BreakPriceChannelWithVolume.cs

using OsEngine.Entity;
using OsEngine.Indicators;
using OsEngine.OsTrader.Panels;
using OsEngine.OsTrader.Panels.Attributes;
using OsEngine.OsTrader.Panels.Tab;
using System;
using System.Collections.Generic;

/* Description
trading robot for osengine

The trend robot on Break PriceChannel With Volume.

Buy:
1. The candle closed above the upper PC line
2. The volume is above the average volume for the period (the number of candles back) by a factor of several.
Sell:
1. The candle closed below the lower PC line.
2. The volume is above the average volume for the period (the number of candles back) by a factor of several.

Exit from buy: Stop and profit.
The stop is placed at the minimum for the period specified for the stop (StopCandles). 
Profit is equal to the size of the stop * CoefProfit (CoefProfit – how many times the size of the profit is greater than the size of the stop).

Exit from sell: Stop and profit.
The stop is placed at the maximum for the period specified for the stop (StopCandles). 
Profit is equal to the size of the stop * CoefProfit (CoefProfit – how many times the size of the profit is greater than the size of the stop).

 */


namespace OsEngine.Robots.AO
{
    [Bot("BreakPriceChannelWithVolume")] // We create an attribute so that we don't write anything to the BotFactory
    public class BreakPriceChannelWithVolume : BotPanel
    {
        private BotTabSimple _tab;

        // Basic Settings
        private StrategyParameterString Regime;
        private StrategyParameterString VolumeRegime;
        private StrategyParameterDecimal VolumeOnPosition;
        private StrategyParameterDecimal Slippage;
        private StrategyParameterTimeOfDay StartTradeTime;
        private StrategyParameterTimeOfDay EndTradeTime;

        // Indicator setting 
        private StrategyParameterDecimal MultVolume;
        private StrategyParameterInt CandlesCountVolume;
        private StrategyParameterInt PcUpLength;
        private StrategyParameterInt PcDownLength;

        // Indicator
        Aindicator _Volume;
        Aindicator _PC;

        // The last value of the indicator
        private decimal _lastVolume;

        // The prev value of the indicator
        private decimal _prevUpPC;
        private decimal _prevDownPC;

        // Exit
        private StrategyParameterDecimal CoefProfit;
        private StrategyParameterInt StopCandles;

        public BreakPriceChannelWithVolume(string name, StartProgram startProgram) : base(name, startProgram)
        {
            TabCreate(BotTabType.Simple);
            _tab = TabsSimple[0];

            // Basic setting
            Regime = CreateParameter("Regime", "Off", new[] { "Off", "On", "OnlyLong", "OnlyShort", "OnlyClosePosition" }, "Base");
            VolumeRegime = CreateParameter("Volume type", "Number of contracts", new[] { "Number of contracts", "Contract currency" }, "Base");
            VolumeOnPosition = CreateParameter("Volume", 1, 1.0m, 50, 4, "Base");
            Slippage = CreateParameter("Slippage %", 0m, 0, 20, 1, "Base");
            StartTradeTime = CreateParameterTimeOfDay("Start Trade Time", 0, 0, 0, 0, "Base");
            EndTradeTime = CreateParameterTimeOfDay("End Trade Time", 24, 0, 0, 0, "Base");

            // Indicator setting
            CandlesCountVolume = CreateParameter("CandlesCountVolume", 13, 10, 300, 1, "Indicator");
            MultVolume = CreateParameter("MultVolume", 10.0m, 10, 300, 10, "Indicator");
            PcUpLength = CreateParameter("Up Line Length", 21, 7, 48, 7, "Indicator");
            PcDownLength = CreateParameter("Down Line Length", 21, 7, 48, 7, "Indicator");

            // Create indicator PC
            _PC = IndicatorsFactory.CreateIndicatorByName("PriceChannel", name + "PC", false);
            _PC = (Aindicator)_tab.CreateCandleIndicator(_PC, "Prime");
            ((IndicatorParameterInt)_PC.Parameters[0]).ValueInt = PcUpLength.ValueInt;
            ((IndicatorParameterInt)_PC.Parameters[1]).ValueInt = PcDownLength.ValueInt;
            _PC.Save();

            // Create indicator Volume
            _Volume = IndicatorsFactory.CreateIndicatorByName("Volume", name + "Volume", false);
            _Volume = (Aindicator)_tab.CreateCandleIndicator(_Volume, "NewArea");
            _Volume.Save();

            // Exit
            CoefProfit = CreateParameter("Coef Profit", 1, 1m, 10, 1, "Exit settings");
            StopCandles = CreateParameter("Stop Candles", 1, 2, 10, 1, "Exit settings");

