-- Id: 1960 -- More information about this indicator can be found at: -- http://fxcodebase.com/code/viewtopic.php?f=31&t=2403 --+------------------------------------------------------------------+ --| Copyright © 2018, 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 | --+------------------------------------------------------------------+ function Init() --The strategy profile initialization strategy:name("Simple Moving Average Price Cross Strategy"); strategy:description(""); strategy:setTag("NonOptimizableParameters", "Email,SendEmail,SoundFile,RecurrentSound,PlaySound, ShowAlert"); strategy.parameters:addGroup("Strategy Parametars"); strategy.parameters:addString("Type", "Type of Signal", "", "CROSS"); strategy.parameters:addStringAlternative("Type", "Cross", "", "CROSS"); strategy.parameters:addStringAlternative("Type", "Touch and Reverse", "", "TOUCH"); strategy.parameters:addBoolean("Confirmation", "Use Confirmation", "", true); strategy.parameters:addGroup("ADX Filter"); strategy.parameters:addString("adxType", "Price type", "", "Bid"); strategy.parameters:addStringAlternative("adxType", "Bid", "", "Bid"); strategy.parameters:addStringAlternative("adxType", "Ask", "", "Ask"); strategy.parameters:addString("adxTF", "Timeframe", "", "D1"); strategy.parameters:setFlag("adxTF", core.FLAG_PERIODS); strategy.parameters:addBoolean("ADX_Filter", "Use ADX Filter", "", false); strategy.parameters:addInteger("ADX_Period", "ADX Period", "", 14); strategy.parameters:addDouble("ADX_Level", "ADX Level", "", 35); strategy.parameters:addGroup("Price Parameters"); strategy.parameters:addString("PriceType", "Price type", "", "Bid"); strategy.parameters:addStringAlternative("PriceType", "Bid", "", "Bid"); strategy.parameters:addStringAlternative("PriceType", "Ask", "", "Ask"); strategy.parameters:addString("PriceTF", "Timeframe", "", "m5"); strategy.parameters:setFlag("PriceTF", core.FLAG_PERIODS); strategy.parameters:addGroup("MVA Parameters for trading signal"); strategy.parameters:addString("MvaMET", "First MA Method", "Method" , "MVA"); strategy.parameters:addStringAlternative("MvaMET", "MVA", "MVA" , "MVA"); strategy.parameters:addStringAlternative("MvaMET", "EMA", "EMA" , "EMA"); strategy.parameters:addStringAlternative("MvaMET", "LWMA", "LWMA" , "LWMA"); strategy.parameters:addStringAlternative("MvaMET", "TMA", "TMA" , "TMA"); strategy.parameters:addStringAlternative("MvaMET", "SMMA", "SMMA" , "SMMA"); strategy.parameters:addStringAlternative("MvaMET", "KAMA", "KAMA" , "KAMA"); strategy.parameters:addStringAlternative("MvaMET", "VIDYA", "VIDYA" , "VIDYA"); strategy.parameters:addStringAlternative("MvaMET", "WMA", "WMA" , "WMA"); strategy.parameters:addStringAlternative("MvaMET", "PPMA", "PPMA" , "PPMA"); strategy.parameters:addInteger("MvaN", "MA Periods", "", 15, 1, 2000); strategy.parameters:addString("MvaType", "Price type", "", "Bid"); strategy.parameters:addStringAlternative("MvaType", "Bid", "", "Bid"); strategy.parameters:addStringAlternative("MvaType", "Ask", "", "Ask"); strategy.parameters:addString("MvaTF", "Timeframe", "", "D1"); strategy.parameters:setFlag("MvaTF", core.FLAG_PERIODS); strategy.parameters:addString("MvaPrice", "Price to apply MA", "", "close"); strategy.parameters:addStringAlternative("MvaPrice", "Open", "", "open"); strategy.parameters:addStringAlternative("MvaPrice", "High", "", "high"); strategy.parameters:addStringAlternative("MvaPrice", "Low", "", "low"); strategy.parameters:addStringAlternative("MvaPrice", "Close/Tick", "", "close"); strategy.parameters:addStringAlternative("MvaPrice", "Median", "", "median"); strategy.parameters:addStringAlternative("MvaPrice", "Typical", "", "typical"); strategy.parameters:addStringAlternative("MvaPrice", "Weighted", "", "weighted"); strategy.parameters:addGroup("MVA Parameters for trend"); strategy.parameters:addString("MvaMET1", "First MA