-- Id: 19316 -- More information about this indicator can be found at: -- http://fxcodebase.com/code/viewtopic.php?f=31&t=60750 --+------------------------------------------------------------------+ --| Copyright © 2018, Gehtsoft USA LLC | --| http://fxcodebase.com | --+------------------------------------------------------------------+ --| Support our efforts by donating | --| Paypal: https://goo.gl/9Rj74e | --+------------------------------------------------------------------+ --| BitCoin : 15VCJTLaz12Amr7adHSBtL9v8XomURo9RF | --| BitCoin Cash: 1BEtS465S3Su438Kc58h2sqvVvHK9Mijtg | --| Ethereum : 0x8C110cD61538fb6d7A2B47858F0c0AaBd663068D | --| LiteCoin : LLU8PSY2vsq7B9kRELLZQcKf5nJQrdeqwD | --+------------------------------------------------------------------+ function Init() --The strategy profile initialization strategy:name("Renko Bar Strategy"); strategy:description("Enters a position whenever the renko changes direction by a certain number of bars."); strategy:setTag("NonOptimizableParameters", "Email,SendEmail,SoundFile,RecurrentSound,PlaySound, ShowAlert"); strategy.parameters:addGroup("Renko"); 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", "The timeframe for the renko. It is best to leave this as fine as possible (m1). Tick is currently not supported.", "m1"); strategy.parameters:setFlag("TF", core.FLAG_PERIODS); strategy.parameters:addInteger("Step", "Brick Size", "", 100); strategy.parameters:addBoolean("PrintDebug", "Print Debug", "", false); strategy.parameters:addGroup("Strategy Parameters"); strategy.parameters:addInteger("BarCount", "Number of Bars", "The number of bars in a new direction for it to generate a signal.", 3, 1, 100); strategy.parameters:addString("Direction", "Type of signal", "", "direct"); strategy.parameters:addStringAlternative("Direction", "direct", "", "direct"); strategy.parameters:addStringAlternative("Direction", "reverse", "", "reverse"); strategy.parameters:addBoolean("CloseOpposite", "Close at first opposite brick", "", true); 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); CreateTradingParameters(); end function CreateTradingParameters() strategy.parameters:addGroup("Trading Parameters"); strategy.parameters:addBoolean("AllowTrade", "Allow strategy to trade", "", false); -- NG: optimizer/backtester hint strategy.parameters:setFlag("AllowTrade", core.FLAG_ALLOW_TRADE); strategy.parameters:addString("ALLOWEDSIDE", "Allowed side", "Allowed side for trading or signaling, can be Sell, Buy or Both", "Both"); strategy.parameters:addStringAlternative("ALLOWEDSIDE", "Both", "", "Both"); strategy.parameters:addStringAlternative("ALLOWEDSIDE", "Buy", "", "Buy"); strategy.parameters:addStringAlternative("ALLOWEDSIDE", "Sell", "", "Sell"); strategy.parameters:addBoolean("CloseOnOpposite", "Close On Opposite", "", true); strategy.parameters:addBoolean("AllowMultiple", "Allow Multiple", "", true); 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:addGroup("Alerts"); strategy.parameters:addBoolean("ShowAlert", "ShowAlert", "", true); strategy.parameters:addBoolean("PlaySound", "Play Sound", "", false); strategy.parameters:addFile("SoundFile", "Sound File", "", ""); strategy.parameters:setFlag("SoundFile", core.FLAG_SOUND); strategy.parameters:addBoolean("RecurrentSound", "Recurrent Sound", "", true); strategy.parameters:addBoolean("SendEmail", "Send Email", "", false); strategy.parameters:addString("Email", "Email", "", ""); strategy.parameters:setFlag("Email", core.FLAG_EMAIL); end local TriggerSource; local SoundFile = nil; local RecurrentSound = false; local ALLOWEDSIDE; local AllowMultiple; 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 CloseOnOpposite; local Direction; local CloseOpposite; local OpenTime, CloseTime, ExitTime; local ValidInterval,UseMandatoryClosing; local ToTime; local renkoFirst; local RenkoView; local candles; local Step; local PrintDebug; local BarCount; -- function Prepare( nameOnly) Step = instance.parameters.Step; PrintDebug = instance.parameters.PrintDebug; BarCount = instance.parameters.BarCount; Direction = instance.parameters.Direction; CloseOpposite=instance.parameters.CloseOpposite; assert(instance.parameters.TF ~= "t1", "Tick time frame is not supported."); local name = profile:id() .. "( " .. instance.bid:name() .. "," .. Step .. "," .. BarCount .. " )"; instance:name(name); PrepareTrading(); if nameOnly then return ; end -- trigger source. Since the renko chart does not produce events when it creates a new bar -- it is best if we always run in tick mode. TriggerSource = ExtSubscribe(1, nil, "t1", instance.parameters.Type == "Bid", "close"); PipSize = TriggerSource:pipSize(); -- before we create the view, we need to know how many bars we will need. -- this is tricky because we cannot instantiate the indicator without the renkoView -- and we cannot start the view without knowing how many bars the indicator needs. renkoFirst = BarCount + 1; assert(core.indicators:findIndicator("RENKO_CANDLES_NEW") ~= nil, "Please, download and install RENKO_CANDLES_NEW.LUA indicator"); -- create the RenkoView local renkoProf = core.indicators:findIndicator("RENKO_CANDLES_NEW"); local params = renkoProf:parameters(); core.host:trace("Instrument: " .. instance.bid:instrument()); params:setString("instrument", instance.bid:instrument()); core.host:trace("TF: " .. instance.parameters.TF); params:setString("frame", instance.parameters.TF); params:setBoolean("type", instance.parameters.Type == "Bid"); params:setInteger("Step", Step); params:setInteger("barLimit", renkoFirst); params:setBoolean("PrintDebug", PrintDebug); RenkoView = renkoProf:createInstance(nil, params); -- keep a global reference to the renko candles or it crashes. candles = RenkoView:getCandleOutput(0); 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"); 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 PrepareTrading() AllowMultiple = instance.parameters.AllowMultiple; CloseOnOpposite = instance.parameters.CloseOnOpposite; 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; 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); SetLimit = instance.parameters.SetLimit; Limit = instance.parameters.Limit; SetStop = instance.parameters.SetStop; Stop = instance.parameters.Stop; TrailingStop = instance.parameters.TrailingStop; end end -- NG: create a function to parse time 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 local lastPeriod = -100; function ExtUpdate(id, source, tickPeriod) -- 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 id ~= 1 then return; 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 not InRange(now, OpenTime, CloseTime) then return ; end -- redirect the strategy to use the renko bar stream. local Source = candles; -- get the latest period. local renkoSize = Source.open:size() - 1; if (renkoSize <= renkoFirst) then -- not enough data. return; end if (RenkoView.close:serial(renkoSize) == lastPeriod) then -- the renko has not been updated. return; end -- if the renko has been updated -- check how many bars we have missed. -- this is required because sometimes the price can move very quickly in multiples of the brick size -- therefore, we need to check the trade conditions on every renko brick -- otherwise, we might miss a signal (like a cross-over) local fromPeriod; local toPeriod = renkoSize; if (lastPeriod == -100) then fromPeriod = renkoSize; else local i = renkoSize; while (RenkoView.close:serial(i) ~= lastPeriod) do i = i-1; end fromPeriod = i + 1; end lastPeriod = RenkoView.close:serial(renkoSize); local timeCheck = false; local now = core.host:execute("getServerTime"); now = now - math.floor(now); if now < OpenTime or now > CloseTime then -- failed the time check. return; end local period = fromPeriod; while (period <= toPeriod) do -- for every new renko bar, check the trade signals. -- TODO: This should really be enhanced to handle if multiple/opposite signals are going to be generated in the same set of new renko bars. local renkoGreen = RenkoView.open[period] <= RenkoView.close[period]; local firstGreen = renkoGreen; local index = period - 1; local limit = period - BarCount; local count = 0; local