#region Namespaces 
using System;
using System.IO;
using System.Linq;
#endregion

namespace ScriptCode {
	/// <summary>
	/// This is an intraday breakout trading strategy that enters a position if the underlying symbol trades outside of a predetermined range anytime throughout the trading session. 
	/// The strategy calculates the trigger price for long entry trades as the Open of the trading session plus the trading range over the specified period multiplied by the specified K1 factor. 
	/// The trading range is calculated as the greater of the highest High minus the lowest Close and the highest Close minus the lowest Low. 
	/// For short entry trades, the strategy calculates the trigger price as the Open of the trading session minus the trading range multiplied by the specified K2 factor. 
	/// The position is held until a signal is generated in the opposite direction.
	/// 
	/// This strategy was originally developed in the 1980s by Michael Chalek.
	/// 
	/// Trading Rules: 
	/// 
	/// Long Entry: A buy market order is generated when the price trades above the trigger price for long entries.
	/// Long Exit: A sell market order is generated when the price trades below the trigger price for short entries.
	/// 
	/// Short Entry: A sell short market order is generated when the price trades below the trigger price for short entries.
	/// Short Exit: A buy to cover market over is generated when the price trades above the trigger price for long entries.
	/// </summary>
	public partial class MyTradingStrategy : TradingStrategyScriptBase  // NEVER CHANGE THE CLASS NAME 
	{
#region Variables
		// The range indicator.
		private Indicator _range;
		// The number of periods used to calculate the range.
		private int _rangePeriods;
		// The multiplier used to calculate the long signal.
		private double _K1;
		// The multiplier used to calculate the short signal.
		private double _K2;
		// Indicates whether to enable the trading strategy to short symbols.  
		private bool _enableShorting;
		// Indicates whether to enable the trading strategy to long symbols.  
		private bool _enableLonging;
		// The percent distance from the entry price in which to place a stop loss order.
		private double _stopLoss;
		// The percent distance from the entry price in which to place a take profit order. 
		private double _takeProfit;
#endregion

#region OnInitialize
		/// <summary>
		/// This function is used for accepting the script parameters and for initializing the script prior to all other function calls.
		/// Once the script is assigned to a Desktop, its parameter values can be specified by the user and can be selected for optimization. 
		/// </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[]'
		/// Set to "Indicator" when the data type is 'Indicator'
		/// Set to "Pattern" when the data type is 'Pattern'
		/// Set to "Signal" when the data type is 'Signal'
		/// Set to "Drawing" when the data type is 'Drawing'

		/// 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="rangePeriods" type="Integer" default="5">The number of periods used to calculate the range.</param>
		/// <param name="K1" type="Double" default="0.5">The multiplier used to calculate the long signal.</param>
		/// <param name="K2" type="Double" default="0.5">The multiplier used to calculate the short signal.</param>
		/// <param name="enableShorting" type="Boolean" default="True">Indicates whether to enable the trading strategy to short symbols. </param>
		/// <param name="enableLonging" type="Boolean" default="True">Indicates whether to enable the trading strategy to long symbols. </param>
		/// <param name="stopLoss" type="Double" default="0">The percent distance from the entry price in which to place a stop loss order. (0 to ignore). </param>
		/// <param name="takeProfit" type="Double" default="0">The percent distance from the entry price in which to place a take profit order. (0 to ignore). </param>
		public void OnInitialize(
			int rangePeriods,
			double K1,
			double K2,
			bool enableShorting,
			bool enableLonging,
			double stopLoss,
			double takeProfit) {
			// Set the script parameters to script variables.
			_rangePeriods = rangePeriods;
			_K1 = K1;
			_K2 = K2;
			_enableShorting = enableShorting;
			_enableLonging = enableLonging;
			_stopLoss = stopLoss;
			_takeProfit = takeProfit;
			// Switch data series to the daily data series.
			DataSeriesSwitch(1);
			// Create an upperRange indicator.
			Indicator upperRange = IndicatorSUB(IndicatorHVA(IndicatorHIGH(SymbolIndex()), _rangePeriods), IndicatorLVA(IndicatorCLOSE(SymbolIndex()), _rangePeriods));
			// Create a lowerRange indicator.
			Indicator lowerRange = IndicatorSUB(IndicatorHVA(IndicatorCLOSE(SymbolIndex()), _rangePeriods), IndicatorLVA(IndicatorLOW(SymbolIndex()), _rangePeriods));
			// Finish creating range indicator.
			_range = IndicatorMAXI(upperRange, lowerRange);
			// Switch data series back.
			DataSeriesSwitch(0);
		}
#endregion

