Initial commit of Pivot Bot

2024-07-15 11:46:52 -07:00 · 2024-07-15 11:46:52 -07:00 · 16bcbd63da
commit 16bcbd63da
parent c090342bc7
1 changed files with 106 additions and 0 deletions
--- a/strategies/PivotBot.cs
+++ b/strategies/PivotBot.cs
@ -0,0 +1,106 @@
+#region Using declarations
+using NinjaTrader.Cbi;
+using NinjaTrader.Data;
+using NinjaTrader.NinjaScript.Indicators;
+using System;
+using System.ComponentModel.DataAnnotations;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class PivotBot : Strategy
+    {
+        private PivotPoints pivots;
+
+        private double pivotHigh;
+        private double pivotLow;
+
+        private OpeningRange openingRange;
+
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"Trades pivot point breakouts";
+                Name = "Pivot 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 = 20;
+                IsInstantiatedOnEachOptimizationIteration = true;
+
+                PivotWindowLength = 10;
+            }
+            else if (State == State.Configure)
+            {
+                // Data series required by the opening range indicator, must be loaded here.
+                AddDataSeries(BarsPeriodType.Minute, 1);
+                AddDataSeries(Instrument.FullName, BarsPeriod, "US Equities RTH");
+            }
+            else if (State == State.DataLoaded)
+            {
+                pivots = PivotPoints(PivotWindowLength);
+                openingRange = OpeningRange(5, OpeningRangeBarType.Minutes);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (BarsInProgress != 0)
+                return;
+
+            if (CurrentBar < BarsRequiredToTrade)
+                return;
+
+            DateTime now = Time[0];
+            if (now <= openingRange.GetOpeningRangeEndTime(now))
+                return;
+
+            PivotPoint pivot = pivots.Pivot[0];
+            if (pivot != null)
+            {
+                if (pivot.IsPivotHigh)
+                    pivotHigh = pivot.Level;
+                else if (pivot.IsPivotLow)
+                    pivotLow = pivot.Level;
+            }
+
+            if (Close[0] > pivotHigh)
+            {
+                /*if (Position.MarketPosition == MarketPosition.Short)
+                    ExitShort();*/
+
+                if (openingRange.ORH[0] > 0.0 && Close[0] > openingRange.ORH[0])
+                    EnterLong();
+            }
+            else if (Close[0] < pivotLow)
+            {
+                if (Position.MarketPosition == MarketPosition.Long)
+                    ExitLong();
+                
+                /*if (openingRange.ORL[0] > 0.0 && Close[0] < openingRange.ORL[0])
+                    EnterShort();*/
+            }
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Pivot Window Length", GroupName = "Pivot Bot", Order = 1)]
+        public int PivotWindowLength { get; set; }
+    }
+}