-- Id: 17670 --+------------------------------------------------------------------+ --| Copyright © 2018, Gehtsoft USA LLC | --| http://fxcodebase.com | --+------------------------------------------------------------------+ --| Developed by : Mario Jemic | --| mario.jemic@gmail.com | --+------------------------------------------------------------------+ --| Support our efforts by donating | --| Patreon : https://goo.gl/GdXWeN | --| Paypal : https://goo.gl/9Rj74e | --| BitCoin : 15VCJTLaz12Amr7adHSBtL9v8XomURo9RF | --| BitCoin Cash : 1BEtS465S3Su438Kc58h2sqvVvHK9Mijtg | --| Ethereum : 0x8C110cD61538fb6d7A2B47858F0c0AaBd663068D | --| LiteCoin : LLU8PSY2vsq7B9kRELLZQcKf5nJQrdeqwD | --+------------------------------------------------------------------+ function Init() --The strategy profile initialization strategy:name("Highly adaptable Bollinger Band Strategy with Trend Stop Filter") strategy:description("") strategy:setTag("NonOptimizableParameters", "Email,SendEmail,SoundFile,RecurrentSound,PlaySound, ShowAlert") 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:addInteger("Period", "Period", "", 20) strategy.parameters:addDouble("Deviation", "Deviation", "", 2) strategy.parameters:addGroup("Selector") strategy.parameters:addString("Action" .. 1, "Top Line Cross Over", "", "NO") strategy.parameters:addStringAlternative("Action" .. 1, "No Action", "", "NO") strategy.parameters:addStringAlternative("Action" .. 1, "Sell", "", "SELL") strategy.parameters:addStringAlternative("Action" .. 1, "Buy", "", "BUY") strategy.parameters:addStringAlternative("Action" .. 1, "Close Position", "", "CLOSE") strategy.parameters:addStringAlternative("Action" .. 1, "Alert", "", "Alert") strategy.parameters:addString("Action" .. 2, "Top Line Cross Under", "", "NO") strategy.parameters:addStringAlternative("Action" .. 2, "No Action", "", "NO") strategy.parameters:addStringAlternative("Action" .. 2, "Sell", "", "SELL") strategy.parameters:addStringAlternative("Action" .. 2, "Buy", "", "BUY") strategy.parameters:addStringAlternative("Action" .. 2, "Close Position", "", "CLOSE") strategy.parameters:addStringAlternative("Action" .. 2, "Alert", "", "Alert") strategy.parameters:addString("Action" .. 3, "Central Line Cross Over", "", "NO") strategy.parameters:addStringAlternative("Action" .. 3, "No Action", "", "NO") strategy.parameters:addStringAlternative("Action" .. 3, "Sell", "", "SELL") strategy.parameters:addStringAlternative("Action" .. 3, "Buy", "", "BUY") strategy.parameters:addStringAlternative("Action" .. 3, "Close Position", "", "CLOSE") strategy.parameters:addStringAlternative("Action" .. 3, "Alert", "", "Alert") strategy.parameters:addString("Action" .. 4, "Central Cross Under", "", "NO") strategy.parameters:addStringAlternative("Action" .. 4, "No Action", "", "NO") strategy.parameters:addStringAlternative("Action" .. 4, "Sell", "", "SELL") strategy.parameters:addStringAlternative("Action" .. 4, "Buy", "", "BUY") strategy.parameters:addStringAlternative("Action" .. 4, "Close Position", "", "CLOSE") strategy.parameters:addStringAlternative("Action" .. 4, "Alert", "", "Alert") strategy.parameters:addString("Action" .. 5, "Bottom Line Cross Over", "", "NO") strategy.parameters:addStringAlternative("Action" .. 5, "No Action", "", "NO") strategy.parameters:addStringAlternative("Action" .. 5, "Sell", "", "SELL") strategy.parameters:addStringAlternative("Action" .. 5, "Buy", "", "BUY") strategy.parameters:addStringAlternative("Action" .. 5, "Close Position", "", "CLOSE") strategy.parameters:addStringAlternative("Action" .. 5, "Alert", "", "Alert") strategy.parameters:addString("Action" .. 6, "Bottom Line Cross Under", "", "NO") strategy.parameters:addStringAlternative("Action" .. 6, "No Action", "", "NO") strategy.parameters:addStringAlternative("Action" .. 6, "Sell", "", "SELL") strategy.parameters:addStringAlternative("Action" .. 6, "Buy", "", "BUY") strategy.parameters:addStringAlternative("Action" .. 6, "Close Position", "", "CLOSE") strategy.parameters:addStringAlternative("Action" .. 