Kindly remove errors of this AFL
- Thread starter shruti.trader
- Start date
Here are the closer match to know further:
http://www.tradinganalysis.co.in/ace-nifty_futures_trading_system_for_amibroker.html
sample views - that explain how it works
1. So procedure TA_PlotEquityArrowsAlertsValueBox () related to this picture
Then if someone can provide the plugin, then you can play around with it.
http://www.tradinganalysis.co.in/ace-nifty_futures_trading_system_for_amibroker.html
sample views - that explain how it works
1. So procedure TA_PlotEquityArrowsAlertsValueBox () related to this picture
Then if someone can provide the plugin, then you can play around with it.
Last edited:
Hello freinds, help me to remove error in last line
_N(SectionName = "AutoTrader_Basic_Flow_updated_Apr_13,_2009");
_N(Ver = "Ver1_0");
_SECTION_BEGIN(SectionName);
EnableTextOutput(False); // prevents incidental text from being displayed in the
interpretation
//Filename = StrLeft(_DEFAULT_NAME(),StrLen(_DEFAULT_NAME())-2) + " " + Ver; //
//the Name of the program AND is displayed on the Title line
// CAUTION: VarPfx is used to make the static variables unique tp prevent
//bizarre results if you use multiple versions of the trading program
//simultaneously.
//VarPfx = Filename + Ver + Name();
//_N(Title = Filename + StrFormat(" - {{DATE}} \nOpen %g, Hi %g, Lo %g, Close %g
//Vol %g " + " {{VALUES}}", O, H, L, C, V ));
//RequestTimedRefresh(1);
//SetChartOptions(0, chartShowDates);
//pAutoTrading = ParamToggle("AutoTrade", "Off|Running"); // turns auto
//trading on AND off
//Pause = ParamToggle("Pause trading", "Run|Pause"); // pause trading
//DebugOn = ParamToggle("DebugView","Off|Running",0); // Dumps trade data to
//an output window
//closetime = Param("Close time (hhmmss)", 230000, 0, 245959, 1500); // end
//trading at the time specified
// The chart period below must agree with the chart before AutoTrading will
//connect to TWS.
// the following lines define the acceptable periods that auto trading will work with.
// To add a period simply add the period to the existiung ParmList separated by a comma AND then add an Interval test to the if statement.
//ChartPeriod = ParamList("Chart Period", "1,3,5,7,10,15,20,30,Hour,Day", 0); //
//chart period must agree with this setting for auto trading to work
//if( ( Interval() == 60 AND ChartPeriod == "1" ) OR
//( Interval() == 60 * 3 AND ChartPeriod == "3" ) OR
//( Interval() == 60 * 5 AND ChartPeriod == "5" ) OR
//( Interval() == 60 * 7 AND ChartPeriod == "7" ) OR
//( Interval() == 60 * 10 AND ChartPeriod == "10" ) OR
//( Interval() == 60 * 15 AND ChartPeriod == "15" ) OR
//( Interval() == 60 * 20 AND ChartPeriod == "20" ) OR
//( Interval() == 60 * 30 AND ChartPeriod == "30" ) OR
//( Interval() == inHourly AND ChartPeriod == "Hour" ) OR
//( Interval() == inDaily AND ChartPeriod == "Day" ) ) IntervalOK = True;
//else IntervalOK = False;
//pContracts = Param("Contracts", 100, 1, 1000000, 1); // definethe default
//number of contracts to order
//OrderType = ParamList("Order type", "STP,LMT,MKT", 2); // select type of ofder to send
//tick = Param("Tick size", 0.01, 0.0, 10.0, 0.1); // amount from current
//price the stop order will be set
//tMult = Param("Tick multiplier", 100, 1, 1000, 1); // tick * multiplier is used in placeOrder
//tickMult = tick * tMult;
// The symbol on the chart must agree with the symbol selected from this list before AutoTrading will connect to TWS
// Note on modifyin this. The symbol must match exactly what is in the AB symbol directory.
// You can see below that ZG has spaces and the exact number of spaces is required.
// To add a new line just copy a line and replace the things between the "..."
//with the new symbol.
// The last line ends with "); and that is required so don't mess it up.
// To change the ticker list you may remove a line but refer to ParamList if you have trouble. The spacing has to be exactly what the AB database has.
