-- More information about this indicator can be found at: --http://fxcodebase.com/code/viewtopic.php?f=31&t=69776 --+------------------------------------------------------------------+ --| Copyright © 2020, Gehtsoft USA LLC | --| http://fxcodebase.com | --+------------------------------------------------------------------+ --| Developed by : Mario Jemic | --| mario.jemic@gmail.com | --| https://AppliedMachineLearning.systems | --+------------------------------------------------------------------+ --| Support our efforts by donating | --| Paypal: https://goo.gl/9Rj74e | --| Patreon: https://goo.gl/GdXWeN | --+------------------------------------------------------------------+ function AddAverages(id, name, default) strategy.parameters:addString(id, name, "", default); strategy.parameters:addStringAlternative(id, "MVA", "", "MVA"); strategy.parameters:addStringAlternative(id, "EMA", "", "EMA"); strategy.parameters:addStringAlternative(id, "Wilder", "", "Wilder"); strategy.parameters:addStringAlternative(id, "LWMA", "", "LWMA"); strategy.parameters:addStringAlternative(id, "SineWMA", "", "SineWMA"); strategy.parameters:addStringAlternative(id, "TriMA", "", "TriMA"); strategy.parameters:addStringAlternative(id, "LSMA", "", "LSMA"); strategy.parameters:addStringAlternative(id, "SMMA", "", "SMMA"); strategy.parameters:addStringAlternative(id, "HMA", "", "HMA"); strategy.parameters:addStringAlternative(id, "ZeroLagEMA", "", "ZeroLagEMA"); strategy.parameters:addStringAlternative(id, "DEMA", "", "DEMA"); strategy.parameters:addStringAlternative(id, "T3", "", "T3"); strategy.parameters:addStringAlternative(id, "ITrend", "", "ITrend"); strategy.parameters:addStringAlternative(id, "Median", "", "Median"); strategy.parameters:addStringAlternative(id, "GeoMean", "", "GeoMean"); strategy.parameters:addStringAlternative(id, "REMA", "", "REMA"); strategy.parameters:addStringAlternative(id, "ILRS", "", "ILRS"); strategy.parameters:addStringAlternative(id, "IE/2", "", "IE/2"); strategy.parameters:addStringAlternative(id, "TriMAgen", "", "TriMAgen"); strategy.parameters:addStringAlternative(id, "JSmooth", "", "JSmooth"); strategy.parameters:addStringAlternative(id, "KAMA", "", "KAMA"); strategy.parameters:addStringAlternative(id, "ARSI", "", "ARSI"); strategy.parameters:addStringAlternative(id, "VIDYA", "", "VIDYA"); strategy.parameters:addStringAlternative(id, "HPF", "", "HPF"); strategy.parameters:addStringAlternative(id, "VAMA", "", "VAMA"); strategy.parameters:addStringAlternative(id, "Regression", "", "REGRESSION"); end function CreateAverages(period, method, source) if method == "MVA" or method == "EMA" or method == "ARSI" or method == "KAMA" or method == "LWMA" or method == "SMMA" or method == "VIDYA" or method == "REGRESSION" then --assert(core.indicators:findIndicator(method) ~= nil, method .. " indicator must be installed"); return core.indicators:create(method, source, period); end assert(core.indicators:findIndicator("AVERAGES") ~= nil, "Please, download and install AVERAGES indicator"); return core.indicators:create("AVERAGES", source, method, period); end function Init() --The strategy profile initialization strategy:name("Parabolic SAR 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", "", "H1") strategy.parameters:setFlag("TF", core.FLAG_PERIODS) strategy.parameters:addGroup("Calculation") strategy.parameters:addDouble("Step", "Step", "The sensitivity of SAR.", 0.02, 0.001, 1) strategy.parameters:addDouble("Max", "Max", "The maximum value of Step.", 0.2, 0.001, 10) strategy.parameters:addInteger("ma_period", "MA Period", "", 20); AddAverages("ma_method", "MA Method", "EMA"); strategy.parameters:addInteger("ma_shift", "MA Shift, pips", "", 1); strategy.parameters:addInteger("x", "X candles", "", 10); CreateTradingParameters() end