-- More information about this indicator can be found at: -- http://fxcodebase.com/code/viewtopic.php?f=31&t=70334 --+------------------------------------------------------------------------+ --| Copyright © 2021, Gehtsoft USA LLC | --| http://fxcodebase.com | --+------------------------------------------------------------------------+ --| Support our efforts by donating | --| Paypal: https://goo.gl/9Rj74e | --+------------------------------------------------------------------------+ --| Developed by : Mario Jemic | --| mario.jemic@gmail.com | --| https://AppliedMachineLearning.systems | --| Patreon : https://goo.gl/GdXWeN | --+------------------------------------------------------------------------+ --+------------------------------------------------------------------------+ --|BitCoin Address : 15VCJTLaz12Amr7adHSBtL9v8XomURo9RF | --|Ethereum Address : 0x8C110cD61538fb6d7A2B47858F0c0AaBd663068D | --|Dogecoin Address : DNDTFfmVa2Gjts5YvSKEYaiih6cums2L6C | --|Binance(ERC20 & BSC only) : 0xe84751063de8ade7c5fbff5e73f6502f02af4e2c | --|Binance Address (BEP2 only): bnb136ns6lfw4zs5hg4n85vdthaad7hq5m4gtkgf23 | --|Binance MEMO (BEP2 only) : 107152697 | --|LiteCoin Address : LLU8PSY2vsq7B9kRELLZQcKf5nJQrdeqwD | --+------------------------------------------------------------------------+ local Modules = {} function Init() --The strategy profile initialization strategy:name("Stochastic scalping 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("TSI Parameters") strategy.parameters:addInteger("tsi_period_1", "TSI Smooth 1 Period", "", 7) strategy.parameters:addInteger("tsi_period_2", "TSI Smooth 2 Period", "", 14) strategy.parameters:addString("tsi_TF", "TSI Time frame", "", "m1") strategy.parameters:setFlag("tsi_TF", core.FLAG_PERIODS) strategy.parameters:addGroup("Strategy Parameters") strategy.parameters:addInteger("K", "%K Period", "", 5, 2, 1000) strategy.parameters:addInteger("D", "%D Period", "", 3, 1, 1000) strategy.parameters:addInteger("SD", "%D slowing periods", "", 3, 1, 1000) strategy.parameters:addString("A1", "Smoothing method for %K", "", "MVA") strategy.parameters:addStringAlternative("A1", "MVA", "", "MVA") strategy.parameters:addStringAlternative("A1", "EMA", "", "EMA") strategy.parameters:addStringAlternative("A1", "Fast Smoothed", "", "FS") strategy.parameters:addString("A2", "Smoothing method for %D", "", "MVA") strategy.parameters:addStringAlternative("A2", "MVA", "", "MVA") strategy.parameters:addStringAlternative("A2", "EMA", "", "EMA") 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", "", "EndOfTurn") strategy.parameters:addStringAlternative("EntryExecutionType", "End of Turn", "", "EndOfTurn") strategy.parameters:addStringAlternative("EntryExecutionType", "Live", "", "Live") --********************************************************************************************************* --strategy.parameters:addString("ExitExecutionType", "Exit Execution Type", "", "EndOfTurn"); -- strategy.parameters:addStringAlternative("ExitExecutionType", "End of Turn", "", "EndOfTurn"); --strategy.parameters:addStringAlternative("ExitExecutionType", "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", "TEST" ) 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) strategy.parameters:addBoolean("SetLimit", "Set Limit Orders", "", false) strategy.parameters:addInteger("Limit", "Limit Order in pips", "", 30) strategy.parameters:addString("TRAILING_LIMIT_TYPE", "Trailing Limit", "", "Off") strategy.parameters:addStringAlternative("TRAILING_LIMIT_TYPE", "Off", "", "Off") strategy.parameters:addStringAlternative( "TRAILING_LIMIT_TYPE", "Favorable", "moves limit up for long/buy positions, vice versa for short/sell", "Favorable" ) strategy.parameters:addStringAlternative( "TRAILING_LIMIT_TYPE", "Unfavorable", "moves limit down for long/buy positions, vice versa for short/sell", "Unfavorable" ) strategy.parameters:addDouble("TRAILING_LIMIT_TRIGGER", "Trailing Limit Trigger in Pips", "", 0) strategy.parameters:addDouble("TRAILING_LIMIT_STEP", "Trailing Limit Step in Pips", "", 10) strategy.parameters:addBoolean("SetStop", "Set Stop Orders", "", false) strategy.parameters:addInteger("Stop", "Stop Order in pips", "", 30) strategy.parameters:addString("TRAILING_STOP_TYPE", "Trailing stop type", "", "Dynamic") strategy.parameters:addStringAlternative("TRAILING_STOP_TYPE", "Do not use", "", "No") strategy.parameters:addStringAlternative("TRAILING_STOP_TYPE", "Dynamic", "", "Dynamic") strategy.parameters:addStringAlternative("TRAILING_STOP_TYPE", "Fixed", "", "Fixed") strategy.parameters:addDouble("FIXED_TRAILING_STOP", "% of