// The ticker list is a string separated by commas. If you separate them so they fit on another line you must Close the string, add a + to indicate
// the string continues on the next line. The string must be closed with a " and the ParamList must be closed with a );
//sTicker = ParamList("Symbol to trade",
//"IBM,MSFT,IWM,QQQQ-SMART-STK,GLD-SMART-STK,FXP", 2);
//ManualBuy = ParamTrigger("Manual buy", "Buy"); // allows user to buy the default number of contracts
//ManualSell = ParamTrigger("Manual Sell", "Sell"); // allows user to sell the default number of contracts
//CancelAll = ParamTrigger("Cancel all pending orders", "Cancel all"); // user can cancel all orders that have NOT been filled
//CloseAll = ParamTrigger("Close all", "Close all"); // cancel all pending orders AND Close all Open positions
//Reset = ParamTrigger("Reset", "Reset"); // resets the auto trading variables
//StaticVarSet(VarPfx + "AutoTrading", pAutoTrading );
//
//##############################################################################################################################################################
//
//##############################################################################################################################################################
// ############### Initilization Initilization Initilization
//Initilization Initilization ########################################
//
//##############################################################################################################################################################
//
//##############################################################################################################################################################
//sysTime = Now(4); // time offset from New York
//sysTimeStr = NumToStr(SysTime, 1.0, False);
//barTime = TimeNum();
// assign values to the following constants
// trigger states used by the program
//fNone = 0; // no orders are being processed
//mCancel = 1; // the user has manually selected cancel all open orders
//mClose = 2; // the user has manually selected close all trades
//mBuy = 3; // the user has manually placed a buy order
//mSell = 4; // theuser has manually placed a sell order
//pBuy = 5; // the users system has generated a buy order
//pSell = 6; // the users system has generated a sell order
//pShort = 7; // the users system has generated a short order
//pCover = 8; // the users system has generated a cover order
// order states set by the program
//ordNone = 20; // there are no open orders being processed
//ordCancelBuy = 21; // an open buy order is being cancelled and is waiting for a "Cancelled" Status from TWS
//ordCancelSell = 22; // an open sell order is being cancelled and is waiting for a "Cancelled" Status from TWS
//ordSell = 23; // an open sell order is being processed and is waiting for a ordBuy = 24;
//"Filled" Status from TWS
// an open buy order is being processed and is waiting for a ordCover = 25;
//"Filled" Status from TWS
// an open cover order is being processed and is waiting for a "Filled" Status from TWS
// an open short order is being processed and is waiting for a ordShort = 26;
//"Filled" Status from TWS ordCancelAll = 27;
// a cancel all order is being processed and is waiting for a "Cancelled" Status from TWS ordCloseAll = 28;
// a manual buy order is being processed and is waiting for a ordManBuy = 29;
//"Filled" Status from TWS
// a manual sell order is being processed and is waiting for a ordManSell = 30;
//"Filled" Status from TWS
// initializes the static variables when the program starts and when the user presses Reset.static vars when indicator starts
//if (Reset OR Nz(StaticVarGet(VarPfx + "SystemInitialized"), True)) // init
//StaticVarSet(VarPfx + "SystemInitialized", True);
// pause = True; // used to artifically pause the system on init.
// initialize auto trading vars
//StaticVarSet(VarPfx + "OrderState", OrdNone); // contains the order state being processed, normal is none
//StaticVarSetText(VarPfx + "ordID", ""); // an active order being processed,blank when no orders are active
//StaticVarSet(VarPfx + "GetStatus", False); // a flag informs the program that statis is being requested for an active order
//StaticVarSet(VarPfx + "WaitForConfirm", False); // waiting for the number of contracts to agree with the order that was placed
//StaticVarSetText(VarPfx + "EOD", ""); // used to control order processing at the Close of trading hours
// end of power up or reset initialize
// make variables available to the system and trading code
//OrderState = StaticVarGet(VarPfx + "OrderState"); // the current order state numPositions = Nz(StaticVarGet(VarPfx + "numPositions"));
// the number of positions currently held on TWS
//GetStatus = StaticVarGet(VarPfx + "GetStatus"); // the condition of the Status flag, True if waiting for Status from TWS ordID = StaticVarGetText(VarPfx + "ordID");
// ID of the order beign processed WaitForConfirm = StaticVarGet(VarPfx + "WaitForConfirm");
// flag used to tell the program to wait for TWS to update the number of positions LastC = LastValue(Close);
// this is the last tick that was received from the broker data feed errorMsg = "None";
// used to hold the TWS error message
//
//##############################################################################################################################################################
//
//##############################################################################################################################################################
// ################################ Functions Functions Functions
//Functions Functions Functions
//######################################
//
//##############################################################################################################################################################
//
//##############################################################################################################################################################
// converts the trade states to displayable text
//function fCvtState(s) // conberts the states to strings for file or trace
//temp = "";
// prog trigger states
//if(s==fNone) temp = "NoTrigger";
//else if(s==pBuy) temp = "ProgBuy";
//else if(s==pSell) temp = "ProgSell";
//else if(s==pShort) temp = "ProgShort";
//else if(s==pCover) temp = "ProgCover";
// order states
//else if(s==ordNone) temp = "OrdNone";
//else if(s==ordBuy) temp = "OrdBuy";
//else if(s==ordSell) temp = "OrdSell";
//else if(s==ordShort) temp = "OrdShort";
//else if(s==ordCover) temp = "OrdCover";
//else if(s==ordCancelBuy) temp = "OrdCancelBuy";
//else if(s==ordCancelSell) temp = "OrdCancelSell";
//else if(s==ordCancelAll) temp = "OrdCancelAll";
//else if(s==ordCloseAll) temp = "OrdCloseAll";
//else if(s==ordManBuy) temp = "ordManBuy";
//else if(s==ordManSell) temp = "OrdManSell";
// manual triggers
//else if(s==mCancel) temp = "Cancel";
//else if(s==mClose) temp = "CloseAll";
//else if(s==mBuy) temp = "ManBuy";
//else if(s==mSell) temp = "ManSell";
// error state
//temp = "Invalid state";
//if(DebugOn) _TRACE("#, Invalid state=" + NumToStr(s, 1.0));
//return temp;
// take hhmmss string and convert to hh:mm:ss
//function fFormatTime(time) tFmt = "";
//Len = StrLen(time);
//if(Len == 5) tFmt = StrLeft(time,1) + ":" + StrMid(time,1,2) + ":" +
//else tFmt = StrLeft(time,2) + ":" + StrMid(time,2,2) + ":" + StrRight(time, 2);
//return tFmt;
// this handles the errors returned on the GetStatus command.
