LargeTradesStrategyNT8
https://ninjatraderecosystem.com/user-app-share-download/largetrades-strategy-nt8/
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2 years ago
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/// <summary>
/// Coded by bcomas July 2020. Email: [email protected] for improvements
/// Trading the major transactions that have taken place during
/// short period of time and at the same price (Limit buyer / seller)
/// </summary>
// 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.Indicators;
using NinjaTrader.NinjaScript.DrawingTools;
//This namespace holds Strategies in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Strategies
{
public class LargeTradesStrategyNT8 : Strategy
{
private bcomasLargeTrades LargeTradesSignal1;
private int vol = 50;
private int fix = 1;
private bcomasVolumeUpDown VolumeUpDown1;
// Daily Target
private int priorTradesCount = 0;
private double priorTradesCumProfit = 0;
// Email
private string toEmailAddress = @"";
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"NT8 Strategy based on LargeTrades";
Name = "LargeTradesStrategyNT8";
Calculate = Calculate.OnBarClose;
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = true;
ExitOnSessionCloseSeconds = 30;
IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
OrderFillResolution = OrderFillResolution.Standard;
Slippage = 0;
StartBehavior = StartBehavior.ImmediatelySubmit;
TimeInForce = TimeInForce.Day;
TraceOrders = false;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
BarsRequiredToTrade = 20;
// Disable this property for performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
// Keeps the strategy running as if no disconnect occurred
ConnectionLossHandling = ConnectionLossHandling.KeepRunning;
// StopLoss & ProfitTarget
UseProtectiveStops = true;
StopLoss = 100;
ProfitTarget = 100;
// Daily Target
Contracts = 1;
DailyLossLimit = -100;
DailyProfitLimit = 200;
DailyTradesCount = 5;
// Email alerts
UseEmail = false;
EnableEntryAlert = false;
EnableExitAlert = false;
toEmailAddress = @"";
// Times
Session1 = true;
Session1Start = 0;
Session1End = 223059;
Session2 = false;
Session2Start = 90000;
Session2End = 110000;
Session3 = false;
Session3Start = 120000;
Session3End = 125900;
}
else if (State == State.Configure)
{
{
AddDataSeries(BarsPeriodType.Second,1);
}
}
else if (State == State.DataLoaded)
{
LargeTradesSignal1 = bcomasLargeTrades(Close, Volume_, fix, Brushes.Transparent, Brushes.White, false, false, false, "Alert4.wav");
{
AddChartIndicator(LargeTradesSignal1);
}
VolumeUpDown1 = bcomasVolumeUpDown(Close);
{
AddChartIndicator(VolumeUpDown1);
}
}
}
// StopLoss & ProfitTarget
protected override void OnExecutionUpdate( Cbi.Execution e, string executionId, double price, int quantity,
Cbi.MarketPosition marketPosition, string orderId, DateTime time )
{
if( UseProtectiveStops )
{
if( e.IsEntryStrategy )
{
if( e.Order.OrderAction == OrderAction.Buy )
{
// Set stop loss
double stopOrderPrice = e.Order.AverageFillPrice - StopLoss * TickSize;
ExitLongStopMarket( 0, true, 3, stopOrderPrice, "Stop loss", e.Order.FromEntrySignal );
// Set profit target 1
double profitTarget = e.Order.AverageFillPrice + ProfitTarget * TickSize;;
ExitLongLimit( 0, true, 1, profitTarget, "Profit target", e.Order.FromEntrySignal );
}
if( e.Order.OrderAction == OrderAction.SellShort )
{
// Set stop loss
double stopOrderPrice = e.Order.AverageFillPrice + StopLoss * TickSize;
ExitShortStopMarket( 0, true, 3, stopOrderPrice, "Stop loss", e.Order.FromEntrySignal );
// Set profit target 1
double profitTarget = e.Order.AverageFillPrice - ProfitTarget * TickSize;;
ExitShortLimit( 0, true, 1, profitTarget, "Profit target", e.Order.FromEntrySignal );
}
}
}
}
// Email Alerts
protected override void OnPositionUpdate(Cbi.Position position, double averagePrice, int quantity, Cbi.MarketPosition marketPosition)
{
#region Alert for exits
//Alert for exits
if (Position.MarketPosition == MarketPosition.Flat && EnableExitAlert == true && SystemPerformance.RealTimeTrades.Count > 0)
{
// Check to make sure there is at least one trade in the collection
Trade lastTrade = SystemPerformance.RealTimeTrades[SystemPerformance.RealTimeTrades.Count - 1];
// Calculate the PnL for the last completed real-time trade
double lastProfitCurrency = lastTrade.ProfitCurrency;
SendMail(toEmailAddress,"Position closed" + " " + Instrument.MasterInstrument.Description.ToString() + " " + this.Name,
