#region Using declarations
using NinjaTrader.Cbi;
using NinjaTrader.NinjaScript.Indicators;
using System.ComponentModel.DataAnnotations;
#endregion

namespace NinjaTrader.NinjaScript.Strategies
{
    public class VIXFivePercentBot : Strategy
    {
        private const int VIXBars = 1;
        
        private SMA movingAverage;
        
        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Taken from chapter 5 of Short Term Trading Strategies That Work";
                Name = "VIX 5% 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;

                MovingAveragePeriod = 10;
                EntryPercent = 5;
                ExitPercent = 5;
            }
            else if (State == State.Configure)
            {
                AddDataSeries("^VIX");
            }
            else if (State == State.DataLoaded)
            {
                movingAverage = SMA(BarsArray[VIXBars], MovingAveragePeriod);
            }
        }

        protected override void OnBarUpdate()
        {
            if (BarsInProgress != 0)
                return;

            if (CurrentBars[VIXBars] < 0)
                return;

            if (CurrentBar < BarsRequiredToTrade)
                return;

            double entryThreshold = movingAverage[0] * (1 + EntryPercent / 100.0);
            double exitThreshold = movingAverage[0] * (1 - ExitPercent / 100.0);

            if (Closes[VIXBars][0] >= entryThreshold)
                EnterLong();

            if (Position.MarketPosition == MarketPosition.Long && Closes[VIXBars][0] <= exitThreshold)
                ExitLong();
        }

        public override string DisplayName
        {
            get { return Name; }
        }

        [NinjaScriptProperty]
        [Range(0.1, 100)]
        [Display(Name = "Entry Percent", GroupName = "VIX 5% Bot", Order = 1)]
        public double EntryPercent { get; set; }

        [NinjaScriptProperty]
        [Range(0.1, 100)]
        [Display(Name = "Exit Percent", GroupName = "VIX 5% Bot", Order = 2)]
        public double ExitPercent { get; set; }

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Moving Average Period", GroupName = "VIX 5% Bot", Order = 3)]
        public int MovingAveragePeriod { get; set; }
    }
}