ProfitChaseStopTrailIndicatorExample
unknown
csharp
2 years ago
12 kB
21
Indexable
Never
#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Gui.Tools;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion
//This namespace holds Indicators in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Indicators
{
public class ProfitChaseStopTrailIndicatorExample : Indicator
{
private Position accountPosition;
private List<Order> changeOrdersArray, submitOrdersArray;
private double currentPtPrice, currentSlPrice;
private Order entryBuyMarketOrder, profitTargetOrder, stopLossOrder;
private Account submissionAccount;
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Name = "ProfitChaseStopTrailIndicatorExample";
Calculate = Calculate.OnPriceChange;
IsOverlay = true;
DisplayInDataBox = false;
ChaseProfitTarget = true;
PrintDetails = false;
ProfitTargetDistance = 10;
StopLossDistance = 10;
TrailStopLoss = true;
UseProfitTarget = true;
UseStopLoss = true;
}
else if (State == State.DataLoaded)
{
submissionAccount = Account.All.FirstOrDefault(a => a.Name == "Sim101");
if (submissionAccount != null)
submissionAccount.OrderUpdate += Account_OrderUpdate;
}
else if (State == State.Terminated)
{
if (submissionAccount != null)
submissionAccount.OrderUpdate -= Account_OrderUpdate;
}
}
private void Account_OrderUpdate(object sender, OrderEventArgs orderUpdateArgs)
{
if (entryBuyMarketOrder != null && entryBuyMarketOrder == orderUpdateArgs.Order && orderUpdateArgs.Order.OrderState == OrderState.Filled)
{
string oco = Guid.NewGuid().ToString("N");
submitOrdersArray = new List<Order>();
if (UseProfitTarget)
{
currentPtPrice = orderUpdateArgs.AverageFillPrice + ProfitTargetDistance * TickSize;
if (PrintDetails)
Print(string.Format("{0} | Account_OrderUpdate | placing profit target | currentPtPrice: {1}", orderUpdateArgs.Time, currentPtPrice));
profitTargetOrder = submissionAccount.CreateOrder(orderUpdateArgs.Order.Instrument, OrderAction.Sell, OrderType.Limit, OrderEntry.Automated, TimeInForce.Day, orderUpdateArgs.Quantity, currentPtPrice, 0, oco, "Profit Target", Core.Globals.MaxDate, null);
submitOrdersArray.Add(profitTargetOrder);
}
if (UseStopLoss)
{
currentSlPrice = orderUpdateArgs.AverageFillPrice - StopLossDistance * TickSize;
if (PrintDetails)
Print(string.Format("{0} | Account_OrderUpdate | placing stop loss | currentSlPrice: {1}", orderUpdateArgs.Time, currentSlPrice));
stopLossOrder = submissionAccount.CreateOrder(orderUpdateArgs.Order.Instrument, OrderAction.Sell, OrderType.StopMarket, OrderEntry.Automated, TimeInForce.Day, orderUpdateArgs.Quantity, 0, currentSlPrice, oco, "Stop Loss", Core.Globals.MaxDate, null);
submitOrdersArray.Add(stopLossOrder);
}
submissionAccount.Submit(submitOrdersArray);
}
// once the exit orders are closed, reset for a new entry.
else if ((profitTargetOrder != null && (profitTargetOrder.OrderState == OrderState.Filled || profitTargetOrder.OrderState == OrderState.Rejected || profitTargetOrder.OrderState == OrderState.Cancelled)) || (stopLossOrder != null && (stopLossOrder.OrderState == OrderState.Filled || stopLossOrder.OrderState == OrderState.Rejected || stopLossOrder.OrderState == OrderState.Cancelled)))
{
entryBuyMarketOrder = null;
profitTargetOrder = null;
stopLossOrder = null;
}
}
protected override void OnBarUpdate()
{
if (State != State.Realtime)
return;
// check if the account position for this instrument is flat, if so submit entry
if (submissionAccount != null && submissionAccount.Positions.Where(o => o.Instrument == Instrument).Count() > 0)
accountPosition = submissionAccount.Positions.Where(o => o.Instrument == Instrument).Last();
else
accountPosition = null;
if (IsFirstTickOfBar && (accountPosition == null || accountPosition.MarketPosition == MarketPosition.Flat))
{
if (PrintDetails)
Print(string.Format("{0} | OOU | submitting entry", Time[0], currentPtPrice));
// the name of the order must be Entry or the order will get stuck in the intialize state
entryBuyMarketOrder = submissionAccount.CreateOrder(Instrument, OrderAction.Buy, OrderType.Market, OrderEntry.Automated, TimeInForce.Day, 1, 0, 0, string.Empty, "Entry", Core.Globals.MaxDate, null);
submissionAccount.Submit(new[] { entryBuyMarketOrder });
}
// else ensure the stop and targets are working, and see if these need to be trailed / chased.