6, "Alert", "", "Alert") strategy.parameters:addGroup("Trend Stop Selector") strategy.parameters:addBoolean("confirm_with_trendstop", "Confirm Using Trendstop", "", true) strategy.parameters:addString("trendstop_tf", "Trendstop's Time Frame", "", "H1") strategy.parameters:setFlag("trendstop_tf", core.FLAG_PERIODS) strategy.parameters:addInteger("trendstop_period", "Trendstop's Period", "Period", 10) strategy.parameters:addString("trendstop_type", "Triger", "", "Close") strategy.parameters:addStringAlternative("trendstop_type", "Close", "", "Close") strategy.parameters:addStringAlternative("trendstop_type", "High/Low", "", "High") CreateTradingParameters() end function CreateTradingParameters() strategy.parameters:addGroup("Trading Parameters") strategy.parameters:addBoolean("AllowTrade", "Allow strategy to trade", "", true) 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", "HABBS" ) 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, 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) strategy.parameters:addGroup("Time Parameters") strategy.parameters:addInteger("ToTime", "Convert the date to", "", 6) strategy.parameters:addIntegerAlternative("ToTime", "EST", "", 1) strategy.parameters:addIntegerAlternative("ToTime", "UTC", "", 2) strategy.parameters:addIntegerAlternative("ToTime", "Local", "", 3) strategy.parameters:addIntegerAlternative("ToTime", "Server", "", 4) strategy.parameters:addIntegerAlternative("ToTime", "Financial", "", 5) strategy.parameters:addIntegerAlternative("ToTime", "Display", "", 6) 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 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 Exit local Direction local CustomID local Action = {} local Indicators local Deviation, Period local OpenTime, CloseTime, ExitTime local ValidInterval, UseMandatoryClosing local ToTime local trend_stop local trendstop_source local TICK_SOURCE_ID = 1 local MAIN_SOURCE_ID = 2 local TRENDSTOP_SOURCE_ID = 3 -- 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" Deviation = instance.parameters.Deviation Period = instance.parameters.Period for i = 1, 6, 1 do Action[i] = instance.parameters:getString("Action" .. i) end 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("TRENDSTOP") ~= nil, "Please, download and install TRENDSTOP.LUA indicator") if ExecutionType == "Live" then TickSource = ExtSubscribe(TICK_SOURCE_ID, nil, "t1", instance.parameters.Type == "Bid", "close") end Source = ExtSubscribe(MAIN_SOURCE_ID, nil, instance.parameters.TF, instance.parameters.Type == "Bid", "bar") Indicators = core.indicators:create("BB", Source.close, Period, Deviation) first = Indicators.DATA:first() if instance.parameters.confirm_with_trendstop then trendstop_source = ExtSubscribe( TRENDSTOP_SOURCE_ID, nil, instance.parameters.trendstop_tf, instance.parameters.Type == "Bid", "bar" ) trend_stop = core.indicators:create( "TRENDSTOP", trendstop_source, instance.parameters.trendstop_period, instance.parameters.trendstop_type ) end local s, e, s1, e1 s, e = core.getcandle(instance.parameters.TF, core.now(), 0, 0) s1, e1 = core.getcandle(instance.parameters.trendstop_tf, core.now(), 0, 0) assert((e - s) <= (e1 - s1), "Trend Stop time frame must be equal to or bigger than the chart time frame!") ToTime = instance.parameters.ToTime ValidInterval = instance.parameters.ValidInterval UseMandatoryClosing = instance.parameters.UseMandatoryClosing if ToTime == 1 then ToTime = core.TZ_EST elseif ToTime == 2 then ToTime = core.TZ_UTC elseif ToTime == 3 then ToTime = core.TZ_LOCAL elseif ToTime == 4 then ToTime = core.TZ_SERVER elseif ToTime == 5 then ToTime = core.TZ_FINANCIAL elseif ToTime == 6 then ToTime = core.TZ_TS end 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 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), ((h >= 0 and h < 24 and m >= 0 and m < 60 and s >= 0 and s < 60) or -- time in ole format (h == 24 and m == 0 and s == 0)) -- validity flag end function InRange(now, openTime, closeTime) if openTime < closeTime then return now >= openTime and now <= closeTime; end if openTime > closeTime then return now > openTime or now < closeTime; end return now == openTime; 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 ConfirmLongWithTrendstop() if not instance.parameters.confirm_with_trendstop then return true end if (trendstop_source.close[NOW] > trend_stop.DATA[NOW]) then