107 lines
3.5 KiB
C#
107 lines
3.5 KiB
C#
#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; }
|
|
}
|
|
}
|