73 lines
2.5 KiB
C#
73 lines
2.5 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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#endregion
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//This namespace holds Strategies in this folder and is required. Do not change it.
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namespace NinjaTrader.NinjaScript.Strategies
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{
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public class OpeningRangeBot : Strategy
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{
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private const int PrimaryBars = 0;
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private OpeningRange OR;
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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 = @"Strategy based on opening range breakouts";
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Name = "Opening Range 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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}
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else if (State == State.Configure)
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{
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AddDataSeries(BarsPeriodType.Minute, 1);
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AddDataSeries(Instrument.FullName, new BarsPeriod
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{ BarsPeriodType = BarsPeriodType.Minute, Value = 5 }, "US Equities RTH");
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}
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else if (State == State.DataLoaded)
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{
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OR = OpeningRange(30, 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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// TODO: Make this timezone-agnostic.
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if (ToTime(Time[0]) <= 70000)
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return;
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if (PrimaryBars != BarsInProgress)
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return;
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if (Open[0] < OR.ORH[0] && Close[0] > OR.ORH[0])
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{
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SetStopLoss(CalculationMode.Price, Low[0]);
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EnterLong();
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}
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else if (Open[0] > OR.ORL[0] && Close[0] < OR.ORL[0])
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{
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SetStopLoss(CalculationMode.Price, High[0]);
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EnterShort();
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}
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}
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}
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}
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