profit or trailing step", "", 10, 10, 300) strategy.parameters:addBoolean("use_breakeven", "Use Breakeven", "", false) strategy.parameters:addDouble("breakeven_when", "Breakeven Activation Value, in pips", "", 10) strategy.parameters:addDouble("breakeven_to", "Breakeven To, in pips", "", 0) --********************************************************************************************************* -- 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: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("ManageExit", "Use Exit after Stop Time", "", true); --********************************************************************************************************* 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 Limit local SetStop local Stop local TRAILING_STOP_TYPE local FIXED_TRAILING_STOP local TRAILING_LIMIT_TYPE local TRAILING_LIMIT_TRIGGER local TRAILING_LIMIT_STEP local use_breakeven local breakeven_when local breakeven_to 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 --********************************************************************************************************* --local ManageExit,Exit; --********************************************************************************************************* --Indicator parameters local Indicator, Line1, Line2 local opposite_after_stop local TRADES_UPDATE = 3 local ORDERS_UPDATE = 4 local closing_order_types = {} local TSI; function Prepare(nameOnly) for _, module in pairs(Modules) do module:Prepare(nameOnly) end CustomID = instance.parameters.CustomID name = profile:id() .. ", " .. instance.bid:name() .. ", " .. CustomID instance:name(name) if nameOnly then return end 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 --********************************************************************************************************* -- ManageExit = instance.parameters.ManageExit; -- Exit= instance.parameters.Exit; --********************************************************************************************************* --Indicator parameters OpenLong = instance.parameters.OpenLong OpenShort = instance.parameters.OpenShort CloseLong = instance.parameters.CloseLong CloseShort = instance.parameters.CloseShort HedgeLong = instance.parameters.HedgeLong HedgeShort = instance.parameters.HedgeShort opposite_after_stop = instance.parameters.opposite_after_stop require("storagedb") db = storagedb.get_db(CustomID .. "_" .. instance.bid:instrument()) assert(TF ~= "t1", "The time frame must not be tick") PrepareTrading() --assert(core.indicators:findIndicator("EXTREME_TMA_LINE") ~= nil, "Please, download and install EXTREME_TMA_LINE.LUA indicator"); if EntryExecutionType == "Live" then --**************************************************************************************************** --or ExitExecutionType== "Live" --****************************************************************************************************** TickSource = ExtSubscribe(1, nil, "t1", instance.parameters.Type == "Bid", "close") end Source = ExtSubscribe(2, nil, TF, instance.parameters.Type == "Bid", "bar") tsi_Source = ExtSubscribe(3, nil, instance.parameters.tsi_TF, instance.parameters.Type == "Bid", "bar") TSI = core.indicators:create("TSI", tsi_Source, instance.parameters.tsi_period_1, instance.parameters.tsi_period_2) local iprofile = core.indicators:findIndicator("STOCHASTIC") local iparams = iprofile:parameters() iparams:setInteger("K", instance.parameters:getInteger("K")) iparams:setInteger("SD", instance.parameters:getInteger("SD")) iparams:setInteger("D", instance.parameters:getInteger("D")) iparams:setString("MVAT_K", instance.parameters:getString("A1")) iparams:setString("MVAT_D", instance.parameters:getString("A2")) Indicator = iprofile:createInstance(Source, iparams) Line1 = Indicator:getStream(0) -- %K Line2 = Indicator:getStream(1) -- %D first = Line2:first() 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 core.host:execute("subscribeTradeEvents", TRADES_UPDATE, "trades") core.host:execute("subscribeTradeEvents", ORDERS_UPDATE, "orders") end function ReleaseInstance() for _, module in pairs(Modules) do if module.ReleaseInstance ~= nil then module:ReleaseInstance() end end core.host:execute("killTimer", 100) 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), ((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 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 TRAILING_STOP_TYPE = instance.parameters.TRAILING_STOP_TYPE FIXED_TRAILING_STOP = instance.parameters.FIXED_TRAILING_STOP TRAILING_LIMIT_TYPE = instance.parameters.TRAILING_LIMIT_TYPE TRAILING_LIMIT_TRIGGER = instance.parameters.TRAILING_LIMIT_TRIGGER TRAILING_LIMIT_STEP = instance.parameters.TRAILING_LIMIT_STEP use_breakeven = instance.parameters.use_breakeven breakeven_when = instance.parameters.breakeven_when breakeven_to = instance.parameters.breakeven_to end function InRange(now) -- from, to 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 ExtUpdate(id, source, period) -- The method called every time when a new bid or ask price appears. for _, module in pairs(Modules) do if module.ExtUpdate ~= nil then module:ExtUpdate(id, source, period) end end for _, controller in ipairs(breakeven._controllers) do controller:DoBreakeven() end if AllowTrade then if not (checkReady("trades")) or not (checkReady("orders")) then return end end if period < 0 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) -- update indicators. Indicator:update(core.UpdateLast) TSI:update(core.UpdateLast) if not Source.close:hasData(period) or period < first then return end EntryFunction(id, now, period) end function ExitFunction(id, now, period) if not Exit then return end if not InRange(now) and not ManageExit then return end if (ExitExecutionType == "EndOfTurn" and id == 2) then period = period elseif (ExitExecutionType == "Live" and id == 1) then period = core.findDate(Source, TickSource:date(period), false) else return end if (LastExit == Source:serial(period)) then return end if CloseLong then if Direction then if haveTrades("B") then exitSpecific("B") Signal("Close Long") end else if haveTrades("S") then exitSpecific("S") Signal("Close Short") end end LastExit = Source:serial(period) end if CloseShort then if Direction then if haveTrades("S") then exitSpecific("S") Signal("Close Short") end else if haveTrades("B") then exitSpecific("B") Signal("Close Long") end end LastExit = Source:serial(period) end end function EntryFunction(id, now, period) local Return = false if not InRange(now) then return end if (EntryExecutionType == "EndOfTurn" and id == 2) then --///////////////////////////////////////////////////////////////// period = period elseif (EntryExecutionType == "Live" and id == 1) then period = core.findDate(Source, TickSource:date(period), false) else return end if (LastEntry == Source:serial(period)) then return end -- only buy if we have a fast cross over slow and the price is above the moving averages. if Source.close[period] > Source.open[period] and core.crosses(Line1, Line2, period, period) and TSI.DATA[NOW] > 0 then if Direction then BUY() else SELL() end LastEntry = Source:serial(period) Return = true elseif Source.close[period] < Source.open[period] and core.crosses(Line1, Line2, period, period) and TSI.DATA[NOW] < 0 then if Direction then SELL() else BUY() 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, message1, message2) for _, module in pairs(Modules) do if module.AsyncOperationFinished ~= nil then module:AsyncOperationFinished(cookie, success, message, message1, message2) end end 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) ) elseif cookie == TRADES_UPDATE then local trade_id = message local close_trade = success if close_trade then local closed_trade = core.host:findTable("closed trades"):find("TradeID", trade_id) if closed_trade ~= nil and closed_trade.Instrument == instance.bid:instrument() then db:put("side", closed_trade.BS) db:put("close_order_type", closing_order_types[closed_trade.CloseOrderID]) db:put("date", closed_trade.CloseTime) end end elseif cookie == ORDERS_UPDATE then local order_id = message local order = core.host:findTable("orders"):find("OrderID", order_id) if order ~= nil then if order.Stage == "C" then closing_order_types[order.OrderID] = order.Type end end end end --===========================================================================-- -- TRADING UTILITY FUNCTIONS -- --============================================================================-- function BUY() 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", 0) else Signal("Buy Signal") end end function HEDGELONG() if ALLOWEDSIDE == "Buy" and haveTrades("B") then -- we are not allowed sells. return end if not haveTrades("B") then return end if AllowTrade then local bCount = tradesCount("B") if bCount > 0 then exitSpecific("B") Signal("Hedge Long") enter("S", bCount) end else Signal("Hedge Long") end end function HEDGESHORT() if