function CreateTradingParameters() strategy.parameters:addGroup("Trading Parameters") strategy.parameters:addBoolean("AllowTrade", "Allow strategy to trade", "", true) strategy.parameters:setFlag("AllowTrade", core.FLAG_ALLOW_TRADE) strategy.parameters:addString("ExecutionType", "End of Turn / Live", "", "End of Turn") strategy.parameters:addStringAlternative("ExecutionType", "End of Turn", "", "End of Turn") strategy.parameters:addStringAlternative("ExecutionType", "Live", "", "Live") strategy.parameters:addBoolean("CloseOnOpposite", "Close On Opposite", "", false) strategy.parameters:addString( "CustomID", "Custom Identifier", "The identifier that can be used to distinguish strategy instances", "PSARS1" ) strategy.parameters:addInteger( "MaxNumberOfPositionInAnyDirection", "Max Number Of Open Position In Any Direction", "", 1, 1, 100 ) strategy.parameters:addInteger("MaxNumberOfPosition", "Max Number Of Position In One Direction", "", 1, 1, 100) strategy.parameters:addString( "ALLOWEDSIDE", "Allowed side", "Allowed side for trading or signaling, can be Sell, Buy or Both", "Both" ) strategy.parameters:addStringAlternative("ALLOWEDSIDE", "Both", "", "Both") strategy.parameters:addStringAlternative("ALLOWEDSIDE", "Buy", "", "Buy") strategy.parameters:addStringAlternative("ALLOWEDSIDE", "Sell", "", "Sell") strategy.parameters:addString("Direction", "Type of Signal / Trade", "", "direct") strategy.parameters:addStringAlternative("Direction", "Direct", "", "direct") strategy.parameters:addStringAlternative("Direction", "Reverse", "", "reverse") strategy.parameters:addString("Account", "Account to trade on", "", "") strategy.parameters:setFlag("Account", core.FLAG_ACCOUNT) strategy.parameters:addInteger("Amount", "Trade Amount in Lots", "", 1, 1, 1000000) strategy.parameters:addBoolean("SetLimit", "Set Limit Orders", "", false) strategy.parameters:addInteger("Limit", "Limit Order in pips", "", 30, 1, 10000) strategy.parameters:addBoolean("SetStop", "Set Stop Orders", "", false) strategy.parameters:addInteger("Stop", "Stop Order in pips", "", 30, 1, 10000) strategy.parameters:addBoolean("TrailingStop", "Trailing stop order", "", false) strategy.parameters:addBoolean("Exit", "Use Optional Exit", "", true) 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:addString("Applies", "Time Limit Applies to", "", "Both") strategy.parameters:addStringAlternative("Applies", "Entry", "", "Entry") strategy.parameters:addStringAlternative("Applies", "Exit", "", "Exit") strategy.parameters:addStringAlternative("Applies", "Both", "", "Both") 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:addString("forbid_StartTime", "Start Time for Forbided Trading", "", "11:00:00") strategy.parameters:addString("forbid_StopTime", "Stop Time for Forbided Trading", "", "13:00:00") strategy.parameters:addBoolean("UseMandatoryClosing", "Use Mandatory Closing", "", false) strategy.parameters:addString("ExitTime", "Mandatory Closing Time", "", "23:59:00") strategy.parameters:addInteger("ValidInterval", "Valid interval for operation in second", "", 60) end local Source, TickSource local MaxNumberOfPositionInAnyDirection, MaxNumberOfPosition local SoundFile = nil local RecurrentSound = false local ALLOWEDSIDE local AllowTrade local Offer local CanClose local Account local Amount local SetLimit local Limit local SetStop local Stop local TrailingStop local ShowAlert local Email local SendEmail local BaseSize local ExecutionType local CloseOnOpposite local first local Parameters = {} local Short = {} local Indicator local Direction local CustomID local Applies local Exit local OpenTime, CloseTime, ExitTime, forbid_OpenTime, forbid_CloseTime local ValidInterval, UseMandatoryClosing local ToTime local ma, ma_shift, x -- function Prepare(nameOnly) CustomID = instance.parameters.CustomID