else
{
changeOrdersArray = new List<Order>();
if (ChaseProfitTarget && profitTargetOrder != null &&
(profitTargetOrder.OrderState == OrderState.Accepted || profitTargetOrder.OrderState == OrderState.Working) &&
Close[0] < currentPtPrice - ProfitTargetDistance * TickSize)
{
currentPtPrice = Close[0] + ProfitTargetDistance * TickSize;
profitTargetOrder.LimitPriceChanged = currentPtPrice;
changeOrdersArray.Add(profitTargetOrder);
if (PrintDetails)
Print(string.Format("{0} | OOU | chasing target, currentPtPrice: {1}", Time[0], currentPtPrice));
}
if (TrailStopLoss && stopLossOrder != null &&
(stopLossOrder.OrderState == OrderState.Accepted || stopLossOrder.OrderState == OrderState.Working) &&
Close[0] > currentSlPrice + StopLossDistance * TickSize)
{
currentSlPrice = Close[0] - StopLossDistance * TickSize;
stopLossOrder.StopPriceChanged = currentSlPrice;
changeOrdersArray.Add(stopLossOrder);
if (PrintDetails)
Print(string.Format("{0} | OOU | trailing stop, currentPtPrice: {1}", Time[0], currentSlPrice));
}
if (changeOrdersArray.Count() > 0)
submissionAccount.Change(changeOrdersArray);
}
}
#region Properties
[NinjaScriptProperty]
[Display(Name = "Chase profit target", Order = 2, GroupName = "NinjaScriptStrategyParameters")]
public bool ChaseProfitTarget
{ get; set; }
[NinjaScriptProperty]
[Range(1, int.MaxValue)]
[Display(Name = "Profit target distance", Description = "Distance for profit target (in ticks)", Order = 3, GroupName = "NinjaScriptStrategyParameters")]
public int ProfitTargetDistance
{ get; set; }
[NinjaScriptProperty]
[Display(Name = "Print details", Order = 7, GroupName = "NinjaScriptStrategyParameters")]
public bool PrintDetails
{ get; set; }
[NinjaScriptProperty]
[Range(1, int.MaxValue)]
[Display(Name = "Stop loss distance", Description = "Distance for stop loss (in ticks)", Order = 6, GroupName = "NinjaScriptStrategyParameters")]
public int StopLossDistance
{ get; set; }
[NinjaScriptProperty]
[Display(Name = "Trail stop loss", Order = 5, GroupName = "NinjaScriptStrategyParameters")]
public bool TrailStopLoss
{ get; set; }
[NinjaScriptProperty]
[Display(Name = "Use profit target", Order = 1, GroupName = "NinjaScriptStrategyParameters")]
public bool UseProfitTarget
{ get; set; }
[NinjaScriptProperty]
[Display(Name = "Use stop loss", Order = 4, GroupName = "NinjaScriptStrategyParameters")]
public bool UseStopLoss
{ get; set; }
#endregion
}
}
#region NinjaScript generated code. Neither change nor remove.
