SmartQuant Discussion

using System;
using System.Drawing;

using OpenQuant.API;
using OpenQuant.API.Indicators;

public class MyStrategy : Strategy
{
   [Parameter("Length of SMA1", "SMA")]
   int Length1 = 3;

   [Parameter("Length of SMA2", "SMA")]
   int Length2 = 7;

   [Parameter("Color of SMA1", "SMA")]
   Color Color1 = Color.Yellow;   

   [Parameter("Color of SMA2", "SMA")]
   Color Color2 = Color.LightBlue;
   
   [Parameter("Stop OCA Level", "OCA")]
   double StopOCALevel = 0.98;

   [Parameter("Limit OCA Level", "OCA")]
   double LimitOCALevel = 1.05;
   
   [Parameter("Stop Level", "Stop")]
   double StopLevel = 0.05;

   [Parameter("Stop Type", "Stop")]
   StopType StopType = StopType.Trailing;
   
   [Parameter("StopMode", "Stop")]
   StopMode StopMode = StopMode.Percent;
   
   [Parameter("CrossoverExitEnabled", "Exit")]
   bool CrossoverExitEnabled = true;
   
   [Parameter("OCA Exit Enabled", "Exit")]
   bool OCAExitEnabled = true;

   [Parameter("Stop Exit Enabled", "Exit")]
   bool StopExitEnabled = true;
   
   // this strategy uses some of the same exit methods
   // as the breakout strategy described earlier. Look
   // there for additional documentation
   // lengths and colors of the simple moving averages   
   SMA sma1;
   SMA sma2;

   // only one trade is allowed at a time
   bool entryEnabled = true;   
   
   int OCACount = 0;

   // for the orders used by this strategy
   Order marketOrder,
      limitOrder,
      stopOrder;

   [Parameter("Order quantity (number of contracts to trade)")]
   double Qty = 100;

   public override void OnStrategyStart()
   {
      // set up the moving averages, based on closing prices
      sma1 = new SMA(Bars, Length1, Color1);
      sma2 = new SMA(Bars, Length2, Color2);
      // 0 means draw both averages on the price chart
      Draw(sma1, 0);
      Draw(sma2, 0);
   }

   public override void OnBar(Bar bar)
   {
      // does the fast average cross over the slow average?
      // if so, time to buy long
      Cross cross = sma1.Crosses(sma2, bar);
      // we only allow one active position at a time
      if (entryEnabled)
      {
         // if price trend is moving upward, open a long
         // position using a market order, and send it in
         if (cross == Cross.Above)
         {
            marketOrder = MarketOrder(OrderSide.Buy, Qty, "Entry");            
            marketOrder.Send();
            // if one cancels all exit method is desired, we
            // also issue a limit (profit target) order, and
            // a stop loss order in case the breakout fails.
            // The OCA exit method uses a real stop loss order.
            // The Stop exit method uses a stop indicator.
            // Use either the OCA or Stop method, not both at once.
            if (OCAExitEnabled)
            {
               // create and send a profit limit order
               double profitTarget = LimitOCALevel * bar.Close;
               limitOrder = SellLimitOrder(Qty, profitTarget, "Limit OCA " + OCACount);
               limitOrder.OCAGroup = "OCA " + Instrument.Symbol + " "
                  + OCACount;               
               limitOrder.Send();
               // create and send a stop loss order
               double lossTarget = StopOCALevel * bar.Close;
               stopOrder = SellStopOrder(Qty, lossTarget, "Stop OCA " + OCACount);
               stopOrder.OCAGroup = "OCA " + Instrument.Symbol + " "
                  + OCACount;               
               stopOrder.Send();
               // bump the OCA count to make OCA group strings unique
               OCACount++;
            }
            entryEnabled = false;
         }
      }
         // else if entry is disabled on this bar, we have an open position
      else
      {
         // if we are using the crossover exit, and if the fast
         // average just crossed below the slow average, issue a
         // market order to close the existing position
         if (CrossoverExitEnabled)
            if (cross == Cross.Below)
            {
               marketOrder = MarketOrder(OrderSide.Sell, Qty, "Crossover Exit");               
               marketOrder.Send();
            }
      }
   }
   public override void OnPositionOpened()
   {
      // if we want to exit trades using the Stop method, set a
      // a trailing stop indicator when the position is
      // first opened. The stop indicator is not a stop loss
      // order that can be executed by a broker. Instead, the stop
      // just fires the OnStopExecuted event when it it triggered.
      if (StopExitEnabled)
         SetStop(StopLevel, StopType, StopMode);
   }

   public override void OnPositionClosed()
   {
      // when a position is closed, cancel the limit and stop
      // orders that might be associated with this position.
      // But only cancel if the order has not been filled or
      // not been cancelled already.
      if (OCAExitEnabled &&
         !(limitOrder.IsFilled || limitOrder.IsCancelled))
      {
         limitOrder.Cancel();
      }
      // allow entries once again, since our position is closed
      entryEnabled = true;
   }

   public override void OnStopExecuted(Stop stop)
   {
      // if our trailing stop indicator was executed,
      // issue a market sell order to close the position.
      marketOrder = MarketOrder(OrderSide.Sell, Qty, "Stop Exit");      
      marketOrder.Send();
   }
}

public override void OnBar(Bar bar)
{
  if (bar.Close > sma.Last)
    Buy(qty);
}