#region OnBarUpdate
		/// <summary>
		/// This function is called after each new bar of each symbol assigned to the Desktop strategy. 
		/// It should evaluate the specified symbol and its new bar in order to determine whether to generate new orders for it. 
		/// Never create indicators, signals or patterns from OnBarUpdate, for performance reasons those should be created from OnInitialize.
		/// </summary>
		/// <param name="symbolIndex" type="Integer">The index of the symbol in the strategy symbol table</param>
		/// <param name="dataSeries" type="Integer">The number indicating the data series from which the symbol was updated. 
		/// According to the Desktop strategy data series settings: 0 for the main data series, 1 for the second data series, etc. (See the DataSeriesSwitch function).</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) {
			// Switch data series to the daily data series.
			DataSeriesSwitch(1);
			// Record the total number of bars processed so far.
			int DailyDataTotalCount = DataTotalCount();
			// Switch data series back.
			DataSeriesSwitch(0);
			// Check whether enough bars have passed to make range calculations meaningful.
			if(DailyDataTotalCount < _rangePeriods)
				return ;
			// Check whether the underlying symbol has traded above the buy trigger price.
			if (SessionHigh(0) > SessionOpen(0) + _K1 * _range[0]) {
				// Check whether a short position exists for the symbol.
				if (_enableShorting && PositionExistsInDirection(C_PositionStatus.OPEN, C_Direction.SHORT_SIDE)) {
					// Generate a buy to cover market order. 
					BrokerMarket(C_ActionType.BUY_TO_COVER, 0, C_TIF.DAY, "Buy signal generated.");
				}
				// Check whether there are no long positions for the symbol.
				if (_enableLonging && !PositionExistsInDirection(C_PositionStatus.OPEN, C_Direction.LONG_SIDE) && !OrderExists(C_Status.PENDING)) {
					// Generate a buy market order. 
					int orderIndex = BrokerMarket(C_ActionType.BUY, 0, C_TIF.DAY, "Buy signal generated.");
					// Set a stop loss on the order. 
					BrokerSetStopLossPercent(orderIndex, _stopLoss, true, "");
					// Set a take profit on the order. 
					BrokerSetTakeProfitPercent(orderIndex, _takeProfit, true, "");
				}
			}
			// Check whether the underlying symbol has traded below the sell trigger price.
			else if (SessionLow(0) < SessionOpen(0) - _K2 * _range[0]) {
				// Check whether a long position exists.
				if (_enableLonging && PositionExistsInDirection(C_PositionStatus.OPEN, C_Direction.LONG_SIDE)) {
					// Generate a sell market order. 
					BrokerMarket(C_ActionType.SELL, 0, C_TIF.DAY, "Sell signal generated.");
				}
				// Check whether a short position doesn't exist. 
				if (_enableShorting && !PositionExistsInDirection(C_PositionStatus.OPEN, C_Direction.SHORT_SIDE) && !OrderExists(C_Status.PENDING)) {
					// Generate a sell short market order. 
					int orderIndex = BrokerMarket(C_ActionType.SELL_SHORT, 0, C_TIF.DAY, "Sell signal generated.");
					// Set a stop loss on the order. 
					BrokerSetStopLossPercent(orderIndex, _stopLoss, true, "");
					// Set a take profit on the order. 
					BrokerSetTakeProfitPercent(orderIndex, _takeProfit, true, "");
				}
			}	
		}
#endregion

#region OnOrderFillUpdate
		/// <summary>
		/// This function is called for each new order fill.
		/// </summary>
		/// <param name="symbolIndex" type="Integer">The symbol index</param>
		/// <param name="orderIndex" type="Integer">The order index</param>
		/// <param name="orderFillIndex" type="Integer">The order fill index</param>
		public override void OnOrderFillUpdate(
			int symbolIndex,
			int orderIndex,
			int orderFillIndex) {
			// OnOrderFillUpdate Content
		}
#endregion

#region OnOrderUpdate
		/// <summary>
		/// This function is called when an order is executed or cancelled.
		/// </summary>
		/// <param name="symbolIndex" type="Integer">The symbol index</param>
		/// <param name="orderIndex" type="Integer">The order index</param>
		/// <param name="status" type="C_Status">The updated status of the order</param>
		public override void OnOrderUpdate(
			int symbolIndex,
			int orderIndex,
			C_Status status) {
			// OnOrderUpdate Content
		}
#endregion

#region OnPositionUpdate
		/// <summary>
		/// This function is called when a position is opened or closed. 
		/// </summary>
		/// <param name="symbolIndex" type="Integer">The symbol index</param>
		/// <param name="positionIndex" type="Integer">The position index</param>
		/// <param name="status" type="C_PositionStatus">The updated status of the position</param>
		public override void OnPositionUpdate(
			int symbolIndex,
			int positionIndex,
			C_PositionStatus status) {
			// OnPositionUpdate Content
		}
#endregion

#region OnSessionUpdate
		/// <summary>
		/// This function is called when a session is opened or closed.
		/// </summary>
		/// <param name="symbolIndex" type="Integer">The symbol index whose session is updated</param>
		/// <param name="status" type="C_SessionStatus">The session status</param>
		public override void OnSessionUpdate(
			int symbolIndex,
			C_SessionStatus status) {
		}
#endregion