ExecutionType = instance.parameters.ExecutionType CloseOnOpposite = instance.parameters.CloseOnOpposite MaxNumberOfPositionInAnyDirection = instance.parameters.MaxNumberOfPositionInAnyDirection MaxNumberOfPosition = instance.parameters.MaxNumberOfPosition Applies = instance.parameters.Applies ma_shift = instance.parameters.ma_shift; Direction = instance.parameters.Direction == "direct" x = instance.parameters.x; Exit = instance.parameters.Exit Parameters["Step"] = instance.parameters.Step Parameters["Max"] = instance.parameters.Max assert(instance.parameters.TF ~= "t1", "The time frame must not be tick") local name name = profile:id() .. "( " .. instance.bid:name() .. "," .. CustomID .. " )" instance:name(name) PrepareTrading() if nameOnly then return end if ExecutionType == "Live" then TickSource = ExtSubscribe(1, nil, "t1", instance.parameters.Type == "Bid", "close") end Source = ExtSubscribe(2, nil, instance.parameters.TF, instance.parameters.Type == "Bid", "bar") ma = CreateAverages(instance.parameters.ma_period, instance.parameters.ma_method, Source); Indicator = core.indicators:create("SAR", Source, Parameters["Step"], Parameters["Max"]) Short[1] = Indicator:getStream(0) Short[2] = Indicator:getStream(1) first = math.max(Short[1]:first(), Short[2]:first()) ToTime = instance.parameters.ToTime ValidInterval = instance.parameters.ValidInterval UseMandatoryClosing = instance.parameters.UseMandatoryClosing if ToTime == 1 then ToTime = core.TZ_EST elseif ToTime == 2 then ToTime = core.TZ_UTC elseif ToTime == 3 then ToTime = core.TZ_LOCAL elseif ToTime == 4 then ToTime = core.TZ_SERVER elseif ToTime == 5 then ToTime = core.TZ_FINANCIAL elseif ToTime == 6 then ToTime = core.TZ_TS end local valid OpenTime, valid = ParseTime(instance.parameters.StartTime) assert(valid, "Time " .. instance.parameters.StartTime .. " is invalid") CloseTime, valid = ParseTime(instance.parameters.StopTime) assert(valid, "Time " .. instance.parameters.StopTime .. " is invalid") forbid_OpenTime, valid = ParseTime(instance.parameters.forbid_StartTime) assert(valid, "Time " .. instance.parameters.forbid_StartTime .. " is invalid") forbid_CloseTime, valid = ParseTime(instance.parameters.forbid_StopTime) assert(valid, "Time " .. instance.parameters.forbid_StopTime .. " is invalid") ExitTime, valid = ParseTime(instance.parameters.ExitTime) assert(valid, "Time " .. instance.parameters.ExitTime .. " is invalid") if UseMandatoryClosing then core.host:execute("setTimer", 100, math.max(ValidInterval / 2, 1)) end end function ParseTime(time) local pos = string.find(time, ":"); if pos == nil then return nil, false; end local h = tonumber(string.sub(time, 1, pos - 1)); time = string.sub(time, pos + 1); pos = string.find(time, ":"); if pos == nil then return nil, false; end local m = tonumber(string.sub(time, 1, pos - 1)); local s = tonumber(string.sub(time, pos + 1)); return (h / 24.0 + m / 1440.0 + s / 86400.0), -- 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) SetLimit = instance.parameters.SetLimit Limit = instance.parameters.Limit SetStop = instance.parameters.SetStop Stop = instance.parameters.Stop TrailingStop = instance.parameters.TrailingStop end local Last local LAST local ONE function IsBuy(period) return Short[2]:hasData(period) and (ma.DATA[period] - Source.close[period]) / Source:pipSize() >= ma_shift; end function IsSell(period) return Short[1]:hasData(period) and (Source.close[period] - ma.DATA[period]) / Source:pipSize() >= ma_shift; end function IsExitBuy(period) return Short[1]:hasData(period) or (Source.close[period] - ma.DATA[period]) / Source:pipSize() >= 0; end function IsExitSell(period) return Short[2]:hasData(period) or (ma.DATA[period] - Source.close[period]) / Source:pipSize() >= 0; end function ExtUpdate(id, source, period) -- The