Method", "Method" , "MVA"); strategy.parameters:addStringAlternative("MvaMET1", "MVA", "MVA" , "MVA"); strategy.parameters:addStringAlternative("MvaMET1", "EMA", "EMA" , "EMA"); strategy.parameters:addStringAlternative("MvaMET1", "LWMA", "LWMA" , "LWMA"); strategy.parameters:addStringAlternative("MvaMET1", "TMA", "TMA" , "TMA"); strategy.parameters:addStringAlternative("MvaMET1", "SMMA", "SMMA" , "SMMA"); strategy.parameters:addStringAlternative("MvaMET1", "KAMA", "KAMA" , "KAMA"); strategy.parameters:addStringAlternative("MvaMET1", "VIDYA", "VIDYA" , "VIDYA"); strategy.parameters:addStringAlternative("MvaMET1", "WMA", "WMA" , "WMA"); strategy.parameters:addStringAlternative("MvaMET1", "PPMA", "PPMA" , "PPMA"); strategy.parameters:addInteger("MvaN1", "MA Periods", "", 20, 1, 2000); strategy.parameters:addString("MvaType1", "Price type", "", "Bid"); strategy.parameters:addStringAlternative("MvaType1", "Bid", "", "Bid"); strategy.parameters:addStringAlternative("MvaType1", "Ask", "", "Ask"); strategy.parameters:addString("Mva1TF", "Timeframe", "", "D1"); strategy.parameters:setFlag("Mva1TF", core.FLAG_PERIODS); strategy.parameters:addString("MvaPrice1", "Price to apply MA", "", "close"); strategy.parameters:addStringAlternative("MvaPrice1", "Open", "", "open"); strategy.parameters:addStringAlternative("MvaPrice1", "High", "", "high"); strategy.parameters:addStringAlternative("MvaPrice1", "Low", "", "low"); strategy.parameters:addStringAlternative("MvaPrice1", "Close/Tick", "", "close"); strategy.parameters:addStringAlternative("MvaPrice1", "Median", "", "median"); strategy.parameters:addStringAlternative("MvaPrice1", "Typical", "", "typical"); strategy.parameters:addStringAlternative("MvaPrice1", "Weighted", "", "weighted"); strategy.parameters:addInteger("MvaLB1", "Periods to look back", "", 20, 1, 2000); strategy.parameters:addDouble("MvaLBSens", "Minimal change of MVA to detect trend (in %)", "", 1, 0.000001, 1000000); CreateTradingParameters(); end function CreateTradingParameters() strategy.parameters:addGroup("Execution Parameters"); strategy.parameters:addBoolean("AllowTrade", "Allow strategy to trade", "", true); strategy.parameters:setFlag("AllowTrade", core.FLAG_ALLOW_TRADE); strategy.parameters:addString("AccountType", "Account Type", "", "Automatic"); strategy.parameters:addStringAlternative("AccountType", "FIFO", "", "FIFO"); strategy.parameters:addStringAlternative("AccountType", "non FIFO", "", "NON"); strategy.parameters:addStringAlternative("AccountType", "Automatic", "", "Automatic"); strategy.parameters:addString("EntryExecutionType", "Entry Execution Type", "", "EndOfTurn"); strategy.parameters:addStringAlternative("EntryExecutionType", "End of Turn", "", "EndOfTurn"); strategy.parameters:addStringAlternative("EntryExecutionType", "Live", "", "Live"); strategy.parameters:addGroup("Trade Parameters"); strategy.parameters:addBoolean("CloseOnOpposite", "Close On Opposite", "", true); strategy.parameters:addString("CustomID", "Custom Identifier", "The identifier that can be used to distinguish strategy instances", "PMAS"); strategy.parameters:addBoolean("PositionCap", "Use Position Cap", "", false); strategy.parameters:addInteger("MaxNumberOfPositionInAnyDirection", "Max Number Of Open Position In Any Direction", "", 2); strategy.parameters:addInteger("MaxNumberOfPosition", "Max Number Of Position In One Direction", "", 1); strategy.parameters:addString("ALLOWEDSIDE", "Allowed side", "Allowed side for trading or signaling, can be Sell, Buy or Both", "Both"); strategy.parameters:addStringAlternative("ALLOWEDSIDE", "Both", "", "Both"); strategy.parameters:addStringAlternative("ALLOWEDSIDE", "Buy", "", "Buy"); strategy.parameters:addStringAlternative("ALLOWEDSIDE", "Sell", "", "Sell"); strategy.parameters:addString("Direction", "Type of Signal / Trade", "", "direct"); strategy.parameters:addStringAlternative("Direction", "Direct", "", "direct"); strategy.parameters:addStringAlternative("Direction", "Reverse", "", "reverse"); strategy.parameters:addString("Account", "Account