//function fErrorProcessor(msg)
//msgid = "";
//if(StrLeft(msg, 2) == "ID")
//offset1 = StrFind(msg, "Error ");
//temp = StrMid(msg, offset1 + 5, offset1 + 5);
//Offset2 = StrFind(temp, ".");
//msgid = StrLeft(temp, Offset2 - 1);
//if(DebugOn) _TRACE("#, ErrorMessage = " + msgid);
//return msgid;
//if(DebugOn) _TRACE("#, Post Init A, Positions=" + NumToStr(StaticVarGet(VarPfx
//"numPositions"), 1.0) +
//", GetStatus=" + NumToStr(GetStatus, 1.0) + ", OrderState=" +
//fCvtState(OrderState) + ", OrderID=" + ordID +
//", WaitForConfirm=" + NumToStr(WaitForConfirm, 1.0));
//_SECTION_END();
//
//##############################################################################################################################################################
//
//##############################################################################################################################################################
// ################### Trading system indicators Trading system
//indicators Trading system indicators #####################
// ################### This section of the code uses AB indicators to define
//the trade timing.
//#####################
//
//##############################################################################################################################################################
//
//##############################################################################################################################################################
//_SECTION_BEGIN("System");
//
//##############################################################################################################################################################
// ################ System Parameters
//
//##############################################################################################################################################################
//Buy = Sell = Short = Cover = 0; // make sure all arrays are set empty
//
//##############################################################################################################################################################
// ################ Signal calculations - add your indicator and calculations here
//
//##############################################################################################################################################################
//pWMA1 = Param("WMA 1 period", 6, 1, 20, 1);
//pWMA2 = Param("WMA 2 period", 7, 1, 20, 1);
//fMA1 = WMA(C, pWMA1); // calculate MA 1
//fMA2 = WMA( (Open + Close)/2, pWMA2); // original
//Buy = fMA1 > fMA2;
//Short = fMA2 > fMA1;
//Sell = Short;
//Cover = Buy;
//
//##############################################################################################################################################################
//
//##############################################################################################################################################################
// ##################### PLOT INDICATORS PLOT INDICATORS PLOT
//INDICATORS Plot INDICATORS Plot INDICATORS
//##################################
// ##################### Change the following lines to display your system as you see fit.
//##################################
//
//##############################################################################################################################################################
//
//##############################################################################################################################################################
//Plot(C, "", colorBlack, ParamStyle( "Price Style", styleBar, maskPrice ) );
//Plot(fMA1, "\nMA1(" + NumToStr(pWMA1, 1.0) + ")", colorRed); // plot the MA lines
//Plot(fMA2, "\nMA2(" + NumToStr(pWMA2, 1.0) + ")", colorRed, styleDashed);
//Plot the MA lines
//PlotShapes(Buy * shapeUpArrow, colorGreen, 0, L, -5 );
//PlotShapes(Sell * shapeDownArrow, colorRed, 0, H, -5 );
//PlotShapes(Short * shapeHollowDownArrow, colorRed, 0, H, -20 );
//PlotShapes(Cover * shapeHollowUpArrow, colorGreen, 0, L, -20 );
//_SECTION_END();
//_SECTION_BEGIN(SectionName + "AT"); // Dont change anything in this section
//unless you know exactly what you are doing.
//##############################################################################################################################################################
// ################ DO NOT CHANGE THE NEXT 4 LINES -- last values changes the
//array Signal to a binary Signal to provide a trigger for the auto trade logic
//
//##############################################################################################################################################################
// displays the signal value in the interpretation window
//printf("\nBuy = " + NumToStr(Buy, 1.0) +
//" Sell = " + NumToStr(Sell, 1.0) +
//" Short = " + NumToStr(Short, 1.0) +
//" Cover = " + NumToStr(Cover, 1.0) + "\n");
//BuyInd = LastValue(Buy); // convert the buy signal to a pulse used by the trading logic
//ShortInd = LastValue(Short); // convert the short signal to a pulse used by trading logic
//SellInd = LastValue(Sell); // convert the sell signal to a pulse used by the the trading logic
//CoverInd = LastValue(Cover); // convert the cover signal to a pulse used by the trading logic
//if(DebugOn) _TRACE("#, Indicators 2, Static, BuyInd = " + NumToStr(BuyInd, 1.0)
//", SellInd = " + NumToStr(SellInd, 1.0) +
//", ShortInd = " + NumToStr(ShortInd, 1.0) +
//", CoverInd = " + NumToStr(CoverInd, 1.0) );
//
//##############################################################################################################################################################
//
//##############################################################################################################################################################
// ###################################### MANUAL BUY MANUAL BUY
//MANUAL Buy MANUAL Buy MANUAL Buy
//###################################
//##############################################################################################################################################################
