-- Id: 18009 -- More information about this indicator can be found at: -- http://fxcodebase.com/code/viewtopic.php?f=31&t=64607 --+------------------------------------------------------------------+ --| 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() strategy:name("Breakout strategy") strategy:description("Breakout strategy") strategy:setTag("NonOptimizableParameters", "Email,SendEmail,SoundFile,RecurrentSound,PlaySound, ShowAlert") strategy.parameters:addGroup("Price Parameters") strategy.parameters:addString("TF", "TF", "Time frame ('t1', 'm1', 'm5', etc.)", "m5") strategy.parameters:setFlag("TF", core.FLAG_PERIODS) 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( "BreakoutType", "Type of Breakout (PastPeriods or IntraDay)", "No description", "Close" ) strategy.parameters:addStringAlternative("BreakoutType", "Close", "Candles closed below/above price.", "Close") strategy.parameters:addStringAlternative("BreakoutType", "Tick", "Current Tick breakout", "Tick") strategy.parameters:addBoolean("OncePerDay", "Once Per Day", "Only one breakout per day allowed.", true) strategy.parameters:addInteger( "Threshold", "Excess (in pips) over high limit to open position", "Excess (in pips) over high limit to open position.", 0, 0, 10000 ) strategy.parameters:addGroup("Breakout Indicator Parameters") strategy.parameters:addString("PeriodBegin", "The hour and minute when the period begins", "", "00:00") strategy.parameters:addString("PeriodEnd", "The hour and minute when the period ends", "", "05:30") strategy.parameters:addString("BoxEnd", "The hour and minute when the box ends", "", "23:00") strategy.parameters:addString("Type2", "The time type", "", "TD") strategy.parameters:addStringAlternative("Type2", "Local Time", "", "LT") strategy.parameters:addStringAlternative("Type2", "EST Time", "", "EST") strategy.parameters:addStringAlternative("Type2", "GMT Time", "", "GMT") strategy.parameters:addStringAlternative("Type2", "Trading Day time", "", "TD") 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("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 Order", "", true) strategy.parameters:addInteger("Limit", "Limit Order in pips", "", 30, 1, 10000) strategy.parameters:addBoolean("SetStop", "Set Stop Order", "", true) strategy.parameters:addInteger("Stop", "Stop Order in pips", "", 30, 1, 10000) strategy.parameters:addBoolean("TrailingStop", "Trailing stop order", "", false) strategy.parameters:addString("custom_id", "Custom ID", "", "") strategy.parameters:addBoolean("close_on_opposite", "Close on Opposite", "", false) 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) strategy.parameters:addGroup("Notification") strategy.parameters:addBoolean("ShowAlert", "Show Alert", "", true) strategy.parameters:addBoolean("PlaySound", "Play Sound", "", false) strategy.parameters:addBoolean("RecurSound", "Recurrent Sound", "", true) strategy.parameters:addFile("SoundFile", "Sound File", "", "") strategy.parameters:setFlag("SoundFile", core.FLAG_SOUND) strategy.parameters:addBoolean("SendEmail", "Send Email", "", false) strategy.parameters:addString("Email", "Email", "", "") strategy.parameters:setFlag("Email", core.FLAG_EMAIL) end -- strategy instance initialization routine -- Processes strategy parameters and creates output streams -- TODO: Calculate all constants, create instances all necessary indicators and load all required libraries -- Parameters block local BreakoutType local Multiple local Threshold -- Notification local PlaySound local RecurrentSound local SoundFile local Email local SendEmail -- Trading parameters local AllowTrade local Account local Amount local BaseSize local Limit local SetLimit local Stop local SetStop local TrailingStop local Offer local CanClose local CustomID local CloseOnOpposite local ValidInterval, UseMandatoryClosing local ToTime local gSource, gTick -- streams local P, H, L local todaySell, todayBuy = false, false -- Routine function Prepare(nameOnly) BreakoutType = instance.parameters.BreakoutType Threshold = instance.parameters.Threshold * instance.bid:pipSize() Multiple = not instance.parameters.OncePerDay CustomID = instance.parameters.custom_id CloseOnOpposite = instance.parameters.close_on_opposite ValidInterval = instance.parameters.ValidInterval UseMandatoryClosing = instance.parameters.UseMandatoryClosing ToTime = instance.parameters.Type2 if ToTime == "EST" then ToTime = core.TZ_EST elseif ToTime == "GMT" then ToTime = core.TZ_UTC elseif ToTime == "LT" then ToTime = core.TZ_LOCAL elseif ToTime == "TD" then ToTime = core.TZ_FINANCIAL end local name = profile:id() .. "(" .. instance.bid:instrument() .. ")" instance:name(name) if nameOnly then return end ShowAlert = instance.parameters.ShowAlert PlaySound = instance.parameters.PlaySound if PlaySound then RecurrentSound = instance.parameters.RecurSound SoundFile = instance.parameters.SoundFile else SoundFile = nil end assert(not (PlaySound) or (PlaySound and SoundFile ~= ""), "Sound file must be specified") 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 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) Limit = instance.parameters.Limit * instance.bid:pipSize() SetLimit = instance.parameters.SetLimit Stop = instance.parameters.Stop * instance.bid:pipSize() SetStop = instance.parameters.SetStop TrailingStop = instance.parameters.TrailingStop end gTick = ExtSubscribe(1, nil, "t1", instance.parameters.Type == "Bid", "close") gSource = ExtSubscribe(2, nil, instance.parameters.TF, instance.parameters.Type == "Bid", "bar") assert(core.indicators:findIndicator("BREAKOUT") ~= nil, "Please, download and install BREAKOUT.LUA indicator") I = core.indicators:create( "BREAKOUT", gSource, instance.parameters.PeriodBegin, instance.parameters.PeriodEnd, instance.parameters.BoxEnd, instance.parameters.Type2, false ) ExitTime, valid = ParseTime(instance.parameters.ExitTime) assert(valid, "Time " .. instance.parameters.ExitTime .. " is invalid") if UseMandatoryClosing then core.host:execute("setTimer", 1007, math.max(ValidInterval / 2, 1)) end P = I:getStream(0) H = I:getStream(1) L = I:getStream(2) ExtSetupSignal(name .. ":", ShowAlert) ExtSetupSignalMail(name .. ":") 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 local BE_NONE = 0 -- belongs to period local BE_PERIOD = 1 -- belongs to period local BE_BOX = 2 -- belongs to box -- strategy calculation routine function ExtUpdate(id, source, period) if AllowTrade then if not (checkReady("trades")) or not (checkReady("orders")) then return end end local stream local check = false if id == 2 then I:update(core.UpdateLast) end if (BreakoutType == "Tick" and id == 1) then stream = gTick check = true elseif (BreakoutType == "Close" and id == 2) then stream = gSource.close check = true end -- the new tick comes if check and P:hasData(NOW) and period >= stream:first() + 1 then local prev, curr = stream[period - 1], stream[period] -- if we're currently in the box if P[NOW] == BE_BOX then if ((prev <= H[NOW] + Threshold) and (curr > H[NOW] + Threshold)) and -- cross high line over threshold tradesCount("B") == 0 and -- no currently open positions (Multiple or (not todayBuy)) then -- first daily trade or multiple daily trades allowed if (AllowTrade) then if CloseOnOpposite then exit("S") end enter("B") todayBuy = true end if (ShowAlert) then ExtSignal(stream, period, "Price breaks high. Buy.", SoundFile, Email, RecurrentSound) end elseif ((prev >= L[NOW] - Threshold) and (curr < L[NOW] - Threshold)) and tradesCount("S") == 0 and (Multiple or (not todaySell)) then if (AllowTrade) then if CloseOnOpposite then exit("B") end enter("S") todaySell = true end if (ShowAlert) then ExtSignal(stream, period, "Price breaks low. Sell", SoundFile, Email, RecurrentSound) end end elseif P[NOW] == BE_PERIOD then todaySell, todayBuy = false, false end end end -- NG: Introduce async function for timer/monitoring for the order results function ExtAsyncOperationFinished(cookie, success, message) if cookie == 1007 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 end end --===========================================================================-- -- TRADING UTILITY FUNCTIONS -- --============================================================================-- 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 count == 0 and row ~= nil do if row.AccountID == Account and row.OfferID == Offer and (row.BS == BuySell or BuySell == nil) then count = count + 1 end row = enum:next() end return count 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 if tradesCount(BuySell) > 0 then return true end local valuemap, success, msg valuemap = core.valuemap() valuemap.OrderType = "OM" valuemap.OfferID = Offer valuemap.AcctID = Account valuemap.Quantity = Amount * BaseSize valuemap.BuySell = BuySell valuemap.PegTypeStop = "M" valuemap.CustomID = CustomID if CanClose and SetLimit then -- set limit order if BuySell == "B" then valuemap.RateLimit = instance.ask[NOW] + Limit else valuemap.RateLimit = instance.bid[NOW] - Limit end end if CanClose and SetStop then -- set limit order if BuySell == "B" then valuemap.RateStop = instance.ask[NOW] - Stop else valuemap.RateStop = instance.bid[NOW] + Stop end if TrailingStop then valuemap.TrailStepStop = 1 end end success, msg = terminal:execute(100, 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 if not (CanClose) and SetLimit then if BuySell == "B" then fifoSL("LE", "S", instance.ask[NOW] + Limit, false) else fifoSL("LE", "B", instance.ask[NOW] - Limit, false) end end if not (CanClose) and SetStop then if BuySell == "B" then fifoSL("SE", "S", instance.ask[NOW] - Stop, TrailingStop) else fifoSL("SE", "B", instance.ask[NOW] + Stop, TrailingStop) end end return true end function fifoSL(orderType, side, rate, trailing) local enum, row local buy, sell 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.NetQuantity and row.Type == orderType then return end row = enum:next() end local valuemap, success, msg valuemap = core.valuemap() valuemap.Command = "CreateOrder" valuemap.OrderType = orderType valuemap.OfferID = Offer valuemap.AcctID = Account valuemap.NetQtyFlag = "y" valuemap.Rate = rate valuemap.BuySell = side valuemap.CustomID = CustomID if trailing then valuemap.TrailUpdatePips = 1 end success, msg = terminal:execute(102, valuemap) if not (success) then terminal:alertMessage( instance.bid:instrument(), instance.bid[NOW], "Failed create limit or stop " .. msg, instance.bid:date(NOW) ) end end -- exit from the specified direction function exit(BuySell) if not (AllowTrade) then return true end local valuemap, success, msg if tradesCount(BuySell) > 0 then valuemap = core.valuemap() -- switch the direction since the order must be in oppsite direction if BuySell == "B" then BuySell = "S" else BuySell = "B" end valuemap.OrderType = "CM" valuemap.OfferID = Offer valuemap.AcctID = Account valuemap.NetQtyFlag = "Y" valuemap.BuySell = BuySell valuemap.CustomID = CustomID success, msg = terminal:execute(101, 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 return false end dofile(core.app_path() .. "\\strategies\\standard\\include\\helper.lua")