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AlexWanAlexWan
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Merge pull request #556 from JChinaM/master
new robot BreakLRTrailVolatility
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‎project/OsEngine/bin/Debug/Custom/Robots/BreakLRTrailVolatility.cs‎

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using OsEngine.Charts.CandleChart.Indicators;
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using OsEngine.Entity;
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using OsEngine.Indicators;
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using OsEngine.OsTrader.Panels;
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using OsEngine.OsTrader.Panels.Attributes;
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using OsEngine.OsTrader.Panels.Tab;
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using System;
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using System.Collections.Generic;
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/* Description
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trading robot for osengine
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The trend robot on BreakLRTrailVolatility.
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Buy: the price is above the upper LR line.
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Sale: the price is below the lower LR line.
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Exit from a long position: The trailing stop is placed at the minimum –Atr * Er for the period specified for the
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trailing stop and is transferred, (slides), to new price lows, also for the specified period.
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Exit from the short position: The trailing stop is placed at the maximum +Atr * Er for the period specified for the
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trailing stop and is transferred (slides) to the new maximum of the price, also for the specified period.
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*/
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namespace OsEngine.Robots.CMO
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{
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[Bot("BreakLRTrailVolatility")] // We create an attribute so that we don't write anything to the BotFactory
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public class BreakLRTrailVolatility : BotPanel
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{
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private BotTabSimple _tab;
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// Basic Settings
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private StrategyParameterString Regime;
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private StrategyParameterString VolumeRegime;
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private StrategyParameterDecimal VolumeOnPosition;
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private StrategyParameterDecimal Slippage;
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private StrategyParameterTimeOfDay StartTradeTime;
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private StrategyParameterTimeOfDay EndTradeTime;
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// Indicator setting
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private StrategyParameterInt LengthATR;
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private StrategyParameterInt LrLength;
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private StrategyParameterDecimal UpDeviation;
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private StrategyParameterDecimal DownDeviation;
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private StrategyParameterInt LengthER;
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// Indicator
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Aindicator _ATR;
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Aindicator _LR;
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Aindicator _ER;
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// Exit
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private StrategyParameterInt TrailCandlesLong;
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private StrategyParameterInt TrailCandlesShort;
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// The last value of the indicator
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private decimal _lastATR;
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private decimal _lastLrUp;
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private decimal _lastLrDown;
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private decimal _lastER;
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public BreakLRTrailVolatility(string name, StartProgram startProgram) : base(name, startProgram)
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{
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TabCreate(BotTabType.Simple);
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_tab = TabsSimple[0];
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// Basic setting
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Regime = CreateParameter("Regime", "Off", new[] { "Off", "On", "OnlyLong", "OnlyShort", "OnlyClosePosition" }, "Base");
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VolumeRegime = CreateParameter("Volume type", "Number of contracts", new[] { "Number of contracts", "Contract currency" }, "Base");
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VolumeOnPosition = CreateParameter("Volume", 1, 1.0m, 50, 4, "Base");
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Slippage = CreateParameter("Slippage %", 0m, 0, 20, 1, "Base");
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StartTradeTime = CreateParameterTimeOfDay("Start Trade Time", 0, 0, 0, 0, "Base");
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EndTradeTime = CreateParameterTimeOfDay("End Trade Time", 24, 0, 0, 0, "Base");
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// Indicator setting
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LengthATR = CreateParameter("ATR Length", 14, 7, 48, 7, "Indicator");
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LrLength = CreateParameter("LR Length", 10, 10, 300, 10, "Indicator");
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UpDeviation = CreateParameter("Up Deviation", 3.0m, 1, 5, 0.1m, "Indicator");
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DownDeviation = CreateParameter("Down Deviation", 3.0m, 1, 5, 0.1m, "Indicator");
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LengthER = CreateParameter("LengthER", 20, 10, 300, 10, "Indicator");
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// Create indicator LR
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_LR = IndicatorsFactory.CreateIndicatorByName("LinearRegressionChannel", name + "LinearRegressionChannel", false);
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_LR = (Aindicator)_tab.CreateCandleIndicator(_LR, "Prime");
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((IndicatorParameterInt)_LR.Parameters[0]).ValueInt = LrLength.ValueInt;
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((IndicatorParameterDecimal)_LR.Parameters[2]).ValueDecimal = UpDeviation.ValueDecimal;
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((IndicatorParameterDecimal)_LR.Parameters[3]).ValueDecimal = DownDeviation.ValueDecimal;
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_LR.Save();
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// Create indicator ATR
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_ATR = IndicatorsFactory.CreateIndicatorByName("ATR", name + "ATR", false);
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_ATR = (Aindicator)_tab.CreateCandleIndicator(_ATR, "NewArea");
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((IndicatorParameterInt)_ATR.Parameters[0]).ValueInt = LengthATR.ValueInt;
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_ATR.Save();
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// Create indicator EfficiencyRatio
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_ER = IndicatorsFactory.CreateIndicatorByName("EfficiencyRatio", name + "EfficiencyRatio", false);
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_ER = (Aindicator)_tab.CreateCandleIndicator(_ER, "NewArea0");
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((IndicatorParameterInt)_ER.Parameters[0]).ValueInt = LengthER.ValueInt;
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_ER.Save();
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// Exit
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TrailCandlesLong = CreateParameter("Trail Candles Long", 5, 5, 200, 5, "Exit");
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TrailCandlesShort = CreateParameter("Trail Candles Short", 5, 5, 200, 5, "Exit");
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// Subscribe to the indicator update event
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ParametrsChangeByUser += BreakLRTrailVolatility_ParametrsChangeByUser; ;
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// Subscribe to the candle finished event
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_tab.CandleFinishedEvent += _tab_CandleFinishedEvent;
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Description = "The trend robot on BreakLRTrailVolatility. " +
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"Buy: the price is above the upper LR line. " +