//##############################################################################################################################################################
//function fManBuyPositions(ib, oState, OID, positions)
//if(DebugOn) _TRACE("#, ManBuy top, positions=" + NumToStr(positions, 1) + ",
//contracts=" + NumToStr(pContracts, 1));
//newState = oState;
// this function closes all open trades
//orderID = ";
//orderID = ib.PlaceOrder(sTicker, "Buy", pContracts, "MKT", 0, 0, "GTC", True,
//tickMult, "outsideRTH");
//if(orderID != "")
//ordType = "ManBuy";
//newState = ordManBuy;
//StaticVarSet(VarPfx + "TargetPositions", positions + pContracts);
//StaticVarSetText(VarPfx + "ordID", orderID );
//StaticVarSet(VarPfx + "GetStatus", True);
//StaticVarSet(VarPfx + "WaitForConfirm", True);
//if(DebugOn) _TRACE("#, ManBuy " + ordType + ", " + fFormatTime(sysTimeStr) +
//", OrderID" + orderID + ", OrderState=" + fCvtState(newState) +
//", Close=" + NumToStr(LastValue(Close), 1.2));
//return newState; // return the type of order that was made
//##############################################################################################################################################################
//##############################################################################################################################################################
// ################################# MANUAL SELL MANUAL SELL MANUAL
//Sell MANUAL Sell MANUAL Sell
//###################################
//##############################################################################################################################################################
//##############################################################################################################################################################
//function fManSellPositions(ib, oState, OID, positions) // we are neither long or Short
//if(DebugOn) _TRACE("#, ManSel1 top, positions=" + NumToStr(positions, 1) + ",
//contracts=" + NumToStr(pContracts, 1));
//newState = oState;
//orderID = "";
//orderID = ib.PlaceOrder(sTicker, "SELL", pContracts, "MKT", 0, 0, "GTC", True,
//tickMult, "outsideRTH");
//if(orderID != "")
//ordType = "ManSell";
//newState = ordManSell;
//StaticVarSet(VarPfx + "TargetPositions", positions - pContracts);
//StaticVarSetText(VarPfx + "ordID", orderID);
//StaticVarSet(VarPfx + "GetStatus", True);
//StaticVarSet(VarPfx + "WaitForConfirm", True);
//if(DebugOn) _TRACE("#, ManSel1, " + ordType + ", Time=" +
//fFormatTime(sysTimeStr) + ", OrderID=" + orderID +
//", OrderState=" + fCvtState(newState) + ", Close=" +
//NumToStr(LastValue(Close), 1.2));
//return newState; // return the type of order that was made
//##############################################################################################################################################################
//##############################################################################################################################################################
// ###################################### CANCEL CANCEL CANCEL
//CANCEL CANCEL CANCEL ######################################
//##############################################################################################################################################################
//##############################################################################################################################################################
//function fCancelPositions(ib, oState, OID, positions) // we are neither long or Short
// trigger - trg defines the type of order
//newState = oState;
// this if statement prevents making multiple orders - subsequent orders are ignored
//if( oState == ordSell OR oState == ordShort)
//if(OID != "") // used to cancel a sell order that has not been filled
//newState = ordCancelSell;
//ordType = "CancelSell";
//ib.CancelOrder(OID);
//StaticVarSet(VarPfx + "GetStatus", True);
//if(DebugOn) _TRACE("#, Cancel 1, " + ordType + ", Time=" + fFormatTime(sysTimeStr) + ", OrderState =" + fCvtState(newState) + ", OrderID=" + OID);
//else if(oState == ordBuy OR oState == ordCover)
//if(OID != "") // used to cancel a buy order that has not been filled
//newState = ordCancelBuy;
//ordType = "CancelBuy";
//ib.CancelOrder(OID);
//StaticVarSet(VarPfx + "GetStatus", True);
//if(DebugOn) _TRACE("#, Cancel 2, " + ordType + ", Time=" + fFormatTime(sysTimeStr) + ", OrderState=" + fCvtState(newState) + ", OrderID=" + OID);
//return newState; // return the type of order that was made
//##############################################################################################################################################################
//##############################################################################################################################################################
// ###################################### BUY BUY BUY BUY
//Buy Buy Buy
//###################################################
//##############################################################################################################################################################
//##############################################################################################################################################################
//function fBuyPositions(ib, oState, OID, positions) // we are neither long or Short
// trigger - trg defines the type of order
//wState = oState;
//ice = LastC;
//(DebugOn) _TRACE("#, Buy, OrderType= " + OrderType + ", " + NumToStr(OrderType == "MKT", 1));
// this if statement prevents making multiple orders - subsequent orders are ignored
//( oState == ordNone AND OID == "") // program trade and no open positions or pending order sent orderID = "";
//(OrderType == "MKT") orderID = ib.PlaceOrder(sTicker, "BUY", pContracts,"MKT", 0, 0, "GTC", True, tickMult, "outsideRTH");
//se if(OrderType == "STP") orderID = ib.PlaceOrder(sTicker, "BUY",
//ontracts, "STP", 0, price, "GTC", True, tickMult, "outsideRTH");
//se if(OrderType == "LMT") orderID = ib.PlaceOrder(sTicker, "BUY",
