-- Id: 19027 -- More information about this indicator can be found at: -- http://fxcodebase.com/code/viewtopic.php?f=31&t=65077 --+------------------------------------------------------------------+ --| Copyright © 2019, Gehtsoft USA LLC | --| http://fxcodebase.com | --+------------------------------------------------------------------+ --| Developed by : Mario Jemic | --| mario.jemic@gmail.com | --+------------------------------------------------------------------+ --| Support our efforts by donating | --| Paypal: https://goo.gl/9Rj74e | --+------------------------------------------------------------------+ --| Patreon : https://goo.gl/GdXWeN | --| BitCoin : 15VCJTLaz12Amr7adHSBtL9v8XomURo9RF | --| BitCoin Cash: 1BEtS465S3Su438Kc58h2sqvVvHK9Mijtg | --| Ethereum : 0x8C110cD61538fb6d7A2B47858F0c0AaBd663068D | --| LiteCoin : LLU8PSY2vsq7B9kRELLZQcKf5nJQrdeqwD | --+------------------------------------------------------------------+ local Modules = {}; trading = {}; trading.Name = "Trading"; trading.Version = "1.5.2"; trading.Debug = false; trading.AddAmountParameter = true; trading.AddStopParameter = true; trading.AddLimitParameter = true; trading.AddDirectionParameter = true; trading.CustomID = nil; trading._ids_start = nil; trading._signaler = nil; trading._allow_trade = false; trading._account = nil; trading._amount = 1; trading._all_modules = {}; trading._reverse_side = false; trading._limit = nil; trading._stop = nil; trading._trailing_stop = nil; function trading:trace(str) if not self.Debug then return; end core.host:trace(self.Name .. ": " .. str); end function trading:RegisterModule(modules) for _, module in pairs(modules) do self:OnNewModule(module); module:OnNewModule(self); end modules[#modules + 1] = self; self._ids_start = (#modules) * 100; end function trading:Init(parameters) parameters:addBoolean("allow_trade", "Allow strategy to trade", "", true); parameters:setFlag("allow_trade", core.FLAG_ALLOW_TRADE); parameters:addString("account", "Account to trade on", "", ""); parameters:setFlag("account", core.FLAG_ACCOUNT); if self.AddAmountParameter then parameters:addInteger("amount", "Trade Amount in Lots", "", 1); end if self.AddDirectionParameter then parameters:addString("orders_direction", "Type of Signal / Trade", "", "direct"); parameters:addStringAlternative("orders_direction", "Direct", "", "direct"); parameters:addStringAlternative("orders_direction", "Reverse", "", "reverse"); end if self.AddStopParameter then parameters:addBoolean("set_stop", "Set Stop Orders", "", false); parameters:addInteger("stop", "Stop Order in pips", "", 30); parameters:addBoolean("trailing_stop", "Trailing stop order", "", false); parameters:addInteger("trailing", "Trailing in pips", "", 1); end if self.AddLimitParameter then parameters:addBoolean("set_limit", "Set Limit Orders", "", false); parameters:addInteger("limit", "Limit Order in pips", "", 30); end end function trading:Prepare(name_only) --do what you usually do in prepare if name_only then return; end self._account = instance.parameters.account; if self.AddAmountParameter then self._amount = instance.parameters.amount; end self._allow_trade = instance.parameters.allow_trade; if self.AddDirectionParameter then self._reverse_side = instance.parameters.orders_direction == "reverse"; end if instance.parameters.set_limit then self._limit = instance.parameters.limit; end if instance.parameters.set_stop then self._stop = instance.parameters.stop; if instance.parameters.trailing_stop then self._trailing_stop = instance.parameters.trailing; end end end function trading:OnNewModule(module) if module.Name == "Signaler" then self._signaler = module; end self._all_modules[#self._all_modules + 1] = module; end function trading:AsyncOperationFinished(cookie, success, message, message1, message2) if cookie == self._ids_start + 1 then if not success then if self._signaler ~= nil then self._signaler:Signal("Open order failed: " .. message); else self:trace("Open order failed: " .. message); end end elseif cookie == self._ids_start + 2 then if not success then if self._signaler ~= nil then self._signaler:Signal("Close order failed: " .. message); else self:trace("Close order failed: " .. message); end end end end function trading:calculateAmount() return self._amount; end function trading:addLimit(valuemap) if self._limit == nil then return; end valuemap.PegTypeLimit = "O"; if valuemap.BuySell == "B" then valuemap.PegPriceOffsetPipsLimit = self._limit; else valuemap.PegPriceOffsetPipsLimit = -self._limit; end end function trading:addStop(valuemap) if self._stop == nil then return; end valuemap.PegTypeStop = "O"; if valuemap.BuySell == "B" then valuemap.PegPriceOffsetPipsStop = -self._stop; else valuemap.PegPriceOffsetPipsStop = self._stop; end valuemap.TrailStepStop = self._trailing_stop; end function trading:getOppositeSide(side) if side == "B" then return "S"; end return "B"; end function trading:MoveOrder(order, new_rate) local min_change = core.host:findTable("offers"):find("Instrument", order.Instrument).PointSize; if math.abs(new_rate - order.Rate) > min_change then self:trace(string.format("Changing an order to %s", tostring(new_rate))); -- stop exists local valuemap = core.valuemap(); valuemap.Command = "EditOrder"; valuemap.AcctID = order.AccountID; valuemap.OrderID = order.OrderID; valuemap.Rate = new_rate; local success, msg = terminal:execute(200, valuemap); if not(success) then terminal:alertMessage(order.Instrument, new_rate, "Failed change stop " .. msg, core.now()); end end end function trading:DeleteOrders(custom_id) local enum = core.host:findTable("orders"):enumerator(); local row = enum:next(); while (row ~= nil) do if (row.QTXT == custom_id or not custom_id) and (row.Type == "LE" or row.Type == "SE") then -- we want to close the entry orders, not the stop or limit orders etc otherwise we will get errors as they close each other out. self:trace(string.format("Deleting order %s", row.OrderID)); local valuemap = core.valuemap(); valuemap.Command = "DeleteOrder"; valuemap.OrderID = row.OrderID; local success, msg = terminal:execute(301, valuemap); if not(success) then end end row = enum:next(); end end function trading:CloseAllForInstrument(instrument) local have_actions = false; local enum = core.host:findTable("accounts"):enumerator(); local row = enum:next(); while (row ~= nil) do if self:CloseSideForInstrumentAndAccount(instrument, "B", row.AccountID) then have_actions = true; end if self:CloseSideForInstrumentAndAccount(instrument, "S", row.AccountID) then have_actions = true; end row = enum:next(); end return have_actions; end function trading:FindFirstOrder(instrument, side, account_id, custom_id) local enum = core.host:findTable("orders"):enumerator(); local row = enum:next(); while (row ~= nil) do if (row.Instrument == instrument or not instrument) and (row.BS == side or not side) and (row.AccountID == account_id or not account_id) and (row.QTXT == custom_id or not custom_id) then return row; end row = enum:next(); end return nil; end function trading:FindFirstPosition(instrument, side, account_id, custom_id) local enum = core.host:findTable("trades"):enumerator(); local row = enum:next(); while (row ~= nil) do if (row.Instrument == instrument or not instrument) and (row.BS == side or not side) and (row.AccountID == account_id or not account_id) and (row.QTXT == custom_id or not custom_id) then return row; end row = enum:next(); end return nil; end function trading:PositionExists(instrument, side, account_id) local enum = core.host:findTable("trades"):enumerator(); local row = enum:next(); while (row ~= nil) do if (row.Instrument == instrument or not instrument) and (row.BS == side or not side) and (row.AccountID == account_id or not account_id) then