return true else return false end end function ConfirmShortWithTrendstop() if not instance.parameters.confirm_with_trendstop then return true end ---core.host:trace("test sell"); if (trendstop_source.close[NOW] < trend_stop.DATA[NOW]) then return true else return false end end function ExtUpdate(id, source, period) -- The method called every time when a new bid or ask price appears. now = core.host:execute("getServerTime") now = core.host:execute("convertTime", core.TZ_EST, ToTime, now) -- get only time now = now - math.floor(now) if not (now >= OpenTime and now <= CloseTime) then return end if AllowTrade then if not (checkReady("trades")) or not (checkReady("orders")) then return end end if id == TRENDSTOP_SOURCE_ID then return end if period < 0 then return end if ExecutionType == "Live" and id == 1 then period = core.findDate(Source.close, TickSource:date(period), false) end if period < 0 then return 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. if trend_stop ~= nil then trend_stop:update(core.UpdateAll) end Indicators:update(core.UpdateLast) if period < first then return end if core.crossesOver(Source.close, Indicators:getStream(0), period) then ACTION(1, "Top ", "Over") ONE = Source:serial(period) end if core.crossesUnder(Source.close, Indicators:getStream(0), period) then ACTION(2, "Top ", "Under") ONE = Source:serial(period) end if core.crossesOver(Source.close, Indicators:getStream(2), period) then ACTION(3, "Central ", "Over") ONE = Source:serial(period) end if core.crossesUnder(Source.close, Indicators:getStream(2), period) then ACTION(4, "Central ", "Under") ONE = Source:serial(period) end if core.crossesOver(Source.close, Indicators:getStream(1), period) then ACTION(5, "Bottom ", "Over") ONE = Source:serial(period) end if core.crossesUnder(Source.close, Indicators:getStream(1), period) then ACTION(6, "Bottom ", "Under") ONE = Source:serial(period) 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") now = core.host:execute("convertTime", core.TZ_EST, ToTime, now) -- 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 / 86400.0) then if not checkReady("trades") then return end if haveTrades("B") then exitSpecific("B") Signal("Close Long") end if haveTrades("S") then exitSpecific("S") Signal("Close Short") 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 function exitSpecific(BuySell) if not AllowTrade then return end --side -- closes all positions of the specified direction (B for buy, S for sell) local enum, row, valuemap enum = core.host:findTable("trades"):enumerator() while true do row = enum:next() if row == nil then break end if row.AccountID == Account and row.OfferID == Offer and row.BS == BuySell and row.QTXT == CustomID then -- if trade has to be closed if CanClose then -- non-FIFO account, create a close market order valuemap = core.valuemap() valuemap.OrderType = "CM" valuemap.OfferID = Offer valuemap.AcctID = Account valuemap.Quantity = row.Lot valuemap.TradeID = row.TradeID valuemap.CustomID = CustomID if row.BS == "B" then valuemap.BuySell = "S" else valuemap.BuySell = "B" end 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 else -- FIFO account, create an opposite market order valuemap = core.valuemap() valuemap.OrderType = "OM" valuemap.OfferID = Offer valuemap.AcctID = Account --valuemap.Quantity = Amount*BaseSize; valuemap.Quantity = row.Lot valuemap.CustomID = CustomID if row.BS == "B" then valuemap.BuySell = "S" else valuemap.BuySell = "B" end 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 end end end end dofile(core.app_path() .. "\\strategies\\standard\\include\\helper.lua") function ACTION(Flag, Line, Label) if Action[Flag] == "NO" then return elseif Action[Flag] == "BUY" and ConfirmLongWithTrendstop() then BUY() elseif Action[Flag] == "SELL" and ConfirmShortWithTrendstop() then SELL() elseif Action[Flag] == "CLOSE" then if AllowTrade then if haveTrades("B") then exitSpecific("B") Signal("Close Long") end if haveTrades("S") then exitSpecific("S") Signal("Close Short") end else Signal("Close All") end elseif Action[Flag] == "Alert" then Signal(Line .. " Line Cross" .. Label) end end dofile(core.app_path() .. "\\strategies\\standard\\include\\helper.lua")