-- Id: 10822 -- More information about this indicator can be found at: -- http://fxcodebase.com/code/viewtopic.php?f=31&t=20399 --+------------------------------------------------------------------+ --| http://fxcodebase.com | --+------------------------------------------------------------------+ --| Support our efforts by donating | --| Paypal: https://goo.gl/9Rj74e | --+------------------------------------------------------------------+ --| Patreon : https://goo.gl/GdXWeN | --| BitCoin : 15VCJTLaz12Amr7adHSBtL9v8XomURo9RF | --| BitCoin Cash: 1BEtS465S3Su438Kc58h2sqvVvHK9Mijtg | --| Ethereum : 0x8C110cD61538fb6d7A2B47858F0c0AaBd663068D | --| LiteCoin : LLU8PSY2vsq7B9kRELLZQcKf5nJQrdeqwD | --+------------------------------------------------------------------+ -- Created by Alokasi. Contact by private message at http://fxcodebase.com -- License -- Permission is hereby granted, free of charge, to any person obtaining a copy of this materials and -- associated documentation files (the "Materials"), to deal in the Materials without restriction, including -- without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell -- copies of the Materials, and to permit persons to whom the Materials is furnished to do so, subject to the -- following conditions: -- The author's copyright notice and this permission notice shall be included in all copies or substantial -- portions of the Materials. -- THE MATERIALS ARE PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT -- LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO -- EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER -- IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE MATERIALS OR -- THE USE OR OTHER DEALINGS IN THE MATERIALS. -- Using of any materials of this site serves as your acknowledgement and representation that you have read -- and understand all the disclaimers and this license and that you agree to be bound by them. function Init() --The strategy profile initialization strategy:name("Finger Cuffs") strategy:description( "Finger Cuffs strategy adapted from James Stanley's article (http://www.dailyfx.com/forex/education/trading_tips/daily_trading_lesson/2012/03/26/Short_Term_Momentum_Scalping_in_Forex.html)" ) strategy:setTag("Version", "2") strategy:setTag("NonOptimizableParameters", "Email,SendEmail,SoundFile,RecurrentSound,PlaySound, ShowAlert") strategy.parameters:addGroup("Price Parameters") -- trend time frames strategy.parameters:addString("trendPeriod", "Trend time frame", "Time frame to use for determining trend", "H1") strategy.parameters:setFlag("trendPeriod", core.FLAG_PERIODS) -- entry time frames strategy.parameters:addString( "entryPeriod", "Trade entry time frame", "Time frame to use for determining trade entry", "m15" ) strategy.parameters:setFlag("entryPeriod", core.FLAG_PERIODS) -- trade management time frames strategy.parameters:addString( "trdMgmtPeriod", "Trade management time frame", "Time frame to use for managing the trade", "m1" ) strategy.parameters:setFlag("trdMgmtPeriod", core.FLAG_PERIODS) strategy.parameters:addString("Price", "Price type", "", "close") strategy.parameters:addStringAlternative("Price", "close", "", "close") strategy.parameters:addStringAlternative("Price", "open", "", "open") strategy.parameters:addStringAlternative("Price", "high", "", "high") strategy.parameters:addStringAlternative("Price", "low", "", "low") strategy.parameters:addStringAlternative("Price", "median", "", "median") strategy.parameters:addStringAlternative("Price", "typical", "", "typical") strategy.parameters:addStringAlternative("Price", "weighted", "", "weighted") -- use a second trend time frame strategy.parameters:addBoolean("confirmTrend", "Confirm trend in a second time frame", "", true) strategy.parameters:addString( "trendPeriod2", "Time frame for the confirmation trend", "This should be the large of two trends. Only the first trend (above) has a trend collapse failsafe for closing trades.", "H4" ) strategy.parameters:setFlag("trendPeriod2", core.FLAG_PERIODS) strategy.parameters:addBoolean( "enforceTrendBarDirection", "Enter only when the trend bar is moving in the trend direction", "", true ) strategy.parameters:addBoolean( "closeOnTrendCollapse", "Close open trades when fast trend EMA crosses slow trend EMA", "", false ) strategy.parameters:addGroup("EMA Parameters") strategy.parameters:addInteger("fastEma", "Fast EMA period", "", 8) strategy.parameters:addInteger("slowEma", "Slow EMA period", "", 34) strategy.parameters:addGroup("Channel Parameters") strategy.parameters:addBoolean("confirmWithChannel", "Use the channel in trend determination", "", false) -- strategy.parameters:addBoolean("useChannelStops", "Use the trend time frame channel as the initial