ninjatrader/strategies/OpeningRangeBreakout.cs

#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Gui.Tools;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.Indicators;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion

//This namespace holds Strategies in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.Strategies
{
    public class OpeningRangeBreakout : Strategy
    {
        private OpeningRange OR;
        private PivotHighLow Pivots;

        private DateTime TradeDate = DateTime.MinValue;
        
        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Opening range breakout strategy";
                Name = "OpeningRangeBreakout";
                Calculate = Calculate.OnPriceChange;
                EntriesPerDirection = 2;
                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;
                // Disable this property for performance gains in Strategy Analyzer optimizations
                // See the Help Guide for additional information
                IsInstantiatedOnEachOptimizationIteration = true;
            }
            else if (State == State.Configure)
            {
                AddDataSeries(BarsPeriodType.Tick, 1);
                AddDataSeries(Instrument.FullName, new BarsPeriod
                {
                    BarsPeriodType = BarsPeriodType.Minute,
                    Value = 30
                }, "US Equities RTH");
            }
            else if (State == State.DataLoaded)
            {
                OR = OpeningRange(
                    30,
                    OpeningRangeBarType.Minutes,
                    new Stroke(Brushes.Yellow, DashStyleHelper.Solid, 3),
                    new Stroke(Brushes.Yellow, DashStyleHelper.Solid, 3),
                    new Stroke(Brushes.Gray, DashStyleHelper.Dot, 1)
                );
                Pivots = PivotHighLow(10, 10, 3,
                    new Stroke(Brushes.LimeGreen, DashStyleHelper.Solid, 3), 
                    new Stroke(Brushes.Red, DashStyleHelper.Solid, 3));
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar <= BarsRequiredToTrade)
                return;

            // Ignore tick bars. They are used only for entering trades.
            // Also ignore data series used for opening range calculation.
            if (BarsInProgress == 1 || BarsInProgress == 2)
                return;

            if (Position.MarketPosition != MarketPosition.Flat)
            {
                if (Position.MarketPosition == MarketPosition.Long)
                {
                    SetStopLoss("Long", CalculationMode.Price, Math.Max(OR.ORM[0], Pivots.PivotLow[0]), false);
                    SetStopLoss("LongRunner", CalculationMode.Price, Math.Max(OR.ORM[0], Pivots.PivotLow[0]), false);
                }
                else
                {
                    SetStopLoss("Short", CalculationMode.Price, Math.Min(OR.ORM[0], Pivots.PivotHigh[0]), false);
                    SetStopLoss("ShortRunner", CalculationMode.Price, Math.Min(OR.ORM[0], Pivots.PivotHigh[0]), false);
                }
                return;
            }

            if (TradeDate == Time[0].Date)
                return;

            if (!IsFirstTickOfBar)
                return;

            // TODO: Change opening range end time to be timezone-agnostic.
            if (ToTime(Time[0]) <= 70000)
                return;

            if (Close[1] > OR.ORH[0])
            {
                SetStopLoss("Long", CalculationMode.Price, Math.Max(OR.ORM[0], Pivots.PivotLow[0]), false);
                SetProfitTarget("Long", CalculationMode.Ticks, (OR.ORH[0] - OR.ORM[0]) / TickSize * 1.5);
                EnterLong(1, DefaultQuantity, "Long");

                SetStopLoss("LongRunner", CalculationMode.Price, OR.ORM[0], false);
                EnterLong(1, DefaultQuantity, "LongRunner");

                TradeDate = Time[0].Date;
            }

            if (Close[1] < OR.ORL[0])
            {
                SetStopLoss("Short", CalculationMode.Price, Math.Min(OR.ORM[0], Pivots.PivotHigh[0]), false);
                SetProfitTarget("Short", CalculationMode.Ticks, (OR.ORM[0] - OR.ORL[0]) / TickSize * 1.5);
                EnterShort(1, DefaultQuantity, "Short");

                SetStopLoss("ShortRunner", CalculationMode.Price, OR.ORM[0], false);
                EnterShort(1, DefaultQuantity, "ShortRunner");

                TradeDate = Time[0].Date;
            }
        }
    }
}