function SELL() if AllowTrade then if haveTrades("S") and not AllowMultiple then if haveTrades("B") then exit("B"); Signal ("Close Long"); end return; end if ALLOWEDSIDE == "Buy" then if haveTrades("B") then exit("B"); Signal ("Close Long"); end return; end if haveTrades("B") then exit("B"); Signal ("Close Long"); end enter("S"); Signal ("Open Short"); else Signal ("Down Trend"); 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) return core.host:execute("isTableFilled", table); end function tradesCount(BuySell) local enum, row; local count = 0; enum = core.host:findTable("trades"):enumerator(); row = enum:next(); -- NG: to get the true count we must NOT stop when count is not a zero or -- the function will return 1 or 0 only and will work as "haveTrades" -- while count == 0 and row ~= nil do while row ~= nil do if row.AccountID == Account and row.OfferID == Offer 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 (not found) and (row ~= nil) do if row.AccountID == Account and row.OfferID == Offer and (row.BS == BuySell or BuySell == nil) then found = true; end row = enum:next(); end return found; end -- enter into the specified direction function enter(BuySell) if not(AllowTrade) then return true; end -- do not enter if position in the -- specified direction already exists if tradesCount(BuySell) > 0 and not AllowMultiple then return true; end local valuemap, success, msg; valuemap = core.valuemap(); valuemap.OrderType = "OM"; valuemap.OfferID = Offer; valuemap.AcctID = Account; valuemap.Quantity = Amount * BaseSize; valuemap.BuySell = BuySell; -- 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 direction function exit(BuySell) if not(AllowTrade) then return true; end local valuemap, success, msg; if tradesCount(BuySell) > 0 then valuemap = core.valuemap(); -- switch the direction since the order must be in oppsite direction if BuySell == "B" then BuySell = "S"; else BuySell = "B"; end valuemap.OrderType = "CM"; valuemap.OfferID = Offer; valuemap.AcctID = Account; valuemap.NetQtyFlag = "Y"; valuemap.BuySell = BuySell; success, msg = terminal:execute(201, 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 return false; end dofile(core.app_path() .. "\\strategies\\standard\\include\\helper.lua");