Merging indicators intro strategy

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Merging indicators intro strategy

Postby ellydrinh » Sun May 05, 2019 5:59 pm

Hello FXCM community,

I am trying to merge two indicators into a strategy to automatically place orders.
One of my indicator is using an internal stream, and I cannot find a way to get the same result on a custom strategy.

- INDICATOR
Code: Select all
local CCIPeriod = 10
local StochSmooth = 1
local StochPeriod = 10

function Prepare()
    cci = core.indicators:create("CCI", source, CCIPeriod);
    rawstoch = instance:addInternalStream(0, 0);
    ma = core.indicators:create("MVA", rawstoch, StochSmooth);
end

function Update(period, mode)
    local TodayCCI = cci.DATA[period];
    local TodayLowCCI = mathex.min(cci.DATA, period - StochPeriod + 1, period);
    local TodayHighCCI = mathex.max(cci.DATA, period - StochPeriod + 1, period);

    rawstoch[period] = 100 * (TodayCCI - TodayLowCCI) / (TodayHighCCI - TodayLowCCI);

    ma:update(mode);
end


I need my rawstoch internal stream to update my ma indicator.
Any help ?

Thanks for your precious help
ellydrinh
 
Posts: 4
Joined: Sun May 05, 2019 5:49 pm

Re: Merging indicators intro strategy

Postby Apprentice » Mon May 06, 2019 7:33 am

Unfortunately, the internal stream/buffer was removed from the strategy a few years ago.
You will have to read indicator output from the strategy.
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Re: Merging indicators intro strategy

Postby ellydrinh » Mon May 06, 2019 10:26 am

Thanks for your quick reply.
So the idea is to use core.indicators:findIndicator (http://www.fxcodebase.com/bin/products/IndicoreSDK/3.4.0/help/Lua/web-content.html#indicator_manager.findIndicator.html)
In order to get my live indicator, then get the output?

Or is there any other way to get the output of an indicator inside my strategy?

Thanks
ellydrinh
 
Posts: 4
Joined: Sun May 05, 2019 5:49 pm

Re: Merging indicators intro strategy

Postby Apprentice » Tue May 07, 2019 9:15 am

Can you provide an indicator used, will write an example.
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Re: Merging indicators intro strategy

Postby ellydrinh » Tue May 07, 2019 9:32 am

I need values from those 2 indicators, that I would like to use in my strategy (ExtUpdate()):

File attachment __.lua:
Code: Select all
function Init()
    indicator:name("Averages");
    indicator:description("");
    indicator:requiredSource(core.Tick);
    indicator:type(core.Oscillator);

    -- ...
end

function Prepare()

    source = instance.source;

    -- ...

    assert(core.indicators:findIndicator("AVERAGES") ~= nil, "Please, download and install AVERAGES indicator");

    indicator1 = core.indicators:create("AVERAGES", source, First_Method, First_Period, false);
    indicator2 = core.indicators:create("AVERAGES", source, Second_Method, Second_Period, false);

    first = source:first() + math.max(Second_Bars, First_Bars, indicator1.DATA:first(), indicator2.DATA:first());

    OUT = instance:addInternalStream(0, 0);
end


function Update(period, mode)

    indicator1:update(mode);
    indicator2:update(mode);

    if not indicator1.DATA:hasData(period) or not indicator2.DATA:hasData(period) or not indicator1.DATA:hasData(period - First_Bars) or not indicator2.DATA:hasData(period - Second_Bars) then
        return;
    end

    local d, t, d1, t1;
    d, t = source:date(period);
    d1, t1 = source:date(period - 1);
    local S1 = (indicator1.DATA[period] - indicator1.DATA[period - First_Bars]) / source:pipSize();
    local S2 = (indicator2.DATA[period] - indicator2.DATA[period - Second_Bars]) / source:pipSize();

    -- Values I have interest in (0, -1, 1)
    if S1 > First_Slope and S2 > Second_Slope then
        OUT[period] = 1;
    elseif S1 < -First_Slope and S2 < -Second_Slope then
        OUT[period] = -1;
    else
        OUT[period] = 0;
    end
end


File attachment __2.lua:
Code: Select all
function Init()
    indicator:name("CCI Stochastic");
    indicator:description("");
    indicator:requiredSource(core.Bar);
    indicator:type(core.Oscillator);

    -- ...
end

function Prepare(nameOnly)
    source = instance.source;

    -- ...

