#region Namespaces
using System;
using System.IO;
using System.Linq;
using System.Collections.Generic;
#endregion
namespace ScriptCode {
/// <summary>
/// This is a generalized short-only trading strategy that uses the specified Signal to determine when to trade in the underlying symbols.
/// Signals that can be used in this strategy include the Indicator Negative Crossover signal and Indicator Overbought signal.
///
/// The strategy goes short the specified number of symbols with the lowest Signal values and rebalances after holding for the specified number of bars.
///
/// Trading Rules:
///
/// Short Entry: A sell short market order is generated when the symbol satisfies the Signal value cutoff criteria.
/// Short Exit: A buy-to-cover market order is generated when the position has been held for the specified number of bars.
/// </summary>
public partial class MyMultiSymbolTradingStrategy : MultiSymbolTradingStrategyScriptBase // NEVER CHANGE THE CLASS NAME
{
#region Variables
// Use for holding user specified signals indexed by symbol index.
private Signal[] _sortSignal;
// The number of symbols to hold.
private int _holdSymbols;
// The number of bars to hold the selected symbols.
private int _holdBars;
// Use for counting the number of bars the current open positions have been held.
private int _heldBars;
// Use for holding the symbol signal values <symbol index, latest signal value for symbol>.
private List<Tuple<int, double>> _symbolSignals;
// Indicates whether the strategy is currently in sell mode or buy mode.
private bool _isSellMode;
#endregion
#region OnInitialize
/// <summary>
/// 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, its parameter values can be specified by the user and can be selected for optimization.
/// </summary>
/// --------------------------------------------------------------------------------------------------
/// PLEASE USE THE SCRIPT WIZARD (CTRL+W) TO ADD, EDIT AND REMOVE THE SCRIPT PARAMETERS
/// --------------------------------------------------------------------------------------------------
/// YOU MUST SET A PARAM TAG FOR EACH PARAMETER ACCEPTED BY THIS FUNCTION.
/// ALL PARAM TAGS SHOULD BE SET IN THE 'OnInitialize' REGION, RIGHT ABOVE THE 'OnInitialize' FUNCTION.
/// THE ORDER OF THE TAGS MUST MATCH THE ORDER OF THE ACTUAL PARAMETERS.
/// REQUIRED ATTRIBUTES:
/// (1) name: The exact parameter name.
/// (2) type: The type of data to collect from the user:
/// Set to "Integer" when the data type is 'int'
/// Set to "IntegerArray" when the data type is 'int[]'
/// Set to "DateTime" when the data type is 'long'
/// Set to "DateTimeArray" when the data type is 'long[]'
/// Set to "Boolean" when the data type is 'bool'
/// Set to "BooleanArray" when the data type is 'bool[]'
/// Set to "Double" when the data type is 'double'
/// Set to "DoubleArray" when the data type is 'double[]'
/// Set to "String" when the data type is 'string'
/// Set to "StringArray" when the data type is 'string[]'
/// Set to "Indicator" when the data type is 'Indicator'
/// Set to "Pattern" when the data type is 'Pattern'
/// Set to "Signal" when the data type is 'Signal'
/// Set to "Drawing" when the data type is 'Drawing'
/// OPTIONAL ATTRIBUTES:
/// (3) default: The default parameter value is only valid when the type is Integer, Boolean, Double, String or an API Type.
/// (4) min: The minimum parameter value is only valid when the type is Integer or Double.
/// (5) max: The maximum parameter value is only valid when the type is Integer or Double.
/// EXAMPLE: <param name="" type="" default="" min="" max="">Enter the parameter description here.</param>
/// --------------------------------------------------------------------------------------------------
/// <param name="sortSignal" type="Signal" default="" min="" max="">The signal to use for sorting the symbols.</param>
/// <param name="holdSymbols" type="Integer" default="10" min="1" max="10000">The number of symbols to hold.</param>
/// <param name="holdBars" type="Integer" default="30" min="1" max="10000000">The number of bars to hold the selected symbols.</param>
public void OnInitialize(
Signal sortSignal,
int holdSymbols,
int holdBars) {
// Create an array large enough to hold a single signal for each symbol.
_sortSignal = new Signal[SymbolCount()];
// Iterate over all of the symbol indexes.
for (int symbolIndexItem = 0; symbolIndexItem < _sortSignal.Length; symbolIndexItem++) {
// Create a copy for the current symbol index.
_sortSignal[symbolIndexItem] = SignalSetSymbol(sortSignal, symbolIndexItem);
// Plot the signal on the symbol's chart.