"Date & Time: " + Times[0][0].ToString("dd/MM/yyyy") + " " + Times[0][0].ToString("HH:mm:ss") + "\n" +
"Instrument: " + Instrument.MasterInstrument.Description.ToString() + " " + Instrument.FullName.ToString() + "\n" +
"Account: " + Position.Account.Name.ToString() + "\n" +
"Exit name: " + lastTrade.Exit.Name.ToString() + "\n" +
"Exit price: " + lastTrade.Exit.Price.ToString() + "\n" +
"Profit/Loss last trade: " + lastProfitCurrency.ToString("0.00"));
}
// Draw text TopRight - Last Profit / Loss
if (Position.MarketPosition == MarketPosition.Flat && SystemPerformance.RealTimeTrades.Count > 0)
{
Trade lastTrade = SystemPerformance.RealTimeTrades[SystemPerformance.RealTimeTrades.Count - 1];
double lastProfitCurrency = lastTrade.ProfitCurrency;
Draw.TextFixed(this, "limitText", "Profit / Loss \nPnL: "+lastProfitCurrency.ToString("0.00")+"$", TextPosition.TopRight);
}
else
{
RemoveDrawObject("limitText");
}
#endregion
#region Alert for entries
if (EnableEntryAlert == true)
{
//Alert long entries
if (Position.MarketPosition == MarketPosition.Long)
{
SendMail(toEmailAddress,"Long Entry: " + this.Name + " " + Instrument.MasterInstrument.Description.ToString(),
"Date & Time: " + Times[0][0].ToString("dd/MM/yyyy") + " " + Times[0][0].ToString("HH:mm:ss") + "\n" +
"Instrument: " + Instrument.MasterInstrument.Description.ToString() + " " + Instrument.FullName.ToString() + "\n" +
"Account: " + Position.Account.Name.ToString() + "\n" +
"Long Entry" + "\n" +
"Quantity: " + Position.Quantity.ToString() + "\n" +
"EntryPrice: " + Position.AveragePrice.ToString() + "\n");
}
//Alert short entries
if (Position.MarketPosition == MarketPosition.Short)
{
SendMail(toEmailAddress,"Short Entry: " + this.Name + " " + Instrument.MasterInstrument.Description.ToString(),
"Date & Time: " + Times[0][0].ToString("dd/MM/yyyy") + " " + Times[0][0].ToString("HH:mm:ss") + "\n" +
"Instrument: " + Instrument.MasterInstrument.Description.ToString() + " " + Instrument.FullName.ToString() + "\n" +
"Account: " + Position.Account.Name.ToString() + "\n" +
"Short Entry" + "\n" +
"Quantity: " + Position.Quantity.ToString() + "\n" +
"EntryPrice: " + Position.AveragePrice.ToString() + "\n");
}
}
#endregion
}
protected override void OnBarUpdate()
{
if (BarsInProgress != 0 || CurrentBars[0] < 1 || CurrentBar < BarsRequiredToTrade)
// Halt further processing of our strategy
return;
// Times
if( !canTradeTime() ) {
// Halt further processing of our strategy
return;
}
// Daily Target
if (Bars.IsFirstBarOfSession)
{
// Store the strategy's prior cumulated realized profit and number of trades
priorTradesCount = SystemPerformance.RealTimeTrades.Count;
priorTradesCumProfit = SystemPerformance.RealTimeTrades.TradesPerformance.Currency.CumProfit;
/* NOTE: Using . " AllTrades " will include both historical virtual trades as well as real-time trades.
For only count profits from real-time trades use . " RealTimeTrades " */
}
if (SystemPerformance.RealTimeTrades.TradesPerformance.Currency.CumProfit - priorTradesCumProfit >= DailyProfitLimit
|| SystemPerformance.RealTimeTrades.TradesPerformance.Currency.CumProfit - priorTradesCumProfit <= DailyLossLimit
|| SystemPerformance.RealTimeTrades.Count - priorTradesCount > DailyTradesCount)
{
Draw.TextFixed(this, "limitText", "Daily Loss / Profit reached"
, TextPosition.BottomRight);
// Halt further processing of our strategy
return;
}
else
{
RemoveDrawObject("limitText");
}
if (LargeTradesSignal1.Direction == 1)
{
EnterLong(Contracts);
}
if (LargeTradesSignal1.Direction == -1)
{
EnterShort(Contracts);
}
}
private bool canTradeTime()
{
int currentTime = ToTime( Time[0] );
bool doTrade = false;
if( (Session1
&& (currentTime >= Session1Start && currentTime <= Session1End)) )
{
doTrade = true;
}
else if( (Session2
&& (currentTime >= Session2Start && currentTime <= Session2End)) )
{
doTrade = true;
}
else if( (Session3
&& (currentTime >= Session3Start && currentTime <= Session3End)) )
{
doTrade = true;
}
return doTrade;
}
[Display(ResourceType = typeof(Custom.Resource), Name = "Use protective stops?", Order = 0, GroupName = "Stops & Targets")]
public bool UseProtectiveStops
{ get; set; }
[NinjaScriptProperty]
[Range(1, int.MaxValue)]
[Display(ResourceType = typeof(Custom.Resource), Name="Stop loss", Description="Stop loss (ticks)", Order=1, GroupName="Stops & Targets")]
public int StopLoss
{ get; set; }
[NinjaScriptProperty]
[Range(1, int.MaxValue)]
