-- Id: 17297 --+------------------------------------------------------------------+ --| Copyright © 2016, Gehtsoft USA LLC | --| http://fxcodebase.com | --+------------------------------------------------------------------+ --| Support our efforts by donating | --| Paypal: https://goo.gl/9Rj74e | --| BitCoin : 15VCJTLaz12Amr7adHSBtL9v8XomURo9RF | --+------------------------------------------------------------------+ --| Developed by : Mario Jemic | --| mario.jemic@gmail.com | --+------------------------------------------------------------------+ function Init() --The strategy profile initialization strategy:name("Highly Adaptable Pivot Strategy with MA Cross/Position 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:addGroup("Strategy Parameters"); strategy.parameters:addString("TF", "Strategy Time frame", "", "m5"); strategy.parameters:setFlag("TF", core.FLAG_PERIODS); strategy.parameters:addString("CustomID", "Custom Identifier", "The identifier that can be used to distinguish strategy instances", "HAPSWCPF"); strategy.parameters:addGroup("Pivot"); strategy.parameters:addString("PivotTF", "Pivot Time frame", "", "D1"); strategy.parameters:setFlag("PivotTF", core.FLAG_PERIODS); strategy.parameters:addString("CalcMode", "Calculation mode", "The mode of pivot calculation.", "Pivot"); strategy.parameters:addStringAlternative("CalcMode", "Classic Pivot", "", "Pivot"); strategy.parameters:addStringAlternative("CalcMode", "Camarilla", "", "Camarilla"); strategy.parameters:addStringAlternative("CalcMode", "Woodie", "", "Woodie"); strategy.parameters:addStringAlternative("CalcMode", "Fibonacci", "", "Fibonacci"); strategy.parameters:addStringAlternative("CalcMode", "Floor", "", "Floor"); strategy.parameters:addStringAlternative("CalcMode", "Fibonacci Retracement", "", "FibonacciR"); strategy.parameters:addGroup("MA Filter"); strategy.parameters:addBoolean("Filter1", "MA Cross Filter", "", false); strategy.parameters:addBoolean("Filter2", "MA Position Filter", "", false); strategy.parameters:addInteger("Period", "MA Period", "Period" , 14); strategy.parameters:addString("Method", "MA Method", "Method" , "MVA"); strategy.parameters:addStringAlternative("Method", "MVA", "MVA" , "MVA"); strategy.parameters:addStringAlternative("Method", "EMA", "EMA" , "EMA"); strategy.parameters:addStringAlternative("Method", "LWMA", "LWMA" , "LWMA"); strategy.parameters:addStringAlternative("Method", "TMA", "TMA" , "TMA"); strategy.parameters:addStringAlternative("Method", "SMMA", "SMMA" , "SMMA"); strategy.parameters:addStringAlternative("Method", "KAMA", "KAMA" , "KAMA"); strategy.parameters:addStringAlternative("Method", "VIDYA", "VIDYA" , "VIDYA"); strategy.parameters:addStringAlternative("Method", "WMA", "WMA" , "WMA"); strategy.parameters:addGroup("Actions"); AddLevel(1, "R4"); AddLevel(2, "MR34"); AddLevel(3, "R3"); AddLevel(4, "MR23"); AddLevel(5, "R2"); AddLevel(6, "MR12"); AddLevel(7, "R1"); AddLevel(8, "MR01"); AddLevel(9, "P"); AddLevel(10, "MS01"); AddLevel(11, "S1"); AddLevel(12, "MS12"); AddLevel(13, "S2"); AddLevel(14, "MS23"); AddLevel(15, "S3"); AddLevel(16, "MS34"); AddLevel(17, "S4"); CreateTradingParameters(); end function AddLevel(Number, Desc) strategy.parameters:addString("Action".. Number, Desc .. " Action", "", "NO"); strategy.parameters:addStringAlternative("Action".. Number, "No Action", "", "NO"); strategy.parameters:addStringAlternative("Action".. Number, "Sell", "", "SELL"); strategy.parameters:addStringAlternative("Action".. Number, "Buy", "", "BUY"); strategy.parameters:addStringAlternative("Action".. Number, "Close