#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_6112_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="overnightStartTime" type="Integer" default="0" min="0" max="2400">The start of the overnight period in 24-hr hhmm notation in the time zone of the underlying symbol.</param>
## <param name="tradingStartTime" type="Integer" default="830" min="0" max="2400">The start of the trading session in 24-hr hhmm notation in the time zone of the underlying symbol.</param>
## <param name="tradingEndTime" type="Integer" default="1515" min="0" max="2400">The end of the trading session in 24-hr hhmm notation in the time zone of the underlying symbol.</param>
## <param name="enableVolatilityBiasFilter" type="Boolean" default="True">Indicates whether to enable the volatility bias filter.</param>
## <param name="overnightVolumeSMAPeriods" type="Integer" default="5" min="1">The number of periods used to calculate overnight volume SMA.</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,
overnightStartTime,
tradingStartTime,
tradingEndTime,
enableVolatilityBiasFilter,
overnightVolumeSMAPeriods,
enableShorting,
enableLonging):
# Set the script parameters to script variables.
self._enableVolatilityBiasFilter = enableVolatilityBiasFilter
self._overnightVolumeSMAPeriods = overnightVolumeSMAPeriods
self._enableShorting = enableShorting
self._enableLonging = enableLonging
# Calculate the hour value of the trading start time.
self._tradingStartTimeHour = tradingStartTime / 100
# Calculate the minute value of the trading start time.
self._tradingStartTimeMinute = tradingStartTime % 100
# Calculate the hour value of the trading end time.
self._tradingEndTimeHour = tradingEndTime / 100
# Calculate the minute value of the trading end time.
self._tradingEndTimeMinute = tradingEndTime % 100
# Create for holding the overnight volume values.
self._overnightVolumeValues = []
# Set the time zone to the time zone of the underlying symbol.
DateTimeSetTimeZone(SymbolTimeZone())
# Remove all of the indicators from the chart so that we don't get duplicates.
ChartIndicatorRemoveAll(SymbolIndex())
# Create the overnight volume indicator.
self._overnightVolume = IndicatorOV(self, SymbolIndex(), overnightStartTime, tradingStartTime)
# Plot the indicator on the underlying symbol's chart.
indicatorItemID = ChartIndicatorPlot(SymbolIndex(), self._overnightVolume, "Overnight Volume", - 1, 2)
# Set the indicator pen.
ChartIndicatorSetPenByIndex(SymbolIndex(), indicatorItemID, 0, C_Color.LIGHT_BLUE, C_DashStyle.SOLID, 1)
# Set the indicator style.
ChartIndicatorSetPlotStyle(SymbolIndex(), indicatorItemID, C_PlotStyle.BOX_ZERO)
# Create a variable to hold whether the collection of overnight volume values has been initialized.
self._initiallyLoaded = False
# Create a variable to hold whether a volatility bias has been detected.
self._volatilityBiasDetected = False
# 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):
# Create a variable to hold the start of the current day's trading session.
tradingStartTime = DateTimeCreate(DateTimeYear(DateTimeCurrent()), DateTimeMonth(DateTimeCurrent()), DateTimeDay(DateTimeCurrent()), self._tradingStartTimeHour, self._tradingStartTimeMinute, 0)
# Create a variable to hold the end of the current day's trading session.
tradingEndTime = DateTimeCreate(DateTimeYear(DateTimeCurrent()), DateTimeMonth(DateTimeCurrent()), DateTimeDay(DateTimeCurrent()), self._tradingEndTimeHour, self._tradingEndTimeHour, 0)
# Initialize the collection of overnight volume values if necessary.
self.InitializeIfNecessary(tradingStartTime)
# Check whether it is currently the period to monitor the high and low values.
if tradingStartTime < DateTimeCurrent() and DateTimeCurrent() <= DateTimeAddMinutes(tradingStartTime, 60):
# Check whether it is time to calculate the overnight volume SMA and check for a volatility bias.
if DataEndDateTime(1) <= tradingStartTime and DataIsComplete(0):
# Reset the value of the high during the first hour of trading.
self._firstHourHigh = -float("inf")
# Reset the value of the low during the first hour of trading.
self._firstHourLow = float("inf")
# Record whether a volatility bias has occurred provided that enought time has passed to calculate the overnight volume SMA.