#region OnNewsUpdate
		/// <summary>
		/// This function is called when a news update is received and only if the NO_NEWS_UPDATES comment is removed.
		/// </summary>
		/// <param name="symbolIndex" type="Integer">The symbol index for the update</param>
		/// <param name="dateTime" type="DateTime">The date/time in which the update was received by the platform</param>
		/// <param name="title" type="String">The update title</param>
		/// <param name="message" type="String">The update message</param>   
		/// <param name="type" type="C_MessageType">The update message type</param>
		public override void OnNewsUpdate(
			int symbolIndex,
			long dateTime,
			string title,
			string message,
			C_MessageType type) {
			// OnNewsUpdate Content
			// [NO_NEWS_UPDATES] - Delete this comment to enable news updates to this strategy.
		}
#endregion

#region OnRSSUpdate
		/// <summary>
		/// This function is called when an RSS update is received and only if the NO_RSS_UPDATES comment is removed.
		/// </summary>
		/// <param name="symbolIndex" type="Integer">The symbol index for the update</param>
		/// <param name="dateTime" type="DateTime">The date/time in which the update was received by the platform</param>
		/// <param name="title" type="String">The update title</param>
		/// <param name="message" type="String">The update message</param>   
		/// <param name="type" type="C_MessageType">The message type</param>
		public override void OnRSSUpdate(
			int symbolIndex,
			long dateTime,
			string title,
			string message,
			C_MessageType type) {
			// OnRSSUpdate Content
			// [NO_RSS_UPDATES] - Delete this comment to enable RSS updates to this strategy.
		}
#endregion

#region OnAlertUpdate
		/// <summary>
		/// This function is called when an alert update is received and only if the NO_ALERT_UPDATES comment is removed.
		/// </summary>
		/// <param name="symbolIndex" type="Integer">The symbol index for the update</param>
		/// <param name="dateTime" type="DateTime">The date/time in which the update was received by the platform</param>
		/// <param name="message" type="String">The update message</param>   
		/// <param name="type" type="C_MessageType">The update message type</param>
		public override void OnAlertUpdate(
			int symbolIndex,
			long dateTime,
			string message,
			C_MessageType type) {
			// OnAlertUpdate Content
			// [NO_ALERT_UPDATES] - Delete this comment to enable alert updates to this strategy.
		}
#endregion

#region OnJournalUpdate
		/// <summary>
		/// This function is called when a journal update is received and only if the NO_JOURNAL_UPDATES comment is removed.
		/// </summary>
		/// <param name="symbolIndex" type="Integer">The symbol index for the update</param>
		/// <param name="dateTime" type="DateTime">The date/time in which the update was received by the platform</param>
		/// <param name="title" type="String">The update title</param>
		/// <param name="message" type="String">The update message</param>   
		/// <param name="type" type="C_MessageType">The update message type</param>
		public override void OnJournalUpdate(
			int symbolIndex,
			long dateTime,
			string title,
			string message,
			C_MessageType type) {
			// OnJournalUpdate Content
			// [NO_JOURNAL_UPDATES] - Delete this comment to enable journal updates to this strategy.
		}
#endregion

#region OnDataConnectionUpdate
		/// <summary>
		/// This function is called when a data connection update is received and only if the NO_DATA_CONNECTION_UPDATES comment is removed.
		/// </summary>
		/// <param name="symbolIndex" type="Integer">The symbol index for the update</param>
		/// <param name="dateTime" type="DateTime">The date/time in which the update was received by the platform</param>
		/// <param name="message" type="String">The update message</param>   
		/// <param name="type" type="C_MessageType">The update message type</param>
		public override void OnDataConnectionUpdate(
			int symbolIndex,
			long dateTime,
			string message,
			C_MessageType type) {
			// OnDataConnectionUpdate Content
			// [NO_DATA_CONNECTION_UPDATES] - Delete this comment to enable data connection updates to this strategy.
		}
#endregion

#region OnBrokerConnectionUpdate
		/// <summary>
		/// This function is called when a broker connection update is received and only if the NO_BROKER_CONNECTION_UPDATES comment is removed.
		/// </summary>
		/// <param name="dateTime" type="DateTime">The date/time in which the update was received by the platform</param>
		/// <param name="message" type="String">The update message</param>   
		/// <param name="type" type="C_MessageType">The update message type</param>
		public override void OnBrokerConnectionUpdate(
			long dateTime,
			string message,
			C_MessageType type) {
			// OnBrokerConnectionUpdate Content
			// [NO_BROKER_CONNECTION_UPDATES] - Delete this comment to enable broker connection updates to this strategy.
		}
#endregion

#region OnShutdown
		/// <summary>
		/// This function is called when the script is shutdown.
		/// </summary>
		public override void OnShutdown() {
			// OnShutdown Content
		}
#endregion
	}
}