trade = true; while (index >= limit) do local currentGreen = RenkoView.open[index] <= RenkoView.close[index]; if (index == limit) then -- this one should be opposite trade = trade and (currentGreen ~= renkoGreen); else -- this has to match the latest direction trade = trade and (currentGreen == renkoGreen); end index = index - 1; end if (trade) then if (renkoGreen) then ExtTrace("Buy!"); BUY(); else ExtTrace("Sell!"); SELL(); end end if CloseOpposite then if haveTrades("B") and not(firstGreen) then ExtTrace("Close Buy!"); exit("B"); elseif haveTrades("S") and firstGreen then ExtTrace("Close Sell!"); exit("S"); end end -- move to the next renko period. period = period + 1; 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 exit("B"); Signal ("Close Long"); end if haveTrades("S") then exit("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() if AllowTrade then if CloseOnOpposite and haveTrades('S') then exit('S'); Signal ("Close Short"); end if haveTrades('B') and not AllowMultiple then return; end if ALLOWEDSIDE == "Sell" then return; end if (enter('B')) then Signal ("Open Long"); end elseif ShowAlert then Signal ("Up Trend"); end end function SELL () if AllowTrade then if CloseOnOpposite and haveTrades('B') then exit('B'); Signal ("Close Long"); end if haveTrades('S') and not AllowMultiple then return; end if ALLOWEDSIDE == "Buy" then return; end if (enter('S')) then Signal ("Open Short"); end elseif ShowAlert then Signal ("Down Trend"); 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 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 function haveTrades(BuySell) local enum, row; local found = false; enum = core.host:findTable("trades"):enumerator(); row = enum:next(); while (not found) and (row ~= nil) do if row.AccountID == Account and row.OfferID == Offer and (row.BS == BuySell or BuySell == nil) then found = true; end row = enum:next(); end return found end -- enter into the specified direction function enter(BuySell) if not(AllowTrade) then return false; end -- do not enter if position in the -- specified direction already exists if tradesCount(BuySell) > 0 and not AllowMultiple then return false; end local valuemap, success, msg; valuemap = core.valuemap(); valuemap.OrderType = "OM"; valuemap.OfferID = Offer; valuemap.AcctID = Account; valuemap.Quantity = Amount * BaseSize; valuemap.BuySell = BuySell; -- 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(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 return true; end -- exit from the specified direction function exit(BuySell, use_net) if not (AllowTrade) then return true end if use_net == true then 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 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 else local enum = core.host:findTable("trades"):enumerator(); local row = enum:next(); while row ~= nil do if row.BS == BuySell and row.OfferID == Offer then local valuemap = core.valuemap(); valuemap.BuySell = row.BS == "B" and "S" or "B"; valuemap.OrderType = "CM"; valuemap.OfferID = row.OfferID; valuemap.AcctID = row.AccountID; valuemap.TradeID = row.TradeID; valuemap.Quantity = row.Lot; local success, msg = terminal:execute(101, valuemap); end row = enum: next(); end end return false end -- --------------------------------------------------------- -- Trace helper function -- --------------------------------------------------------- function ExtTrace(message) core.host:trace(ExtTimeNow() .. " Renko (" .. ExtRenkoTimeNow() .. ") " .. message); end function ExtRenkoTimeNow() return ExtFormatDate(candles.close:date(candles.close:size() - 1)); end function ExtTimeNow() return ExtFormatDate(math.max(instance.bid:date(instance.bid:size() - 1), instance.ask:date(instance.ask:size() - 1))); end function ExtFormatDate(inputDate) local theDate = core.dateToTable(core.host:execute("convertTime", 1, 4, inputDate)); return string.format("%d/%02d/%02d %02d:%02d:%02d", theDate.year, theDate.month, theDate.day, theDate.hour, theDate.min, theDate.sec); end dofile(core.app_path() .. "\\strategies\\standard\\include\\helper.lua");