#region Namespaces
# ---------- DON'T REMOVE OR EDIT THESE LINES -------------------
# These lines are required for integrating Python with our .NET platform.
import clr
clr.AddReference("Tickblaze.Model")
import ScriptCode
from TradingStrategyAPI import *
from AssemblyTradingStrategy_6103_ImportedScripts import *
# ---------------------------------------------------------------
#endregion
## <summary>
## Trading Strategy scripts are used for trading one symbol at a time such that each symbol gets its own strategy instance.
## Common use-cases include momentum strategies, crossover strategies and overbought / oversold strategies, all of which need to evaluate only a single symbol at a time in order to make trading decisions.
## </summary>
class MyTradingStrategy(ScriptCode.TradingStrategyScriptBase): # NEVER CHANGE THE CLASS NAME
#region Variables
# Variables Content
#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>
## --------------------------------------------------------------------------------------------------
## INSTRUCTIONS - PLEASE READ CAREFULLY
## --------------------------------------------------------------------------------------------------
## 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' (The 'long' data type can only be used for date/time representation)
## Set to "DateTimeArray" when the data type is 'long[]' (The 'long' data type can only be used for date/time representation)
## 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="donchianPeriods" type="Integer" default="20" min="1">The number of periods used in calculating the donchian channel. </param>
## <param name="patternLookback" type="Integer" default="10" min="1">The number of consecutive bars considered when determining if pattern holds true. </param>
## <param name="percentNewHighLowsRequired" type="Double" default="50" min="0" max="100">The minimum required percentage of bars that make new highs/lows throughout the lookback of the pattern. </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="enableEntry2" type="Boolean" default="True">Indicates whether to enable Entry 2. Entry 2 occurs when the underlying symbol trades at or below the lower donchian level
## for long trades and at or above the upper donchian level for short trades.</param>
def OnInitialize(self,
donchianPeriods,
patternLookback,
percentNewHighLowsRequired,
enableShorting,
enableLonging,
enableEntry2):
# Set the script parameters to script variables.
self._enableShorting = enableShorting
self._enableLonging = enableLonging
self._enableEntry2 = enableEntry2
# Create the upper donchian indicator for the underlying symbol.
self._donchianUpper = IndicatorDCU(self, SymbolIndex(), donchianPeriods)
# Create the lower donchian indicator for the underlying symbol.
self._donchianLower = IndicatorDCL(self, SymbolIndex(), donchianPeriods)
# Create the middle donchian indicator for the underlying symbol.
self._donchianMiddle = IndicatorDIVC(self, IndicatorADD(self, self._donchianLower, self._donchianUpper), 2)
# Remove all of the indicators from the chart so that we don't get duplicates.
ChartIndicatorRemoveAll(SymbolIndex())
# Remove the session break markers (personal preference).
ChartSetProperties(SymbolIndex(), C_ChartProperties.SHOW_SESSION_BREAKS, False)
# Plot the indicator on the underlying symbol's chart.
donchianUpperItemID = ChartIndicatorPlot(SymbolIndex(), self._donchianUpper, "Upper donchian", - 1, 1)
# Set the indicator pen.
ChartIndicatorSetPenByIndex(SymbolIndex(), donchianUpperItemID, 0, C_Color.LIGHT_BLUE, C_DashStyle.SOLID, 2)
# Plot the indicator on the underlying symbol's chart.
donchianMiddleItemID = ChartIndicatorPlot(SymbolIndex(), self._donchianMiddle, "Middle donchian", - 1, 1)
# Set the indicator pen.
ChartIndicatorSetPenByIndex(SymbolIndex(), donchianMiddleItemID, 0, C_Color.LIGHT_YELLOW, C_DashStyle.SOLID, 2)
# Plot the indicator on the underlying symbol's chart.
donchianLowerItemID = ChartIndicatorPlot(SymbolIndex(), self._donchianLower, "Lower donchian", - 1, 1)
# Set the indicator pen.
ChartIndicatorSetPenByIndex(SymbolIndex(), donchianLowerItemID, 0, C_Color.LIGHT_BLUE, C_DashStyle.SOLID, 2)
# Check whether it is necessary to create and graph the Bearish Donchian Crawling Along pattern.
if self._enableShorting:
# Create the Bearish Donchian Crawling Along pattern for the underlying symbol.
self._bearishDCAPattern = PatternDDCA(self, SymbolIndex(), donchianPeriods, patternLookback, percentNewHighLowsRequired)
