--+------------------------------------------------------------------+ --| Copyright © 2016, Gehtsoft USA LLC | --| http://fxcodebase.com | --+------------------------------------------------------------------+ --| Support our efforts by donating | --| Paypal: https://goo.gl/9Rj74e | --| BitCoin : 15VCJTLaz12Amr7adHSBtL9v8XomURo9RF | --+------------------------------------------------------------------+ -- Intoduce the strategy to the host application (for example, Marketscope). -- The function is called once when the host application initially loads the strategy. function Init() -- User-friendly name and the description strategy:name("CCI Strategy"); strategy:description("CCI Strategy"); strategy:setTag("NonOptimizableParameters", "Email,SendEmail,SoundFile,RecurrentSound,PlaySound, ShowAlert"); -- Fast and slow moving average parameters strategy.parameters:addGroup("CCI Parameter"); strategy.parameters:addInteger("CCIP", "Indicator periods", "", 14, 2, 200); strategy.parameters:addGroup("Levels"); strategy.parameters:addInteger("OB", "Overbought Level", "", 100); strategy.parameters:addInteger("OS", " Oversold Level", "", -100); strategy.parameters:addInteger("OBC", "Overbought Confirmation Level", "", 150); strategy.parameters:addInteger("OSC", " Oversold Confirmation Level", "", -150); -- Price subscription parameters (bid or ask price, time frame) strategy.parameters:addGroup("Price"); strategy.parameters:addString("PT", "Price Type", "", "Bid"); strategy.parameters:addStringAlternative("PT", "Bid", "", "Bid"); strategy.parameters:addStringAlternative("PT", "Ask", "", "Ask"); strategy.parameters:addString("TF", "Time Frame", "", "m1"); strategy.parameters:setFlag("TF", core.FLAG_PERIODS); strategy.parameters:addString("TypeSignal", "Type of signal", "", "direct"); strategy.parameters:addStringAlternative("TypeSignal", "direct", "", "direct"); strategy.parameters:addStringAlternative("TypeSignal", "reverse", "", "reverse"); -- Alert parameters strategy.parameters:addGroup("Alerts"); strategy.parameters:addBoolean("ShowAlert", "Show Alert", "", true); strategy.parameters:addBoolean("PlaySound", "Play Sound", "", false); strategy.parameters:addFile("SoundFile", "Sound File", "", ""); strategy.parameters:setFlag("SoundFile", core.FLAG_SOUND); -- Trading parameters strategy.parameters:addGroup("Trading"); strategy.parameters:addBoolean("CanTrade", "Allow strategy to trade", "", false); strategy.parameters:setFlag("CanTrade", core.FLAG_ALLOW_TRADE); strategy.parameters:addString("Account", "Account to trade", "", ""); strategy.parameters:setFlag("Account", core.FLAG_ACCOUNT); strategy.parameters:addInteger("LotSize", "Size of the trade in lots", "", 1, 1, 100); strategy.parameters:addInteger("Stop", "Distance in pips for the stop order", "Use 0 to do not use stops", 0, 0, 1000); strategy.parameters:addInteger("Limit", "Distance in pips for the limit order", "Use 0 to do not use limits", 0, 0, 1000); strategy.parameters:addBoolean("SendEmail", "Send email", "", false); strategy.parameters:addString("Email", "Email address", "", ""); strategy.parameters:setFlag("Email", core.FLAG_EMAIL); end -- The global variables local Email; local BAR = nil; -- the price history we subscribed for local first; -- the index of the oldest period where we can check whether moving averages has been crossed local CanTrade; -- flag indicating whether we can trade local Amount; -- the amount for the trade local Account; -- the account to trade on local Stop; -- the stop order level expressed in pips or 0 if no stop must be used local Limit; -- the limit order level expressed in pips or 0 if no stop must be used local CanClose; -- the flag indicating whether "close market" orders is allowed local CanStop; local OfferID; -- the internal indentifier of the instrument (required for the orders) local SoundFile; -- the sound file name or nil if no sound must be played local OB,OS,OBC,OSC; local CCI; local Top,Bottom; -- Prepare all the data. -- The function is called once when the strategy is about to be started. function Prepare() -- check moving average parameters OB=instance.parameters.OB; OS= instance.parameters.OS; OBC= instance.parameters.OBC; OSC= instance.parameters.OSC; CCIP= instance.parameters.CCIP; local