to trade on", "", ""); strategy.parameters:setFlag("Account", core.FLAG_ACCOUNT); strategy.parameters:addInteger("Amount", "Trade Amount in Lots", "", 1); strategy.parameters:addBoolean("SetLimit", "Set Limit Orders", "", false); strategy.parameters:addInteger("Limit", "Limit Order in pips", "", 30); strategy.parameters:addBoolean("SetStop", "Set Stop Orders", "", false); strategy.parameters:addInteger("Stop", "Stop Order in pips", "", 30); strategy.parameters:addBoolean("TrailingStop", "Trailing stop order", "", false); strategy.parameters:addGroup("Alerts"); strategy.parameters:addBoolean("ShowAlert", "ShowAlert", "", true); strategy.parameters:addBoolean("PlaySound", "Play Sound", "", false); strategy.parameters:addFile("SoundFile", "Sound File", "", ""); strategy.parameters:setFlag("SoundFile", core.FLAG_SOUND); strategy.parameters:addBoolean("RecurrentSound", "Recurrent Sound", "", true); strategy.parameters:addBoolean("SendEmail", "Send Email", "", false); strategy.parameters:addString("Email", "Email", "", ""); strategy.parameters:setFlag("Email", core.FLAG_EMAIL); strategy.parameters:addGroup("Time Parameters"); strategy.parameters:addInteger("ToTime", "Convert the date to", "", 6); strategy.parameters:addIntegerAlternative("ToTime", "EST", "", 1); strategy.parameters:addIntegerAlternative("ToTime", "UTC", "", 2); strategy.parameters:addIntegerAlternative("ToTime", "Local", "", 3); strategy.parameters:addIntegerAlternative("ToTime", "Server", "", 4); strategy.parameters:addIntegerAlternative("ToTime", "Financial", "", 5); strategy.parameters:addIntegerAlternative("ToTime", "Display", "", 6); strategy.parameters:addString("StartTime", "Start Time for Trading", "", "00:00:00"); strategy.parameters:addString("StopTime", "Stop Time for Trading", "", "24:00:00"); strategy.parameters:addBoolean("UseMandatoryClosing", "Use Mandatory Closing", "", false); strategy.parameters:addString("ExitTime", "Mandatory Closing Time", "", "23:59:00"); strategy.parameters:addInteger("ValidInterval", "Valid interval for operation in second", "", 60); end local AccountType; local Source,TickSource; local MaxNumberOfPositionInAnyDirection, MaxNumberOfPosition; local SoundFile = nil; local RecurrentSound = false; local ALLOWEDSIDE; local AllowTrade; local Offer; local CanClose; local Account; local Amount; local SetLimit; local Limit; local SetStop; local Stop; local TrailingStop; local ShowAlert; local Email; local SendEmail; local BaseSize; local EntyExecutionType, ExitExecutionType; local CloseOnOpposite local first; local Direction; local CustomID; local PositionCap; local TF; local OpenTime, CloseTime, ExitTime; local LastEntry, LastExit; local ToTime; local ValidInterval,UseMandatoryClosing; --Indicator parameters local price = nil; local masource = nil; local masource1 = nil; local mva = nil; local mva1 = nil; local first = true; local MvaLB1; local MvaLBSens; local Confirmation; local Type; local adx_price, ADX, ADX_Filter, ADX_Period, ADX_Level; function Prepare( nameOnly) CustomID = instance.parameters.CustomID; name = profile:id() .. ", " .. instance.bid:name() .. ", " .. CustomID; instance:name(name); if nameOnly then return ; end ADX_Filter = instance.parameters.ADX_Filter; ADX_Period = instance.parameters.ADX_Period; ADX_Level = instance.parameters.ADX_Level; AccountType = instance.parameters.AccountType; EntryExecutionType = instance.parameters.EntryExecutionType; ExitExecutionType= instance.parameters.ExitExecutionType; CloseOnOpposite = instance.parameters.CloseOnOpposite; MaxNumberOfPositionInAnyDirection = instance.parameters.MaxNumberOfPositionInAnyDirection; MaxNumberOfPosition = instance.parameters.MaxNumberOfPosition; Direction = instance.parameters.Direction == "direct"; TF= instance.parameters.TF; ToTime= instance.parameters.ToTime; if ToTime == 1 then ToTime=core.TZ_EST; elseif ToTime == 2 then ToTime=core.TZ_UTC; elseif ToTime == 3 then ToTime=core.TZ_LOCAL; elseif