Trading Strategy Scripts

Trading Strategy scripts are used for trading one symbol at a time such that each symbol gets its own strategy instance. Common use-cases include momentum strategies, crossover strategies and overbought / oversold strategies, all of which need to evaluate only a single symbol at a time in order to make trading decisions.

Setup

A Trading Strategy script can be set up from the Desktop Strategy Wizard when a new strategy is added to a Desktop.

Functions

Name	Description
OnInitialize()	This function is used for accepting the script parameters and for initializing the script prior to all other function calls. Once the script is assigned to a Desktop strategy, its parameter values can be specified by the user and can be selected for optimization.
OnBarUpdate(int, int)	This function is called after each new bar of each symbol assigned to the Desktop strategy. It should evaluate the specified symbol and its new bar in order to determine whether to generate new orders for it. Never create indicators, signals or patterns from OnBarUpdate, for performance reasons those should be created from OnInitialize.
OnOrderFillUpdate(int, int, int)	This function is called for each new order fill.
OnOrderUpdate(int, int, C_Status)	This function is called when an order is executed or cancelled.
OnPositionUpdate(int, int, C_PositionStatus)	This function is called when a position is opened or closed.
OnSessionUpdate(int, C_SessionStatus)	This function is called when a session is opened or closed.
OnNewsUpdate(int, long, string, string, C_MessageType)	This function is called when a news update is received and only if the [NO_NEWS_UPDATES] comment is removed.
OnRSSUpdate(int, long, string, string, C_MessageType)	This function is called when an RSS update is received and only if the [NO_RSS_UPDATES] comment is removed.
OnAlertUpdate(int, long, string, C_MessageType)	This function is called when an alert update is received and only if the [NO_ALERT_UPDATES] comment is removed.
OnJournalUpdate(int, long, string, string, C_MessageType)	This function is called when a journal update is received and only if the [NO_JOURNAL_UPDATES] comment is removed.
OnDataConnectionUpdate(int, long, string, C_MessageType)	This function is called when a data connection update is received and only if the [NO_DATA_CONNECTION_UPDATES] comment is removed.
OnBrokerConnectionUpdate(long, string, C_MessageType)	This function is called when a broker connection update is received and only if the [NO_BROKER_CONNECTION_UPDATES] comment is removed.
OnShutdown()	This function is called when the script is shutdown.

Function Details

OnInitialize()

This function is used for accepting the script parameters and for initializing the script prior to all other function calls. Once the script is assigned to a Desktop strategy, its parameter values can be specified by the user and can be selected for optimization.

OnBarUpdate(int symbolIndex, int dataSeries)

This function is called after each new bar of each symbol assigned to the Desktop strategy. It should evaluate the specified symbol and its new bar in order to determine whether to generate new orders for it. Never create indicators, signals or patterns from OnBarUpdate, for performance reasons those should be created from OnInitialize.

Parameters

Type	Identifier	Description
int	symbolIndex	The index of the symbol in the strategy symbol table
int	dataSeries	The number indicating the data series from which the symbol was updated. According to the Desktop strategy data series settings: 0 for the main data series, 1 for the second data series, etc. Use the DataSeriesSwitch function to switch between them.

OnOrderFillUpdate(int symbolIndex, int orderIndex, int orderFillIndex)

This function is called for each new order fill.

Parameters

Type	Identifier	Description
int	symbolIndex	The underlying symbol index of the order
int	orderIndex	The order index
int	orderFillIndex	The order fill index

OnOrderUpdate(int symbolIndex, int orderIndex, C_Status status)

This function is called when an order is executed or cancelled.

Parameters

Type	Identifier	Description
int	symbolIndex	The underlying symbol index of the order
int	orderIndex	The order index
C_Status	status	The updated status of the order (View Options)

OnPositionUpdate(int symbolIndex, int positionIndex, C_PositionStatus status)

This function is called when a position is opened or closed.

Parameters

Type	Identifier	Description
int	symbolIndex	The underlying symbol index of the position
int	positionIndex	The position index
C_PositionStatus	status	The updated status of the position (View Options)

OnSessionUpdate(int symbolIndex, C_SessionStatus status)

This function is called when a session is opened or closed.

Parameters

Type	Identifier	Description
int	symbolIndex	The symbol index whose session is updated
C_SessionStatus	status	The session status (View Options)

OnNewsUpdate(int symbolIndex, long dateTime, string title, string message, C_MessageType type)

This function is called when a news update is received and only if the [NO_NEWS_UPDATES] comment is removed.

Parameters

Type	Identifier	Description
int	symbolIndex	The symbol index for the update
long	dateTime	The date/time in which the update was received by the platform
string	title	The update title
string	message	The update message
C_MessageType	type	The update message type (View Options)

OnRSSUpdate(int symbolIndex, long dateTime, string title, string message, C_MessageType type)

This function is called when an RSS update is received and only if the [NO_RSS_UPDATES] comment is removed.

Parameters

Type	Identifier	Description
int	symbolIndex	The symbol index for the update
long	dateTime	The date/time in which the update was received by the platform
string	title	The update title
string	message	The update message
C_MessageType	type	The update message type (View Options)

OnAlertUpdate(int symbolIndex, long dateTime, string message, C_MessageType type)

This function is called when an alert update is received and only if the [NO_ALERT_UPDATES] comment is removed.

Parameters

Type	Identifier	Description
int	symbolIndex	The symbol index for the update
long	dateTime	The date/time in which the update was received by the platform
string	message	The update message
C_MessageType	type	The update message type (View Options)

OnJournalUpdate(int symbolIndex, long dateTime, string title, string message, C_MessageType type)

This function is called when a journal update is received and only if the [NO_JOURNAL_UPDATES] comment is removed.

Parameters

Type	Identifier	Description
int	symbolIndex	The symbol index for the update
long	dateTime	The date/time in which the update was received by the platform
string	title	The update title
string	message	The update message
C_MessageType	type	The update message type (View Options)

OnDataConnectionUpdate(int symbolIndex, long dateTime, string message, C_MessageType type)

This function is called when a data connection update is received and only if the [NO_DATA_CONNECTION_UPDATES] comment is removed.

Parameters

Type	Identifier	Description
int	symbolIndex	The symbol index for the update
long	dateTime	The date/time in which the update was received by the platform
string	message	The update message
C_MessageType	type	The update message type (View Options)

OnBrokerConnectionUpdate(long dateTime, string message, C_MessageType type)

This function is called when a broker connection update is received and only if the [NO_BROKER_CONNECTION_UPDATES] comment is removed.

Parameters

Type	Identifier	Description
long	dateTime	The date/time in which the update was received by the platform
string	message	The update message
C_MessageType	type	The update message type (View Options)

OnShutdown()

This function is called when the script is shutdown.