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"Sale: the price is below the lower LR line. " +
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"Exit from a long position: The trailing stop is placed at the minimum –Atr * Er for the period specified for the " +
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"trailing stop and is transferred, (slides), to new price lows, also for the specified period. " +
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"Exit from the short position: The trailing stop is placed at the maximum +Atr * Er for the period specified for the " +
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"trailing stop and is transferred (slides) to the new maximum of the price, also for the specified period.";
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}
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private void BreakLRTrailVolatility_ParametrsChangeByUser()
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{
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((IndicatorParameterInt)_ATR.Parameters[0]).ValueInt = LengthATR.ValueInt;
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_ATR.Save();
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_ATR.Reload();
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((IndicatorParameterInt)_LR.Parameters[0]).ValueInt = LrLength.ValueInt;
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((IndicatorParameterDecimal)_LR.Parameters[2]).ValueDecimal = UpDeviation.ValueDecimal;
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((IndicatorParameterDecimal)_LR.Parameters[3]).ValueDecimal = DownDeviation.ValueDecimal;
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_LR.Save();
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_LR.Reload();
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((IndicatorParameterInt)_ER.Parameters[0]).ValueInt = LengthER.ValueInt;
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_ER.Save();
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_ER.Reload();
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}
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// The name of the robot in OsEngine
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public override string GetNameStrategyType()
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{
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return "BreakLRTrailVolatility";
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}
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public override void ShowIndividualSettingsDialog()
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{
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}
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// Candle Finished Event
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private void _tab_CandleFinishedEvent(List<Candle> candles)
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{
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// If the robot is turned off, exit the event handler
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if (Regime.ValueString == "Off")
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{
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return;
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}
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// If there are not enough candles to build an indicator, we exit
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if (candles.Count < LengthATR.ValueInt ||
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candles.Count < LengthER.ValueInt ||
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candles.Count < LrLength.ValueInt)
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{
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return;
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}
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// If the time does not match, we leave
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if (StartTradeTime.Value > _tab.TimeServerCurrent ||
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EndTradeTime.Value < _tab.TimeServerCurrent)
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{
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return;
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}
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List<Position> openPositions = _tab.PositionsOpenAll;
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// If there are positions, then go to the position closing method
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if (openPositions != null && openPositions.Count != 0)
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{
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LogicClosePosition(candles);
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}
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// If the position closing mode, then exit the method
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if (Regime.ValueString == "OnlyClosePosition")
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{
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return;
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}
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// If there are no positions, then go to the position opening method
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if (openPositions == null || openPositions.Count == 0)
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{
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LogicOpenPosition(candles);
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}
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}
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// Opening logic
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private void LogicOpenPosition(List<Candle> candles)
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{
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// The last value of the indicator
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_lastATR = _ATR.DataSeries[0].Last;
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_lastLrUp = _LR.DataSeries[0].Last;
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_lastLrDown = _LR.DataSeries[2].Last;
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_lastER = _ER.DataSeries[0].Last;
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List<Position> openPositions = _tab.PositionsOpenAll;
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if (openPositions == null || openPositions.Count == 0)
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{
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decimal lastPrice = candles[candles.Count - 1].Close;
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List<decimal> VolumeER = _ER.DataSeries[0].Values;
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List<decimal> VolumeCCI = _ATR.DataSeries[0].Values;
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// Slippage
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decimal _slippage = Slippage.ValueDecimal * _tab.Securiti.PriceStep;
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// Long
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if (Regime.ValueString != "OnlyShort") // If the mode is not only short, then we enter long
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{
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if(_lastLrUp < lastPrice)
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{
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_tab.BuyAtLimit(GetVolume(), _tab.PriceBestAsk + _slippage);
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}
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}
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// Short
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if (Regime.ValueString != "OnlyLong") // If the mode is not only long, then we enter short
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{
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if(_lastLrDown > lastPrice)
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{
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_tab.SellAtLimit(GetVolume(), _tab.PriceBestBid - _slippage);
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}
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}
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}
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}
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// Logic close position
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private void LogicClosePosition(List<Candle> candles)
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{
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List<Position> openPositions = _tab.PositionsOpenAll;
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decimal _slippage = Slippage.ValueDecimal * _tab.Securiti.PriceStep;
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// The last value of the indicator
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_lastER = _ER.DataSeries[0].Last;
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_lastATR = _ATR.DataSeries[0].Last;
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for (int i = 0; openPositions != null && i < openPositions.Count; i++)
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{
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Position positions = openPositions[i];
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if (positions.State != PositionStateType.Open)
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{