# Plot the pattern on the underlying symbol's chart to highlight instances of the pattern.
ChartPatternPlot(SymbolIndex(), self._bearishDCAPattern, "Bearish Donchian Crawling Along", -1, 1)
# Check whether it is necessary to create and graph the Bullish Donchian Crawling Along pattern.
if self._enableLonging:
# Create the Bullish Donchian Crawling Along pattern for the underlying symbol.
self._bullishDCAPattern = PatternUDCA(self, SymbolIndex(), donchianPeriods, patternLookback, percentNewHighLowsRequired)
# Plot the pattern on the underlying symbol's chart to highlight instances of the pattern.
ChartPatternPlot(SymbolIndex(), self._bullishDCAPattern, "Bullish Donchian Crawling Along", -1, 1)
# Create a variable to hold whether the Entry 2 entry order has been fired.
self._entry2Fired = False
#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>
def OnBarUpdate(self, symbolIndex, dataSeries, completedBars):
# Check whether there are no open positions or pending orders.
if self._enableLonging and not PositionExists(C_PositionStatus.OPEN) and not OrderExists(C_Status.PENDING, None):
# Check if the Bullish Donchian Crawling Along pattern holds true.
if self._bullishDCAPattern[0] != 0:
# Generate a buy market order while assuming that a position sizing script will assign the quantity.
BrokerMarket(C_ActionType.BUY, 0, C_TIF.GTC, "Entry 1")
# Create a variable to hold the number of bar shifts used when finding stop loss level.
stopLossBarShift = 0
# Iterate backwards until lower donchian is flat and check that indicator is non-zero to avoid infinite loop.
while self._donchianLower[stopLossBarShift + 1] != self._donchianLower[stopLossBarShift] and self._donchianLower[stopLossBarShift + 1] != 0:
# Increase stop loss bar shift index.
stopLossBarShift = stopLossBarShift + 1
# Generate a stop loss order one tick below flat lower donchian level while assuming that a position sizing script will assign the quantity.
BrokerStop(C_ActionType.SELL, 0, C_TIF.GTC, self._donchianLower[stopLossBarShift] - SymbolTickSize(), "Stop loss")
# Create a variable to hold the number of bar shifts used when finding profit target level.
profitTargetBarShift = 0
# Iterate backwards until upper donchian is flat and check that indicator is non-zero to avoid infinite loop.
while self._donchianUpper[profitTargetBarShift + 1] != self._donchianUpper[profitTargetBarShift] and self._donchianUpper[profitTargetBarShift + 1] != 0:
# Increase profit target bar shift index.
profitTargetBarShift = profitTargetBarShift + 1
# Generate profit target order one tick above flat upper donchian level while assuming that a position sizing script will assign the quantity.
BrokerLimit(C_ActionType.SELL, 0, C_TIF.GTC, self._donchianUpper[profitTargetBarShift] + SymbolTickSize(), "Profit target")
# Check whether there are no open positions or pending orders.
if self._enableShorting and not PositionExists(C_PositionStatus.OPEN) and not OrderExists(C_Status.PENDING, None):
# Check if the Bearish Donchian Crawling Along pattern holds true.
if self._bearishDCAPattern[0] != 0:
# Generate a sell short market order while assuming that a position sizing script will assign the quantity.
BrokerMarket(C_ActionType.SELL_SHORT, 0, C_TIF.GTC, "Entry 1")
# Create variable to hold the number of bar shifts used when finding stop loss level.
stopLossBarShift = 0
# Iterate backwards until upper donchian is flat and check that indicator is non-zero to avoid infinite loop.
while self._donchianUpper[stopLossBarShift + 1] != self._donchianUpper[stopLossBarShift] and self._donchianUpper[stopLossBarShift + 1] != 0:
# Increase stop loss bar shift index.
stopLossBarShift = stopLossBarShift + 1
# Generate a stop loss order one tick above flat upper donchian level while assuming that a position sizing script will assign the quantity.
BrokerStop(C_ActionType.BUY_TO_COVER, 0, C_TIF.GTC, self._donchianUpper[stopLossBarShift] + SymbolTickSize(), "Stop loss")
# Create a variable to hold the number of bar shifts used when finding profit target level.
profitTargetBarShift = 0
# Iterate backwards until lower donchian is flat and check that indicator is non-zero to avoid infinite loop.
while self._donchianLower[profitTargetBarShift + 1] != self._donchianLower[profitTargetBarShift] and self._donchianLower[profitTargetBarShift + 1] != 0:
# Increase profit target bar shift index.
profitTargetBarShift = profitTargetBarShift + 1
# Generate profit target order one tick below flat lower donchian level while assuming that a position sizing script will assign the quantity.