ChartSignalPlot(symbolIndexItem, _sortSignal[symbolIndexItem], "", - 1, 1);
}
// Set the script parameter to a variable.
_holdSymbols = holdSymbols;
// Set the script parameter to a variable.
_holdBars = holdBars;
// Create for holding the symbol signal values <symbol index, latest signal value for symbol>.
_symbolSignals = new List<Tuple<int, double>>();
}
#endregion
#region OnBarUpdate
/// <summary>
/// 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.
/// </summary>
/// <param name="symbolIndex" type="Integer">The index of the symbol in the strategy symbol table</param>
/// <param name="dataSeries" type="Integer">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.</param>
/// <param name="completedBars" type="Integer">The number of completed bars for the specified symbol since the last call to OnBarUpdate.
/// Always 1 unless the bar type can generate multiple completed bars from a single tick/minute/day update (depending on the underlying bar source).</param>
/// <param name="isLastSymbol" type="Boolean">Indicates whether this is the last symbol to be updated for the current bar.
/// The parameter is valid when the bars for different symbols have matching timestamps, e.g. 1m, 5m, 1d, 1w, etc.</param>
public override void OnBarUpdate(
int symbolIndex,
int dataSeries,
int completedBars,
bool isLastSymbol) {
// Check whether all of the symbols have been updated.
if (isLastSymbol) {
// Check whether the strategy is in sell mode.
if (_isSellMode) {
// Increase the number of held bars.
_heldBars++;
// Check whether the number of held bars matches the specified number of hold bars.
if (_heldBars == _holdBars) {
// Get the open position indexes for all of the symbols.
int[] openPositionIndexes = PositionByStatusAll(C_PositionStatus.OPEN);
// Iterate over the open positions for all of the symbols while closing them one by one.
for (int i = 0; i < openPositionIndexes.Length; i++) {
// Swith the API functions to work with the position's symbol.
SymbolSwitch(PositionSymbolIndex(openPositionIndexes[i]));
// Check whether the data bar isn't missing.
if(!DataIsMissing()){
// Buy to cover the current symbol.
BrokerMarket(C_ActionType.BUY_TO_COVER, PositionCurrentQuantity(openPositionIndexes[i]), C_TIF.DAY, "");
}
}
// Clear the number of held bars.
_heldBars = 0;
// Set to indicate that the strategy is currently is buy mode.
_isSellMode = false;
}
}
// The strategy is in buy mode.
else {
// Clear the list of signals.
_symbolSignals.Clear();
// Iterate over the symbols.
for (int symIndex = 0; symIndex < SymbolCount(); symIndex++) {
// Get the signal value for the latest bar of the current symbol.
_symbolSignals.Add(new Tuple<int, double>(symIndex, _sortSignal[symIndex][0]));
}
// Sort the symbols by ascending signal values so that those with the lower signal values come first. Then sort any symbols with the same value by symbol index.
_symbolSignals = _symbolSignals.OrderBy(x => x.Item2).ThenBy(x => x.Item1).ToList();
// Iterate over the number of symbols to hold.
for (int i = 0; i < _symbolSignals.Count && i < _holdSymbols; i++) {
// Swith the API functions to work with the signal's symbol.
SymbolSwitch(_symbolSignals[i].Item1);
// Check to ensure there is not an open position or pending order and if market data is available for the current symbol.
if(!PositionExists(C_PositionStatus.OPEN) && !OrderExists(C_Status.PENDING) && !DataIsMissing()){
// Short the current symbol while assuming that a position sizing script will assign the quantity.
BrokerMarket(C_ActionType.SELL_SHORT, 0, C_TIF.DAY, "");
}
}
// Set to indicate that the strategy is currently is sell mode.
_isSellMode = true;
}
}
}
#endregion
#region OnOrderUpdate
/// <summary>
/// This function is called when an order is executed or cancelled.
/// </summary>
/// <param name="symbolIndex" type="Integer">The symbol index</param>
/// <param name="orderIndex" type="Integer">The order index</param>
/// <param name="status" type="C_Status">The updated status of the order</param>
public override void OnOrderUpdate(
int symbolIndex,
int orderIndex,
C_Status status) {
// OnOrderUpdate Content
}
#endregion
#region OnPositionUpdate
/// <summary>
/// This function is called when a position is opened or closed.
/// </summary>
/// <param name="symbolIndex" type="Integer">The symbol index</param>
/// <param name="positionIndex" type="Integer">The position index</param>
/// <param name="status" type="C_PositionStatus">The updated status of the position</param>
public override void OnPositionUpdate(
int symbolIndex,
int positionIndex,
C_PositionStatus status) {
// OnPositionUpdate Content
}
#endregion
#region OnNewsUpdate
/// <summary>
/// This function is called when a news update is received and only if the NO_NEWS_UPDATES comment is removed.