ALLOWEDSIDE == "Sell" and haveTrades("S") then -- we are not allowed buys. return end if not haveTrades("S") then return end if AllowTrade then local sCount = tradesCount("S") if sCount > 0 then exitSpecific("S") Signal("Hedge Short") enter("B", sCount) end else Signal("Hedge Short") end end function SELL() 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", 0) 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 function AllowThisSize(side) if not opposite_after_stop then return true end local last_closed_side = db:get("side", "") if last_closed_side == "" then return true end local last_closed_date = db:get("date", 0.0) return last_closed_side ~= side or db:get("close_order_type", "") ~= "S" end -- enter into the specified direction function enter(BuySell, hCount) -- do not enter if position in the specified direction already exists if (tradesCount(BuySell) >= MaxNumberOfPosition or (tradesCount(nil) >= MaxNumberOfPositionInAnyDirection)) and PositionCap or not AllowThisSize(BuySell) 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, hCount) end -- enter into the specified direction function MarketOrder(BuySell, hCount) -- 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 if hCount > 0 then valuemap.Quantity = hCount * BaseSize else valuemap.Quantity = Amount * BaseSize end 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 TRAILING_STOP_TYPE == "Dynamic" then valuemap.TrailStepStop = 1 elseif TRAILING_STOP_TYPE ~= "No" then valuemap.TrailStepStop = FIXED_TRAILING_STOP 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 if use_breakeven then breakeven:CreateController():SetRequestID(msg):SetWhen(breakeven_when):SetTo(breakeven_to) end if TRAILING_LIMIT_TYPE == "Unfavorable" then breakeven:CreateTrailingLimitController():SetDirection(-1):SetTrigger(TRAILING_LIMIT_TRIGGER):SetStep( TRAILING_LIMIT_STEP ):SetRequestID(msg) elseif TRAILING_LIMIT_TYPE == "Favorable" then breakeven:CreateTrailingLimitController():SetDirection(1):SetTrigger(TRAILING_LIMIT_TRIGGER):SetStep( TRAILING_LIMIT_STEP ):SetRequestID(msg) 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") breakeven = {} -- public fields breakeven.Name = "Breakeven" breakeven.Version = "1.7.0" breakeven.Debug = false breakeven.Default_breakeven_when = 10 breakeven.Default_use_breakeven = false breakeven.Default_breaeven_to = 1 --private fields breakeven._breakeven_when = 10 breakeven._use_breakeven = false breakeven._breaeven_to = 1 breakeven._moved_stops = {} breakeven._request_id = nil breakeven._used_stop_orders = {} breakeven._ids_start = nil breakeven._source_id = nil breakeven._trading = nil breakeven._controllers = {} function breakeven:trace(str) if not self.Debug then return end core.host:trace(self.Name .. ": " .. str) end function breakeven:OnNewModule(module) if module.Name == "Trading" then self._trading = module end end function breakeven:RegisterModule(modules) for _, module in pairs(modules) do self:OnNewModule(module) module:OnNewModule(self) end modules[#modules + 1] = self self._ids_start = (#modules) * 1000 end function breakeven:Init(parameters) end function breakeven:Prepare(nameOnly) end function breakeven:ExtUpdate(id, source, period) end function breakeven:CreateTrailingLimitController() local controller = {} controller._parent = self controller._executed = false function controller:SetDirection(direction) self._direction = direction return self end function controller:SetTrigger(trigger) self._trigger = trigger return self end function controller:SetTrade(trade) self._trade = trade return self end function controller:SetStep(step) self._step = step return self end function controller:SetRequestID(trade_request_id) self._request_id = trade_request_id return self end function controller:GetTrade() if self._trade == nil then self._trade = core.host:findTable("trades"):find("OpenOrderReqID", self._request_id) if self._trade == nil then return nil end self._initial_limit = self._trade.Limit end return self._trade end function controller:DoBreakeven() if self._executed then return false end local trade = self:GetTrade() if trade == nil or (self._move_command ~= nil and not self._move_command.Finished) then return true end if not trade:refresh() then self._executed = true return false end if self._direction == 1 then if trade.PL >= self._trigger then local offer = core.host:findTable("offers"):find("Instrument", trade.Instrument) local target_limit if trade.BS == "B" then target_limit = self._initial_limit + self._step * offer.PointSize else