ninjatrader/strategies/ThreeDayTradeBot.cs

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

namespace NinjaTrader.NinjaScript.Strategies
{
    public class ThreeDayTradeBot : Strategy
    {
        private const int PrimaryBars = 0;
        private const int MinuteBars = 1;

        private const string LongEntry = "3-Day Trade Long";
        
        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Based on the 3-Day Trade, taken from chapter 24 of Kaufman Constructs Trading Systems";
                Name = "3-Day Trade 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 = 3;
                IsInstantiatedOnEachOptimizationIteration = true;
            }
            else if (State == State.Configure)
            {
                AddDataSeries(BarsPeriodType.Minute, 1);
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBars[PrimaryBars] < BarsRequiredToTrade || CurrentBars[MinuteBars] < BarsRequiredToTrade)
                return;

            if (BarsInProgress == PrimaryBars && BarsSinceEntryExecution(PrimaryBars, LongEntry, 0) == 1)
                ExitLong();

            if (BarsInProgress != MinuteBars)
                return;

            if (Closes[PrimaryBars][0] < Opens[PrimaryBars][0] && Closes[PrimaryBars][1] < Opens[PrimaryBars][1])
            {
                if (Bars.IsFirstBarOfSession && Opens[MinuteBars][0] < Closes[PrimaryBars][0])
                    EnterLong(LongEntry);
                else if (Bars.IsLastBarOfSession && Closes[MinuteBars][0] < Closes[PrimaryBars][0])
                    EnterLong(LongEntry);
            }
        }

        public override string DisplayName
        {
            get { return Name; }
        }
    }
}