SendEmail = instance.parameters.SendEmail; if SendEmail then Email = instance.parameters.Email; else Email = nil; end assert(not(SendEmail) or (SendEmail and Email ~= ""), "Email address must be specified"); -- check alerts settings local ShowAlert; ShowAlert = instance.parameters.ShowAlert; if instance.parameters.PlaySound then SoundFile = instance.parameters.SoundFile; else SoundFile = nil; end assert(instance.parameters.TF ~= "t1", "The strategy cannot be applied on ticks."); assert(not(PlaySound) or (PlaySound and SoundFile ~= ""), "Sound file must be specified"); -- check whether the strategy is allowed to trade CanTrade = instance.parameters.CanTrade; if CanTrade then -- Prepare the common information (account, stop, limit and OfferID (internal id of the instrument). Account = instance.parameters.Account; Stop = math.floor(instance.parameters.Stop + 0.5); Limit = math.floor(instance.parameters.Limit + 0.5); local instrument = instance.bid:instrument(); OfferID = core.host:findTable("offers"):find("Instrument", instrument).OfferID; -- check whether stop and limit orders are allowed CanStop = core.host:execute("getTradingProperty", "canCreateStopLimit", instrument, Account); -- Check whether close market orders are allowed CanClose = core.host:execute("getTradingProperty", "canCreateMarketClose", instrument, Account); -- And finally turn "in lots" amount into the absolule value. Amount = instance.parameters.LotSize * core.host:execute("getTradingProperty", "baseUnitSize", instrument, Account); end -- name the indicator local name = profile:id() .. "(" .. instance.bid:name() .. "," .. CCIP.. ")"; instance:name(name); -- setup the signal. pay attention, we pass "ShowAlert" (value initially taken from the instance.parameters.ShowAlert) -- here, so, we don't check whether alerts are requested anymore. ExtSetupSignal(name, ShowAlert); ExtSetupSignalMail(name); -- and finally subscribe for the ticks of the instrument the user initially chosen to run the strategy for to -- have our strategy activated once. ExtSubscribe(1, nil, "t1", true, "tick"); end -- the function is called every time when any subscribed price is changed. For tick subscribtions the function is called -- for every tick, for the bar subscribtions the function is called when the candle is closed (in other words, when -- the first tick of the next candle appears). function ExtUpdate(id, source, period) if id == 1 then if BAR == nil then -- our tick subscribtion. do it on the first tick if the -- user chosen subscribtion has not been not made yet. -- subscribe for the user chosen timeframe/to close prices BAR = ExtSubscribe(2, nil, instance.parameters.TF, true, "bar"); -- create indicators CCI = core.indicators:create("CCI", BAR, CCIP); -- and get the oldest index of the bar we can work at first = CCI.DATA:first(); return end -- on the user chosen subscription (can be either tick or bar subscribtion). -- update indicators CCI:update(core.UpdateLast); period = CCI.DATA:size() - 1; -- if we have enough bars in the history to work if period > first + 1 then if core.crossesOver(CCI.DATA, OBC, period) then TOP = true; end if core.crossesUnder(CCI.DATA, OSC, period) then BOTTOM = true; end if core.crossesOver(CCI.DATA, OS, period) and BOTTOM then BOTTOM = false; -- show the signal if instance.parameters.TypeSignal=="direct" then ExtSignal(instance.ask, instance.ask:size() - 1, "BUY", SoundFile, Email); -- and if the trading is allowed - either close all sell positions or -- open the buy one if CanTrade then if not(close(true)) then open(false); end end else ExtSignal(instance.bid, instance.bid:size() - 1, "SELL", SoundFile, Email); -- and if the trading is allowed - either close all buy positions or -- open the sell one if CanTrade then if not(close(false)) then open(true); end end end elseif core.crossesUnder(CCI.DATA, OB, period) and TOP then TOP = false; -- show the signal if instance.parameters.TypeSignal=="direct" then ExtSignal(instance.bid, instance.bid:size() - 1, "SELL", SoundFile, Email); -- and if the trading is allowed - either close all buy positions or -- open the sell one if CanTrade then