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continue;
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}
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if (positions.Direction == Side.Buy) // If the direction of the position is purchase
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{
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decimal price = GetPriceStop(Side.Buy, candles, candles.Count - 1) - _lastATR * _lastER;
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if (price == 0)
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{
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return;
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}
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_tab.CloseAtTrailingStop(openPositions[0], price, price - _slippage);
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}
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else // If the direction of the position is sale
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{
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decimal price = GetPriceStop(Side.Sell, candles, candles.Count - 1) + _lastATR * _lastER;
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if (price == 0)
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{
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return;
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}
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_tab.CloseAtTrailingStop(openPositions[0], price, price + _slippage);
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}
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}
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}
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private decimal GetPriceStop(Side side, List<Candle> candles, int index)
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{
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if (candles == null || index < TrailCandlesLong.ValueInt || index < TrailCandlesShort.ValueInt)
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{
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return 0;
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}
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if (side == Side.Buy)
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{
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decimal price = decimal.MaxValue;
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for (int i = index; i > index - TrailCandlesLong.ValueInt; i--)
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{
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if (candles[i].Low < price)
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{
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price = candles[i].Low;
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}
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}
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return price;
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}
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if (side == Side.Sell)
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{
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decimal price = 0;
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for (int i = index; i > index - TrailCandlesShort.ValueInt; i--)
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{
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if (candles[i].High > price)
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{
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price = candles[i].High;
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}
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}
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return price;
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}
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return 0;
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}
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// Method for calculating the volume of entry into a position
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private decimal GetVolume()
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{
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decimal volume = 0;
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if (VolumeRegime.ValueString == "Contract currency")
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{
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decimal contractPrice = _tab.PriceBestAsk;
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volume = VolumeOnPosition.ValueDecimal / contractPrice;
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}
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else if (VolumeRegime.ValueString == "Number of contracts")
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{
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volume = VolumeOnPosition.ValueDecimal;
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}
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// If the robot is running in the tester
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if (StartProgram == StartProgram.IsTester)
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{
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volume = Math.Round(volume, 6);
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}
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else
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{
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volume = Math.Round(volume, _tab.Securiti.DecimalsVolume);
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}
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return volume;
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}
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}
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}
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project/OsEngine/bin/Debug/Custom/Robots/IntersectionOfROCAndAdaptiveLookBack.cs renamed to project/OsEngine/bin/Debug/Custom/Robots/StrategyAdaptiveLookBackAndROC.cs

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@@ -25,8 +25,8 @@ 2. ROC is below 0.
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namespace OsEngine.Robots.My_bots
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{
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[Bot("IntersectionOfROCAndAdaptiveLookBack")] //We create an attribute so that we don't write anything in the Boot factory
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public class IntersectionOfROCAndAdaptiveLookBack : BotPanel
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[Bot("StrategyAdaptiveLookBackAndROC")] //We create an attribute so that we don't write anything in the Boot factory
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public class StrategyAdaptiveLookBackAndROC : BotPanel
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{
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BotTabSimple _tab;
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public IntersectionOfROCAndAdaptiveLookBack(string name, StartProgram startProgram) : base(name, startProgram)
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public StrategyAdaptiveLookBackAndROC(string name, StartProgram startProgram) : base(name, startProgram)
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{
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TabCreate(BotTabType.Simple);
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_tab = TabsSimple[0];
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((IndicatorParameterInt)ROC.Parameters[0]).ValueInt = LengthROC.ValueInt;
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ROC.DataSeries[0].Color = Color.Red;
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ROC.Save();
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ParametrsChangeByUser += IntersectionOfROCAndAdaptiveLookBack_ParametrsChangeByUser;
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ParametrsChangeByUser += StrategyAdaptiveLookBackAndROC_ParametrsChangeByUser;
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// Subscribe to the candle finished event
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_tab.CandleFinishedEvent += _tab_CandleFinishedEvent;
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}
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// Indicator Update event
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private void IntersectionOfROCAndAdaptiveLookBack_ParametrsChangeByUser()
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private void StrategyAdaptiveLookBackAndROC_ParametrsChangeByUser()
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{
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((IndicatorParameterInt)ALB.Parameters[0]).ValueInt = PeriodALB.ValueInt;
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ALB.Save();
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// The name of the robot in OsEngine
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public override string GetNameStrategyType()
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{
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return "IntersectionOfROCAndAdaptiveLookBack";
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return "StrategyAdaptiveLookBackAndROC";
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}
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public override void ShowIndividualSettingsDialog()
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{

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