stop", "", false); strategy.parameters:addInteger("nLB", "Lookback period", "", 24, 2, 100000) strategy.parameters:addInteger("nD", "Delay period", "", 3, 2, 100000) strategy.parameters:addString( "rangeType", "Range type", "Take the ranges from the candle bodies or from the wicks.", "Wicks" ) strategy.parameters:addStringAlternative("rangeType", "Bodies", "Determine the range from the candle bodies", "Bodies") strategy.parameters:addStringAlternative( "rangeType", "Wicks", "Determine the range from the full length of the candle, including wicks", "Wicks" ) strategy.parameters:addGroup("ATR Parameters") -- strategy.parameters:addBoolean("useATRStops","Use the ATR to set stops","",false); strategy.parameters:addDouble("atrStopFactor", "Set stop at ATR times this value", "", 2) -- strategy.parameters:addBoolean("useATRLimits","Use the ATR to set limits","",false); -- strategy.parameters:addDouble("atrLimitFactor","Set limit at ATR times this value","",5); strategy.parameters:addInteger("nATR", "ATR lookback period", "Note: ATR uses the Trend time frame", 14) 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("Account", "Account to trade on", "", "") strategy.parameters:setFlag("Account", core.FLAG_ACCOUNT) strategy.parameters:addInteger("Amount", "Trade Amount in Lots", "", 2, 1, 100) strategy.parameters:addBoolean("SetLimit", "Set Limit Orders", "", true) -- strategy.parameters:addString("limitType", "Type of limit to use", "", "Pips"); -- strategy.parameters:addStringAlternative("limitType", "Pips", "", "Pips"); -- strategy.parameters:addStringAlternative("limitType", "ATR", "", "ATR"); -- strategy.parameters:addStringAlternative("limitType", "Channel", "", "Channel"); strategy.parameters:addInteger("Limit", "Limit Order in pips", "", 150, 1, 10000) strategy.parameters:addBoolean("SetStop", "Set Stop Orders", "", true) strategy.parameters:addString("stopType", "Type of stop to use", "", "Channel") strategy.parameters:addStringAlternative("stopType", "Pips", "", "Pips") strategy.parameters:addStringAlternative("stopType", "ATR", "", "ATR") strategy.parameters:addStringAlternative("stopType", "Channel", "", "Channel") strategy.parameters:addBoolean( "SetMaxLoss", "Clamp automatic stop loss set values", "When set 'true', will use the minimum of either the automatic determined stop loss or the value set below", false ) strategy.parameters:addInteger("Stop", "Stop Order in pips", "", 75, 1, 10000) strategy.parameters:addBoolean("TrailingStop", "Trailing stop order", "", false) strategy.parameters:addString("AllowDirection", "Allow direction for positions", "", "Both") strategy.parameters:addStringAlternative("AllowDirection", "Both", "", "Both") strategy.parameters:addStringAlternative("AllowDirection", "Long", "", "Long") strategy.parameters:addStringAlternative("AllowDirection", "Short", "", "Short") strategy.parameters:addGroup("Margin care") strategy.parameters:addBoolean("UseMarginCare", "Perform margin care", "", true) strategy.parameters:addDouble( "marginPercent", "Min margin buffer (%)", "If the margin of the account is below the required marging plus this percentage, positions will not open.", 10 ) strategy.parameters:addGroup("Automatic Trade Management") strategy.parameters:addBoolean("autoTrdMgmt", "Use automatic trade management", "", true) strategy.parameters:addDouble("Profit", "Min Profit (in pips)", "", 50.0) strategy.parameters:addDouble("Gap", "Lead Gap (in pips)", "", 25.0) -- strategy.parameters:addBoolean("takeProfit", "Take profit on stop move", "Whether to take immediate profit on half of the lot when the stop is moved the first time. The profit taken would be Min. Profit + Gap.", false); strategy.parameters:addString("stopMoveAction", "Action to take when stop is moved", "", "Nothing") strategy.parameters:addStringAlternative("stopMoveAction", "Take Profit", "", "Take Profit") strategy.parameters:addStringAlternative("stopMoveAction", "Nothing", "", "Nothing") strategy.parameters:addStringAlternative("stopMoveAction", "Add to Position", "", "Add to Position") strategy.parameters:addInteger("addPosLots", "Amount to add on stop move (in Lots)", "", 2) strategy.parameters:addGroup("Signal Parameters") 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) strategy.parameters:addBoolean("Recurrent", "RecurrentSound", "", false) strategy.parameters:addGroup("Email Parameters") strategy.parameters:addBoolean("SendEmail", "Send email", "", false) strategy.parameters:addString("Email", "Email address", "", "") strategy.parameters:setFlag("Email", core.FLAG_EMAIL) end -- Signal Parameters local ShowAlert local SoundFile local RecurrentSound local SendEmail, Email -- Source variables local trendSource = nil local entrySource = nil local