-- Id: 19781 -- More information about this indicator can be found at: -- http://fxcodebase.com/code/viewtopic.php?f=31&t=65388 --+------------------------------------------------------------------+ --| Copyright © 2019, Gehtsoft USA LLC | --| http://fxcodebase.com | --+------------------------------------------------------------------+ --| Developed by : Mario Jemic | --| mario.jemic@gmail.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 | --+------------------------------------------------------------------+ function Init() --The strategy profile initialization strategy:name("Murray Math lines strategy") 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", "", "m1") strategy.parameters:setFlag("TF", core.FLAG_PERIODS) strategy.parameters:addGroup("Calculation") strategy.parameters:addInteger("P", "Number of periods", "", 64, 2, 10000) strategy.parameters:addInteger("N", "Size of the period in minutes", "", 60, 2, 10000) strategy.parameters:addGroup("Line Selector") strategy.parameters:addBoolean("Show" .. 4, "Use [1/8] Line ", "", true) strategy.parameters:addBoolean("Show" .. 5, "Use [2/8] Line ", "", true) strategy.parameters:addBoolean("Show" .. 6, "Use [3/8] Line ", "", true) strategy.parameters:addBoolean("Show" .. 7, "Use [4/8] Line ", "", true) strategy.parameters:addBoolean("Show" .. 8, "Use [5/8] Line ", "", true) strategy.parameters:addBoolean("Show" .. 9, "Use [6/8] Line ", "", true) strategy.parameters:addBoolean("Show" .. 10, "Use [7/8] Line ", "", true) CreateTradingParameters() end function CreateTradingParameters() strategy.parameters:addGroup("Execution Parameters") strategy.parameters:addBoolean("AllowTrade", "Allow strategy to trade", "", true) strategy.parameters:setFlag("AllowTrade", core.FLAG_ALLOW_TRADE) strategy.parameters:addString("AccountType", "Account Type", "", "Automatic") strategy.parameters:addStringAlternative("AccountType", "FIFO", "", "FIFO") strategy.parameters:addStringAlternative("AccountType", "non FIFO", "", "NON") strategy.parameters:addStringAlternative("AccountType", "Automatic", "", "Automatic") strategy.parameters:addString("EntryExecutionType", "Entry Execution Type", "", "Live") strategy.parameters:addStringAlternative("EntryExecutionType", "End of Turn", "", "EndOfTurn") strategy.parameters:addStringAlternative("EntryExecutionType", "Live", "", "Live") strategy.parameters:addGroup("Trade Parameters") strategy.parameters:addBoolean("CloseOnOpposite", "Close On Opposite", "", true) strategy.parameters:addString( "CustomID", "Custom Identifier", "The identifier that can be used to distinguish strategy instances", "MMLS" ) strategy.parameters:addBoolean("PositionCap", "Use Position Cap", "", false) strategy.parameters:addInteger( "MaxNumberOfPositionInAnyDirection", "Max Number Of Open Position In Any Direction", "", 2 ) strategy.parameters:addInteger("MaxNumberOfPosition", "Max Number Of Position In One Direction", "", 1) 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); strategy.parameters:addBoolean("SetStop", "Set Stop Orders", "", false) -- strategy.parameters:addInteger("Stop", "Stop Order in pips", "", 30); 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 AccountType 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 SetStop local TrailingStop local ShowAlert local Email local SendEmail local BaseSize local EntyExecutionType, ExitExecutionType local CloseOnOpposite local first local Direction local CustomID local PositionCap local TF local OpenTime, CloseTime, ExitTime local LastEntry, LastExit local ToTime local ValidInterval, UseMandatoryClosing --Indicator parameters local OpenLong, OpenShort local CloseLong, CloseShort, HedgeLong, HedgeShort local P, N local Show = {} local depth function Prepare(nameOnly) CustomID = instance.parameters.CustomID AccountType = instance.parameters.AccountType EntryExecutionType = instance.parameters.EntryExecutionType ExitExecutionType = instance.parameters.ExitExecutionType CloseOnOpposite = instance.parameters.CloseOnOpposite MaxNumberOfPositionInAnyDirection = instance.parameters.MaxNumberOfPositionInAnyDirection MaxNumberOfPosition = instance.parameters.MaxNumberOfPosition Direction = instance.parameters.Direction == "direct" TF = instance.parameters.TF ToTime = instance.parameters.ToTime 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 PositionCap = instance.parameters.PositionCap ValidInterval = instance.parameters.ValidInterval UseMandatoryClosing = instance.parameters.UseMandatoryClosing LastEntry = nil LastExit = nil --Indicator parameters Show[3] = instance.parameters.Show4 Show[4] = instance.parameters.Show5 Show[5] = instance.parameters.Show6 Show[6] = instance.parameters.Show7 Show[7] = instance.parameters.Show8 Show[8] = instance.parameters.Show9 Show[9] = instance.parameters.Show10 P = instance.parameters.P N = instance.parameters.N assert(TF ~= "t1", "The time frame must not be tick") name = profile:id() .. ", " .. instance.bid:name() .. ", " .. CustomID instance:name(name) PrepareTrading() if nameOnly then return end if EntryExecutionType == "Live" then TickSource = ExtSubscribe(1, nil, "t1", instance.parameters.Type == "Bid", "close") end Source = ExtSubscribe(2, nil, TF, instance.parameters.Type == "Bid", "bar") local s, e s, e = core.getcandle(Source:barSize(), core.now(), 0) barsize = math.floor(((e - s) * 1440) + 0.5) depth = P * math.ceil(N / barsize) if (depth == 0) then depth = P end first = Source.close:first() + depth ValidInterval = instance.parameters.ValidInterval UseMandatoryClosing = instance.parameters.UseMandatoryClosing 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 --local trade_in_progress=false; end function Calculate(period) local Levels = {} local min, max, minp, maxp, fractal, range, octave, sum, mn, mx min, max, minp, maxp = core.minmax(Source, core.rangeTo(period, depth)) if max <= 250000 and max > 25000 then fractal = 100000 elseif max <= 25000 and max > 2500 then fractal = 10000 elseif max <= 2500 and max > 250 then fractal = 1000 elseif max <= 250 and max > 25 then fractal = 100 elseif max <= 25 and max > 12.5 then fractal = 12.5 elseif max <= 12.5 and max > 6.25 then fractal = 12.5 elseif max <= 6.25 and max > 3.125 then fractal = 6.25 elseif max <= 3.125 and max > 1.5625 then fractal = 3.125 elseif max <= 1.5625 and max > 0.390625 then fractal = 1.5625 elseif max <= 0.390625 and max > 0 then fractal = 0.1953125 else return nil end range = max - min sum = math.floor(math.log(fractal / range) / math.log(2)) octave = fractal * (math.pow(0.5, sum)) mn = math.floor(min / octave) * octave if mn + octave > max then mx = mn + octave else mx = mn + (2 * octave) end local x1, x2, x3, x4, x5, x6 local y1, y2, y3, y4, y5, y6 local finalH, finalL if (min >= (3 * (mx - mn) / 16 + mn)) and (max <= (9 * (mx - mn) / 16 + mn)) then x2 = mn + (mx - mn) / 2 else x2 = 0 end if (min >= (mn - (mx - mn) / 8)) and (max <= (5 * (mx - mn) / 8 + mn)) and (x2 == 0) then x1 = mn + (mx - mn) / 2 else x1 = 0 end if (min >= (mn + 7 * (mx - mn) / 16)) and (max <= (13 * (mx - mn) / 16 + mn)) then x4 = mn + 3 * (mx - mn) / 4 else x4 = 0 end if (min >= (mn + 3 * (mx - mn) / 8)) and (max <= (9 * (mx - mn) / 8 + mn)) and (x4 == 0) then x5 = mx else x5 = 0 end if (min >= (mn + (mx - mn) / 8)) and (max <= (7 * (mx - mn) / 8 + mn)) and (x1 == 0) and (x2 == 0) and (x4 == 0) and (x5 == 0) then x3 = mn + 3 * (mx - mn) / 4 else x3 = 0 end if (x1 + x2 + x3 + x4 + x5) == 0 then x6 = mx else x6 = 0 end finalH = x1 + x2 + x3 + x4 + x5 + x6 if x1 > 0 then y1 = mn else y1 = 0 end if x2 > 0 then y2 = mn + (mx - mn) / 4 else y2 = 0 end if x3 > 0 then y3 = mn + (mx - mn) / 4 else y3 = 0 end if x4 > 0 then y4 = mn + (mx - mn) / 2 else y4 = 0 end if x5 > 0 then