//ontracts, "LMT", price, 0, "GTC", True, tickMult, "outsideRTH");
//(DebugOn) _TRACE("#, Buy, OrderType= " + OrderType + ", OID=" + ORderID );
//(orderID != "")
//dType = "ProgBuy";
//wState = ordBuy;
//aticVarSetText(VarPfx + "ordID", orderID);
//aticVarSet(VarPfx + "GetStatus", True);
//aticVarSet(VarPfx + "WaitForConfirm", True);
//(DebugOn) _TRACE("#, Buy, " + ordType + ", Time" + fFormatTime(sysTimeStr)+ ", OrderState=" + fCvtState(newState) + ", OrderID=" + orderID + ", Price=" + NumToStr(LastC, 1.2));
//turn newState; // return the type of order that was made
//##############################################################################################################################################################
//##############################################################################################################################################################
// ################################# SHORT SHORT SHORT SHORT Short
//######################################################################
//
//############################################################################################################################################################
//
//############################################################################################################################################################
//nction fShortPositions(ib, oState, OID, positions) // we are neither long or Short
//wState = oState;
//ice = LastC;
//(DebugOn) _TRACE("#, Short, OrderType= " + OrderType + ", OID=" + OID + ", "+ NumToStr(OrderType == "MKT", 1));
//( oState == ordNone AND OID == "") // no sell order sent and no positionAND no current order orderID = "";
//(OrderType == "MKT") orderID = ib.PlaceOrder(sTicker, "SELL", pContracts,"MKT", 0, 0, "GTC", True, tickMult, "outsideRTH");
//se if(OrderType == "STP") orderID = ib.PlaceOrder(sTicker, "SELL",
//ontracts, "STP", 0, price, "GTC", True, tickMult, "outsideRTH");
//se if(OrderType == "LMT") orderID = ib.PlaceOrder(sTicker, "SELL",
//ontracts, "LMT", price, 0, "GTC", True, tickMult, "outsideRTH");
//DebugOn) _TRACE("#, Short, OrderType= " + OrderType + ", OID=" + ORderID ); if(orderID != "")
//dType = "ProgShort";
//wState = ordShort;
//aticVarSetText(VarPfx + "ordID", orderID);
//aticVarSet(VarPfx + "GetStatus", True);
//aticVarSet(VarPfx + "WaitForConfirm", True);
//(DebugOn) _TRACE("#, Short, " + ordType + ", Time=" + fFormatTime(sysTimeStr) + ", OrderState=" + fCvtState(newState) + ", OrderID=" + orderID + ", Price=" + NumToStr(price, 1.2));
//turn newState; // return the type of order that was made
//##############################################################################################################################################################
//##############################################################################################################################################################
// ################################# SELL SELL SELL SELL SELLSell Sell
//#######################################################
//##############################################################################################################################################################
//##############################################################################################################################################################
//nction fSellPositions(ib, oState, OID, positions) // we are neither long or Short
//wState = oState;
//( oState == ordNone ) // close a long position
// exit the current position with a market order orderID = "";
//derID = ib.PlaceOrder(sTicker, "SELL", abs(positions), "MKT", 0, 0, "GTC",True, tickMult, "outsideRTH");
//dType = "ProgSell";
//wState = ordSell;
//aticVarSetText(VarPfx + "ordID", orderID);
//aticVarSet(VarPfx + "GetStatus", True);
//aticVarSet(VarPfx + "WaitForConfirm", True);
//(DebugOn) _TRACE("#, Sell, " + ordType + ", Time=" +fFormatTime(sysTimeStr) + ", OrderState=" + fCvtState(newState) + ", OrderID=" + orderID + ", Close=" + NumToStr(LastValue(Close), 1.2));
//turn newState; // return the type of order that was made
//##############################################################################################################################################################
//##############################################################################################################################################################
// ################################ COVER COVER COVER COVER Cover Cover Cover
//############################################
//##############################################################################################################################################################
//##############################################################################################################################################################
//nction fCoverPositions(ib, oState, OID, positions) // we are neither long orShort
//wState = oState;
//( oState == ordNone ) // program cover and go flat
//derID = "";
//derID = ib.PlaceOrder(sTicker, "BUY", abs(positions), "MKT", 0, 0, "GTC",True, tickMult, "outsideRTH");
//dType = "progCover";
//wState = ordCover;
//aticVarSetText(VarPfx + "ordID", orderID);
//aticVarSet(VarPfx + "GetStatus", True);
//aticVarSet(VarPfx + "WaitForConfirm", True);
//(DebugOn) _TRACE("#, Cover, " + ordType + ", Time=" +fFormatTime(sysTimeStr) + ", OrderState=" + fCvtState(newState) + ", OrderID=" + orderID + ", Close=" + NumToStr(LastValue(Close), 1.2));
//turn newState; // return the type of order that was made
//##############################################################################################################################################################
//##############################################################################################################################################################
// ############ Order Precessing Loop Order Precessing Loop Order Precessing
//op Order Precessing Loop Order Precessing Loop #######################
