diff --git a/strategies/PivotBot.cs b/strategies/PivotBot.cs new file mode 100644 index 0000000..56fdb5d --- /dev/null +++ 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; } + } +}