#region Namespaces
using System;
using System.IO;
using System.Linq;
#endregion
namespace ScriptCode {
/// <summary>
/// Trade Management Strategy scripts have multiple use-cases such as implementing position entry strategies,
/// implementing position exit strategies and implementing advanced order management systems, among others.
/// </summary>
public partial class MyTradeManagementStrategy : TradeManagementStrategyScriptBase // NEVER CHANGE THE CLASS NAME
{
#region Variables
// The order index that started the strategy.
private int _parentOrderIndex;
// The quantity of the entry order.
private double _quantity;
// The stop loss offset in ticks from the current price (set to zero to not set a stop loss)
private double _stopLossOffset;
// Indicates whether the position should be reversed once the stop loss is triggered
private bool _reverseAtStopLoss;
// The profit target offset in ticks from the current price (set to zero to not set a profit target)
private double _profitTargetOffset;
// Indicates whether the position should be reversed once the target is triggered
private bool _reverseAtTarget;
// The stop loss order index.
private int _stopLossOrderIndex;
// The profit target order index.
private int _profitTargetOrderIndex;
// The reversed order index.
private int _reversedOrderIndex;
#endregion
#region OnInitialize
/// <summary>
/// This function is used for accepting the script parameters and for initializing the script prior to all other function calls.
/// </summary>
/// --------------------------------------------------------------------------------------------------
/// PLEASE USE THE SCRIPT WIZARD (CTRL+W) TO ADD, EDIT AND REMOVE THE SCRIPT PARAMETERS
/// --------------------------------------------------------------------------------------------------
/// YOU MUST SET A PARAM TAG FOR EACH PARAMETER ACCEPTED BY THIS FUNCTION.
/// ALL PARAM TAGS SHOULD BE SET IN THE 'OnInitialize' REGION, RIGHT ABOVE THE 'OnInitialize' FUNCTION.
/// THE ORDER OF THE TAGS MUST MATCH THE ORDER OF THE ACTUAL PARAMETERS.
/// REQUIRED ATTRIBUTES:
/// (1) name: The exact parameter name.
/// (2) type: The type of data to collect from the user:
/// Set to "Integer" when the data type is 'int'
/// Set to "IntegerArray" when the data type is 'int[]'
/// Set to "DateTime" when the data type is 'long'
/// Set to "DateTimeArray" when the data type is 'long[]'
/// Set to "Boolean" when the data type is 'bool'
/// Set to "BooleanArray" when the data type is 'bool[]'
/// Set to "Double" when the data type is 'double'
/// Set to "DoubleArray" when the data type is 'double[]'
/// Set to "String" when the data type is 'string'
/// Set to "StringArray" when the data type is 'string[]'
/// OPTIONAL ATTRIBUTES:
/// (3) default: The default parameter value is only valid when the type is Integer, Boolean, Double, String or an API Type.
/// (4) min: The minimum parameter value is only valid when the type is Integer or Double.
/// (5) max: The maximum parameter value is only valid when the type is Integer or Double.
/// EXAMPLE: <param name="" type="" default="" min="" max="">Enter the parameter description here.</param>
/// --------------------------------------------------------------------------------------------------
/// <param name="stopLossOffset" type="Double" default="0">The stop loss offset in ticks from the current price (set to zero to not set a stop loss)</param>
/// <param name="reverseAtStopLoss" type="Boolean" default="false">Indicates whether the position should be reversed once the stop loss is triggered</param>
/// <param name="profitTargetOffset" type="Double" default="0">The profit target offset in ticks from the current price (set to zero to not set a profit target)</param>
/// <param name="reverseAtTarget" type="Boolean" default="false">Indicates whether the position should be reversed once the target is triggered</param>
public void OnInitialize(
double stopLossOffset,
bool reverseAtStopLoss,
double profitTargetOffset,
bool reverseAtTarget) {
_stopLossOffset = stopLossOffset;
_reverseAtStopLoss = reverseAtStopLoss;
_profitTargetOffset = profitTargetOffset;
_reverseAtTarget = reverseAtTarget;
_reversedOrderIndex = - 1;
}
#endregion
#region OnBarUpdate
/// <summary>
/// This function is called after each new bar belonging to the symbol that triggered the trade management strategy.
/// It can be used to evaluate the symbol and its new bar in order to submit, modify or cancel orders.
/// </summary>
/// <param name="symbolIndex" type="Integer">The index of the symbol in the symbol table</param>
/// <param name="dataSeries" type="Integer">The number indicating the data series from which the symbol was updated.
/// 0 for the main data series which streams tick data, 1 for the second data series which streams minute bars that are updated on bar update.</param>
/// <param name="completedBars" type="Integer">The number of completed bars for the specified symbol since the last call to OnBarUpdate.