            // Subscribe to the indicator update event
            ParametrsChangeByUser += BreakPriceChannelWithVolume_ParametrsChangeByUser; ;

            // Subscribe to the candle finished event
            _tab.CandleFinishedEvent += _tab_CandleFinishedEvent;

            Description = "The trend robot on Break PriceChannel With Volume. " +
                "Buy: " +
                "1. The candle closed above the upper PC line " +
                "2. The volume is above the average volume for the period (the number of candles back) by a factor of several. " +
                "Sell: " +
                "1. The candle closed below the lower PC line. " +
                "2. The volume is above the average volume for the period (the number of candles back) by a factor of several. " +
                "Exit from buy: Stop and profit. " +
                "The stop is placed at the minimum for the period specified for the stop (StopCandles).  " +
                "Profit is equal to the size of the stop * CoefProfit (CoefProfit – how many times the size of the profit is greater than the size of the stop). " +
                "Exit from sell: Stop and profit. " +
                "The stop is placed at the maximum for the period specified for the stop (StopCandles).  " +
                "Profit is equal to the size of the stop * CoefProfit (CoefProfit – how many times the size of the profit is greater than the size of the stop).";
        }

        private void BreakPriceChannelWithVolume_ParametrsChangeByUser()
        {
            ((IndicatorParameterInt)_PC.Parameters[0]).ValueInt = PcUpLength.ValueInt;
            ((IndicatorParameterInt)_PC.Parameters[1]).ValueInt = PcDownLength.ValueInt;
            _PC.Save();
            _PC.Reload();
        }

        // The name of the robot in OsEngine
        public override string GetNameStrategyType()
        {
            return "BreakPriceChannelWithVolume";
        }
        public override void ShowIndividualSettingsDialog()
        {

        }

        // Candle Finished Event
        private void _tab_CandleFinishedEvent(List<Candle> candles)
        {
            // If the robot is turned off, exit the event handler
            if (Regime.ValueString == "Off")
            {
                return;
            }

            // If there are not enough candles to build an indicator, we exit
            if (candles.Count < CandlesCountVolume.ValueInt ||
                candles.Count < PcUpLength.ValueInt ||
                candles.Count < PcDownLength.ValueInt)
            {
                return;
            }

            // If the time does not match, we leave
            if (StartTradeTime.Value > _tab.TimeServerCurrent ||
                EndTradeTime.Value < _tab.TimeServerCurrent)
            {
                return;
            }

            List<Position> openPositions = _tab.PositionsOpenAll;

            // If there are positions, then go to the position closing method
            if (openPositions != null && openPositions.Count != 0)
            {
                LogicClosePosition(candles);
            }

            // If the position closing mode, then exit the method
            if (Regime.ValueString == "OnlyClosePosition")
            {
                return;
            }
            // If there are no positions, then go to the position opening method
            if (openPositions == null || openPositions.Count == 0)
            {
                LogicOpenPosition(candles);
            }
        }

        // Opening logic
        private void LogicOpenPosition(List<Candle> candles)
        {
            // The last value of the indicator
            _lastVolume = _Volume.DataSeries[0].Last;

            // The prev value of the indicator
            _prevUpPC = _PC.DataSeries[0].Values[_PC.DataSeries[0].Values.Count - 2];
            _prevDownPC = _PC.DataSeries[1].Values[_PC.DataSeries[1].Values.Count - 2];

            List<Position> openPositions = _tab.PositionsOpenAll;

            if (openPositions == null || openPositions.Count == 0)
            {
                decimal lastPrice = candles[candles.Count - 1].Close;

                List<decimal> VolumeValues = _Volume.DataSeries[0].Values;

                // Slippage
                decimal _slippage = Slippage.ValueDecimal * _tab.Securiti.PriceStep;

                // Long
                if (Regime.ValueString != "OnlyShort") // If the mode is not only short, then we enter long
                {
                    if (GetAverage(VolumeValues, CandlesCountVolume.ValueInt) * MultVolume.ValueDecimal < _lastVolume && lastPrice > _prevUpPC)
                    {
                        _tab.BuyAtLimit(GetVolume(), _tab.PriceBestAsk + _slippage);
                    }
                }

                // Short
                if (Regime.ValueString != "OnlyLong") // If the mode is not only long, then we enter short
                {
                    if ((GetAverage(VolumeValues, CandlesCountVolume.ValueInt) * MultVolume.ValueDecimal) < _lastVolume && lastPrice < _prevDownPC)
                    {
                        _tab.SellAtLimit(GetVolume(), _tab.PriceBestBid - _slippage);
                    }
                }
            }
        }