//##############################################################################################################################################################
//##############################################################################################################################################################
//( StaticVarGet(VarPfx + "AutoTrading") == True AND // auto trading parameter is set on IntervalOK AND // chart is the same interval as the Chart period selected sTicker == Name() ) // the chart symbol is the same as the ticker parameter ibc = GetTradingInterface("IB");
//(ibc)ConnectedStatus = ibc.IsConnected(); // get the connection status, 2 is OK
// the foloowing code closes trades at the end of the day.
// it does this in steps. 1) cancels all open orders. 2) Closes all positions.3) resets the control var EOD EodVar = StaticVarGetText(VarPfx + "EOD"); i//sysTime == closeTime + 1 AND EodVar == "") // this is the close time r + 1 seconds paramete ibc.CancelAllPendingOrders(sTicker);
//aticVarSetText(VarPfx + "EOD", "Cancel");
//RACE("#, ##### CancelAll end of day #####");
//(sysTime == closeTime + 5 AND EodVar == "Cancel") // this is the close time parameter + 5 seconds ibc.CloseAllOpenPositions(sTicker);
//aticVarSetText(VarPfx + "EOD", "Close");
//RACE("#, ##### CloseAll end of day #####");
//(sysTime == closeTime + 8 AND EodVar == "Close") // this is the close time parameter + 8 seconds
//c.CloseAllOpenPositions(sTicker);
//aticVarSetText(VarPfx + "EOD", "");
//RACE("#, ***** Reset EOD static var *****");
// end of close trades at ene of day
// this is where the trade processing is done
//( sysTime < closeTime AND (ConnectedStatus == 2 OR ConnectedStatus == 3) )
// connected to TWS with no error messages
//(StaticVarGet(VarPfx + "SystemInitialized") == True)
//aticVarSet(VarPfx + "SystemInitialized", False);
//c.CancelAllPendingOrders(); // cancel any open orders on start or reset
// retrieve static variables
//mPositions = ibc.GetPositionSize(sTicker);
//aticVarSet(VarPfx + "numPositions", numPositions);
//(DebugOn) _TRACE("#, SysLoop 0, Positions=" + NumToStr(StaticVarGet(VarPfx+ "numPositions"), 1.0) + ", GetStatus=" + NumToStr(GetStatus, 1.0) + ", OrderState=" +fCvtState(OrderState) + ", OrderID=" + ordID + ", WaitForConfirm=" + NumToStr(WaitForConfirm, 1.0) + "\n" );
// GetStaus = false indicates TWS has completed processing the order
// Wait for the trade to be confirmed by a change in the number of positions before resetting the order state AND waitforconfirm flag
// this is used to prevent placing an order if the signal is still active after a filled Status from TWS
//(WaitForConfirm AND !GetStatus)
//(DebugOn) _TRACE("#, WaitForConfirm, OrderState = " +fCvtState(OrderState) + "\n");
// note: WaitForConfirm set false if order cancelled, see GetStatus Cancelled logic
//( (OrderState == OrdBuy AND numPositions > 0) OR
//rderState == OrdShort AND numPositions < 0) OR
//rderState == OrdCover AND numPositions == 0) OR
//rderState == OrdSell AND numPositions == 0) )
//(DebugOn) _TRACE("#, Program trade WaitForConfirm complete");
//derState = ordNone; StaticVarSet(VarPfx + "OrderState", OrderState);
//itForConfirm = False; StaticVarSet(VarPfx + "WaitForConfirm", False);
// user made a manual order so wait for the number of positions to indicate the purchase before resetting order state AND waitforconfirm flags else if(OrderState == ordManBuy OR OrderState == ordManSell
//(DebugOn) _TRACE("#, Manual trade processed, target positions=" + NumToStr(StaticVarGet(VarPfx + "TargetPositions"), 1.0));
//( numPositions == StaticVarGet(VarPfx + "TargetPositions"))
//derState = ordNone; StaticVarSet(VarPfx + "OrderState", OrderState);
//aticVarSet(VarPfx + "WaitForConfirm", False);
//aticVarSet(VarPfx + "TargetPositions", 0);
// user requested close all positions so wait for the number of positions to indicate all positions are closed before resetting
// order state AND waitforconfirm flags else if(OrderState == ordCloseAll )
//(numPositions == 0)
//(DebugOn) _TRACE("#, Close all processed");
//derState = ordNone; StaticVarSet(VarPfx + "OrderState", OrderState);
//dID = ""; StaticVarSetText(VarPfx + "ordID", "");
//aticVarSet(VarPfx + "GetStatus", False);
//aticVarSet(VarPfx + "WaitForConfirm", False);
// end close all
//##############################################################################################################################################################
// ################### Trigger Control Trigger Control Trigger ontrol Trigger Control Trigger Control Trigger Control
//####################
// ################### This section takes the indicator timing andconverts it to one shot triggers required for orders.
//####################
//##############################################################################################################################################################
// waitforconfirm and getstatus flags are used to prevent multiple orderswhile a current order is being processed
// orders are onluy allowed if the waitforconfirm and getstatus flags are False
//yTrigger = SellTrigger = ShortTrigger = CoverTrigger = False;
//(DebugOn) _TRACE("#, AllowInd 0, Indicator, Buy=" + NumToStr(BuyInd, 1.0) + ", Sell=" + NumToStr(SellInd, 1.0) + ", Short=" + NumToStr(ShortInd, 1.0) + ", Cover=" + NumToStr(CoverInd, 1.0));
//(!WaitForConfirm AND !GetStatus ) // allow indicators to pass unless a trade to being processed {
// This is sequence sensitive. cover and sell should close positions before
//w positions are taken.
// ********** CAUTION *****************
// but note that if your system does not generate the sell and cover signals
//e order process can hang AND NOT allow trades
// Pause parameter blocks all programmed trading
//( numPositions > 0 AND SellInd AND !Pause) // sell is only allowed when there are a positive number of positions
//llTrigger = True;
//(DebugOn) _TRACE("#, AllowInd 1 Sell trigger");
//se if( numPositions < 0 AND CoverInd AND !Pause) // cover is only allowed when there are a negative number of positions
//verTrigger = True;