y5 = mn + (mx - mn) / 2 else y5 = 0 end if (finalH > 0) and ((y1 + y2 + y3 + y4 + y5) == 0) then y6 = mn else y6 = 0 end finalL = y1 + y2 + y3 + y4 + y5 + y6 local dmml, price, i, price0 dmml = (finalH - finalL) / 8 price = finalL - dmml * 2 price0 = price for i = 0, 12, 1 do Levels[i] = price price = price + dmml end return Levels end function ReleaseInstance() core.host:execute("killTimer", 100) 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), -- time in ole format ((h >= 0 and h < 24 and m >= 0 and m < 60 and s >= 0 and s < 60) or (h == 24 and m == 0 and s == 0)); -- validity flag end function 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); if AccountType == "FIFO" then CanClose = false elseif AccountType == "NON" then CanClose = true else CanClose = core.host:execute("getTradingProperty", "canCreateMarketClose", instance.bid:instrument(), Account) end 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 period < 0 then return end if EntryExecutionType == "Live" then if id ~= 1 then return end period = core.findDate(Source, TickSource:date(period), false) else if id ~= 2 then return end end now = core.host:execute("getServerTime") now = core.host:execute("convertTime", core.TZ_EST, ToTime, now) -- get only time now = now - math.floor(now) if period < first then return end if EntryExecutionType == "Live" and id == 1 or EntryExecutionType ~= "Live" and id ~= 1 then EntryFunction(now, period) end end function EntryFunction(now, period) local Return = false local Levels = Calculate(period) if Levels == nil then return end if not InRange(now, OpenTime, CloseTime) then return Return end if (LastEntry == Source:serial(period)) then return end local Stop, Limit local BuyNOW = false local SellNOW = false for i = 3, 9, 1 do if Show[i] and Source.close[period] > Levels[i] and Source.close[period - 1] <= Levels[i] then BuyNOW = true end Stop = Levels[i - 1] Limit = Levels[i + 1] if BuyNOW then break end end for i = 9, 3, -1 do if Show[i] and Source.close[period] < Levels[i] and Source.close[period - 1] >= Levels[i] then SellNOW = true end Stop = Levels[i + 1] Limit = Levels[i - 1] if SellNOW then break end end -- only buy if we have a fast cross over slow and the price is above the moving averages. if BuyNOW then if Direction then BUY(Stop, Limit) else SELL(Limit, Stop) end LastEntry = Source:serial(period) Return = true elseif SellNOW then if Direction then SELL(Stop, Limit) else BUY(Limit, Stop) end LastEntry = Source:serial(period) Return = true end return Return 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(Stop, Limit) if AllowTrade then --if CanClose and CloseOnOpposite and haveTrades("S") then if (CloseOnOpposite or Hedge) 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", Stop, Limit) else Signal("Buy Signal") end end function SELL(Stop, Limit) if AllowTrade then --if CanClose and CloseOnOpposite and haveTrades("B") then if (CloseOnOpposite or Hedge) 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", Stop, Limit) 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, profile:id() .. " : " .. Label, FormatEmail(Source, NOW, Label)) 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, Stop, Limit) -- do not enter if position in the specified direction already exists if (tradesCount(BuySell) >= MaxNumberOfPosition or (tradesCount(nil) >= MaxNumberOfPositionInAnyDirection)) and PositionCap 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, Stop, Limit) end -- enter into the specified direction function MarketOrder(BuySell, Stop, Limit) -- if trade_in_progress then --return; --end -- trade_in_progress=true; 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 if SetStop then valuemap.RateStop = Stop end if TrailingStop then valuemap.TrailStepStop = 1 end if SetLimit then valuemap.RateLimit = Limit 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")