Initial commit of Sonic R. Bot

strategies/SonicRBot.cs

@@ -0,0 +1,154 @@
+#region Using declarations
+using NinjaTrader.Cbi;
+using NinjaTrader.Data;
+using NinjaTrader.NinjaScript.Indicators;
+using System.ComponentModel.DataAnnotations;
+#endregion
+
+//This namespace holds Strategies in this folder and is required. Do not change it. 
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class SonicRBot : Strategy
+    {
+        private ATR atr;
+        private OpeningRange openingRange;
+        private SonicRDragon dragon;
+
+        private bool lookingLong;
+        private bool lookingShort;
+
+        private bool waitingForLongBreak;
+        private bool waitingForShortBreak;
+
+        private double breakPrice;
+        
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"Inspired by the Sonic R System created by sonicdeejay on the Forex Factory forums";
+                Name = "Sonic R 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 = 100;
+                IsInstantiatedOnEachOptimizationIteration = true;
+
+                DragonPeriod = 34;
+                ATRPeriod = 14;
+                ATRMultiplier = 2.0;
+                OpeningRangePeriod = 30;
+            }
+            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)
+            {
+                atr = ATR(ATRPeriod);
+                openingRange = OpeningRange(OpeningRangePeriod, OpeningRangeBarType.Minutes);
+                dragon = SonicRDragon(DragonPeriod);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (BarsInProgress != 0)
+                return;
+            
+            if (CurrentBar < BarsRequiredToTrade)
+                return;
+
+            if (Position.MarketPosition != MarketPosition.Flat)
+                return;
+
+            if (Open[0] < dragon.HighEMA[0] && Close[0] > dragon.HighEMA[0])// &&
+                //openingRange.ORH[0] > 0.0 && Close[0] > openingRange.ORH[0])
+            {
+                lookingLong = true;
+
+                lookingShort = false;
+                waitingForLongBreak = false;
+                waitingForShortBreak = false;
+            }
+            else if (Open[0] > dragon.LowEMA[0] && Close[0] < dragon.LowEMA[0])// &&
+                //openingRange.ORL[0] > 0.0 && Close[0] < openingRange.ORL[0])
+            {
+                lookingShort = true;
+
+                lookingLong = false;
+                waitingForLongBreak = false;
+                waitingForShortBreak = false;
+            }
+
+            if (lookingLong && Close[0] < Open[0])
+            {
+                waitingForLongBreak = true;
+                breakPrice = Close[1];
+                lookingLong = false;
+            }
+            else if (lookingShort && Close[0] > Open[0])
+            {
+                waitingForShortBreak = true;
+                breakPrice = Close[1];
+                lookingShort = false;
+            }
+
+            double atrValue = atr[0];
+            double stopLoss = ATRMultiplier * atrValue;
+            double profitTarget = ATRMultiplier * atrValue;
+
+            if (waitingForLongBreak && Close[0] > breakPrice)
+            {
+                SetStopLoss(CalculationMode.Ticks, stopLoss / TickSize);
+                SetProfitTarget(CalculationMode.Ticks, profitTarget / TickSize);
+                EnterLong();
+                waitingForLongBreak = false;
+            }
+            else if (waitingForShortBreak && Close[0] < breakPrice)
+            {
+                SetStopLoss(CalculationMode.Ticks, stopLoss / TickSize);
+                SetProfitTarget(CalculationMode.Ticks, profitTarget / TickSize);
+                EnterShort();
+                waitingForShortBreak = false;
+            }
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+
+        #region Properties
+        [NinjaScriptProperty]
+        [Range(1, int.MaxValue)]
+        [Display(Name = "Dragon Period", Description = "Period for the Sonic R Dragon", Order = 1, GroupName = "Sonic R Bot")]
+        public int DragonPeriod { get; set; }
+
+        [Range(1, int.MaxValue), NinjaScriptProperty]
+        [Display(Name = "ATR Period", GroupName = "Volatility Regime Bot", Order = 2)]
+        public int ATRPeriod { get; set; }
+
+        [Range(0.1, double.MaxValue), NinjaScriptProperty]
+        [Display(Name = "ATR Multiplier", GroupName = "Volatility Regime Bot", Order = 3)]
+        public double ATRMultiplier { get; set; }
+
+        [Range(1, int.MaxValue), NinjaScriptProperty]
+        [Display(Name = "Opening Range Period", GroupName = "Volatility Regime Bot", Order = 4)]
+        public int OpeningRangePeriod { get; set; }
+        #endregion
+    }
+}