Initial commit of Overnight strategy

2024-09-03 05:47:34 -07:00 · 2024-09-03 05:47:34 -07:00 · 9a8f678521
commit 9a8f678521
parent 1344e6f6cf
1 changed files with 66 additions and 0 deletions
--- a/strategies/overnight/OvernightBot.cs
+++ b/strategies/overnight/OvernightBot.cs
@ -0,0 +1,66 @@
+#region Using declarations
+using System;
+using NinjaTrader.Cbi;
+using NinjaTrader.Data;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class OvernightBot : Strategy
+    {
+        private const int PrimaryBars = 0;
+        private const int MinuteBars = 1;
+
+        private DateTime sessionClose;
+        
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"Taken from Chapter 7 of Short Term Trading Strategies That Work";
+                Name = "Overnight Bot";
+                Calculate = Calculate.OnBarClose;
+                EntriesPerDirection = 1;
+                EntryHandling = EntryHandling.AllEntries;
+                IsExitOnSessionCloseStrategy = false;
+                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;
+                IsInstantiatedOnEachOptimizationIteration = true;
+            }
+            else if (State == State.Configure)
+            {
+                AddDataSeries(BarsPeriodType.Minute, 1);
+            }
+            else if (State == State.DataLoaded)
+            {
+                SessionIterator chartSession = new SessionIterator(BarsArray[PrimaryBars]);
+                sessionClose = chartSession.GetTradingDayEndLocal(chartSession.ActualTradingDayExchange);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (BarsInProgress != MinuteBars)
+                return;
+
+            // 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.
+            if (ToTime(Time[0]) == ToTime(sessionClose.AddMinutes(-1)))
+                EnterLong();
+            else if (Bars.IsLastBarOfSession) // Technically exits at the open of the next session since we're using OnBarClose.
+                ExitLong();
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+    }
+}