--+------------------------------------------------------------------+ --| Copyright © 2016, Gehtsoft USA LLC | --| http://fxcodebase.com | --+------------------------------------------------------------------+ --| Support our efforts by donating | --| Paypal: https://goo.gl/9Rj74e | --| BitCoin : 15VCJTLaz12Amr7adHSBtL9v8XomURo9RF | --+------------------------------------------------------------------+ function Init() --The strategy profile initialization strategy:name("EMA"); strategy:description("EMA"); strategy:setTag("NonOptimizableParameters", "Email,SendEmail,SoundFile,RecurrentSound,PlaySound, ShowAlert"); strategy.parameters:addGroup("Price"); strategy.parameters:addString("Type", "Price Type", "", "Bid"); strategy.parameters:addStringAlternative("Type", "Bid", "", "Bid"); strategy.parameters:addStringAlternative("Type", "Ask", "", "Ask"); strategy.parameters:addString("TF", "Time frame", "", "m5"); strategy.parameters:setFlag("TF", core.FLAG_PERIODS); strategy.parameters:addGroup("Strategy Parameters"); --strategy.parameters:addDouble("BuyThreshold", "Buy Threshold", "", 0.5, 0, 1); --strategy.parameters:addDouble("SellThreshold", "Sell Threshold", "", 0.25, 0, 1); --strategy.parameters:addInteger("ShortPeriods", "Short Periods", "", 10, 2, 1000); strategy.parameters:addInteger("LongPeriods", "Long Periods", "", 30, 1, 1000); strategy.parameters:addBoolean("CloseOnOpposite", "Close On Opposite", "", true); strategy.parameters:addString("CustomID", "Custom Identifier", "The identifier that can be used to distinguish strategy instances", "123"); strategy.parameters:addBoolean("LockB", "LockB", "LockB", false); --AGREGADO strategy.parameters:addBoolean("LockS", "LockS", "LockS", false); --AGREGADO CreateTradingParameters(); end function CreateTradingParameters() strategy.parameters:addGroup("Trading Parameters"); strategy.parameters:addBoolean("AllowTrade", "Allow strategy to trade", "", true); -- NG: optimizer/backtester hint strategy.parameters:setFlag("AllowTrade", core.FLAG_ALLOW_TRADE); 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("Account", "Account to trade on", "", ""); strategy.parameters:setFlag("Account", core.FLAG_ACCOUNT); strategy.parameters:addInteger("Amount", "Trade Amount in Lots", "", 1, 1, 100); strategy.parameters:addBoolean("SetLimit", "Set Limit Orders", "", true); strategy.parameters:addInteger("Limit", "Limit Order in pips", "", 10, 1, 10000); strategy.parameters:addBoolean("SetStop", "Set Stop Orders", "", true); strategy.parameters:addInteger("Stop", "Stop Order in pips", "", 280, 1, 10000); 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", "", false); strategy.parameters:addBoolean("SendEmail", "Send Email", "", false); strategy.parameters:addString("Email", "Email", "", ""); strategy.parameters:setFlag("Email", core.FLAG_EMAIL); end local Source; 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 CloseOnOpposite local first; local LongEMA; local BuyThreshold; local LockB, LockS --local SellThreshold; local CustomID; -- Don't need to store hour + minute + second for each time local OpenTime, CloseTime, ExitTime; -- function Prepare( nameOnly) --SellThreshold = instance.parameters.SellThreshold; --BuyThreshold = instance.parameters.BuyThreshold; CustomID = instance.parameters.CustomID; CloseOnOpposite = instance.parameters.CloseOnOpposite; assert(instance.parameters.TF ~= "t1", "The time frame must not be tick"); local name; name = profile:id() .. "( " .. instance.bid:name() .. "," .. CustomID .. " )"; instance:name(name); --local name; --name = profile:id() .. "( " .. instance.bid:name() .. "," .. BuyThreshold .. "," .. SellThreshold .. "," .. CustomID .. " )"; --instance:name(name); PrepareTrading(); if nameOnly then return ; end Source = ExtSubscribe(1, nil, instance.parameters.TF, instance.parameters.Type == "Bid", "bar"); LongEMA = core.indicators:create("EMA", Source.close, instance.parameters.LongPeriods); -- ShortEMA = core.indicators:create("EMA", Source.close, instance.parameters.ShortPeriods); first = LongEMA.DATA:first(); 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); SetLimit = instance.parameters.SetLimit; Limit = instance.parameters.Limit; SetStop = instance.parameters.SetStop; Stop = instance.parameters.Stop; TrailingStop = instance.parameters.TrailingStop; 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 id ~= 1 then -- if this is the bar source, abort. return; end -- update indicators. LongEMA:update(core.UpdateLast); --ShortEMA:update(core.UpdateLast); if period < first then -- not enough data, abort. return; end --local delta = 100 * (ShortEMA.DATA[period] - LongEMA.DATA[period]) / ((ShortEMA.DATA[period] + LongEMA.DATA[period]) / 2) if (LongEMA.DATA[period] > source.close[period]) and not LockB then BUY(); LockS = false; LockB = true; elseif (LongEMA.DATA[period] < source.close[period]) and not LockS then SELL(); LockS = true; LockB = false; end end -- NG: Introduce async function for timer/monitoring for the order results function ExtAsyncOperationFinished(cookie, success, message) if 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 CloseOnOpposite 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"); else Signal ("Buy Signal"); end end function SELL () if AllowTrade then if CloseOnOpposite 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"); 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, Label, profile:id() .. "(" .. instance.bid:instrument() .. ")" .. instance.bid[NOW]..", " .. Label..", " .. instance.bid:date(NOW)); 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) -- do not enter if position in the specified direction already exists if tradesCount(BuySell) > 0 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); end -- enter into the specified direction function MarketOrder(BuySell) local valuemap, success, msg; valuemap = core.valuemap(); valuemap.Command = "CreateOrder"; valuemap.OrderType = "OM"; valuemap.OfferID = Offer; valuemap.AcctID = Account; valuemap.Quantity = Amount * BaseSize; 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 -- exit from the specified trade using the direction as a key function exitSpecific(BuySell) -- we have to loop through to exit all trades in each direction instead -- of using the net qty flag because we may be running multiple strategies on the same account. local enum, row; local found = false; enum = core.host:findTable("trades"):enumerator(); row = enum:next(); while (not found) and (row ~= nil) do -- for every trade for this instance. if row.AccountID == Account and row.OfferID == Offer and row.QTXT == CustomID and (row.BS == BuySell or BuySell == nil) then exitTrade(row); end row = enum:next(); end end -- exit from the specified direction function exitTrade(tradeRow) if not(AllowTrade) then return true; end local valuemap, success, msg; valuemap = core.valuemap(); -- switch the direction since the order must be in oppsite direction if tradeRow.BS == "B" then BuySell = "S"; else BuySell = "B"; end valuemap.OrderType = "CM"; valuemap.OfferID = Offer; valuemap.AcctID = Account; if (CanClose) then -- Non-FIFO can close each trade independantly. valuemap.TradeID = tradeRow.TradeID; valuemap.Quantity = tradeRow.Lot; else -- FIFO. valuemap.NetQtyFlag = "Y"; -- this forces all trades to close in the opposite direction. end valuemap.BuySell = BuySell; valuemap.CustomID = CustomID; 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 return true; end dofile(core.app_path() .. "\\strategies\\standard\\include\\helper.lua");