    cci = core.indicators:create("CCI", source, CCIPeriod);
    rawstoch = instance:addInternalStream(0, 0);
    ma = core.indicators:create("MVA", rawstoch, StochSmooth);
end

function Update(period, mode)

    cci:update(mode);

    if period < cci.DATA:first() + StochPeriod then
        return;
    end

    local TodayCCI = cci.DATA[period];
    local TodayLowCCI = mathex.min(cci.DATA, period - StochPeriod + 1, period);
    local TodayHighCCI = mathex.max(cci.DATA, period - StochPeriod + 1, period);

    rawstoch[period] = 100 * (TodayCCI - TodayLowCCI) / (TodayHighCCI - TodayLowCCI);

    ma:update(mode);

    if period < ma.DATA:first() then
        return;
    end

    -- values I have interest in (1, -1)
    if ma.DATA[period] > OB and ma.DATA[period - 1] <= OB then
        return 1
    end
    if ma.DATA[period] < OS and ma.DATA[period - 1] >= OS then
        return -1
    end
   
    -- ...
end


Thanks a lot for your time
Attachments
__.lua
(1.52 KiB) Downloaded 92 times
__2.lua
(1.13 KiB) Downloaded 90 times
ellydrinh
 
Posts: 4
Joined: Sun May 05, 2019 5:49 pm

Re: Merging indicators intro strategy

Postby Apprentice » Wed May 08, 2019 4:36 pm

Indicator_A.lua
(921 Bytes) Downloaded 103 times

1 for up candle
-1 for down candle

Indicator_B.lua
(1.16 KiB) Downloaded 88 times

1 Price > SMA od Typical Price
-1 Price < SMA od Typical Price

Strategy Example 1.lua
(30.7 KiB) Downloaded 94 times

Open Long
Indicator_A==1
Indicator_B==1
Open Short
Indicator_A==-1
Indicator_B==-1

Strategy Example 2.lua
(30.27 KiB) Downloaded 105 times

Same as Strategy Example 1.lua calculated internaly.

If you are interested in private SDK instructions contact me via email.
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Re: Merging indicators intro strategy

Postby ellydrinh » Sun May 19, 2019 5:41 pm

Thanks for the precious help.
I have an unknown error (file attached) on the Bar-based indicator creation, in my strategy, when I try to apply your example.
I am using NAS100, I see the name correctly output.

Code: Select all
function Prepare(nameOnly)
    local source = instance.bid;
    local name = profile:id() .. "(" .. source:name() .. ", " .. instance.bid:instrument() .. ")";
    instance:name(name);

    if nameOnly then
        return;
    end

    assert(core.indicators:findIndicator("REM_AVERAGES_MASO") ~= nil, "Install REM_AVERAGES_MASO.LUA indicator");
    assert(core.indicators:findIndicator("REM_CCI_STOCHASTIC") ~= nil, "Install REM_CCI_STOCHASTIC.LUA indicator");

    Source = ExtSubscribe(1, nil, "m5", instance.parameters.Type == "Bid", "bar");

    square_indicator = core.indicators:create("REM_AVERAGES_MASO", Source.close);

-- ERROR on this line:
    arrow_indicator = core.indicators:create("REM_CCI_STOCHASTIC", Source);
end


My indicator is OK on standalone though. Here is the Init() sample:
Code: Select all
function Init()
    indicator:name("REM_CCI_STOCHASTIC");
    indicator:description("");
    indicator:requiredSource(core.Bar);
    indicator:type(core.Oscillator);

    -- Additional parameters here...
end

function Prepare(nameOnly)
    local name = profile:id() .. "(" .. source:name() .. ", " .. tostring(CCIPeriod) .. ", " .. tostring(StochPeriod) .. ", " .. tostring(StochSmooth) .. ")";
    instance:name(name);

    source = instance.source;
    cci = core.indicators:create("CCI", source, CCIPeriod);
end


If i refer to your example, it should be ok:
Strategy Example 1.lua:
Code: Select all
function Prepare(nameOnly)
    Source = ExtSubscribe(2, nil, TF, instance.parameters.Type == "Bid", "bar");
    Indicator1 = core.indicators:create("INDICATOR_A", Source.close)

    -- My code breaks here with the unreadable error message
    Indicator2 = core.indicators:create("INDICATOR_B", Source);
end


Any idea what causes this error?
I can share you the whole files in PM if needed

Thank you for your time
Attachments
strategy_error.png
ellydrinh
 
Posts: 4
Joined: Sun May 05, 2019 5:49 pm

Re: Merging indicators intro strategy

Postby Apprentice » Tue May 21, 2019 5:22 am

Will need code of your strategy, all indicator used.
You can send them to my email mario(.)jemic(@)gmail(.)com
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