target_limit = self._initial_limit - self._step * offer.PointSize end self._initial_limit = target_limit self._trigger = self._trigger + self._step self._move_command = self._parent._trading:MoveLimit(trade, target_limit) return true end elseif self._direction == -1 then if trade.PL <= -self._trigger then local offer = core.host:findTable("offers"):find("Instrument", trade.Instrument) local target_limit if trade.BS == "B" then target_limit = self._initial_limit - self._step * offer.PointSize else target_limit = self._initial_limit + self._step * offer.PointSize end self._initial_limit = target_limit self._trigger = self._trigger + self._step self._move_command = self._parent._trading:MoveLimit(trade, target_limit) return true end else core.host:trace("No direction is set for the trailing limit") end return true end self._controllers[#self._controllers + 1] = controller return controller end function breakeven:CreateController() local controller = {} controller._parent = self controller._executed = false controller._trailing = 0 function controller:SetWhen(when) self._when = when return self end function controller:SetTrade(trade) self._trade = trade return self end function controller:SetDynamicTo(dynamicTo) self._dynamicTo = dynamicTo return self end function controller:SetTo(to) self._to = to return self end function controller:SetTrailing(trailing) self._trailing = trailing return self end function controller:SetRequestID(trade_request_id) self._request_id = trade_request_id return self end function controller:GetTrade() if self._trade == nil then self._trade = core.host:findTable("trades"):find("OpenOrderReqID", self._request_id) if self._trade == nil then return nil end end return self._trade end function controller:getTo() local trade = self:GetTrade() if self._dynamicTo ~= nil then return self._dynamicTo(trade) end local offer = core.host:findTable("offers"):find("Instrument", trade.Instrument) if trade.BS == "B" then return offer.Bid - (trade.PL - self._to) * offer.PointSize else return offer.Ask + (trade.PL - self._to) * offer.PointSize end end function controller:DoBreakeven() if self._executed then return false end local trade = self:GetTrade() if trade == nil then return true end if not trade:refresh() then self._executed = true return false end if trade.PL >= self._when then self._parent._trading:MoveStop(trade, self:getTo(), self._trailing) self._executed = true return false end return true end self._controllers[#self._controllers + 1] = controller return controller end function breakeven:RestoreTrailingOnProfitController(controller) controller._parent = self function controller:SetTrade(trade) self._trade = trade return self end function controller:SetProfitPercentage(profit_pr, min_profit) self._profit_pr = profit_pr self._min_profit = min_profit return self end function controller:SetRequestID(trade_request_id) self._request_id = trade_request_id return self end function controller:GetTrade() if self._trade == nil then self._trade = core.host:findTable("trades"):find("OpenOrderReqID", self._request_id) if self._trade == nil then return nil end end return self._trade end function controller:GetClosedTrade() if self._closed_trade == nil then self._closed_trade = core.host:findTable("closed trades"):find("OpenOrderReqID", self._request_id) if self._closed_trade == nil then return nil end end if not self._closed_trade:refresh() then return nil end return self._closed_trade end function controller:getStopPips(trade) local stop = trading:FindStopOrder(trade) if stop == nil then return nil end local offer = core.host:findTable("offers"):find("Instrument", trade.Instrument) if trade.BS == "B" then return (stop.Rate - trade.Open) / offer.PointSize else return (trade.Open - stop.Rate) / offer.PointSize end end function controller:DoBreakeven() if self._executed then return false end if self._move_command ~= nil and not self._move_command.Finished then return true end local trade = self:GetTrade() if trade == nil then if self:GetClosedTrade() ~= nil then self._executed = true end return true end if not trade:refresh() then self._executed = true return false end if trade.PL < self._min_profit then return true end local new_stop = trade.PL * (self._profit_pr / 100) local current_stop = self:getStopPips(trade) if current_stop == nil or current_stop < new_stop then local offer = core.host:findTable("offers"):find("Instrument", trade.Instrument) if trade.BS == "B" then if not trailing_mark:hasData(NOW) then trailing_mark[NOW] = trade.Close