Position", "", "CLOSE"); strategy.parameters:addStringAlternative("Action".. Number, "Alert", "", "Alert"); strategy.parameters:addDouble("Pips".. Number, Desc .. " Pips", "", 0, -1000.0, 1000.0); 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("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", "Should we allow multiple positions in the same direction.", true); strategy.parameters:addInteger("MultipleLimit", "Open Position Limit", "The number of open positions in the same direction allowed for each instance of this strategy. Zero for unlimited.", 0, 0, 1000); 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, 100); 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 TriggerSource, PivotSource; local SoundFile = nil; local RecurrentSound = false; local ALLOWEDSIDE; local AllowMultiple; local MultipleLimit; 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 Action={}; local Pips={}; local CustomID; local CalcMode; local O_PIVOT = 1; local O_CAM = 2; local O_WOOD = 3; local O_FIB = 4; local O_FLOOR = 5; local O_FIBR = 6; local PeriodDate; local P; local S1; local S2; local S3; local S4; local R1; local R2; local R3; local MA, Period, Method, Filter1, Filter2; local stream; function Prepare( nameOnly) CustomID = instance.parameters.CustomID; if instance.parameters.CalcMode == "Pivot" then CalcMode = O_PIVOT; elseif instance.parameters.CalcMode == "Camarilla" then CalcMode = O_CAM; elseif instance.parameters.CalcMode == "Woodie" then CalcMode = O_WOOD; elseif instance.parameters.CalcMode == "Fibonacci" then CalcMode = O_FIB; elseif instance.parameters.CalcMode == "Floor" then CalcMode = O_FLOOR; elseif instance.parameters.CalcMode == "FibonacciR" then CalcMode = O_FIBR; else assert(false, "Unknown calculation mode: " .. instance.parameters.CalcMode); end Period=instance.parameters.Period; Method=instance.parameters.Method; Filter1=instance.parameters.Filter1; Filter2=instance.parameters.Filter2; assert(instance.parameters.PivotTF ~= "t1", "The pivot time frame must not be tick"); local name = profile:id() .. "( " .. instance.bid:name() .. "," .. instance.parameters.CalcMode .. "," .. CustomID .. "," .. " )"; instance:name(name); PrepareTrading(); if nameOnly then return ; end PivotSource = ExtSubscribe(1, nil, instance.parameters.PivotTF, instance.parameters.Type == "Bid", "bar"); PipSize = PivotSource.close:pipSize(); if (instance.parameters.TF == "t1") then assert(core.indicators:findIndicator(Method) ~= nil, Method .. " indicator must be installed"); MA = core.indicators:create(Method, TriggerSource, Period); TriggerSource = ExtSubscribe(2, nil, "t1", instance.parameters.Type == "Bid", "close"); else TriggerSource = ExtSubscribe(2, nil, instance.parameters.TF, instance.parameters.Type == "Bid", "bar"); MA = core.indicators:create(Method, TriggerSource.close, Period); end local i = 1; while (i <= 17) do Pips[i] = instance.parameters:getDouble("Pips" .. i) * PipSize; Action[i]= instance.parameters:getString("Action" .. i); i = i + 1; end end function UpdateStream(period) CalcLevels(PivotSource, period); end function PrepareTrading() AllowMultiple = instance.parameters.AllowMultiple; MultipleLimit = instance.parameters.MultipleLimit; 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 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 Filter1 or Filter2 then MA:update(core.UpdateLast); if period < MA.DATA:first() then return end end if (id == 1) then -- pivot source so calculate pivot levels. CalcLevels(PivotSource, period); elseif (id == 2) then -- trigger source so check the actions if (INDEX == nil) then return; end if (TriggerSource:isBar()) then stream = TriggerSource.close; else stream = TriggerSource; end if core.crosses(stream, R4, period) then ACTION(1, "R4", period); end if core.crosses(stream, MR34, period) then ACTION(2, "MR34", period); end if core.crosses(stream, R3, period) then ACTION(3, "R3", period); end if core.crosses(stream, MR23, period) then ACTION(4, "MR23", period); end if core.crosses(stream, R2, period) then ACTION(5, "R2", period); end if core.crosses(stream, MR12, period) then ACTION(6, "MR12", period); end if core.crosses(stream, R1, period) then ACTION(7, "R1", period); end if core.crosses(stream, MR01, period) then ACTION(8, "MR01", period); end -- pivot line so check for cross. if core.crosses(stream, P, period) then ACTION(9, "P", period); end if core.crosses(stream, MS01, period) then ACTION(10, "MS01", period); end if core.crosses(stream, S1, period) then ACTION(11, "S1", period); end if core.crosses(stream, MS12, period) then ACTION(12, "MS12", period); end if core.crosses(stream, S2, period) then ACTION(13, "S2", period); end if core.crosses(stream, MS23, period) then ACTION(14, "MS23", period); end if core.crosses(stream, S3, period) then ACTION(15, "S3", period); end if core.crosses(stream, MS34, period) then ACTION(16, "MS34", period); end if core.crosses(stream, S4, period) then ACTION(17, "S4", period); end else -- unknown source. return; end end function CalcLevels(ref, period) if (period - 1 < ref:first()) then -- not enough data return; end if (ref:serial(period) == INDEX) then -- already calculated; return; end -- if we are daily or less, ignore saturdays. if (ref:barSize() ~= "M1" and ref:barSize() ~= "W1") then local theDate = core.dateToTable(ref:date(period)); if (theDate.wday == 7) then -- need to ignore saturday's or it messes up the pivots. return; end end local prev_i = period; INDEX = ref:serial(period); -- calculate the pivot level if CalcMode == O_PIVOT or CalcMode == O_FIB or CalcMode == O_FLOOR then P = (ref.high[prev_i] + ref.close[prev_i] + ref.low[prev_i]) / 3; elseif CalcMode == O_CAM then -- P[period] = (ref.high[prev_i] + ref.close[prev_i] + ref.low[prev_i]) / 3; P = ref.close[prev_i]; elseif CalcMode == O_FIBR then P = (ref.high[prev_i] + ref.low[prev_i]) / 2; elseif CalcMode == O_WOOD then local open; if (prev_i == ref:size() - 1) then -- for a live day take close as open of the next period open = ref.open[prev_i]; else open = ref.open[prev_i + 1]; end P = (ref.high[prev_i] + ref.low[prev_i] + open * 2 ) / 4; end local h, l, r, p; h = ref.high[prev_i]; l = ref.low[prev_i]; r = h - l; p = P; -- calculate the other levels if CalcMode == O_PIVOT then R4 = p + r * 3; R3 = p + r * 2; R2 = p + r; R1 = p * 2 - l; S1 = p * 2 - h; S2 = p - r; S3 = p - r * 2; S4 = p - r * 3; elseif CalcMode == O_CAM then R4 = p + r * 1.1 / 2; R3 = p + r * 1.1 / 4; R2 = p + r * 1.1 / 6; R1 = p + r * 1.1 / 12; S1 = p - r * 1.1 / 12; S2 = p - r * 1.1 / 6; S3 = p - r * 1.1 / 4; S4 = p - r * 1.1 / 2; elseif CalcMode == O_WOOD then R4 = h + (2 * (p - l) + r); R3 = h + 2 * (p - l); R2 = p + r; R1 = p * 2 - l; S1 = p * 2 - h; S2 = p - r; S3 = l - 2 * (h - p); S4 = l - (r + 2 * (h - p)); elseif CalcMode == O_FIB then R4 = p + 1.618 * (h - l); R3 = p + 1 * (h - l); R2 = p + 0.618 * (h - l); R1 = p + 0.382 * (h - l); S1 = p - 0.382 * (h - l); S2 = p - 0.618 * (h - l); S3 = p - 1 * (h - l); S4 = p - 1.618 * (h - l); elseif CalcMode == O_FLOOR then R4 = 0; R3 = h + (p - l) * 2; R2 = p + r; R1 = p * 2 - l; S1 = p * 2 - h; S2 = p - r; S3 = l - (h - p) * 2; S4 = 0; elseif CalcMode == O_FIBR then R4 = l + (h - l) * 1.272; R3 = l + (h - l) * 1.0; R2 = l + (h - l) * 0.764; R1 = l + (h - l) * 0.618; S1 = l + (h - l) * 0.382; S2 = l + (h - l) * 0.236; S3 = l + (h - l) * 0.0; S4 = l + (h - l) * -0.272; end -- calculate mid points MR01 = 0.5 * (P + R1); MR12 = 0.5 * (R1 + R2); MR23 = 0.5 * (R2 + R3); MR34 = 0.5 * (R3 + R4); MS01 = 0.5 * (P + S1); MS12 = 0.5 * (S1 + S2); MS23 = 0.5 * (S2 + S3); MS34 = 0.5 * (S3 + S4); -- apply pip modifications R4 = R4 + Pips[1]; MR34 = MR34 + Pips[2]; R3 = R3 + Pips[3]; MR23 = MR23 + Pips[4]; R2 = R2 + Pips[5]; MR12 = MR12 + Pips[6]; R1 = R1 + Pips[7]; MR01 = MR01 + Pips[8]; P = P + Pips[9]; MS01 = MS01 + Pips[10]; S1 = S1 + Pips[11]; MS12 = MS12 + Pips[12]; S2 = S2 + Pips[13]; MS23 = MS23 + Pips[14]; S3 = S3 + Pips[15]; MS34 = MS34 + Pips[16]; S4 = S4 + Pips[17]; 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 function ACTION (Flag, Line, period) if Filter1 and not core.crosses (stream, MA.DATA, period ) then return end if Action[Flag] == "NO" then return; elseif Action[Flag] == "BUY" then if Filter2 and stream[period] < MA.DATA[period] then return end if AllowTrade then BUY(); Signal ("Pivot Level " .. Line .. " Crossed - Buy"); else Signal ("Pivot Level " .. Line .. " Crossed - Buy"); end elseif Action[Flag] == "SELL" then if Filter2 and stream[period] > MA.DATA[period] then return end if AllowTrade then SELL(); Signal ("Pivot Level " .. Line .. " Crossed - Sell"); else Signal ("Pivot Level " .. Line .. " Crossed - Sell"); end elseif Action[Flag] == "CLOSE" then if AllowTrade then if haveTrades("B") then exitTrade("B"); Signal ("Pivot Level " .. Line .. " Crossed - Close Long"); end if haveTrades("S") then exitTrade("S"); Signal ("Pivot Level " .. Line .. " Crossed - Close Short"); end else Signal ("Pivot Level " .. Line .. " Crossed - Close Trades!"); end elseif Action[Flag] == "Alert" then Signal ("Pivot Level " .. Line .. " Crossed!"); 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 ALLOWEDSIDE == "Sell" then -- we are not allowed buys. return; end enter("B"); end end function SELL () if AllowTrade then if ALLOWEDSIDE == "Buy" then -- we are not allowed sells. return; end enter("S"); 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) if not(AllowTrade) then return true; end -- do not enter if position in the -- specified direction already exists local count = tradesCount(BuySell); if (AllowMultiple) then -- if we allow multiple trades if (MultipleLimit > 0 and (count >= MultipleLimit)) then -- we have exceeded our multiple limit count. return true; end else if count > 0 then -- if we have more than one trade and we aren't allowed multiple, abort. return true; end 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 direction function exitTrade(BS) 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 BS == "B" then BuySell = "S"; else BuySell = "B"; end valuemap.OrderType = "CM"; valuemap.OfferID = Offer; valuemap.AcctID = Account; valuemap.NetQtyFlag = "Y"; -- this forces all trades to close in the opposite direction. valuemap.BuySell = BuySell; valuemap.CustomID = CustomID; success, msg = terminal:execute(201, valuemap); if not(success) then core.host:trace("Close order failed" .. msg); 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");