67 lines
2.4 KiB
C#
67 lines
2.4 KiB
C#
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#region Using declarations
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using System;
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using NinjaTrader.Cbi;
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using NinjaTrader.Data;
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#endregion
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namespace NinjaTrader.NinjaScript.Strategies
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{
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public class OvernightBot : Strategy
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{
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private const int PrimaryBars = 0;
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private const int MinuteBars = 1;
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private DateTime sessionClose;
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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 = @"Taken from Chapter 7 of Short Term Trading Strategies That Work";
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Name = "Overnight 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 = false;
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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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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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}
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else if (State == State.DataLoaded)
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{
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SessionIterator chartSession = new SessionIterator(BarsArray[PrimaryBars]);
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sessionClose = chartSession.GetTradingDayEndLocal(chartSession.ActualTradingDayExchange);
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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 != MinuteBars)
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return;
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// It's not possible to enter trades on the close of a bar, so we enter on the open of the minute bar prior to session close.
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if (ToTime(Time[0]) == ToTime(sessionClose.AddMinutes(-1)))
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EnterLong();
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else if (Bars.IsLastBarOfSession) // Technically exits at the open of the next session since we're using OnBarClose.
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ExitLong();
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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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}
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}
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