Add another opening range bot

2024-05-11 06:03:52 -07:00 · 2024-05-11 06:03:52 -07:00 · 1a17b9bd95
commit 1a17b9bd95
parent fb506efbb7
1 changed files with 72 additions and 0 deletions
--- a/strategies/OpeningRangeBot.cs
+++ b/strategies/OpeningRangeBot.cs
@ -0,0 +1,72 @@
+#region Using declarations
+using NinjaTrader.Cbi;
+using NinjaTrader.Data;
+using NinjaTrader.NinjaScript.Indicators;
+#endregion
+
+//This namespace holds Strategies in this folder and is required. Do not change it. 
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class OpeningRangeBot : Strategy
+    {
+        private const int PrimaryBars = 0;
+        
+        private OpeningRange OR;
+        
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"Strategy based on opening range breakouts";
+                Name = "Opening Range 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;
+            }
+            else if (State == State.Configure)
+            {
+                AddDataSeries(BarsPeriodType.Minute, 1);
+                AddDataSeries(Instrument.FullName, new BarsPeriod
+                    { BarsPeriodType = BarsPeriodType.Minute, Value = 5 }, "US Equities RTH");
+            }
+            else if (State == State.DataLoaded)
+            {
+                OR = OpeningRange(30, OpeningRangeBarType.Minutes);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            // TODO: Make this timezone-agnostic.
+            if (ToTime(Time[0]) <= 70000)
+                return;
+
+            if (PrimaryBars != BarsInProgress)
+                return;
+
+            if (Open[0] < OR.ORH[0] && Close[0] > OR.ORH[0])
+            {
+                SetStopLoss(CalculationMode.Price, Low[0]);
+                EnterLong();
+            }
+            else if (Open[0] > OR.ORL[0] && Close[0] < OR.ORL[0])
+            {
+                SetStopLoss(CalculationMode.Price, High[0]);
+                EnterShort();
+            }
+        }
+    }
+}