trdMgmtSource = nil local trendSouce2 = nil -- local trendSourceLoading = true; -- local entrySourceLoading = true; -- local trdMgmtSourceLoading = true; -- Internal indicators local fEmaTrend = nil local sEmaTrend = nil local fEmaTrend2 = nil local sEmaTrend2 = nil local fEmaEntry = nil local sEmaEntry = nil local ohlc4T = nil local ohlc4T2 = nil local ohlc4E = nil local hlRange = nil local hlRange2 = nil local hlRangeE = nil local atr = nil -- Internal flags local trendDirection = 0 local trendDirection2 = 0 local closeTrades = 0 local profitTaken = false local waitEntry = false -- Strategy parameters local openLevel = 0 local closeLevel = 0 -- local confirmTrend; -- Trading parameters local AllowTrade = nil local Account = nil local Amount = nil local BaseSize = nil local PipSize local SetLimit = nil local Limit = nil local SetStop = nil local Stop = nil local TrailingStop = nil local CanClose = nil local AllowDirection -- auto trading stuff local stopOrder = nil -- the identifier of the stop order local sar = nil local timer local minChange local executing = false local Profit local gap local profitSum local stopOrder local Parameters = {} local CanClose = true local orderId local tradeId local requestId -- -- -- function Prepare(nameOnly) ShowAlert = instance.parameters.ShowAlert AllowDirection = instance.parameters.AllowDirection local PlaySound = instance.parameters.PlaySound if PlaySound then SoundFile = instance.parameters.SoundFile else SoundFile = nil end assert(not (PlaySound) or SoundFile ~= "", "Sound file must be chosen") RecurrentSound = instance.parameters.Recurrent local SendEmail = instance.parameters.SendEmail if SendEmail then Email = instance.parameters.Email else Email = nil end assert(not (SendEmail) or Email ~= "", "Email address must be specified") -- assert(instance.parameters.TF ~= "t1", "The time frame must not be tick"); local name name = profile:id() .. "(" .. instance.bid:name() .. "." .. instance.parameters.trendPeriod .. ", lots=" .. instance.parameters.Amount .. ")" instance:name(name) if nameOnly then return end 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) PipSize = instance.bid:pipSize() SetLimit = instance.parameters.SetLimit Limit = instance.parameters.Limit SetStop = instance.parameters.SetStop Stop = instance.parameters.Stop TrailingStop = instance.parameters.TrailingStop end gap = instance.parameters.Gap Profit = instance.parameters.Profit profitSum = Profit minChange = math.pow(10, -instance.bid:getPrecision()) -- Setup the source for determining the trend trendSource = ExtSubscribe(2101, nil, instance.parameters.trendPeriod, true, "bar") Price = instance.parameters.Price if Price == "close" then trendSource_ = trendSource.close elseif Price == "open" then trendSource_ = trendSource.open elseif Price == "high" then trendSource_ = trendSource.high elseif Price == "low" then trendSource_ = trendSource.low elseif Price == "typical" then trendSource_ = trendSource.typical elseif Price == "median" then trendSource_ = trendSource.median else trendSource_ = trendSource.weighted end -- Setup the source for determining the second trend if instance.parameters.confirmTrend then trendSource2 = ExtSubscribe(2104, nil, instance.parameters.trendPeriod2, true, "bar") Price = instance.parameters.Price if Price == "close" then trendSource2_ = trendSource2.close elseif Price == "open" then trendSource2_ = trendSource2.open elseif Price == "high" then trendSource2_ = trendSource2.high elseif Price == "low" then trendSource2_ = trendSource2.low elseif Price == "typical" then trendSource2_ = trendSource2.typical elseif Price == "median" then trendSource2_ = trendSource2.median else trendSource2_ = trendSource2.weighted end end -- Setup the source for determining entry signals entrySource = ExtSubscribe(2102, nil, instance.parameters.entryPeriod, true, "bar") Price = instance.parameters.Price if Price == "close" then entrySource_ = entrySource.close elseif Price == "open" then entrySource_ = entrySource.open elseif Price == "high" then entrySource_ = entrySource.high elseif Price == "low" then entrySource_ = entrySource.low elseif Price == "typical" then entrySource_ = entrySource.typical elseif Price == "median" then entrySource_ = entrySource.median else entrySource_ = entrySource.weighted end -- Setup the source for trade management if instance.parameters.autoTrdMgmt then trdMgmtSource = ExtSubscribe(2103, nil, instance.parameters.trdMgmtPeriod, true, "bar") Price = instance.parameters.Price if Price == "close" then trdMgmtSource_ = trdMgmtSource.close elseif Price == "open" then trdMgmtSource_ = trdMgmtSource.open elseif Price == "high" then trdMgmtSource_ = trdMgmtSource.high elseif Price == "low" then trdMgmtSource_ = trdMgmtSource.low elseif Price == "typical" then trdMgmtSource_ = trdMgmtSource.typical elseif Price == "median" then trdMgmtSource_ = trdMgmtSource.median else trdMgmtSource_ = trdMgmtSource.weighted end end assert(core.indicators:findIndicator("HL_RANGE") ~= nil, "Please, download and install HL_RANGE.LUA indicator") assert(core.indicators:findIndicator("OHLC4") ~= nil, "Please, download and install OHLC4.LUA indicator") -- create the internal indicator streams (order of creation is important for updates) -- Trend streams fEmaTrend = core.indicators:create("EMA", trendSource_, instance.parameters.fastEma) sEmaTrend = core.indicators:create("EMA", trendSource_, instance.parameters.slowEma) hlRange = core.indicators:create( "HL_RANGE", trendSource, instance.parameters.nLB, instance.parameters.nD, instance.parameters.rangeType ) ohlc4T = core.indicators:create("OHLC4", trendSource) if instance.parameters.stopType == "ATR" then atr = core.indicators:create("ATR", trendSource, instance.parameters.nATR) end -- Second Trend streams if instance.parameters.confirmTrend then fEmaTrend2 = core.indicators:create("EMA", trendSource2_, instance.parameters.fastEma) sEmaTrend2 = core.indicators:create("EMA", trendSource2_, instance.parameters.slowEma) hlRange2 = core.indicators:create( "HL_RANGE", trendSource2, instance.parameters.nLB, instance.parameters.nD, instance.parameters.rangeType ) ohlc4T2 = core.indicators:create("OHLC4", trendSource2) end -- Entry streams fEmaEntry = core.indicators:create("EMA", entrySource_, instance.parameters.fastEma) sEmaEntry = core.indicators:create("EMA", entrySource_, instance.parameters.slowEma) ohlc4E = core.indicators:create("OHLC4", entrySource) hlRangeE = core.indicators:create( "HL_RANGE", entrySource, instance.parameters.nLB, instance.parameters.nD, instance.parameters.rangeType ) -- Trade Management streams ExtSetupSignal(profile:id() .. ":", ShowAlert) ExtSetupSignalMail(name) end function ExtUpdate(id, source, period) -- The method called every time when a new bid or ask price appears. -- Conditions to check and execute if the trend period data (id 2101) is being returned if id == 2101 then fEmaTrend:update(core.UpdateLast) sEmaTrend:update(core.UpdateLast) hlRange:update(core.UpdateLast) ohlc4T:update(core.UpdateLast) if instance.parameters.stopType == "ATR" then atr:update(core.UpdateLast) end -- Check that we have enough data if instance.parameters.stopType == "ATR" then if (atr.DATA:first() > (period - 1)) or (sEmaTrend.DATA:first() > (period - 1)) or (hlRange.DATA:first() > (period - 1)) then return end else if (sEmaTrend.DATA:first() > (period - 1)) or (hlRange.DATA:first() > (period - 1)) then return end end local trades = core.host:findTable("trades") local haveTrades = (trades:find("OfferID", Offer) ~= nil) if fEmaTrend.DATA[period] > sEmaTrend.DATA[period] then if instance.parameters.confirmWithChannel then if ohlc4T.DATA[period] > hlRange.high[period] then trendDirection = 1 end if ohlc4T.DATA[period] < hlRange.high[period] then trendDirection = 0 end else if ohlc4T.DATA[period] > fEmaTrend.DATA[period] then trendDirection = 1 end if ohlc4T.DATA[period] < fEmaTrend.DATA[period] then trendDirection = 0 end end end if fEmaTrend.DATA[period] < sEmaTrend.DATA[period] then if instance.parameters.confirmWithChannel then if ohlc4T.DATA[period] < hlRange.low[period] then trendDirection = -1 end if ohlc4T.DATA[period] > hlRange.low[period] then trendDirection = 0 end else if ohlc4T.DATA[period] < fEmaTrend.DATA[period] then trendDirection = -1 end if ohlc4T.DATA[period] > fEmaTrend.DATA[period] then trendDirection = 0 end end end if instance.parameters.enforceTrendBarDirection then if trendDirection == 1 then if trendSource.close[period] > trendSource.open[period] then waitEntry = false else waitEntry = true end else if trendDirection == -1 then if trendSource.open[period] > trendSource.close[period] then waitEntry = false else waitEntry = true end else waitEntry = false end end end if instance.parameters.stopType == "Channel" then stopB = (instance.ask[NOW] - hlRange.low[period]) / instance.ask:pipSize() stopS = (hlRange.high[period] - instance.bid[NOW]) / instance.bid:pipSize() else if instance.parameters.stopType == "ATR" then stopB = (instance.parameters.atrStopFactor * atr.DATA[period]) / instance.ask:pipSize() end end if (haveTrades) and instance.parameters.closeOnTrendCollapse then if core.crossesUnder(fEmaTrend.DATA, sEmaTrend.DATA, period) then -- if core.crossesUnder(ohlc4T.DATA, hlRange.high, period) then -- closeTrades = 1; closeAll("Trend collapsed") end if core.crossesOver(fEmaTrend.DATA, sEmaTrend.DATA, period) then -- if core.crossesOver(ohlc4T.DATA, hlRange.low, period) then -- closeTrades = -1; closeAll("Trend