end self._move_command = self._parent._trading:MoveStop(trade, trade.Open + new_stop * offer.PointSize) core.host:trace( "Moving stop for " .. trade.TradeID .. " to " .. trade.Open + new_stop * offer.PointSize ) else if not trailing_mark:hasData(NOW) then trailing_mark[NOW] = trade.Close end self._move_command = self._parent._trading:MoveStop(trade, trade.Open - new_stop * offer.PointSize) core.host:trace( "Moving stop for " .. trade.TradeID .. " to " .. trade.Open - new_stop * offer.PointSize ) end return true end return true end end function breakeven:CreateTrailingOnProfitController() local controller = {} controller._executed = false controller._trailing = 0 self:RestoreTrailingOnProfitController(controller) self._controllers[#self._controllers + 1] = controller return controller end breakeven:RegisterModule(Modules) trading = {} trading.Name = "Trading" trading.Version = "4.6.0" trading.Debug = false trading.AddAmountParameter = true trading.AddStopParameter = true trading.AddLimitParameter = true trading._ids_start = nil trading._signaler = nil trading._allow_trade = false trading._account = nil trading._amount = 1 trading._all_modules = {} trading._limit = nil trading._stop = nil trading._trailing_stop = nil trading._request_id = {} trading._waiting_requests = {} trading._used_stop_orders = {} trading._used_limit_orders = {} function trading:trace(str) if not self.Debug then return end core.host:trace(self.Name .. ": " .. str) end function trading:RegisterModule(modules) for _, module in pairs(modules) do self:OnNewModule(module) module:OnNewModule(self) end modules[#modules + 1] = self self._ids_start = (#modules) * 1000 end function trading:Init(parameters) end function trading:Prepare(name_only) end function trading:OnNewModule(module) if module.Name == "Signaler" then self._signaler = module end self._all_modules[#self._all_modules + 1] = module end function trading:AsyncOperationFinished(cookie, success, message, message1, message2) local res = self._waiting_requests[cookie] if res ~= nil then res.Finished = true res.Success = success res.Error = not success and message or nil if not success then self:trace(string.format("Failed request %s", tostring(message))) end self._waiting_requests[cookie] = nil elseif cookie == self._order_update_id then for _, order in ipairs(self._monitored_orders) do if order.RequestID == message2 then order.FixStatus = message1 end end elseif cookie == self._ids_start + 2 then if not success then if self._signaler ~= nil then self._signaler:Signal("Close order failed: " .. message) else self:trace("Close order failed: " .. message) end end end end function trading:getOppositeSide(side) if side == "B" then return "S" end return "B" end function trading:getId() for id = self._ids_start, self._ids_start + 100 do if self._waiting_requests[id] == nil then return id end end return self._ids_start end function trading:CreateLimitOrder(trade, limit_rate) local valuemap = core.valuemap() valuemap.Command = "CreateOrder" valuemap.OfferID = trade.OfferID valuemap.Rate = limit_rate if trade.BS == "B" then valuemap.BuySell = "S" else valuemap.BuySell = "B" end local can_close = core.host:execute("getTradingProperty", "canCreateMarketClose", trade.Instrument, trade.AccountID) if can_close then valuemap.OrderType = "L" valuemap.AcctID = trade.AccountID valuemap.TradeID = trade.TradeID valuemap.Quantity = trade.Lot else valuemap.OrderType = "LE" valuemap.AcctID = trade.AccountID valuemap.NetQtyFlag = "Y" end local success, msg = terminal:execute(200, valuemap) if not (success) then terminal:alertMessage(trade.Instrument, limit_rate, "Failed create limit " .. msg, core.now()) else self._request_id[trade.TradeID] = msg end end function trading:ChangeOrder(order, rate, trailing) local min_change = core.host:findTable("offers"):find("Instrument", order.Instrument).PointSize if math.abs(rate - order.Rate) > min_change then self:trace(string.format("Changing an order to %s", tostring(rate))) -- stop exists local valuemap = core.valuemap() valuemap.Command = "EditOrder" valuemap.AcctID = order.AccountID valuemap.OrderID = order.OrderID valuemap.TrailUpdatePips = trailing valuemap.Rate = rate local id = self:getId() local success, msg = terminal:execute(id, valuemap) if not (success) then local message = "Failed change order " .. msg self:trace(message) if self._signaler ~= nil then self._signaler:Signal(message) end local res = {} res.Finished = true res.Success = false res.Error = message return res