[Display(ResourceType = typeof(Custom.Resource), Name="Profit target", Description="Profit target (in ticks)", Order=2, GroupName="Stops & Targets")]
public int ProfitTarget
{ get; set; }
[Range(1, int.MaxValue)]
[NinjaScriptProperty]
[Display(Name="Contracts", Description="The number of contracts to trade", Order=1, GroupName="Daily Target")]
public int Contracts
{ get; set; }
[NinjaScriptProperty]
[Display(Name = "DailyLossLimit", Description = "Daily Loss Limit", Order = 2, GroupName = "Daily Target")]
public double DailyLossLimit
{ get; set; }
[NinjaScriptProperty]
[Display(Name = "DailyProfitLimit", Description = "Daily Profit Limit", Order = 3, GroupName = "Daily Target")]
public double DailyProfitLimit
{ get; set; }
[Range(1, int.MaxValue)]
[NinjaScriptProperty]
[Display(Name="DailyTradesCount", Description="The number of daily TradesCount", Order=4, GroupName="Daily Target")]
public int DailyTradesCount
{ get; set; }
[NinjaScriptProperty]
[Display(ResourceType = typeof(Custom.Resource), Name="Use Session 1 times?", Description="True to use Session 1 start/end times)", Order=1, GroupName="Times")]
public bool Session1
{ get; set; }
[NinjaScriptProperty]
[Range(0, 235959)]
[Display(ResourceType = typeof(Custom.Resource), Name="Session 1 start time", Description="Session 1 start time", Order=2, GroupName="Times")]
public int Session1Start
{ get; set; }
[NinjaScriptProperty]
[Range(0, 235959)]
[Display(ResourceType = typeof(Custom.Resource), Name="Session 1 end time", Description="Session 1 end time", Order=3, GroupName="Times")]
public int Session1End
{ get; set; }
[NinjaScriptProperty]
[Display(ResourceType = typeof(Custom.Resource), Name="Use Session 2 times?", Description="True to use Session 3 start/end times)", Order=4, GroupName="Times")]
public bool Session2
{ get; set; }
[NinjaScriptProperty]
[Range(0, 235959)]
[Display(ResourceType = typeof(Custom.Resource), Name="Session 2 start time", Description="Session 2 start time", Order=5, GroupName="Times")]
public int Session2Start
{ get; set; }
[NinjaScriptProperty]
[Range(0, 235959)]
[Display(ResourceType = typeof(Custom.Resource), Name="Session 2 end time", Description="Session 1 end time", Order=6, GroupName="Times")]
public int Session2End
{ get; set; }
[NinjaScriptProperty]
[Display(ResourceType = typeof(Custom.Resource), Name="Use Session 3 times?", Description="True to use Session 3 start/end times)", Order=7, GroupName="Times")]
public bool Session3
{ get; set; }
[NinjaScriptProperty]
[Range(0, 235959)]
[Display(ResourceType = typeof(Custom.Resource), Name="Session 3 start time", Description="Session 3 end time", Order=8, GroupName="Times")]
public int Session3Start
{ get; set; }
[NinjaScriptProperty]
[Range(0, 235959)]
[Display(ResourceType = typeof(Custom.Resource), Name="Session 3 end time", Description="Session 3 end time", Order=9, GroupName="Times")]
public int Session3End
{ get; set; }
[NinjaScriptProperty]
[Display(ResourceType = typeof(Custom.Resource), Name="UseEmail", Description="Use Email", Order=1, GroupName="Mail Share Service")]
public bool UseEmail
{ get; set; }
[NinjaScriptProperty]
[Display(ResourceType = typeof(Custom.Resource), Name="EnableEntryAlert", Description="Enable email alert for Entries", Order=2, GroupName="Mail Share Service")]
public bool EnableEntryAlert
{ get; set; }
[NinjaScriptProperty]
[Display(ResourceType = typeof(Custom.Resource), Name="EnableExitAlert", Description="Enable email alert for Exits", Order=3, GroupName="Mail Share Service")]
public bool EnableExitAlert
{ get; set; }
[NinjaScriptProperty]
[Display(Description = "To Email id", GroupName = "Mail Share Service", Order = 4)]
public string ToEmailAddress
{
get { return toEmailAddress; }
set
{
System.Text.RegularExpressions.Regex reg = new System.Text.RegularExpressions.Regex(@"\b[a-zA-Z0-9._%+-]+@[a-zA-Z0-9.-]+\.[a-zA-Z]{2,4}\b");
if (reg.IsMatch((string)value))
toEmailAddress = value;
}
}
[NinjaScriptProperty]
[Display(Name = "Transaction volume", Description = "Transaction volume", GroupName = "Large Trades", Order = 1)]
public int Volume_
{
get { return vol; }
set { vol = Math.Max(1, value); }
}
[NinjaScriptProperty]
[Display(Name = "Time of transation (seconds)", Description = "The time during which the transaction occurred", GroupName = "Large Trades", Order = 2)]
public int Time_
{
get { return fix; }
set { fix = Math.Max(1, value); }
}
}
}
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