ninjatrader/strategies/OpeningRangeBot.cs

#region Using declarations
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript.Indicators;
#endregion

//This namespace holds Strategies in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.Strategies
{
    public class OpeningRangeBot : Strategy
    {
        private const int PrimaryBars = 0;
        
        private OpeningRange OR;
        
        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Strategy based on opening range breakouts";
                Name = "Opening Range Bot";
                Calculate = Calculate.OnBarClose;
                EntriesPerDirection = 1;
                EntryHandling = EntryHandling.AllEntries;
                IsExitOnSessionCloseStrategy = true;
                ExitOnSessionCloseSeconds = 30;
                IsFillLimitOnTouch = false;
                MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
                OrderFillResolution = OrderFillResolution.Standard;
                Slippage = 0;
                StartBehavior = StartBehavior.WaitUntilFlat;
                TimeInForce = TimeInForce.Gtc;
                TraceOrders = false;
                RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
                StopTargetHandling = StopTargetHandling.PerEntryExecution;
                BarsRequiredToTrade = 20;
                IsInstantiatedOnEachOptimizationIteration = true;
            }
            else if (State == State.Configure)
            {
                // Data series required by the opening range indicator, must be loaded here.
                AddDataSeries(BarsPeriodType.Minute, 1);
                AddDataSeries(Instrument.FullName, BarsPeriod, "US Equities RTH");
            }
            else if (State == State.DataLoaded)
            {
                OR = OpeningRange(30, OpeningRangeBarType.Minutes);
            }
        }

        protected override void OnBarUpdate()
        {
            if (PrimaryBars != BarsInProgress)
                return;

            // TODO: Make this timezone-agnostic.
            if (ToTime(Time[0]) <= 70000)
                return;

            if (Position.MarketPosition != MarketPosition.Flat)
                return;

            if (Open[0] < OR.ORH[0] && Close[0] > OR.ORH[0])
            {   
                SetStopLoss(CalculationMode.Price, Low[0]);
                EnterLong();
            }
            else if (Open[0] > OR.ORL[0] && Close[0] < OR.ORL[0])
            {
                SetStopLoss(CalculationMode.Price, High[0]);
                EnterShort();
            }
        }
    }
}