return true; end row = enum:next(); end return false; end function trading:CloseSideForInstrument(instrument, side) local enum = core.host:findTable("accounts"):enumerator(); local row = enum:next(); while (row ~= nil) do self:CloseSideForInstrumentAndAccount(instrument, side, row.AccountID); row = enum:next(); end end function trading:CloseSideForInstrumentAndAccount(instrument, side, account_id) if not self:PositionExists(instrument, side, account_id) then self:trace(string.format("Nothing to close: %s, %s, %s", tostring(instrument), tostring(side), tostring(account_id))); return true; end self:trace(string.format("Closing all positions for instrument %s, %s, %s", tostring(instrument), tostring(side), tostring(account_id))); local offer = core.host:findTable("offers"):find("Instrument", instrument); local valuemap = core.valuemap(); valuemap.Command = "CreateOrder"; valuemap.OrderType = "CM"; valuemap.OfferID = offer.OfferID; valuemap.BuySell = self:getOppositeSide(side); valuemap.AcctID = account_id; valuemap.NetQtyFlag = "Y"; local success, msg = terminal:execute(self._ids_start + 2, valuemap); if not(success) then if self._signaler ~= nil then self._signaler:Signal("Exit failed: " .. msg); end return false; end return true; end function trading:CreateEntryOrderCustom(instrument, buy_sell, entry_price, amount, limit_type, peg_limit, limit, stop_type, peg_stop, stop, trailing_stop, custom_id) local valuemap = core.valuemap(); valuemap.Command = "CreateOrder"; local offer = core.host:findTable("offers"):find("Instrument", instrument); if self._reverse_side then buy_sell = self:getOppositeSide(buy_sell); end if buy_sell == "B" then valuemap.OrderType = offer.Ask > entry_price and "LE" or "SE"; else valuemap.OrderType = offer.Bid > entry_price and "SE" or "LE"; end local message = string.format("Creating %s %s for %s at %f", buy_sell, valuemap.OrderType, instrument, entry_price); valuemap.CustomID = custom_id == "default" and self.CustomID or custom_id; if valuemap.CustomID ~= nil then message = message .. " CustomID: " .. valuemap.CustomID; end self:trace(message); if limit ~= nil then if peg_limit then valuemap.PegTypeLimit = limit_type or "M"; valuemap.PegPriceOffsetPipsLimit = buy_sell == "B" and limit or -limit; else valuemap.RateLimit = limit; end end if stop ~= nil then if peg_stop then valuemap.PegTypeStop = stop_type or "M"; valuemap.PegPriceOffsetPipsLimit = buy_sell == "B" and -stop or stop; else valuemap.RateStop = stop; end valuemap.TrailStepStop = trailing_stop; end valuemap.Rate = entry_price; local base_size = core.host:execute("getTradingProperty", "baseUnitSize", instrument, self._account); valuemap.OfferID = offer.OfferID; valuemap.AcctID = self._account; valuemap.Quantity = (amount or self:calculateAmount()) * base_size; valuemap.BuySell = buy_sell; for _, module in pairs(self._all_modules) do if module.BlockOrder ~= nil and module:BlockOrder(valuemap) then self:trace("Creation of order blocked by " .. module.Name); return false; end end if not self._allow_trade then if self._signaler ~= nil then self._signaler:Signal(string.format("%s signal for %s", buy_sell, instrument)); end return true; end for _, module in pairs(self._all_modules) do if module.OnOrder ~= nil then module:OnOrder(valuemap); end end local success, msg = terminal:execute(self._ids_start + 1, valuemap); if not(success) then if self._signaler ~= nil then self._signaler:Signal("Open order failed: " .. msg); end return false; end return true; end function trading:CreateMarketOrderCustom(instrument, buy_sell, amount, limit_type, limit, stop_type, stop, trailing_stop) self:trace(string.format("Creating %s OM for %s", buy_sell, instrument)); if self._reverse_side then buy_sell = self:getOppositeSide(buy_sell); end local offer = core.host:findTable("offers"):find("Instrument", instrument); local base_size = core.host:execute("getTradingProperty", "baseUnitSize", instrument, self._account); local valuemap = core.valuemap(); valuemap.Command = "CreateOrder"; valuemap.OrderType = "OM"; valuemap.OfferID = offer.OfferID; valuemap.AcctID = self._account; valuemap.Quantity = (amount or self:calculateAmount()) * base_size; valuemap.BuySell = buy_sell; if limit ~= nil then valuemap.PegTypeLimit = limit_type or "O"; valuemap.PegPriceOffsetPipsLimit = buy_sell == "B" and limit or -limit; end if stop ~= nil then valuemap.PegTypeStop = stop_type or "O"; valuemap.PegPriceOffsetPipsLimit = buy_sell == "B" and -stop or stop; valuemap.TrailStepStop = trailing_stop; end for _, module in pairs(self._all_modules) do if module.BlockOrder ~= nil and module:BlockOrder(valuemap) then self:trace("Creation of order blocked by " .. module.Name); return false; end end if not self._allow_trade then if self._signaler ~= nil then self._signaler:Signal(string.format("%s signal for %s", buy_sell, instrument)); end return true; end for _, module in pairs(self._all_modules) do if module.OnOrder ~= nil then module:OnOrder(valuemap); end end local success, msg = terminal:execute(self._ids_start + 1, valuemap); if not(success) then if self._signaler ~= nil then self._signaler:Signal("Open order failed: " .. msg); end return false; end return true; end function trading:CreateMarketOrderWithAmount(instrument, buy_sell, amount) self:trace(string.format("Creating %s OM for %s", buy_sell, instrument)); if self._reverse_side then buy_sell = self:getOppositeSide(buy_sell); end local offer = core.host:findTable("offers"):find("Instrument", instrument); local base_size = core.host:execute("getTradingProperty", "baseUnitSize", instrument, self._account); local valuemap = core.valuemap(); valuemap.Command = "CreateOrder"; valuemap.OrderType = "OM"; valuemap.OfferID = offer.OfferID; valuemap.AcctID = self._account; valuemap.Quantity = amount * base_size; valuemap.BuySell = buy_sell; self:addLimit(valuemap); self:addStop(valuemap); for _, module in pairs(self._all_modules) do if module.BlockOrder ~= nil and module:BlockOrder(valuemap) then self:trace("Creation of order blocked by " .. module.Name); return false; end end if not self._allow_trade then if self._signaler ~= nil then self._signaler:Signal(string.format("%s signal for %s", buy_sell, instrument)); end return true; end for _, module in pairs(self._all_modules) do if module.OnOrder ~= nil then module:OnOrder(valuemap); end end local success, msg = terminal:execute(self._ids_start + 1, valuemap); if not(success) then if self._signaler ~= nil then self._signaler:Signal("Open order failed: " .. msg); end return false; end return true; end function trading:CreateMarketOrder(instrument, buy_sell) return self:CreateMarketOrderWithAmount(instrument, buy_sell, self:calculateAmount()); end trading:RegisterModule(Modules); trading_logic = {}; -- public fields trading_logic.Name = "Trading logic"; trading_logic.Version = "1.1.1"; trading_logic.Debug = false; trading_logic.DoTrading = nil; trading_logic.MainSource = nil; --private fields trading_logic._ids_start = nil; trading_logic._trading_source_id = nil; function trading_logic:trace(str) if not self.Debug then return; end core.host:trace(self.Name .. ": " .. str); end function trading_logic:OnNewModule(module) end function trading_logic:RegisterModule(modules) for _, module in pairs(modules) do self:OnNewModule(module); module:OnNewModule(self); end modules[#modules + 1] = self; self._ids_start = (#modules) * 100; end function trading_logic:Init(parameters) parameters:addGroup("Price"); parameters:addBoolean("is_bid", "Price Type","", true); parameters:setFlag("is_bid", core.FLAG_BIDASK); parameters:addString("timeframe", "Time frame", "", "m1"); parameters:setFlag("timeframe", core.FLAG_PERIODS); parameters:addString("entry_execution_type", "Entry Execution