method called every time when a new bid or ask price appears. ma:update(core.UpdateLast); local F1 = false local F2 = false 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 Applies == "Exit" then F1 = true end if InRange(now, OpenTime, CloseTime) and not InRange(now, forbid_OpenTime, forbid_CloseTime) then if Applies ~= "Exit" then F1 = true end if Applies ~= "Entry" then F2 = true end end if Applies == "Exit" then F1 = true end if Applies == "Entry" then F2 = true end if AllowTrade then if not (checkReady("trades")) or not (checkReady("orders")) then return end end if ExecutionType == "Live" and id == 1 then period = core.findDate(Source.close, TickSource:date(period), false) end if ExecutionType == "Live" then if ONE == Source:serial(period) then return end if id == 2 then return end else if id ~= 2 then return end end -- update indicators. Indicator:update(core.UpdateLast) if period < first + 1 then return end -- only buy if we have a fast cross over slow and the price is above the moving averages. if not IsBuy(period - 1) and IsBuy(period) then if Direction then BUY(F1, F2) else SELL(F1, F2) end ONE = Source:serial(period) elseif not IsSell(period - 1) and IsSell(period) then if Direction then SELL(F1, F2) else BUY(F1, F2) end ONE = Source:serial(period) end if Exit then if not IsExitBuy(period) then if Direction then if haveTrades("B") then exitSpecificAfter("B", Source:date(period - x)) Signal("Close Long") end else if haveTrades("S") then exitSpecificAfter("S", Source:date(period - x)) Signal("Close Short") end end end if not IsExitSell(period) then if Direction then if haveTrades("S") then exitSpecificAfter("S", Source:date(period - x)) Signal("Close Short") end else if haveTrades("B") then exitSpecificAfter("B", Source:date(period - x)) Signal("Close Long") end end end end end -- NG: Introduce async function for timer/monitoring for the order results function ExtAsyncOperationFinished(cookie, success, message) if cookie == 100 then -- timer if UseMandatoryClosing and AllowTrade then now = core.host:execute("getServerTime") now = core.host:execute("convertTime", core.TZ_EST, ToTime, now) -- get only time now = now - math.floor(now) -- check whether the time is in the exit time period if now >= ExitTime and now < ExitTime + (ValidInterval / 86400.0) then if not checkReady("trades") then return end if haveTrades("B") then exitSpecific("B") Signal("Close Long") end if haveTrades("S") then exitSpecific("S") Signal("Close Short") end end end elseif cookie == 200 and not success then terminal:alertMessage( instance.bid:instrument(), instance.bid[instance.bid:size() - 1], "Open order failed" .. message, instance.bid:date(instance.bid:size() - 1) ) elseif cookie == 201 and not success then terminal:alertMessage( instance.bid:instrument(), instance.bid[instance.bid:size() - 1], "Close order failed" .. message, instance.bid:date(instance.bid:size() - 1) ) end end --===========================================================================-- -- TRADING UTILITY FUNCTIONS -- --============================================================================-- function BUY(F1, F2) if AllowTrade then if CloseOnOpposite and haveTrades("S") then if F2 then -- close on opposite signal exitSpecific("S") Signal("Close Short") end end if ALLOWEDSIDE == "Sell" then return end if F1 then enter("B") end else Signal("Buy Signal") end end function SELL(F1, F2) if AllowTrade then if CloseOnOpposite and haveTrades("B") then if F2 then -- close on opposite signal exitSpecific("B") Signal("Close Long") end end if ALLOWEDSIDE == "Buy" then -- we are not allowed sells. return end if F1 then enter("S") end else Signal("Sell Signal") end end function Signal(Label) if ShowAlert then terminal:alertMessage(instance.bid:instrument(), instance.bid[NOW], Label, instance.bid:date(NOW)) end