//(DebugOn) _TRACE("#, AllowInd 2 Cover trigger");
//se if( !Pause AND numPositions == 0 ) // buy and short is only allowed when there are no positions
//(BuyInd )
//yTrigger = True;
//(DebugOn) _TRACE("#, AllowInd 3, Buy trigger");
//se if(ShortInd )
//ortTrigger = True;
//(DebugOn) _TRACE("#, AllowInd 4, Short trigger");
// end allowIndicators
// signal reversal and we have open an order and the trend changes direction
//se if ( WaitForConfirm AND numPositions == 0) // Reversal signal with an Open order
//(DebugOn) _TRACE("#, Reversal Cancel 0");
//( (OrderState == ordBuy OR OrderState == ordCover ) AND SellInd)
//llTrigger = True;
//derState == OrdNone; StaticVarSet(VarPfx + "OrderState", OrdNone);
//itForConfirm = False; StaticVarSet(VarPfx + "WaitForConfirm", False);
//(DebugOn) _TRACE("#, Reversal Cancel 1, SellTrigger=" + NumToStr(SellTrigger, 1.0));
//se if( (OrderState == ordShort OR OrderState == ordSell ) AND CoverInd )
//verTrigger = True;
//derState == OrdNone; StaticVarSet(VarPfx + "OrderState", OrdNone);
//itForConfirm = False; StaticVarSet(VarPfx + "WaitForConfirm", False);
//(DebugOn) _TRACE("#, Reversal Cancel 2, CoverTrigger=" +NumToStr(CoverTrigger, 1.0));
//(DebugOn) _TRACE("#, AllowInd End, Buy=" + NumToStr(BuyTrigger, 1.0) + ",
// Short=" + NumToStr(ShortTrigger, 1.0) + ", Cover=" + Sell=" + NumToStr(SellTrigger, 1.0) + NumToStr(CoverTrigger, 1.0));
//#################################################################################################################################################
// ######## Stateless processes Stateless processes Statelessprocesses Stateless processes Stateless processes ############
//#################################################################################################################################################
//(CancelAll)
//c.CancelAllPendingOrders(sTicker);
//derState = ordNone; StaticVarSet(VarPfx + "OrderState", OrderState);
//dType = "CancelAll";
//aticVarSet(VarPfx + "WaitForConfirm", False);
//aticVarSet(VarPfx + "GetStatus", False);
//(DebugOn) _TRACE("#, Trigger CancelAll, OrderState=" +fCvtState(OrderState) + ", OrderID=" + ordID);
//dID = ""; StaticVarSetText(VarPfx + "ordID", "");
//se if(CloseAll )
// close all positions
//c.CancelAllPendingOrders(sTicker);
//c.CloseAllOpenPositions(sTicker);
//derState = ordCloseAll; StaticVarSet(VarPfx + "OrderState", OrderState );
//dType = "CloseAll";
//aticVarSet(VarPfx + "GetStatus", True);
//aticVarSet(VarPfx + "WaitForConfirm", True);
//(DebugOn) _TRACE("#, ***** Trigger CloseAll " + ordID + ", OrderState="+ fCvtState(OrderState) + ", SysTime =" + NumToStr(SysTime, 1.0, False) + " ****");
//se if(!GetStatus AND ManualBuy) // manual buy the number of contractsdefined in pContracts
//ate = fManBuyPositions(ibc, OrderState, ordID, numPositions);
//aticVarSet(VarPfx + "OrderState", state);
//se if(!GetStatus AND ManualSell) // manual sell number of contracts definedin pContracts
//ate = fManSellPositions(ibc, OrderState, ordID, numPositions);
//aticVarSet(VarPfx + "OrderState", state);
//#################################################################################################################################################
//#################################################################################################################################################
// ########## Program Trading Program Trading ProgramTrading Program Trading Program Trading #################
// ########## Note that the order is sequence sensitive as sell andCover should be processed before Buy AND Short. #################
//#################################################################################################################################################
//#################################################################################################################################################
//se if(!WaitForConfirm ) // not waiting for a trade to settle
//( SellTrigger AND numPositions > 0) // sell to go flat
//ate = fSellPositions(ibc, OrderState, ordID, numPositions);
//derState = state; StaticVarSet(VarPfx + "OrderState", state);
//(DebugOn) _TRACE("#, Trigger ordSell, OrderState=" + fCvtState(state));
//se if( CoverTrigger AND numPositions < 0) // buy to go flat
//ate = fCoverPositions(ibc, OrderState, ordID, numPositions);
//derState = state; StaticVarSet(VarPfx + "OrderState", state);
//(DebugOn) _TRACE("#, Trigger ordCover, OrderState=" + fCvtState(state));
//se if( BuyTrigger )
//ate = OrderState;
//(numPositions == 0) // buy n contracts
//ate = fBuyPositions(ibc, OrderState, ordID, numPositions);
//se if(numPositions < 0) // close short position first then go long after flled state = fCoverPositions(ibc, OrderState, ordID, numPositions);
//derState = state; StaticVarSet(VarPfx + "OrderState", state);
//(DebugOn) _TRACE("#, Trigger ordBuy, OrderState=" + fCvtState(state));
//se if( ShortTrigger )
//ate = OrderState;
//(numPositions == 0) // sell n contracts state = fShortPositions(ibc, OrderState, ordID, numPositions);
//se if(numPositions > 0) // close long first then go short after filled state = fSellPositions(ibc, OrderState, ordID, numPositions);
//erState = state; StaticVarSet(VarPfx + "OrderState", state);
//(DebugOn) _TRACE("#, Trigger ordShort, OrderState=" + fCvtState(state));
//#################################################################################################################################################
//#################################################################################################################################################
// ########## Order Status Processing Order Status Processing Order Status Processing Order Status Processing #################
//#################################################################################################################################################
// ### order states ordNone = 20; ordCancelBuy = 21; ordCancelSell = 22; rdSell = 23; ordBuy = 24; ordCover = 25; ordShort = 26;
// ### ordCancelAll = 27; ordCloseAll = 28; ordManBuy = 29; ordManSell = 30;