end local res = {} res.Finished = false res.RequestID = msg self._waiting_requests[id] = res return res end local res = {} res.Finished = true res.Success = true return res end function trading:IsLimitOrderType(order_type) return order_type == "L" or order_type == "LE" or order_type == "LT" or order_type == "LTE" end function trading:FindLimitOrder(trade) local can_close = core.host:execute("getTradingProperty", "canCreateMarketClose", trade.Instrument, trade.AccountID) if can_close then local order_id if trade.LimitOrderID ~= nil and trade.LimitOrderID ~= "" then order_id = trade.LimitOrderID self:trace("Using limit order id from the trade") elseif self._request_id[trade.TradeID] ~= nil then self:trace("Searching limit order by request id: " .. tostring(self._request_id[trade.TradeID])) local order = core.host:findTable("orders"):find("RequestID", self._request_id[trade.TradeID]) if order ~= nil then order_id = order.OrderID self._request_id[trade.TradeID] = nil end end -- Check that order is stil exist if order_id ~= nil then return core.host:findTable("orders"):find("OrderID", order_id) end else local enum = core.host:findTable("orders"):enumerator() local row = enum:next() while (row ~= nil) do if row.ContingencyType == 3 and IsLimitOrderType(row.Type) and self._used_limit_orders[row.OrderID] ~= true then self._used_limit_orders[row.OrderID] = true return row end row = enum:next() end end return nil end function trading:MoveLimit(trade, limit_rate) self:trace("Searching for a limit") local order = self:FindLimitOrder(trade) if order == nil then self:trace("Limit order not found, creating a new one") return self:CreateLimitOrder(trade, limit_rate) else return self:ChangeOrder(order, limit_rate) end end function trading:CreateStopOrder(trade, stop_rate, trailing) local valuemap = core.valuemap() valuemap.Command = "CreateOrder" valuemap.OfferID = trade.OfferID valuemap.Rate = stop_rate if trade.BS == "B" then valuemap.BuySell = "S" else valuemap.BuySell = "B" end local can_close = core.host:execute("getTradingProperty", "canCreateMarketClose", trade.Instrument, trade.AccountID) if can_close then valuemap.OrderType = "S" valuemap.AcctID = trade.AccountID valuemap.TradeID = trade.TradeID valuemap.Quantity = trade.Lot valuemap.TrailUpdatePips = trailing else valuemap.OrderType = "SE" valuemap.AcctID = trade.AccountID valuemap.NetQtyFlag = "Y" end local id = self:getId() local success, msg = terminal:execute(id, valuemap) if not (success) then local message = "Failed create stop " .. msg self:trace(message) if self._signaler ~= nil then self._signaler:Signal(message) end local res = {} res.Finished = true res.Success = false res.Error = message return res end local res = {} res.Finished = false res.RequestID = msg self._waiting_requests[id] = res self._request_id[trade.TradeID] = msg return res end function trading:IsStopOrderType(order_type) return order_type == "S" or order_type == "SE" or order_type == "ST" or order_type == "STE" end function trading:FindStopOrder(trade) local can_close = core.host:execute("getTradingProperty", "canCreateMarketClose", trade.Instrument, trade.AccountID) if can_close then local order_id if trade.StopOrderID ~= nil and trade.StopOrderID ~= "" then order_id = trade.StopOrderID self:trace("Using stop order id from the trade") elseif self._request_id[trade.TradeID] ~= nil then self:trace("Searching stop order by request id: " .. tostring(self._request_id[trade.TradeID])) local order = core.host:findTable("orders"):find("RequestID", self._request_id[trade.TradeID]) if order ~= nil then order_id = order.OrderID self._request_id[trade.TradeID] = nil end end -- Check that order is stil exist if order_id ~= nil then return core.host:findTable("orders"):find("OrderID", order_id) end else local enum = core.host:findTable("orders"):enumerator() local row = enum:next() while (row ~= nil) do if row.ContingencyType == 3 and self:IsStopOrderType(row.Type) and self._used_stop_orders[row.OrderID] ~= true then self._used_stop_orders[row.OrderID] = true return row end row = enum:next() end end return nil end function trading:MoveStop(trade, stop_rate, trailing) local order = self:FindStopOrder(trade) if order == nil then if trailing == 0 then trailing = nil end return self:CreateStopOrder(trade, stop_rate, trailing) else if trailing == 0 then if order.TrlMinMove ~= 0 then trailing = order.TrlMinMove else trailing = nil end end return self:ChangeOrder(order, stop_rate, trailing) end end trading:RegisterModule(Modules)