ToTime == 4 then ToTime=core.TZ_SERVER; elseif ToTime == 5 then ToTime=core.TZ_FINANCIAL; elseif ToTime == 6 then ToTime=core.TZ_TS; end PositionCap = instance.parameters.PositionCap; ValidInterval = instance.parameters.ValidInterval; UseMandatoryClosing = instance.parameters.UseMandatoryClosing; LastEntry=nil; LastExit=nil; PrepareTrading(); Type=instance.parameters.Type ; Confirmation=instance.parameters.Confirmation; assert(instance.parameters.PriceTF ~= "t1", "timeframe must not be tick"); assert(instance.parameters.MvaTF ~= "t1", "timeframe must not be tick"); assert(instance.parameters.Mva1TF ~= "t1", "timeframe must not be tick"); assert(instance.parameters.adxTF ~= "t1", "timeframe must not be tick"); assert(core.indicators:findIndicator(instance.parameters.MvaMET) ~= nil, "Please, download and install" .. instance.parameters.MvaMET.. ".LUA indicator"); assert(core.indicators:findIndicator(instance.parameters.MvaMET1) ~= nil, "Please, download and install".. instance.parameters.MvaMET1 .. ".LUA indicator"); if EntryExecutionType== "Live" then TickSource = ExtSubscribe(1, nil, "t1", instance.parameters.Type == "Bid", "close"); end masource = ExtSubscribe(2, nil, instance.parameters.MvaTF, instance.parameters.MvaType == "Bid", "bar"); price = ExtSubscribe(3, nil, instance.parameters.PriceTF, instance.parameters.PriceType == "Bid", "bar"); adx_price = ExtSubscribe(5, nil, instance.parameters.adxTF, instance.parameters.adxType == "Bid", "bar"); masource1 = ExtSubscribe(4, nil, instance.parameters.Mva1TF, instance.parameters.MvaType1 == "Bid", "bar"); if instance.parameters.MvaMET == "PPMA" then mva = core.indicators:create(instance.parameters.MvaMET, masource, instance.parameters.MvaN); else mva = core.indicators:create(instance.parameters.MvaMET, masource[instance.parameters.MvaPrice], instance.parameters.MvaN); end if instance.parameters.MvaMET1 == "PPMA" then mva1 = core.indicators:create(instance.parameters.MvaMET1, masource1, instance.parameters.MvaN1); else mva1 = core.indicators:create(instance.parameters.MvaMET1, masource1[instance.parameters.MvaPrice1], instance.parameters.MvaN1); end MvaLB1 = instance.parameters.MvaLB1; MvaLBSens = instance.parameters.MvaLBSens; ADX = core.indicators:create("ADX", adx_price, ADX_Period); ValidInterval = instance.parameters.ValidInterval; UseMandatoryClosing = instance.parameters.UseMandatoryClosing; local valid; OpenTime, valid = ParseTime(instance.parameters.StartTime); assert(valid, "Time " .. instance.parameters.StartTime .. " is invalid"); CloseTime, valid = ParseTime(instance.parameters.StopTime); assert(valid, "Time " .. instance.parameters.StopTime .. " is invalid"); ExitTime, valid = ParseTime(instance.parameters.ExitTime); assert(valid, "Time " .. instance.parameters.ExitTime .. " is invalid"); if UseMandatoryClosing then core.host:execute("setTimer", 100, math.max(ValidInterval / 2, 1)); end end function ReleaseInstance() core.host:execute ("killTimer", 100); end -- NG: create a function to parse time function ParseTime(time) local Pos = string.find(time, ":"); if Pos == nil then return nil, false; end local h = tonumber(string.sub(time, 1, Pos - 1)); time = string.sub(time, Pos + 1); Pos = string.find(time, ":"); if Pos == nil then return nil, false; end local m = tonumber(string.sub(time, 1, Pos - 1)); local s = tonumber(string.sub(time, Pos + 1)); return (h / 24.0 + m / 1440.0 + s / 86400.0), -- time in ole format ((h >= 0 and h < 24 and m >= 0 and m < 60 and s >= 0 and s < 60) or (h == 24 and m == 0 and s == 0)); -- validity flag end function PrepareTrading() ALLOWEDSIDE = instance.parameters.ALLOWEDSIDE; local PlaySound = instance.parameters.PlaySound; if PlaySound then SoundFile = instance.parameters.SoundFile; else SoundFile = nil; end assert(not(PlaySound) or (PlaySound and SoundFile ~= ""), "Sound file must be chosen"); ShowAlert = instance.parameters.ShowAlert; RecurrentSound = instance.parameters.RecurrentSound; SendEmail = instance.parameters.SendEmail; if SendEmail then Email = instance.parameters.Email; else Email = nil; end assert(not(SendEmail) or (SendEmail and Email ~= ""), "E-mail address must be specified"); AllowTrade = instance.parameters.AllowTrade; Account = instance.parameters.Account; Amount = instance.parameters.Amount; BaseSize = core.host:execute("getTradingProperty", "baseUnitSize", instance.bid:instrument(), Account); Offer = core.host:findTable("offers"):find("Instrument", instance.bid:instrument()).OfferID; --CanClose = core.host:execute("getTradingProperty", "canCreateMarketClose", instance.bid:instrument(), Account); if AccountType== "FIFO" then CanClose=false; elseif AccountType== "NON" then CanClose=true; else CanClose = core.host:execute("getTradingProperty", "canCreateMarketClose", instance.bid:instrument(), Account); end SetLimit = instance.parameters.SetLimit; Limit = instance.parameters.Limit; SetStop = instance.parameters.SetStop; Stop = instance.parameters.Stop; TrailingStop = instance.parameters.TrailingStop; end function InRange(now, openTime, closeTime) if openTime < closeTime then return now >= openTime and now <= closeTime; end if openTime > closeTime then return now > openTime or now < closeTime; end return now == openTime; end function ExtUpdate(id, source, period) -- The method called every time when a new bid or ask price appears. if AllowTrade then if not(checkReady("trades")) or not(checkReady("orders")) then return ; end end if period < 0 then return; end if EntryExecutionType== "Live" then if id ~= 1 then return; end period= core.findDate (price, TickSource:date(period), false); else if id ~= 3 then return; end end now = core.host:execute("getServerTime"); now= core.host:execute ("convertTime", core.TZ_EST, ToTime, now); -- get only time now = now - math.floor(now); mva:update(core.UpdateLast); mva1:update(core.UpdateLast); ADX:update(core.UpdateLast); if not price.close:hasData( period) then return; end if EntryExecutionType== "Live" and id==1 or EntryExecutionType~= "Live" and id~=1 then EntryFunction(now,period); end end function EntryFunction( now,period) local Return=false; if not InRange(now, OpenTime, CloseTime) then return ; end if ( LastEntry == price:serial(period) ) then return; end local mvaPeriod = mva.DATA:size() - 1; local mva1Period = mva1.DATA:size() - 1; local adxPeriod = ADX.DATA:size() - 1; if mva1Period < mva1.DATA:first() then return; end if mvaPeriod < mva.DATA:first() then return; end if adxPeriod < ADX.DATA:first() then return; end if ADX_Filter and ADX.DATA[adxPeriod]< ADX_Level then return; end if Confirmation then local diff = mva1.DATA[mva1Period] - mva1.DATA[mva1Period - MvaLB1]; diff = diff / mva1.DATA[mva1Period - MvaLB1] * 100; if diff >= MvaLBSens then trend = "U"; elseif diff <= -MvaLBSens then trend = "D"; else trend = "S"; end end if Type == "CROSS" then if ( core.crossesOver(price.close, mva.DATA[mvaPeriod], period)) then if (trend == "U" and Confirmation) or ( not Confirmation) then if Direction then BUY(); else SELL(); end LastEntry= price:serial(period); Return=true; elseif Confirmation then if ShowMessage then terminal:alertMessage(instance.bid:instrument(), instance.bid[NOW], "Long but without confirmation", instance.bid:date(NOW)); end end elseif (core.crossesUnder(price.close, mva.DATA[mvaPeriod], period)) then if (trend == "D" and Confirmation) or (not Confirmation) then if Direction then SELL(); else BUY(); end LastEntry= price:serial(period); Return=true; elseif Confirmation then if ShowMessage then terminal:alertMessage(instance.bid:instrument(), instance.bid[NOW], "Short but without confirmation", instance.bid:date(NOW)); end end end else if price.low[period]< mva.DATA[mvaPeriod] and price.close[period] > mva.DATA[mvaPeriod] and price.close[period-1] > mva.DATA[mvaPeriod] then if (trend == "U" and Confirmation) or (not Confirmation) then if Direction then BUY(); else SELL(); end LastEntry= price:serial(period); Return=true; elseif