if SoundFile ~= nil then terminal:alertSound(SoundFile, RecurrentSound) end if Email ~= nil then terminal:alertEmail( Email, Label, profile:id() .. "(" .. instance.bid:instrument() .. ")" .. instance.bid[NOW] .. ", " .. Label .. ", " .. instance.bid:date(NOW) ) end end function checkReady(table) local rc if Account == "TESTACC_ID" then -- run under debugger/simulator rc = true else rc = core.host:execute("isTableFilled", table) end return rc end function tradesCount(BuySell) local enum, row local count = 0 enum = core.host:findTable("trades"):enumerator() row = enum:next() while row ~= nil do if row.AccountID == Account and row.OfferID == Offer and row.QTXT == CustomID and (row.BS == BuySell or BuySell == nil) then count = count + 1 end row = enum:next() end return count end function haveTrades(BuySell) local enum, row local found = false enum = core.host:findTable("trades"):enumerator() row = enum:next() while (row ~= nil) do if row.AccountID == Account and row.OfferID == Offer and row.QTXT == CustomID and (row.BS == BuySell or BuySell == nil) then found = true break end row = enum:next() end return found end -- enter into the specified direction function enter(BuySell) -- do not enter if position in the specified direction already exists if tradesCount(BuySell) >= MaxNumberOfPosition or ((tradesCount(nil)) >= MaxNumberOfPositionInAnyDirection) then return true end -- send the alert after the checks to see if we can trade. if (BuySell == "S") then Signal("Sell Signal") else Signal("Buy Signal") end return MarketOrder(BuySell) end -- enter into the specified direction function MarketOrder(BuySell) local valuemap, success, msg valuemap = core.valuemap() valuemap.Command = "CreateOrder" valuemap.OrderType = "OM" valuemap.OfferID = Offer valuemap.AcctID = Account valuemap.Quantity = Amount * BaseSize valuemap.BuySell = BuySell valuemap.CustomID = CustomID -- add stop/limit valuemap.PegTypeStop = "O" if SetStop then if BuySell == "B" then valuemap.PegPriceOffsetPipsStop = -Stop else valuemap.PegPriceOffsetPipsStop = Stop end end if TrailingStop then valuemap.TrailStepStop = 1 end valuemap.PegTypeLimit = "O" if SetLimit then if BuySell == "B" then valuemap.PegPriceOffsetPipsLimit = Limit else valuemap.PegPriceOffsetPipsLimit = -Limit end end if (not CanClose) then valuemap.EntryLimitStop = "Y" end success, msg = terminal:execute(200, valuemap) if not (success) then terminal:alertMessage( instance.bid:instrument(), instance.bid[instance.bid:size() - 1], "Open order failed" .. msg, instance.bid:date(instance.bid:size() - 1) ) return false end return true end -- exit from the specified trade using the direction as a key function exitSpecific(BuySell) local enum = core.host:findTable("trades"):enumerator() local 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 exitTrade(row) end row = enum:next() end end function exitSpecificAfter(BuySell, date) local enum = core.host:findTable("trades"):enumerator() local 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) and row.Time < date then exitTrade(row) end row = enum:next() end end -- exit from the specified direction function exitTrade(tradeRow) 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 tradeRow.BS == "B" then BuySell = "S" else BuySell = "B" end valuemap.OrderType = "CM" valuemap.OfferID = Offer valuemap.AcctID = Account if (CanClose) then -- Non-FIFO can close each trade independantly. valuemap.TradeID = tradeRow.TradeID valuemap.Quantity = tradeRow.Lot else -- FIFO. valuemap.NetQtyFlag = "Y" -- this forces all trades to close in the opposite direction. end valuemap.BuySell = BuySell valuemap.CustomID = CustomID 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 return true end dofile(core.app_path() .. "\\strategies\\standard\\include\\helper.lua")