#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_6111_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="BBPeriods" type="Integer" default="20" min="1">The number of period returns used in creating the Bollinger Bands.</param>
## <param name="BBFactor" type="Double" default="2" min="0">The number of standard deviations to apply in calculating the Bollinger Bands.</param>
## <param name="ATRPeriods" type="Integer" default="20" min="1">The number of period returns used in calculating the ATR.</param>
## <param name="ATRFactor" type="Double" default="1" min="0">The factor used to multiply the ATR when calculating the stop price</param>
## <param name="riskRewardRatioCutoff" type="Double" default="1" min="0">The minimum risk reward ratio that the underlying symbol must satisfy.</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>
def OnInitialize(self,
BBPeriods,
BBFactor,
ATRPeriods,
ATRFactor,
riskRewardRatioCutoff,
enableShorting,
enableLonging):
# Set the script parameters to a variable.
self._ATRFactor = ATRFactor
self._riskRewardRatioCutoff = riskRewardRatioCutoff
self._enableShorting = enableShorting
self._enableLonging = enableLonging
# Create the ATR indicator.
self._ATR = IndicatorATR(self, SymbolIndex(), ATRPeriods)
# Create a temporary close indicator.
close = IndicatorCLOSE(self, SymbolIndex())
# Create a temporary SMA indicator.
SMA = IndicatorSMA(self, close, BBPeriods)
# Create the upper Bollinger Band.
self._BBUpper = IndicatorBBU(self, close, BBPeriods, BBFactor)
# Create the lower Bollinger Band.
self._BBLower = IndicatorBBL(self, close, BBPeriods, BBFactor)
# Remove all of the indicators from the chart so that we don't get duplicates.
ChartIndicatorRemoveAll(SymbolIndex())
# Plot the indicator on the underlying symbol's chart.
resistanceIndicatorID = ChartIndicatorPlot(SymbolIndex(), self._BBUpper, "Upper BB", - 1, 1)
# Set the indicator pen.
ChartIndicatorSetPenByIndex(SymbolIndex(), resistanceIndicatorID, 0, C_Color.YELLOW, C_DashStyle.SOLID, 2)
# Plot the indicator on the underlying symbol's chart.
indicatorItemID = ChartIndicatorPlot(SymbolIndex(), SMA, "SMA", - 1, 1)
# Set the indicator pen.
ChartIndicatorSetPenByIndex(SymbolIndex(), indicatorItemID, 0, C_Color.BLUE, C_DashStyle.SOLID, 2)
# Plot the indicator on the underlying symbol's chart.
supportIndicatorItemID = ChartIndicatorPlot(SymbolIndex(), self._BBLower, "Lower BB", - 1, 1)
# Set the indicator pen.
ChartIndicatorSetPenByIndex(SymbolIndex(), supportIndicatorItemID, 0, C_Color.YELLOW, C_DashStyle.SOLID, 2)
# Create the Bullish Engulfing pattern for the underlying symbol.
self._bullishEngulfing = PatternUE(self, SymbolIndex(), 1, 1)
# Plot the pattern on the underlying symbol's chart to highlight instances of the pattern.
ChartPatternPlot(SymbolIndex(), self._bullishEngulfing, "Bullish Engulfing", -1, 1)
# Create the Bearish Engulfing pattern for the underlying symbol.
self._bearishEngulfing = PatternDE(self, SymbolIndex(), 1, 1)
# Plot the pattern on the underlying symbol's chart to highlight instances of the pattern.
ChartPatternPlot(SymbolIndex(), self._bearishEngulfing, "Bearish Engulfing", -1, 1)
# Create a variable to hold whether a closing order has been fired but not yet filled.
self._waitingToClose = 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 the Bullish Engulfing pattern occurs, there is enough data to calculate the lower Bollinger Band, and the underlying symbol closes above the lower Bollinger Band.
if self._bullishEngulfing[0] != 0 and self._BBLower[0] != 0 and DataClose(0) > self._BBLower[0]:
# Calculate the numerator of the risk reward ratio.
numerator = abs(self._BBUpper[0] - DataHigh(0))
# Calculate the stop price.
stopPrice = DataClose(0) - self._ATR[0] * self._ATRFactor
# Calculate the denominator of the risk reward ratio.
denominator = abs(DataHigh(0) - stopPrice)
# Check whether the underlying symbol satisfies the risk reward ratio cutoff.
if numerator / denominator > self._riskRewardRatioCutoff:
# Check whether the strategy can go long and there is not already an open position nor pending order.
if self._enableLonging and not PositionExists(C_PositionStatus.OPEN) and not OrderExists(C_Status.PENDING, None):
# Generate a buy market order while assuming that a position sizing script will assign the quantity.
orderIndex = BrokerMarket(C_ActionType.BUY, 0, C_TIF.DAY, "Time to buy.")
# Set a stop loss on the order.
BrokerSetStopLoss(orderIndex, stopPrice, "Stop loss hit.")
# Check whether the Bearish Engulfing pattern occurs, there is enough data to calculate the lower Bollinger Band, and the underlying symbol closes below the upper Bollinger Band.
elif self._bearishEngulfing[0] != 0 and self._BBUpper[0] != 0 and DataClose(0) < self._BBUpper[0]:
# Calculate the numerator of the risk reward ratio.
numerator = abs(self._BBLower[0] - DataLow(0))
# Calculate the stop price.
stopPrice = DataClose(0) + self._ATR[0] * self._ATRFactor
# Calculate the denominator of the risk reward ratio.
denominator = abs(DataLow(0) - stopPrice)
# Check whether the underlying symbol satisfies the risk reward ratio cutoff.
if numerator / denominator > self._riskRewardRatioCutoff:
# Check whether the strategy can go short and there is not already an open position nor pending order.
if self._enableShorting and not PositionExists(C_PositionStatus.OPEN) and not OrderExists(C_Status.PENDING, None):
# Generate a sell short market order while assuming that a position sizing script will assign the quantity.
orderIndex = BrokerMarket(C_ActionType.SELL_SHORT, 0, C_TIF.DAY, "Time to sell short.")
# Set a stop loss on the order.
BrokerSetStopLoss(orderIndex, stopPrice, "Stop loss hit.")
# Check whether a position exists, the price of the underlying symbol crosses the opposite Bollinger Band, and the strategy has not already requested that the open position be closed.
if ((PositionExistsInDirection(C_PositionStatus.OPEN, C_Direction.LONG_SIDE) and DataLow(1) < self._BBUpper[1] and DataHigh(0) > self._BBUpper[0])
or (PositionExistsInDirection(C_PositionStatus.OPEN, C_Direction.SHORT_SIDE) and DataHigh(1) > self._BBLower[1] and DataLow(0) < self._BBLower[0])) and not self._waitingToClose:
# Close the open position.
BrokerClosePosition("Price crossed opposite Bollinger Band.")
# Record that the strategy is waiting for the position to be closed.
self._waitingToClose = 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):
# OnOrderUpdate Content
pass
#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):
# Check whether the position just closed.
if status == C_PositionStatus.CLOSED:
# Record that the strategy is no longer waiting for the position to be closed.
self._waitingToClose = False
#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