/// </summary>
/// <param name="symbolIndex" type="Integer">The symbol index for the update</param>
/// <param name="dateTime" type="DateTime">The date/time in which the update was received by the platform</param>
/// <param name="title" type="String">The update title</param>
/// <param name="message" type="String">The update message</param>
/// <param name="type" type="C_MessageType">The message type</param>
public override void OnNewsUpdate(
int symbolIndex,
long dateTime,
string title,
string message,
C_MessageType type) {
// OnNewsUpdate Content
// [NO_NEWS_UPDATES] - Delete this comment to enable news updates to this strategy.
}
#endregion
#region OnRSSUpdate
/// <summary>
/// This function is called when an RSS update is received and only if the NO_RSS_UPDATES comment is removed.
/// </summary>
/// <param name="symbolIndex" type="Integer">The symbol index for the update</param>
/// <param name="dateTime" type="DateTime">The date/time in which the update was received by the platform</param>
/// <param name="title" type="String">The update title</param>
/// <param name="message" type="String">The update message</param>
/// <param name="type" type="C_MessageType">The message type</param>
public override void OnRSSUpdate(
int symbolIndex,
long dateTime,
string title,
string message,
C_MessageType type) {
// OnRSSUpdate Content
// [NO_RSS_UPDATES] - Delete this comment to enable RSS updates to this strategy.
}
#endregion
#region OnAlertUpdate
/// <summary>
/// This function is called when an alert update is received and only if the NO_ALERT_UPDATES comment is removed.
/// </summary>
/// <param name="symbolIndex" type="Integer">The symbol index for the update</param>
/// <param name="dateTime" type="DateTime">The date/time in which the update was received by the platform</param>
/// <param name="message" type="String">The update message</param>
/// <param name="type" type="C_MessageType">The message type</param>
public override void OnAlertUpdate(
int symbolIndex,
long dateTime,
string message,
C_MessageType type) {
// OnAlertUpdate Content
// [NO_ALERT_UPDATES] - Delete this comment to enable alert updates to this strategy.
}
#endregion
#region OnJournalUpdate
/// <summary>
/// This function is called when a journal update is received and only if the NO_JOURNAL_UPDATES comment is removed.
/// </summary>
/// <param name="symbolIndex" type="Integer">The symbol index for the update</param>
/// <param name="dateTime" type="DateTime">The date/time in which the update was received by the platform</param>
/// <param name="title" type="String">The update title</param>
/// <param name="message" type="String">The update message</param>
/// <param name="type" type="C_MessageType">The message type</param>
public override void OnJournalUpdate(
int symbolIndex,
long dateTime,
string title,
string message,
C_MessageType type) {
// OnJournalUpdate Content
// [NO_JOURNAL_UPDATES] - Delete this comment to enable journal updates to this strategy.
}
#endregion
#region OnDataConnectionUpdate
/// <summary>
/// This function is called when a data connection update is received and only if the NO_DATA_CONNECTION_UPDATES comment is removed.
/// </summary>
/// <param name="symbolIndex" type="Integer">The symbol index for the update</param>
/// <param name="dateTime" type="DateTime">The date/time in which the update was received by the platform</param>
/// <param name="message" type="String">The update message</param>
/// <param name="type" type="C_MessageType">The message type</param>
public override void OnDataConnectionUpdate(
int symbolIndex,
long dateTime,
string message,
C_MessageType type) {
// OnDataConnectionUpdate Content
// [NO_DATA_CONNECTION_UPDATES] - Delete this comment to enable data connection updates to this strategy.
}
#endregion
#region OnBrokerConnectionUpdate
/// <summary>
/// This function is called when a broker connection update is received and only if the NO_BROKER_CONNECTION_UPDATES comment is removed.
/// </summary>
/// <param name="dateTime" type="DateTime">The date/time in which the update was received by the platform</param>
/// <param name="message" type="String">The update message</param>
/// <param name="type" type="C_MessageType">The message type</param>
public override void OnBrokerConnectionUpdate(
long dateTime,
string message,
C_MessageType type) {
// OnBrokerConnectionUpdate Content
// [NO_BROKER_CONNECTION_UPDATES] - Delete this comment to enable broker connection updates to this strategy.
}
#endregion
#region OnShutdown
/// <summary>
/// This function is called when the script is shutdown.
/// </summary>
public override void OnShutdown() {
// OnShutdown Content
}
#endregion
}
}