        //  Logic close position
        private void LogicClosePosition(List<Candle> candles)
        {

            List<Position> openPositions = _tab.PositionsOpenAll;
            Position pos = openPositions[0];

            decimal _slippage = Slippage.ValueDecimal * _tab.Securiti.PriceStep;

            decimal profitActivation;
            decimal price;

            for (int i = 0; openPositions != null && i < openPositions.Count; i++)
            {
                if (openPositions[i].State != PositionStateType.Open)
                {
                    continue;
                }

                if (openPositions[i].Direction == Side.Buy) // If the direction of the position is purchase
                {

                    decimal stopActivation = GetPriceStop(openPositions[i].TimeCreate, Side.Buy, candles, candles.Count - 1);

                    if (stopActivation == 0)
                    {
                        return;
                    }

                    price = stopActivation;
                    profitActivation = pos.EntryPrice + (pos.EntryPrice - price) * CoefProfit.ValueDecimal;
                    _tab.CloseAtProfit(pos, profitActivation, profitActivation + _slippage);

                    _tab.CloseAtStop(pos, stopActivation, stopActivation - _slippage);
                }
                else // If the direction of the position is sale
                {
                    decimal stopActivation = GetPriceStop(openPositions[i].TimeCreate, Side.Sell, candles, candles.Count - 1);

                    if (stopActivation == 0)
                    {
                        return;
                    }

                    price = stopActivation;
                    profitActivation = pos.EntryPrice - (price - pos.EntryPrice) * CoefProfit.ValueDecimal;
                    _tab.CloseAtProfit(pos, profitActivation, profitActivation - _slippage);


                    _tab.CloseAtStop(pos, stopActivation, stopActivation + _slippage);
                }

            }

        }

        private decimal GetAverage(List<decimal> Volume, int period)
        {
            decimal sum = 0;

            for (int i = 2; i < period; i++)
            {
                sum += Volume[Volume.Count - i];
            }

            return sum / period;
        }

        private decimal GetPriceStop(DateTime positionCreateTime, Side side, List<Candle> candles, int index)
        {
            if (candles == null || index < StopCandles.ValueInt)
            {
                return 0;
            }

            if (side == Side.Buy)
            {
                // We calculate the stop price at Long
                // We find the minimum for the time from the opening of the transaction to the current one
                decimal price = decimal.MaxValue; ;
                int indexIntro = 0;
                DateTime openPositionTime = positionCreateTime;

                if (openPositionTime == DateTime.MinValue)
                {
                    openPositionTime = candles[index - 2].TimeStart;
                }

                for (int i = index; i > 0; i--)
                {
                    // Look at the index of the candle, after which the opening of the pose occurred
                    if (candles[i].TimeStart <= openPositionTime)
                    {
                        indexIntro = i;
                        break;
                    }
                }

                for (int i = indexIntro; i > 0 && i > indexIntro - StopCandles.ValueInt; i--)
                {
                    // Looking at the minimum after opening
                    if (candles[i].Low < price)
                    {
                        price = candles[i].Low;
                    }
                }

                return price;
            }

            if (side == Side.Sell)
            {
                //  We find the maximum for the time from the opening of the transaction to the current one
                decimal price = 0;
                int indexIntro = 0;
                DateTime openPositionTime = positionCreateTime;

                if (openPositionTime == DateTime.MinValue)
                {
                    openPositionTime = candles[index - 1].TimeStart;
                }

                for (int i = index; i > 0; i--)
                {
                    // Look at the index of the candle, after which the opening of the pose occurred
                    if (candles[i].TimeStart <= openPositionTime)
                    {
                        indexIntro = i;
                        break;
                    }
                }

                for (int i = indexIntro; i > 0 && i > indexIntro - StopCandles.ValueInt; i--)
                {
                    // Looking at the maximum high
                    if (candles[i].High > price)
                    {
                        price = candles[i].High;
                    }
                }

                return price;
            }

            return 0;
        }

        // Method for calculating the volume of entry into a position
        private decimal GetVolume()
        {
            decimal volume = 0;

            if (VolumeRegime.ValueString == "Contract currency")
            {
                decimal contractPrice = _tab.PriceBestAsk;
                volume = VolumeOnPosition.ValueDecimal / contractPrice;
            }
            else if (VolumeRegime.ValueString == "Number of contracts")
            {
                volume = VolumeOnPosition.ValueDecimal;
            }

            // If the robot is running in the tester
            if (StartProgram == StartProgram.IsTester)
            {
                volume = Math.Round(volume, 6);
            }
            else
            {
                volume = Math.Round(volume, _tab.Securiti.DecimalsVolume);
            }
            return volume;
        }
    }
}