BrokerLimit(C_ActionType.BUY_TO_COVER, 0, C_TIF.GTC, self._donchianLower[profitTargetBarShift] - SymbolTickSize(), "Profit target")
# Check whether a position exists in the underlying symbol and Entry 2 is allowed.
if PositionExists(C_PositionStatus.OPEN) and self._enableEntry2:
# Check whether the Entry 2 entry order has been fired.
if not self._entry2Fired:
# Check whether the underlying symbol trades at or above the upper donchian level and a short position already exists.
if DataHigh(0) >= self._donchianUpper[0] and PositionExistsInDirection(C_PositionStatus.OPEN, C_Direction.SHORT_SIDE):
# Generate a sell market order for Entry 2 while assuming that a position sizing script will assign the quantity.
BrokerMarket(C_ActionType.SELL_SHORT, 0, C_TIF.GTC, "Entry 2")
# Record that the Entry 2 entry order has been fired.
self._entry2Fired = True
# Check whether the underlying symbol trades at or below the lower donchian level and a long position already exists.
elif DataLow(0) <= self._donchianLower[0] and PositionExistsInDirection(C_PositionStatus.OPEN, C_Direction.LONG_SIDE):
# Generate a buy market order for Entry 2 while assuming that a position sizing script will assign the quantity.
BrokerMarket(C_ActionType.BUY, 0, C_TIF.GTC, "Entry 2")
# Record that the Entry 2 entry order has been fired.
self._entry2Fired = 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>
def OnOrderFillUpdate(self, symbolIndex, orderIndex, orderFillIndex):
# OnOrderFillUpdate Content
pass
#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>
def OnOrderUpdate(self, symbolIndex, orderIndex, status):
# Check whether the order is executed.
if status == C_Status.EXECUTED:
# Check whether it is an exit order.
if OrderActionType(orderIndex) == C_ActionType.SELL or OrderActionType(orderIndex) == C_ActionType.BUY_TO_COVER:
# Create an array to hold all pending orders for the underlying symbol.
pendingOrders = OrderByStatus(C_Status.PENDING)
# Cancel each pending order for the underlying symbol.
for pendingOrder in pendingOrders:
BrokerCancelOrder(pendingOrder, OrderComment(pendingOrder)+" - No longer needed")
# Reset variable that holds whether the Entry 2 entry order has been fired back to false.
self._entry2Fired = False
else:
# Check whether the order is an Entry 2 entry order.
if "Entry 2" in OrderComment(orderIndex):
# Create an array to hold all pending orders for the underlying symbol.
pendingOrders = OrderByStatus(C_Status.PENDING)
# Update pending stop loss and profit target orders with share quantity of Entry 2 entry order.
for pendingOrder in pendingOrders:
if OrderPriceType(pendingOrder) == C_OrderType.LIMIT or OrderPriceType(pendingOrder) == C_OrderType.STOP:
BrokerModifyOrder(pendingOrder, OrderQuantityRemaining(pendingOrder) + OrderQuantityFilled(orderIndex), -1, -1)
#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>
def OnPositionUpdate(self, symbolIndex, positionIndex, status):
# OnPositionUpdate Content
pass
#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>
def OnSessionUpdate(self, symbolIndex, status):
# OnSessionUpdate Content
pass
#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>
def OnNewsUpdate(self, symbolIndex, dateTime, title, message, type):
# OnNewsUpdate Content
# [NO_NEWS_UPDATES] - Delete this comment to enable news updates to this strategy.
pass
#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>
def OnRSSUpdate(self, symbolIndex, dateTime, title, message, type):
# OnRSSUpdate Content
# [NO_RSS_UPDATES] - Delete this comment to enable RSS updates to this strategy.
pass
#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>
def OnAlertUpdate(self, symbolIndex, dateTime, message, type):
# OnAlertUpdate Content
# [NO_ALERT_UPDATES] - Delete this comment to enable alert updates to this strategy.
pass
#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>
def OnJournalUpdate(self, symbolIndex, dateTime, title, message, type):
# OnJournalUpdate Content
# [NO_JOURNAL_UPDATES] - Delete this comment to enable journal updates to this strategy.
pass
#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>
def OnDataConnectionUpdate(self, symbolIndex, dateTime, message, type):
# OnDataConnectionUpdate Content
# [NO_DATA_CONNECTION_UPDATES] - Delete this comment to enable data connection updates to this strategy.
pass
#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>
def OnBrokerConnectionUpdate(self, dateTime, message, type):
# OnBrokerConnectionUpdate Content
# [NO_BROKER_CONNECTION_UPDATES] - Delete this comment to enable broker connection updates to this strategy.
pass
#endregion
#region OnShutdown
## <summary>
## This function is called when the script is shutdown.
## </summary>
def OnShutdown(self):
# OnShutdown Content
pass
#endregion