collapsed") end end end -- Conditions to check and execute if the entry period data (id 2102) is being returned if id == 2102 then fEmaEntry:update(core.UpdateLast) sEmaEntry:update(core.UpdateLast) ohlc4E:update(core.UpdateLast) hlRangeE:update(core.UpdateLast) -- Check that we have enough data if (sEmaEntry.DATA:first() > (period - 1)) then -- or (atr.DATA:first() > (period - 1)) then return end local MustOpenB = false local MustOpenS = false local pipSize = instance.bid:pipSize() ------------- check for existing trades on this instrument local trades = core.host:findTable("trades") local haveTrades = (trades:find("OfferID", Offer) ~= nil) -- abort sequence if the wait for trend bar direction flag is set and no trades exist if waitEntry and not (haveTrades) then return end ------------ Or aborts the remaining sequence if there is no trend if instance.parameters.confirmTrend then if trendDirection == 0 or trendDirection2 == 0 or trendDirection == -trendDirection2 then return end else if trendDirection == 0 then return end end -- end -------------- Put entry decision blocks here if trendDirection == 1 and (core.crossesOver(ohlc4E.DATA, fEmaEntry.DATA, period) or ohlc4E.DATA[period] > hlRangeE.high[period]) then MustOpenB = true end if trendDirection == -1 and (core.crossesUnder(ohlc4E.DATA, fEmaEntry.DATA, period) or ohlc4E.DATA[period] < hlRangeE.low[period]) then MustOpenS = true end -------------- end decision block -------------- Opening of trades happens here if (haveTrades) then local enum = trades:enumerator() while true do local row = enum:next() if row == nil then break end if row.AccountID == Account and row.OfferID == Offer then -- Close position if we have corresponding closing conditions. if row.BS == "B" then if MustOpenS then if ShowAlert then if instance.parameters.AllowDirection == "Long" then ExtSignal(source, period, "Close BUY", SoundFile, Email, RecurrentSound) else ExtSignal(source, period, "Close BUY and SELL", SoundFile, Email, RecurrentSound) end end if AllowTrade then Close(row) if instance.parameters.AllowDirection ~= "Long" then Open("S") end end end elseif row.BS == "S" then if MustOpenB then if ShowAlert then if instance.parameters.AllowDirection == "Short" then ExtSignal(source, period, "Close SELL", SoundFile, Email, RecurrentSound) else ExtSignal(source, period, "Close SELL and BUY", SoundFile, Email, RecurrentSound) end end if AllowTrade then Close(row) if instance.parameters.AllowDirection ~= "Short" then Open("B") end end end end end end else -- if there are no open trades, check the margin if instance.parameters.UseMarginCare then local account = core.host:findTable("accounts"):find("AccountID", Account) local MMR = core.host:execute("getTradingProperty", "MMR", instance.bid:instrument(), Account) local margin = account.UsableMargin if (MMR * Amount + (instance.parameters.marginPercent / 100) * MMR * Amount) > margin then -- Signal("Margin too tight to open position"); return end end if instance.parameters.stopType == "Channel" then if MustOpenB == true then if (instance.parameters.SetMaxLoss == true and stopB < instance.parameters.Stop) or instance.parameters.SetMaxLoss == false then -- Signal("Channel stop"); Stop = stopB else -- Signal("Pip stop"); Stop = instance.parameters.Stop end else if (instance.parameters.SetMaxLoss == true and stopS < instance.parameters.Stop) or instance.parameters.SetMaxLoss == false then -- Signal("Channel stop"); Stop = stopS else -- Signal("Pip stop"); Stop = instance.parameters.Stop end end else if instance.parameters.stopType == "ATR" then if (instance.parameters.SetMaxLoss == true and stopB < instance.parameters.Stop) or instance.parameters.SetMaxLoss == false then -- Signal("ATR stop"); Stop = stopB else -- Signal("Pip stop"); Stop = instance.parameters.Stop end else Stop = instance.parameters.Stop end end if MustOpenB == true and instance.parameters.AllowDirection ~= "Short" then if ShowAlert then ExtSignal(source, period, "BUY", SoundFile, Email, RecurrentSound) end if AllowTrade then Open("B") end end if MustOpenS == true and instance.parameters.AllowDirection ~= "Long" then if ShowAlert then ExtSignal(source, period, "SELL", SoundFile, Email, RecurrentSound) end if AllowTrade then Open("S") end end end end -- Conditions to check and execute if the trade management period data is being returned if id == 2103 then if period < trdMgmtSource:first() then return end if not (checkReady("trades")) or not (checkReady("orders")) then return end -- find the average position price local side, avgPrice, lots = findAvgPositionPrice() if avgPrice ~= nil then -- look for an existing Net Stop or Stop order local enum, row, trade enum = core.host:findTable("orders"):enumerator() row = enum:next() while (row ~= nil) do if row.OfferID == Offer and row.AccountID == Account and row.BS ~= side and row.Type == "SE" and row.NetQuantity then -- only identify the net stop order orderId = row.OrderID -- the following "if" block may seem counterintuitive, -- but remember that a sell net stop order corresponds to a buy trade if row.BS == "S" then if row.Rate > (avgPrice + (profitSum * source:pipSize())) then profitSum = (row.Rate - avgPrice) / source:pipSize() end else if row.Rate < (avgPrice - (profitSum * source:pipSize())) then profitSum = (avgPrice - row.Rate) / source:pipSize() end end end row = enum:next() end end local stopValue, valuemap, success, msg local stopSide -- debug -- terminal:alertMessage(instance.bid:instrument(), instance.bid[NOW], "profitSum " .. profitSum, instance.bid:date(NOW)); -- end debug if avgPrice ~= nil then if lots < Amount then -- sets the profitTaken flag in the case that the strategy is stopped after profit is taken -- and then restarted later profitTaken = true end if side == "B" then if instance.bid[NOW] > (avgPrice + ((profitSum + gap) * source:pipSize())) then stopValue = avgPrice + profitSum * source:pipSize() if instance.parameters.stopMoveAction == "Take Profit" and not (profitTaken) and Amount > 1 then Open("S") Signal("Profit Taken") profitTaken = true else if instance.parameters.stopMoveAction == "Add to Position" then Amount = instance.parameters.addPosLots Open("B") Signal("Adding to Position") Amount = instance.parameters.Amount end end profitSum = profitSum + Profit else return end stopSide = "S" if stopValue >= instance.bid[NOW] then return end else if instance.ask[NOW] < (avgPrice - ((profitSum + gap) * source:pipSize())) then stopValue = avgPrice - profitSum * source:pipSize() if instance.parameters.stopMoveAction == "Take Profit" and not (profitTaken) and Amount > 1 then Open("B") Signal("Profit Taken") profitTaken = true else if instance.parameters.stopMoveAction == "Add to Position" then Amount = instance.parameters.addPosLots Open("S") Signal("Adding to Position") Amount = instance.parameters.Amount end end profitSum = profitSum + Profit else return end stopSide = "B" if stopValue <= instance.ask[NOW] then return end end moveStop(stopValue, stopSide) else -- if there are no trades, then reset relevent variables profitSum = Profit profitTaken = false end end -- Conditions to check and execute if the second trend period data (id 2104) is being returned if id == 2104 then if instance.parameters.confirmTrend then fEmaTrend2:update(core.UpdateLast) sEmaTrend2:update(core.UpdateLast) hlRange2:update(core.UpdateLast) ohlc4T2:update(core.UpdateLast) end -- Check that we have enough data if (sEmaTrend2.DATA:first() > (period - 1)) or (hlRange2.DATA:first() > (period - 1)) then return end local trades = core.host:findTable("trades") local haveTrades = (trades:find("OfferID", Offer) ~= nil) if fEmaTrend2.DATA[period] > sEmaTrend2.DATA[period] then if ohlc4T2.DATA[period] > hlRange2.high[period] then trendDirection2 = 1 end if ohlc4T2.DATA[period] < hlRange2.high[period] then trendDirection2 = 0 end end if fEmaTrend2.DATA[period] < sEmaTrend2.DATA[period] then if ohlc4T2.DATA[period] < hlRange2.low[period] then trendDirection2 = -1 end if ohlc4T2.DATA[period] > hlRange2.low[period] then trendDirection2 = 0 end end if (haveTrades) then if core.crossesUnder(fEmaTrend2.DATA, sEmaTrend2.DATA, period) then -- closeTrades = 1; closeAll("Trend collapsed") end if core.crossesOver(fEmaTrend2.DATA, sEmaTrend2.DATA, period) then -- closeTrades = -1; closeAll("Trend collapsed") end end end end -- The strategy instance finalization. function ReleaseInstance() end -- The method enters to the market function Open(side) local valuemap local iAmount -- abort opening trades if trading is not allowed if not (instance.parameters.AllowTrade) then return end local trdSide, avgPrice, lots = findAvgPositionPrice() -- check to see if profit taking is enabled, has been taken, or trades exist if instance.parameters.stopMoveAction == "Take Profit" and not (profitTaken) and Amount > 1 and trdSide ~= nil then if lots >= Amount then iAmount = math.ceil(lots / 2) else -- if trades exist and profit has not been taken but the number of lots is less than the -- the strategy is asking for, then profit was taken before the strategy started profitTaken = true return end else iAmount = Amount end if instance.parameters.UseMarginCare then if trdSide == nil then -- if nil it means we are opening positions and need to check margin local account = core.host:findTable("accounts"):find("AccountID", Account) local MMR = core.host:execute("getTradingProperty", "MMR", instance.bid:instrument(), Account) local margin = account.UsableMargin if (MMR * iAmount + (instance.parameters.marginPercent / 100) * MMR * iAmount) > margin then -- Signal("Margin too tight to open position"); return end end end valuemap = core.valuemap() valuemap.Command = "CreateOrder" valuemap.OrderType = "OM" valuemap.OfferID = Offer valuemap.AcctID = Account valuemap.Quantity = iAmount * BaseSize -- valuemap.CustomID = CID; valuemap.BuySell = side valuemap.QTXT = "1" -- if SetStop and CanClose then if SetStop then valuemap.PegTypeStop = "O" if side == "B" then valuemap.PegPriceOffsetPipsStop = -Stop else valuemap.PegPriceOffsetPipsStop = Stop end if TrailingStop then valuemap.TrailStepStop = 1 end end -- if SetLimit and CanClose then if SetLimit then valuemap.PegTypeLimit = "O" if side == "B" then valuemap.PegPriceOffsetPipsLimit = Limit else valuemap.PegPriceOffsetPipsLimit = -Limit end end if not (CanClose) and (SetStop or SetLimit) then -- if regular s/l orders aren't allowed - create ELS order valuemap.EntryLimitStop = "Y" end success, msg = terminal:execute(200, valuemap) assert(success, msg) -- FIFO Account, in that case we have to open Net Limit and Stop Orders -- if not(CanClose) then -- if SetStop then -- valuemap = core.valuemap(); -- valuemap.Command = "CreateOrder"; -- valuemap.OrderType = "SE" -- valuemap.OfferID = Offer; -- valuemap.AcctID = Account; -- valuemap.NetQtyFlag = 'y'; -- if side == "B" then -- valuemap.BuySell = "S"; -- rate = instance.ask[NOW] - Stop * PipSize; -- valuemap.Rate = rate; -- elseif side == "S" then -- valuemap.BuySell = "B"; -- rate = instance.bid[NOW] + Stop * PipSize; -- valuemap.Rate = rate; -- end -- if TrailingStop then -- valuemap.TrailUpdatePips = 1 -- end -- success, msg = terminal:execute(200, valuemap); -- --core.host:trace('Set stop @ ' .. rate); -- assert(success, msg); -- end -- if SetLimit then -- valuemap = core.valuemap(); -- valuemap.Command = "CreateOrder"; -- valuemap.OrderType = "LE" -- valuemap.OfferID = Offer; -- valuemap.AcctID = Account; -- valuemap.NetQtyFlag = 'y'; -- if side == "B" then -- valuemap.BuySell = "S"; -- rate = instance.ask[NOW] + Limit * PipSize; -- valuemap.Rate = rate; -- elseif side == "S" then -- valuemap.BuySell = "B"; -- rate = instance.bid[NOW] - Limit * PipSize; -- valuemap.Rate = rate; -- end -- success, msg = terminal:execute(200, valuemap); -- --core.host:trace('Set limit @ ' .. rate); -- assert(success, msg); -- end -- end end -- Closes specific position function Close(trade) local valuemap valuemap = core.valuemap() if CanClose then -- non-FIFO account, create a close market order valuemap.OrderType = "CM" valuemap.TradeID = trade.TradeID else -- FIFO account, create an opposite market order valuemap.OrderType = "OM" end valuemap.OfferID = trade.OfferID valuemap.AcctID = trade.AccountID valuemap.Quantity = trade.Lot valuemap.CustomID = trade.QTXT if trade.BS == "B" then valuemap.BuySell = "S" else valuemap.BuySell = "B" end success, msg = terminal:execute(200, valuemap) assert(success, msg) end -------- code from BreakEven Strategy function moveStop(rate, side) -- Check that order is stil exist local order = nil if orderId ~= nil then order = core.host:findTable("orders"):find("OrderID", orderId) end -- local trdSide, avgPrice, lots = findAvgPositionPrice(); if order == nil then -- ======================================================================= -- CREATE NEW ORDER -- -- ======================================================================= valuemap = core.valuemap() valuemap.Command = "CreateOrder" valuemap.OfferID = Offer valuemap.Rate = rate valuemap.BuySell = side -- if CanClose then -- local trade = core.host:findTable("trades"):find("TradeID", tradeId); -- valuemap.OrderType = "S"; -- valuemap.AcctID = Account; -- valuemap.TradeID = trade.TradeID; -- valuemap.Quantity = trade.Lot; -- else valuemap.OrderType = "SE" valuemap.AcctID = Account valuemap.NetQtyFlag = "Y" -- end success, msg = terminal:execute(200, valuemap) if not (success) then terminal:alertMessage( instance.bid:instrument(), instance.bid[NOW], "Failed create stop " .. msg, instance.bid:date(NOW) ) else requestId = core.parseCsv(msg)[0] end else -- ======================================================================= -- CHANGE EXISTING ORDER -- -- ======================================================================= if math.abs(rate - order.Rate) > minChange then -- stop exists valuemap = core.valuemap() valuemap.Command = "EditOrder" valuemap.AcctID = order.AccountID valuemap.OrderID = order.OrderID valuemap.Rate = rate success, msg = terminal:execute(200, valuemap) if not (success) then terminal:alertMessage( instance.bid:instrument(), instance.bid[NOW], "Failed change stop " .. msg, instance.bid:date(NOW) ) end end end end function checkReady(table) return