if not(close(false)) then open(true); end end else ExtSignal(instance.ask, instance.ask:size() - 1, "BUY", SoundFile, Email); -- and if the trading is allowed - either close all sell positions or -- open the buy one if CanTrade then if not(close(true)) then open(false); end end end end end end end -- The function opens the position in the chosen direction. -- Account, amount and instrument (aka offer) are predefined in -- the Prepare() function. function open(sell) -- create and fill value map with the predefined order parameters local valuemap; valuemap = core.valuemap(); valuemap.Command = "CreateOrder"; -- command: create new order valuemap.OrderType = "OM"; -- order type: open market (execute immediatelly, at any available market price) valuemap.OfferID = OfferID; -- instrument valuemap.AcctID = Account; valuemap.Quantity = Amount; -- fill the side and calculate stops and limits. -- the Stop and Limit global variables are expressed in pips. -- pay attention that we calculate prices against different prices -- to avoid setting the stop or limit inside the spread. -- Also, the stop and limit offset depends on the trade direction. For example -- the stop for a buy position is below the price while the stop for a sell position -- is above the price. local side, limit, stop; if sell then side = "S"; stop = instance.ask[instance.ask:size() - 1] + Stop * instance.ask:pipSize(); limit = instance.bid[instance.ask:size() - 1] - Limit * instance.bid:pipSize(); else side = "B"; stop = instance.bid[instance.ask:size() - 1] - Stop * instance.ask:pipSize(); limit = instance.ask[instance.ask:size() - 1] + Limit * instance.bid:pipSize(); end -- fill side and stop/limit orders in the value map valuemap.BuySell = side; if Stop > 0 and CanStop then valuemap.RateStop = stop; end if Limit > 0 and CanStop then valuemap.RateLimit = limit; end -- and, finally, execute it local success, msg; success, msg = terminal:execute(200, valuemap); assert(success, msg); end -- close all the positions in the specified direction function close(sell) local enum, row, valuemap, side, closed; local valuemap; -- just prepare the name of the direction ("S" for sell and "B" for buy). if sell then side = "S"; else side = "B"; end -- the flag indicating whether at least one position is closed. closed = false; -- get a enumerator for the "open trades" trading table enum = core.host:findTable("trades"):enumerator(); -- and scan trough all table rows. one row is one trade. while true do row = enum:next(); if row == nil then break; end -- if trade was placed for chosen account and instrument -- and the trade is in the requested side - close it if row.AccountID == Account and row.OfferID == OfferID and row.BS == side then -- use different close models depending on the account type if CanClose then -- non-NFA accounts, can use Market Close order valuemap = core.valuemap(); valuemap.Command = "CreateOrder"; valuemap.OrderType = "CM"; -- close market order valuemap.OfferID = OfferID; valuemap.AcctID = Account; valuemap.Quantity = row.Lot; -- the size is required because we can close the position partially valuemap.TradeID = row.TradeID; -- the trade must be referenced int he close order -- the side of the close order must be opposite to the side of the trade. if row.BS == "B" then valuemap.BuySell = "S"; else valuemap.BuySell = "B"; end -- and execute local success, msg; success, msg = terminal:execute(200, valuemap); assert(success, msg); else -- NFA accounts. We cannot call close orders but can -- execute an opposite open order. Since NFA accounts can -- never be hedging accounts, the opposite open order -- closes the existing positions first. valuemap = core.valuemap(); valuemap.OrderType = "OM"; valuemap.Command = "CreateOrder"; valuemap.OfferID = OfferID; valuemap.AcctID = Account; valuemap.Quantity = row.Lot if row.BS == "B" then valuemap.BuySell = "S"; else valuemap.BuySell = "B"; end local success, msg; success, msg = terminal:execute(200, valuemap); assert(success, msg); end -- we closed the position, so we should not open anything. closed = true; end end return closed; end -- use the helpers dofile(core.app_path() .. "\\strategies\\standard\\include\\helper.lua");