/// Always 1 unless the bar type can generate multiple completed bars from a single tick/minute/day update (depending on the underlying bar source).</param>
public override void OnBarUpdate(
int symbolIndex,
int dataSeries,
int completedBars) {
// Check whether the order should reverse on stop loss and the stop loss has been executed, yet the order has not been reversed.
if (_reverseAtStopLoss && _reversedOrderIndex == - 1 && _stopLossOrderIndex != -1 &&
OrderStatus(_stopLossOrderIndex) == C_Status.EXECUTED) {
// Check whether the stop loss order was for a long position.
if (OrderActionType(_stopLossOrderIndex) == C_ActionType.SELL) {
// Enter a short position.
_reversedOrderIndex = BrokerMarket(C_ActionType.SELL, _quantity, C_TIF.DAY, "Reverse Long to Short");
}
// Check whether the stop loss order was for a short position.
else {
// Enter a long position.
_reversedOrderIndex = BrokerMarket(C_ActionType.BUY, _quantity, C_TIF.DAY, "Reverse Short to Long");
}
// Register the reversed order index.
TradeManagementRegisterOrder(_reversedOrderIndex);
}
// Check whether the order should reverse on profit target and the take profit has been executed, yet the order has not been reversed.
if (_reverseAtTarget && _reversedOrderIndex == - 1 && _profitTargetOrderIndex != -1 &&
OrderStatus(_profitTargetOrderIndex) == C_Status.EXECUTED) {
// Check whether the take profit order was for a long position.
if (OrderActionType(_profitTargetOrderIndex) == C_ActionType.SELL) {
// Enter a short position.
_reversedOrderIndex = BrokerMarket(C_ActionType.SELL, _quantity, C_TIF.DAY, "Reverse Long to Short");
}
// Check whether the take profit order was for a short position.
else {
// Enter a long position.
_reversedOrderIndex = BrokerMarket(C_ActionType.BUY, _quantity, C_TIF.DAY, "Reverse Short to Long");
}
// Register the reversed order index.
TradeManagementRegisterOrder(_reversedOrderIndex);
}
// Check whether the order has been reversed and thus bar updates are no longer required or both the SL and TP orders have been cancelled.
if (_reversedOrderIndex != - 1 ||
((_stopLossOrderIndex == -1 || OrderStatus(_stopLossOrderIndex) == C_Status.CANCELLED) && (_profitTargetOrderIndex == -1 || OrderStatus(_profitTargetOrderIndex) == C_Status.CANCELLED)) ||
OrderStatus(_parentOrderIndex) == C_Status.CANCELLED)
// Stop receiving bar updates.
TradeManagementStop();
}
#endregion
#region OnEntryOrder
/// <summary>
/// This function is called once for the entry order that triggered the script.
/// It's called before the order is submitted and can be used for setting attached orders or OCA groups.
/// </summary>
/// <param name="symbolIndex" type="Integer">The symbol index of the order that triggered the script</param>
/// <param name="orderIndex" type="Integer">The order index that triggered the script</param>
public override void OnEntryOrder(
int symbolIndex,
int orderIndex) {
// Keep the order index of the order that started the strategy.
_parentOrderIndex = orderIndex;
_quantity = OrderQuantity(orderIndex);
// Check whether bar updates are required.
if (_reverseAtStopLoss || _reverseAtTarget)
// Start receiving bar updates as required by the strategy.
TradeManagementStart();
// Check whether the order is a long order.
if (OrderActionType(orderIndex) == C_ActionType.BUY || OrderActionType(orderIndex) == C_ActionType.BUY_TO_COVER) {
// Check whether a stop loss has been set.
if (_stopLossOffset != 0) {
// Set a stop loss for the order
_stopLossOrderIndex = BrokerSetStopLoss(orderIndex, OrderExpectedPrice(orderIndex) - _stopLossOffset * SymbolTickSize(), "Stop Loss");
// Register the stop loss order.
TradeManagementRegisterOrder(_stopLossOrderIndex);
}
// Check whether a profit target has been set.
if (_profitTargetOffset != 0) {
// Set a profit target for the order
_profitTargetOrderIndex = BrokerSetTakeProfit(orderIndex, OrderExpectedPrice(orderIndex) + _profitTargetOffset * SymbolTickSize(), "Take Profit");
// Register the profit target order.
TradeManagementRegisterOrder(_profitTargetOrderIndex);
}
}
else {
// Check whether a stop loss has been set.
if (_stopLossOffset != 0) {
// Set a stop loss for the order
_stopLossOrderIndex = BrokerSetStopLoss(orderIndex, OrderExpectedPrice(orderIndex) + _stopLossOffset * SymbolTickSize(), "Stop Loss");
// Register the stop loss order.
TradeManagementRegisterOrder(_stopLossOrderIndex);
}
// Check whether a profit target has been set.
if (_profitTargetOffset != 0) {
// Set a profit target for the order
_profitTargetOrderIndex = BrokerSetTakeProfit(orderIndex, OrderExpectedPrice(orderIndex) - _profitTargetOffset * SymbolTickSize(), "Take Profit");
// Register the profit target order.
TradeManagementRegisterOrder(_profitTargetOrderIndex);
}
}
}
#endregion
#region OnShutdown
/// <summary>
/// This function is called when the script is shutdown.
/// </summary>
public override void OnShutdown() {
// OnShutdown Content
}
#endregion
}
}