core.host:execute("isTableFilled", table) end function findAvgPositionPrice() if not (checkReady("trades")) then return end -- find average weighted price of all long and short positions on -- chosen instrument/amount local enum, row local longCount, shortCount local sumLongAmount, sumLongPrices local sumShortAmount, sumShortPrices longCount = 0 sumLongAmount = 0 sumLongPrices = 0 shortCount = 0 sumShortAmount = 0 sumShortPrices = 0 enum = core.host:findTable("trades"):enumerator() row = enum:next() while row ~= nil do if row.AccountID == Account and row.OfferID == Offer then if row.BS == "B" then sumLongAmount = sumLongAmount + row.Lot sumLongPrices = sumLongPrices + row.Lot * row.Open longCount = longCount + 1 else sumShortAmount = sumShortAmount + row.Lot sumShortPrices = sumShortPrices + row.Lot * row.Open shortCount = shortCount + 1 end end row = enum:next() end if longCount > 0 then return "B", sumLongPrices / sumLongAmount, sumLongAmount / BaseSize --requires BaseSize to be defined in Prepare(); end if shortCount > 0 then return "S", sumShortPrices / sumShortAmount, sumShortAmount / BaseSize --requires BaseSize to be defined in Prepare(); end end --Function for closing all open orders of the instrument for which the strategy is running function closeAll(message) Signal(message) -- check whether trades exists on chosen instrument/account on buy or sell side -- if non-FIFO account - close them immediatelly. if not (checkReady("trades")) then Signal("Trades table not ready") return end local hasLong, hasShort local enum local row hasLong = false hasShort = false enum = core.host:findTable("trades"):enumerator() row = enum:next() --local canclose = false; ----************* forcing net closes while row ~= nil do if row.OfferID == Offer and row.AccountID == Account then if CanClose then -- close trades immediatelly if we can close local valuemap = core.valuemap() valuemap.Command = "CreateOrder" valuemap.OrderType = "CM" valuemap.OfferID = Offer valuemap.AcctID = Account valuemap.Quantity = row.Lot valuemap.TradeID = row.TradeID if row.BS == "B" then valuemap.BuySell = "S" else valuemap.BuySell = "B" end local success, msg = terminal:execute(103, valuemap) if not (success) then --terminal:alertMessage(instance.bid:instrument(), instance.bid[NOW], "create order failed:" .. msg, instance.bid:date(NOW)); Signal("Closing order creation failed " .. msg) else --terminal:alertMessage(instance.bid:instrument(), instance.bid[NOW], "order created:" .. msg, instance.bid:date(NOW)); Signal("Closing order created " .. msg) end else if row.BS == "B" then hasLong = true else hasShort = true end end end row = enum:next() end -- if trades exists but we cannot use per-trade CM order - close them -- using netting orders if hasLong then local valuemap = core.valuemap() valuemap.Command = "CreateOrder" valuemap.OrderType = "CM" valuemap.OfferID = Offer valuemap.AcctID = Account valuemap.NetQtyFlag = "Y" valuemap.BuySell = "S" local success, msg = terminal:execute(103, valuemap) if instance.parameters.LogOrders then if not (success) then --terminal:alertMessage(instance.bid:instrument(), instance.bid[NOW], "net order create order failed:" .. msg, instance.bid:date(NOW)); Signal("Failed to create net closing order " .. msg) else --terminal:alertMessage(instance.bid:instrument(), instance.bid[NOW], "net order created:" .. msg, instance.bid:date(NOW)); Signal("Net closing order created " .. msg) end end end if hasShort then local valuemap = core.valuemap() valuemap.Command = "CreateOrder" valuemap.OrderType = "CM" valuemap.OfferID = Offer valuemap.AcctID = Account valuemap.NetQtyFlag = "Y" valuemap.BuySell = "B" local success, msg = terminal:execute(100, valuemap) if instance.parameters.LogOrders then if not (success) then --terminal:alertMessage(instance.bid:instrument(), instance.bid[NOW], "net order create order failed:" .. msg, instance.bid:date(NOW)); Signal("Failed to create net closing order " .. msg) else --terminal:alertMessage(instance.bid:instrument(), instance.bid[NOW], "net order created:" .. msg, instance.bid:date(NOW)); Signal("Net closing order created " .. msg) end end end end -- This function generates a signal for the user. function Signal(Label) if Label == nil then Label = "" end 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 ExtAsyncOperationFinished(cookie, successful, message) if id == 200 or id == 100 then executing = false Stop = instance.parameters.Stop if not (success) then terminal:alertMessage( instance.bid:instrument(), instance.bid[NOW], "Failed create/change stop " .. message, instance.bid:date(NOW) ) end end if not successful then core.host:trace("Error: " .. message) end end dofile(core.app_path() .. "\\strategies\\standard\\include\\helper.lua")