self._volatilityBiasDetected = self._overnightVolume[0] > (sum(self._overnightVolumeValues) / len(self._overnightVolumeValues)) \
if len(self._overnightVolumeValues) == self._overnightVolumeSMAPeriods else False
# Add the most recent overnight volume value to the collection of values.
self._overnightVolumeValues.append(self._overnightVolume[0])
# Check whether the collection of volume values is greater than the SMA lookback period.
if len(self._overnightVolumeValues) > self._overnightVolumeSMAPeriods:
# Remove the oldest overnight volume value.
self._overnightVolumeValues.pop(0)
# Check whether a volatility bias has been detected or the volatility bias filter is disabled.
if (self._enableVolatilityBiasFilter and self._volatilityBiasDetected) or not self._enableVolatilityBiasFilter:
# Record a new high if the high of the current bar is greater than the current high of the first hour of trading.
self._firstHourHigh = max(DataHigh(0), self._firstHourHigh)
# Record a new low if the low of the current bar is less than the current low of the first hour of trading.
self._firstHourLow = min(DataLow(0), self._firstHourLow)
# Check whether it is after the first hour of trading but before the cutoff time for sending entry orders.
elif DateTimeAddMinutes(tradingStartTime, 60) < DateTimeCurrent() and DateTimeCurrent() <= DateTimeAddMinutes(tradingEndTime, -30):
# Check whether a volatility bias has been detected or the volatility bias filter is disabled and there is not already an open position nor pending order.
if ((self._enableVolatilityBiasFilter and self._volatilityBiasDetected) or not self._enableVolatilityBiasFilter) and not PositionExists(C_PositionStatus.OPEN) and not OrderExists(C_Status.PENDING, None):
# Check whether the underlying symbol trades below the low of the first hour of trading.
if self._enableShorting and DataLow(0) < self._firstHourLow:
# 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.DAY, "Time to sell short")
# Check whether the underlying symbol trades above the high of the first hour of trading.
elif self._enableLonging and self._firstHourHigh < DataHigh(0):
# Generate a buy market order while assuming that a position sizing script will assign the quantity.
BrokerMarket(C_ActionType.BUY, 0, C_TIF.DAY, "Time to buy")
# Check whether it is time to close open positions, an open position exists, and the strategy has not already requested that the open position be closed.
elif DateTimeCurrent() >= DateTimeAddMinutes(tradingEndTime, -1) and PositionExists(C_PositionStatus.OPEN) and not self._waitingToClose:
# Close the open position.
BrokerClosePosition("Time to close.")
# 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
def InitializeIfNecessary(self, tradingStartTime):
# Check whether it is necessary to initialize the overnight volume values and it has not already been done.
if (StrategyMode() == C_StrategyMode.LIVE or StrategyMode() == C_StrategyMode.PLAYBACK) and not self._initiallyLoaded:
# Check whether it is past the overnight window.
if tradingStartTime < DateTimeCurrent():
# Add the most recent overnight volume value to the collection of values.
self._overnightVolumeValues.append(self._overnightVolume[0])
# Check whether the strategy needs to go back in time to fill up the collection of overnight volume values.
if len(self._overnightVolumeValues) != self._overnightVolumeSMAPeriods:
# Create a variable the hold the bar shift index.
tempBarShift = 1
# Iterate backwards until the collection is full or there is no more volume history.
while len(self._overnightVolumeValues) < self._overnightVolumeSMAPeriods and self._overnightVolume[tempBarShift] != 0:
# Check whether the overnight volume of the current barshift is greater than the overnight volume one barshift into the future.
if self._overnightVolume[tempBarShift] > self._overnightVolume[tempBarShift - 1]:
# Add the current overnight volume value to the front of the collection.
self._overnightVolumeValues.insert(0, self._overnightVolume[tempBarShift])
# Increment the bar shift variable.
tempBarShift = tempBarShift + 1
# Check whether it is past the time to check for a volatility bias.
if tradingStartTime < DateTimeCurrent():
# Record whether a volatility bias has occurred provided that the collection of overnight volume values is full.
self._volatilityBiasDetected = self._overnightVolume[0] > (sum(self._overnightVolumeValues) / len(self._overnightVolumeValues)) \
if len(self._overnightVolumeValues) == self._overnightVolumeSMAPeriods else False
# Check whether a volatility bias has been detected or the volatility bias filter is disabled.
if (self._enableVolatilityBiasFilter and self._volatilityBiasDetected) or not self._enableVolatilityBiasFilter:
# Initialize the first hour high.
self._firstHourHigh = -float("inf")
# Initialize the first hour low.
self._firstHourLow = float("inf")
# Create a variable the hold the bar shift index.
barShift = 1
# Iterate backwards until the the start time of trading is reached.
while tradingStartTime < DataEndDateTime(barShift):
# Check whether it is currently the period to monitor the high and low values.
if DataEndDateTime(barShift) <= DateTimeAddMinutes(tradingStartTime, 60):
# Record a new high if the high of the current bar is greater than the current high of the first hour of trading.
self._firstHourHigh = max(DataHigh(barShift), self._firstHourHigh)
# Record a new low if the low of the current bar is less than the current low of the first hour of trading.
self._firstHourLow = min(DataLow(barShift), self._firstHourLow)
# Increment the bar shift variable.
barShift = barShift + 1
# Record that the overnight volume values have been initialized.
self._initiallyLoaded = True
