Bollinger Bands with 5-Minute Bars

This Bollinger band strategy is intended for short intraday trades that last no longer than 5 or 10 minutes. It enters a trade if prices fall 3% below the lower Bollinger band, and exits a trade when a 1% profit target has been reached, or when two bars have passed since the trade was entered. There are several interesting features of this system. It uses flags to say when a trade can be entered or exited (when two bars have passed). It uses the OnTrade event handler to look at trade data during bar formation intervals (so the strategy is working within two timeframes—trades and bars). And it uses SetStop method to set a stop reminder based on time (5 minutes) to remind the strategy to close the position automatically after 5 minutes have passed with an open position.

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

using System.Drawing;

public class MyStrategy : Strategy
{
	[Parameter("Order quantity (number of contracts to trade)")]
	double Qty           = 100;
	
	[Parameter("Percent")]
	double Percent       = 3;
	
	[Parameter("Profit Target")]
	double ProfitTarget  = 1;
	
	[Parameter("Length of BBL", "BBL")]
	int    BBLLength = 10;
	
	[Parameter("Order of BBL", "BBL")]
	double BBLOrder  = 2;	
    
	BBL bbl; 
    
	Order sellLimit; 
	Order buyLimit; 
    
	private int barsFromEntry = 0; 
   
	public override void OnStrategyStart() 
	{ 
		bbl = new BBL(Bars, BBLLength, BBLOrder); 
          
		bbl.Color = Color.Yellow; 
       
		Draw(bbl, 0); 
	}    
    
	public override void OnBar(Bar bar) 
	{ 
		if (bbl.Contains(bar.DateTime)) 
		{ 
			if (!HasPosition) 
			{    
				// cancel previos buy limit 
				if (buyLimit != null) 
					buyLimit.Cancel();             
             
				// calculate limit price 
				double buyPrice = bbl.Last * (1 - Percent / 100); 
             
				// place new limit orders 
				buyLimit = BuyLimitOrder(Qty, buyPrice, "Entry"); 				
				buyLimit.Send(); 
			} 
			else 
			{ 
				barsFromEntry++; 
          
				// close position at the second bar after entry 
				if (barsFromEntry == 2) 
				{ 
					barsFromEntry = 0;                
                
					sellLimit.Cancel();
					
					Sell(Qty, "Exit (Second Bar After Entry)");
				} 
			} 
		} 
	} 
    
	public override void OnBarOpen(Bar bar) 
	{ 
		// place limit order at the beginning of the next bar after entry 
		if (barsFromEntry == 1)       
			PlaceSellLimit(); 
	} 
    
	public override void OnOrderFilled(Order order) 
	{ 
		if (order == sellLimit) 
			barsFromEntry = 0;    
	} 

	private void PlaceSellLimit() 
	{ 
		// calculate price that satisfies the profit target 
		double sellPrice = buyLimit.AvgPrice * (1 + ProfitTarget / 100); 
             
		sellLimit = SellLimitOrder(Qty, sellPrice, "Exit (Profit Target)");
		sellLimit.Send(); 
	} 
}