Confirmation then if ShowMessage then terminal:alertMessage(instance.bid:instrument(), instance.bid[NOW], "Long but without confirmation", instance.bid:date(NOW)); end end elseif price.high[period] > mva.DATA[mvaPeriod] and price.close[period] < mva.DATA[mvaPeriod] and price.close[period-1] < mva.DATA[mvaPeriod] then if (trend == "D" and Confirmation) or (not Confirmation) then if Direction then SELL(); else BUY(); end LastEntry= price:serial(period); Return=true; elseif Confirmation then if ShowMessage then terminal:alertMessage(instance.bid:instrument(), instance.bid[NOW], "Short but without confirmation", instance.bid:date(NOW)); end end end end return Return; end -- NG: Introduce async function for timer/monitoring for the order results function ExtAsyncOperationFinished(cookie, success, message) if cookie == 100 then -- timer if UseMandatoryClosing and AllowTrade then now = core.host:execute("getServerTime"); now= core.host:execute ("convertTime", core.TZ_EST, ToTime, now); -- get only time now = now - math.floor(now); -- check whether the time is in the exit time period if now >= ExitTime and now < ExitTime +(ValidInterval / 86400.0) then if not checkReady("trades") then return ; end if haveTrades("B") then exitSpecific("B"); Signal ("Close Long"); end if haveTrades("S") then exitSpecific("S"); Signal ("Close Short"); end end end elseif cookie == 200 and not success then terminal:alertMessage(instance.bid:instrument(), instance.bid[instance.bid:size() - 1], "Open order failed" .. message, instance.bid:date(instance.bid:size() - 1)); elseif cookie == 201 and not success then terminal:alertMessage(instance.bid:instrument(), instance.bid[instance.bid:size() - 1], "Close order failed" .. message, instance.bid:date(instance.bid:size() - 1)); end end --===========================================================================-- -- TRADING UTILITY FUNCTIONS -- --============================================================================-- function BUY() if AllowTrade then --if CanClose and CloseOnOpposite and haveTrades("S") then if (CloseOnOpposite or Hedge) and haveTrades("S")then -- close on opposite signal exitSpecific("S"); Signal ("Close Short"); end if ALLOWEDSIDE == "Sell" then -- we are not allowed buys. return; end enter("B",0); else Signal ("Buy Signal"); end end function HEDGELONG () if ALLOWEDSIDE == "Buy" and haveTrades("B") then -- we are not allowed sells. return; end if not haveTrades("B") then return; end if AllowTrade then local bCount= tradesCount("B"); if bCount > 0 then exitSpecific("B"); Signal ("Hedge Long"); enter("S", bCount); end else Signal ("Hedge Long"); end end function HEDGESHORT () if ALLOWEDSIDE == "Sell" and haveTrades("S") then -- we are not allowed buys. return; end if not haveTrades("S") then return; end if AllowTrade then local sCount= tradesCount("S"); if sCount > 0 then exitSpecific("S"); Signal ("Hedge Short"); enter("B", sCount); end else Signal ("Hedge Short"); end end function SELL () if AllowTrade then --if CanClose and CloseOnOpposite and haveTrades("B") then if (CloseOnOpposite or Hedge) and haveTrades("B") then -- close on opposite signal exitSpecific("B"); Signal ("Close Long"); end if ALLOWEDSIDE == "Buy" then -- we are not allowed sells. return; end enter("S",0); else Signal ("Sell Signal"); end end function Signal (Label) if ShowAlert then terminal:alertMessage(instance.bid:instrument(), instance.bid[NOW], Label, instance.bid:date(NOW)); end if SoundFile ~= nil then terminal:alertSound(SoundFile, RecurrentSound); end if Email ~= nil then terminal:alertEmail(Email, profile:id().. " : " .. Label , FormatEmail(Source, NOW, Label)); end end function checkReady(table) local rc; if Account == "TESTACC_ID" then -- run under debugger/simulator rc = true; else rc = core.host:execute("isTableFilled", table); end return rc; end function tradesCount(BuySell) local enum, row; local count = 0; enum = core.host:findTable("trades"):enumerator(); row = enum:next(); while row ~= nil do if row.AccountID == Account and row.OfferID == Offer and row.QTXT == CustomID and (row.BS == BuySell or BuySell == nil) then count = count + 1; end row = enum:next(); end return count; end function haveTrades(BuySell) local enum, row; local found = false; enum = core.host:findTable("trades"):enumerator(); row = enum:next(); while (row ~= nil) do if row.AccountID == Account and row.OfferID == Offer and row.QTXT == CustomID and (row.BS == BuySell or BuySell == nil) then found = true; break; end row = enum:next(); end return found; end -- enter into the specified direction function enter(BuySell, hCount) -- do not enter if position in the specified direction already exists if (tradesCount(BuySell) >= MaxNumberOfPosition or (tradesCount(nil) >= MaxNumberOfPositionInAnyDirection)) and PositionCap then return true; end -- send the alert after the checks to see if we can trade. if (BuySell == "S") then Signal ("Sell Signal"); else Signal ("Buy Signal"); end return MarketOrder(BuySell,hCount); end -- enter into the specified direction function MarketOrder(BuySell,hCount) -- if trade_in_progress then --return; --end -- trade_in_progress=true; local valuemap, success, msg; valuemap = core.valuemap(); valuemap.Command = "CreateOrder"; valuemap.OrderType = "OM"; valuemap.OfferID = Offer; valuemap.AcctID = Account; if hCount > 0 then valuemap.Quantity = hCount * BaseSize; else valuemap.Quantity = Amount * BaseSize; end valuemap.BuySell = BuySell; valuemap.CustomID = CustomID; -- add stop/limit valuemap.PegTypeStop = "O"; if SetStop then if BuySell == "B" then valuemap.PegPriceOffsetPipsStop = -Stop; else valuemap.PegPriceOffsetPipsStop = Stop; end end if TrailingStop then valuemap.TrailStepStop = 1; end valuemap.PegTypeLimit = "O"; if SetLimit then if BuySell == "B" then valuemap.PegPriceOffsetPipsLimit = Limit; else valuemap.PegPriceOffsetPipsLimit = -Limit; end end if (not CanClose) then valuemap.EntryLimitStop = 'Y' end success, msg = terminal:execute(200, valuemap); if not(success) then terminal:alertMessage(instance.bid:instrument(), instance.bid[instance.bid:size() - 1], "Open order failed" .. msg, instance.bid:date(instance.bid:size() - 1)); return false; end return true; end function exitSpecific(BuySell) if not AllowTrade then return; end --side -- closes all positions of the specified direction (B for buy, S for sell) local enum, row, valuemap; enum = core.host:findTable("trades"):enumerator(); while true do row = enum:next(); if row == nil then break; end if row.AccountID == Account and row.OfferID == Offer and row.BS == BuySell and row.QTXT == CustomID then -- if trade has to be closed if CanClose then -- non-FIFO account, create a close market order valuemap = core.valuemap(); valuemap.OrderType = "CM"; valuemap.OfferID = Offer; valuemap.AcctID = Account; valuemap.Quantity = row.Lot; valuemap.TradeID = row.TradeID; valuemap.CustomID = CustomID; if row.BS == "B" then valuemap.BuySell = "S"; else valuemap.BuySell = "B"; end success, msg = terminal:execute(201, valuemap); if not(success) then terminal:alertMessage(instance.bid:instrument(), instance.bid[instance.bid:size() - 1], "Close order failed" .. msg, instance.bid:date(instance.bid:size() - 1)); return false; end else -- FIFO account, create an opposite market order valuemap = core.valuemap(); valuemap.OrderType = "OM"; valuemap.OfferID = Offer; valuemap.AcctID = Account; --valuemap.Quantity = Amount*BaseSize; valuemap.Quantity = row.Lot; valuemap.CustomID = CustomID; if row.BS == "B" then valuemap.BuySell = "S"; else valuemap.BuySell = "B"; end success, msg = terminal:execute(201, valuemap); if not(success) then terminal:alertMessage(instance.bid:instrument(), instance.bid[instance.bid:size() - 1], "Close order failed" .. msg, instance.bid:date(instance.bid:size() - 1)); return false; end end end end end dofile(core.app_path() .. "\\strategies\\standard\\include\\helper.lua");