Type", "", "Live"); parameters:addStringAlternative("entry_execution_type", "End of Turn", "", "EndOfTurn"); parameters:addStringAlternative("entry_execution_type", "Live", "", "Live"); end function trading_logic:GetLastPeriod(source_period, source, target) if source_period < 0 or target:size() < 2 then return nil; end local s1, e1 = core.getcandle(source:barSize(), source:date(source_period), -7, 0); local s2, e2 = core.getcandle(target:barSize(), target:date(NOW - 1), -7, 0); if e1 == e2 then return target:size() - 2; else return target:size() - 1; end end function trading_logic:GetPeriod(source_period, source, target) if source_period < 0 then return nil; end local source_date = source:date(source_period); local index = core.findDate(target, source_date, false); if index == -1 then return nil; end return index; end function trading_logic:Prepare(name_only) if name_only then return; end if instance.parameters.entry_execution_type == "Live" then self._trading_source_id = self._ids_start + 1; ExtSubscribe(self._trading_source_id, nil, "t1", instance.parameters.is_bid, "close"); self:trace("Trading on tick (live data)"); else self._trading_source_id = self._ids_start + 2; self:trace(string.format("Trading on %s bar", instance.parameters.timeframe)); end self.MainSource = ExtSubscribe(self._ids_start + 2, nil, instance.parameters.timeframe, instance.parameters.is_bid, "bar"); end function trading_logic:ExtUpdate(id, source, period) if id == self._trading_source_id and self.DoTrading ~= nil then if source ~= self.MainSource then period = core.findDate(self.MainSource, source:date(period), false); if period == -1 then return; end end self.DoTrading(self.MainSource, period); end end trading_logic:RegisterModule(Modules); function Init() strategy:name("MVA Entry Strategy"); strategy:description("MVA DNC Cross Strategy"); strategy.parameters:addInteger("N", "Periods", "", 21); trading:Init(strategy.parameters); trading_logic:Init(strategy.parameters); end local indicator_1 = nil; function Prepare(name_only) for _, module in pairs(Modules) do module:Prepare(nameOnly); end instance:name(profile:id() .. "(" .. instance.bid:name() .. ")"); if name_only then return ; end assert(core.indicators:findIndicator("MVA") ~= nil, "Please, download and install MVA indicator"); indicator_1 = core.indicators:create("MVA", trading_logic.MainSource, instance.parameters.N); trading.CustomID = "mva_entry"; trading_logic.DoTrading = EntryFunction; end function EntryFunction(source, period) indicator_1:update(core.UpdateLast); local trade = trading:FindFirstPosition(nil, nil, nil, trading.CustomID); if trade ~= nil then core.host:execute("stop"); end local order = trading:FindFirstOrder(nil, nil, nil, trading.CustomID); if order == nil then if source.close[NOW] < indicator_1.DATA[NOW] then trading:CreateEntryOrderCustom(source:instrument(), "S", indicator_1.DATA[NOW], nil, nil, nil, nil, nil, nil, nil, nil, "default"); else trading:CreateEntryOrderCustom(source:instrument(), "B", indicator_1.DATA[NOW], nil, nil, nil, nil, nil, nil, nil, nil, "default"); end else trading:MoveOrder(order, indicator_1.DATA[NOW]); end end function ExtUpdate(id, source, period) for _, module in pairs(Modules) do if module.BlockTrading ~= nil and module:BlockTrading(id, source, period) then return; end end for _, module in pairs(Modules) do if module.ExtUpdate ~= nil then module:ExtUpdate(id, source, period); end end end function ReleaseInstance() for _, module in pairs(Modules) do if module.ReleaseInstance ~= nil then module:ReleaseInstance(); end end end function ExtAsyncOperationFinished(cookie, success, message, message1, message2) for _, module in pairs(Modules) do if module.AsyncOperationFinished ~= nil then module:AsyncOperationFinished(cookie, success, message, message1, message2); end end end dofile(core.app_path() .. "\\strategies\\standard\\include\\helper.lua");