107 lines
3.5 KiB
C#
107 lines
3.5 KiB
C#
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#region Using declarations
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using NinjaTrader.Cbi;
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using NinjaTrader.Data;
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using NinjaTrader.NinjaScript.Indicators;
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using System;
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using System.ComponentModel.DataAnnotations;
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#endregion
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namespace NinjaTrader.NinjaScript.Strategies
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{
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public class PivotBot : Strategy
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{
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private PivotPoints pivots;
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private double pivotHigh;
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private double pivotLow;
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private OpeningRange openingRange;
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protected override void OnStateChange()
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{
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if (State == State.SetDefaults)
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{
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Description = @"Trades pivot point breakouts";
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Name = "Pivot Bot";
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Calculate = Calculate.OnBarClose;
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EntriesPerDirection = 1;
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EntryHandling = EntryHandling.AllEntries;
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IsExitOnSessionCloseStrategy = true;
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ExitOnSessionCloseSeconds = 30;
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IsFillLimitOnTouch = false;
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MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
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OrderFillResolution = OrderFillResolution.Standard;
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Slippage = 0;
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StartBehavior = StartBehavior.WaitUntilFlat;
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TimeInForce = TimeInForce.Gtc;
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TraceOrders = false;
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RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
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StopTargetHandling = StopTargetHandling.PerEntryExecution;
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BarsRequiredToTrade = 20;
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IsInstantiatedOnEachOptimizationIteration = true;
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PivotWindowLength = 10;
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}
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else if (State == State.Configure)
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{
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// Data series required by the opening range indicator, must be loaded here.
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AddDataSeries(BarsPeriodType.Minute, 1);
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AddDataSeries(Instrument.FullName, BarsPeriod, "US Equities RTH");
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}
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else if (State == State.DataLoaded)
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{
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pivots = PivotPoints(PivotWindowLength);
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openingRange = OpeningRange(5, OpeningRangeBarType.Minutes);
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}
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}
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protected override void OnBarUpdate()
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{
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if (BarsInProgress != 0)
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return;
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if (CurrentBar < BarsRequiredToTrade)
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return;
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DateTime now = Time[0];
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if (now <= openingRange.GetOpeningRangeEndTime(now))
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return;
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PivotPoint pivot = pivots.Pivot[0];
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if (pivot != null)
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{
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if (pivot.IsPivotHigh)
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pivotHigh = pivot.Level;
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else if (pivot.IsPivotLow)
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pivotLow = pivot.Level;
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}
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if (Close[0] > pivotHigh)
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{
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/*if (Position.MarketPosition == MarketPosition.Short)
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ExitShort();*/
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if (openingRange.ORH[0] > 0.0 && Close[0] > openingRange.ORH[0])
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EnterLong();
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}
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else if (Close[0] < pivotLow)
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{
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if (Position.MarketPosition == MarketPosition.Long)
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ExitLong();
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/*if (openingRange.ORL[0] > 0.0 && Close[0] < openingRange.ORL[0])
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EnterShort();*/
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}
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}
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public override string DisplayName
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{
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get { return Name; }
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}
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[NinjaScriptProperty]
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[Display(Name = "Pivot Window Length", GroupName = "Pivot Bot", Order = 1)]
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public int PivotWindowLength { get; set; }
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}
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}
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