namespace NinjaTrader.NinjaScript.Indicators
{
public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
{
private ProfitChaseStopTrailIndicatorExample[] cacheProfitChaseStopTrailIndicatorExample;
public ProfitChaseStopTrailIndicatorExample ProfitChaseStopTrailIndicatorExample(bool chaseProfitTarget, int profitTargetDistance, bool printDetails, int stopLossDistance, bool trailStopLoss, bool useProfitTarget, bool useStopLoss)
{
return ProfitChaseStopTrailIndicatorExample(Input, chaseProfitTarget, profitTargetDistance, printDetails, stopLossDistance, trailStopLoss, useProfitTarget, useStopLoss);
}
public ProfitChaseStopTrailIndicatorExample ProfitChaseStopTrailIndicatorExample(ISeries<double> input, bool chaseProfitTarget, int profitTargetDistance, bool printDetails, int stopLossDistance, bool trailStopLoss, bool useProfitTarget, bool useStopLoss)
{
if (cacheProfitChaseStopTrailIndicatorExample != null)
for (int idx = 0; idx < cacheProfitChaseStopTrailIndicatorExample.Length; idx++)
if (cacheProfitChaseStopTrailIndicatorExample[idx] != null && cacheProfitChaseStopTrailIndicatorExample[idx].ChaseProfitTarget == chaseProfitTarget && cacheProfitChaseStopTrailIndicatorExample[idx].ProfitTargetDistance == profitTargetDistance && cacheProfitChaseStopTrailIndicatorExample[idx].PrintDetails == printDetails && cacheProfitChaseStopTrailIndicatorExample[idx].StopLossDistance == stopLossDistance && cacheProfitChaseStopTrailIndicatorExample[idx].TrailStopLoss == trailStopLoss && cacheProfitChaseStopTrailIndicatorExample[idx].UseProfitTarget == useProfitTarget && cacheProfitChaseStopTrailIndicatorExample[idx].UseStopLoss == useStopLoss && cacheProfitChaseStopTrailIndicatorExample[idx].EqualsInput(input))
return cacheProfitChaseStopTrailIndicatorExample[idx];
return CacheIndicator<ProfitChaseStopTrailIndicatorExample>(new ProfitChaseStopTrailIndicatorExample(){ ChaseProfitTarget = chaseProfitTarget, ProfitTargetDistance = profitTargetDistance, PrintDetails = printDetails, StopLossDistance = stopLossDistance, TrailStopLoss = trailStopLoss, UseProfitTarget = useProfitTarget, UseStopLoss = useStopLoss }, input, ref cacheProfitChaseStopTrailIndicatorExample);
}
}
}
namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
{
public Indicators.ProfitChaseStopTrailIndicatorExample ProfitChaseStopTrailIndicatorExample(bool chaseProfitTarget, int profitTargetDistance, bool printDetails, int stopLossDistance, bool trailStopLoss, bool useProfitTarget, bool useStopLoss)
{
return indicator.ProfitChaseStopTrailIndicatorExample(Input, chaseProfitTarget, profitTargetDistance, printDetails, stopLossDistance, trailStopLoss, useProfitTarget, useStopLoss);
}
public Indicators.ProfitChaseStopTrailIndicatorExample ProfitChaseStopTrailIndicatorExample(ISeries<double> input , bool chaseProfitTarget, int profitTargetDistance, bool printDetails, int stopLossDistance, bool trailStopLoss, bool useProfitTarget, bool useStopLoss)
{
return indicator.ProfitChaseStopTrailIndicatorExample(input, chaseProfitTarget, profitTargetDistance, printDetails, stopLossDistance, trailStopLoss, useProfitTarget, useStopLoss);
}
}
}
namespace NinjaTrader.NinjaScript.Strategies
{
public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
{
public Indicators.ProfitChaseStopTrailIndicatorExample ProfitChaseStopTrailIndicatorExample(bool chaseProfitTarget, int profitTargetDistance, bool printDetails, int stopLossDistance, bool trailStopLoss, bool useProfitTarget, bool useStopLoss)
{
return indicator.ProfitChaseStopTrailIndicatorExample(Input, chaseProfitTarget, profitTargetDistance, printDetails, stopLossDistance, trailStopLoss, useProfitTarget, useStopLoss);
}
public Indicators.ProfitChaseStopTrailIndicatorExample ProfitChaseStopTrailIndicatorExample(ISeries<double> input , bool chaseProfitTarget, int profitTargetDistance, bool printDetails, int stopLossDistance, bool trailStopLoss, bool useProfitTarget, bool useStopLoss)
{
return indicator.ProfitChaseStopTrailIndicatorExample(input, chaseProfitTarget, profitTargetDistance, printDetails, stopLossDistance, trailStopLoss, useProfitTarget, useStopLoss);
}
}
}
#endregion