//#################################################################################################################################################
//#################################################################################################################################################
//dID = StaticVarGet(VarPfx + "ordID");
//(DebugOn) _TRACE("#, OrdState 0, GetStatus=" + NumToStr(GetStatus, 1.0) +", Positions=" + NumToStr(numPositions, 1.0) + ", OrderState=" + fCvtState(OrderState) + ", OrderID=" + ordID + ", Time=" + fFormatTime(sysTimeStr));
// process the status messages after an order has been sent or cancelled tempStatus = "None";
//(GetStatus)
//mpStatus = ibc.GetStatus( ordID, True ); // get order status
//(tempStatus == "Filled")
// make sure the numPositions is true for the operation being conducted
// this prevents another order as soon as this one is filled
//aticVarSet(VarPfx + "GetStatus", False);
//( OrderState == ordCancelSell OR OrderState == ordCancelBuy )
//derState = ordNone;
//aticVarSet(VarPfx + "OrderState", OrderState );
//(DebugOn) _TRACE("#, OrdState 1 Filled, OrderState=" +fCvtState(OrderState) + ", OrderID=" + ordID);
//dID = ""; StaticVarSetText(VarPfx + "ordID", "");
// end filled
//se if(tempStatus == "PreSubmitted" OR
//mpStatus == "PendingSubmit" OR
//mpStatus == "Pending" OR
//mpStatus == "ApiPending" OR
//mpStatus == "Submitted" )
//( numPositions != 0 AND (OrderState == ordCancelSell OR OrderState ==
//dCancelBuy ))
//derState = ordNone;
//aticVarSet(VarPfx + "OrderState", OrderState );
//aticVarSet(VarPfx + "GetStatus", False);
//(CoverTrigger AND (OrderState == ordShort OR OrderState == ordSell))
// call Cancel to cancel the sell order and set up to reverse
//ate = fCancelPositions(ibc, OrderState, ordID, numPositions);
//derState = state; StaticVarSet(VarPfx + "OrderState", state);
//(DebugOn) _TRACE("#, OrdState 2a, CancelSell, OrderState=" + fCvtState(state));
//se if(SellTrigger AND (OrderState == ordBuy OR OrderState == ordCover))
// call Cancel to cancel the buy order and set up to reverse
//ate = fCancelPositions(ibc, OrderState, ordID, numPositions);
//derState = state; StaticVarSet(VarPfx + "OrderState", state);
//(DebugOn) _TRACE("#, OrdState 2c, CancelBuy , OrderState=" + end Status preSubmitted OR Pending
//se if(tempStatus == "Cancelled")
//aticVarSet(VarPfx + "GetStatus", False);
//aticVarSet(VarPfx + "WaitForConfirm", False);
//derState = ordNone; StaticVarSet(VarPfx + "OrderState", ordNone);
//(DebugOn) _TRACE("#, OrdState 3 Cancel, OrderState=" +fCvtState(OrderState) + ", OrderID=" + ordID + ", Positions=" + NumToStr(numPositions , 1.0) +"\n"); ordID = ""; StaticVarSetText(VarPfx + "ordID", "");
//se if(tempStatus == "Error")
//g = ibc.GetLastError(0);
//ror = fErrorProcessor(msg);
//(DebugOn) _TRACE("#, OrdState 4, Error code=" + Error );
//aticVarSet(VarPfx + "SetErrorState", True);
// NOTE: For error not listed below look at the message notes at the end of the program to see how OR if they were handled.trading hours
//(Error == "135" OR Error == "2106" OR Error == "2109") // out of normal
//aticVarSet(VarPfx + "GetStatus", False);
//derState = ordNone; StaticVarSet(VarPfx + "OrderState", ordNone);
//dID = ""; StaticVarSetText(VarPfx + "ordID", "");
//se if(Error == "201")
//(OrderState == ordShort OR OrderState == ordSell)
// call Cancel to cancel the sell order and set up to reverse
//ate = fCancelPositions(ibc, OrderState, ordID, numPositions);
//derState = state; StaticVarSet(VarPfx + "OrderState", state);
//se if(OrderState == ordBuy OR OrderState == ordCover)
// call Cancel to cancel the buy order and set up to reverse
//ate = fCancelPositions(ibc, OrderState, ordID, numPositions);
//derState = state; StaticVarSet(VarPfx + "OrderState", state);
//(DebugOn) _TRACE("#, OrdState 10 Unexpected status=" + tempstatus + ",OrderState=" + fCvtState(OrderState) + ", OrderID=" + ordID);
// end status errorelse
//(DebugOn) _TRACE("#, OrdState 11 Unexpected status=" + tempstatus + ",OrderState=" + fCvtState(OrderState) + ", OrderID=" + ordID);
// end get status
//( StaticVarGet(VarPfx + "SetErrorState") == True)
//rorMsg = ibc.GetLastError(ordID);
//(errorMsg == "None" OR errorMsg == "")
//aticVarSet(VarPfx + "SetErrorState", False); else
//tChartBkColor( colorTan);
//sibleBars = Status( "LastVisibleBar" ) - Status( "FirstVisibleBar" );
//structions = "\n Determine what the error is. Use trace if necessary.\n
//ncel OR Close all orders on TWS.\n Press Reset to continue.";
//otText( "Error " + errorMsg + instructions, BarCount - VisibleBars / 2,
//stValue( ( HHV(H, VisibleBars) + LLV(L, VisibleBars)) / 2), colorWhite,colorBlack);
//(DebugOn) _TRACE("#, Unexpected error msg=" + errorMsg + ", OrderState="+ fCvtState(OrderState) + ", OrdID=" + OrdID);
//se if (Pause )
//tChartBkColor( colorLightGrey);
//sibleBars = Status( "LastVisibleBar" ) - Status( "FirstVisibleBar" );
//otText( "######\nTrading\nPaused\n######", BarCount - VisibleBars / 2,
//stValue( ( HHV(H, VisibleBars) + LLV(L, VisibleBars)) / 2), colorWhite,colorBlack);
//(ConnectedStatus == 2) stat = "Connected."; else if(ConnectedStatus == 3)stat = "Connected with warnings.";
//(StaticVarGet(VarPfx + "ConnectOK") == False)
//aticVarSet(VarPfx + "ConnectOK", True);
//intf("\nStatus:" +
//n Symbol = " + sTicker +
//n TWS " + stat +
//n Last TWS message = " + errorMsg +
//n Order ID = " + WriteIf(ordID != "", OrdId, "None") +
//n OrderState = " + fCvtState(OrderState) +
//n Order Status = " + tempStatus +
//n Positions = " + NumToStr(Nz(numPositions), 1.0, False) );
// end is connected
//se if( ConnectedStatus == 0 OR ConnectedStatus == 1) // lost connection
// handle commection errors
//(ConnectedStatus == 0) stat = "Not Connected."; else if(ConnectedStatus ==
// stat = "Lost Connection.";
//tChartBkColor( colorYellow);
//sibleBars = Status( "LastVisibleBar" ) - Status( "FirstVisibleBar" );
//otText( "TWS not connected. Some reasons are:\nTWS error message: " +errorMsg + "\nIncoming connection has not been accepted.", BarCount -VisibleBars / 2, LastValue(HHV(H, VisibleBars)), colorWhite, colorBlack); printf("\nTWS Status: " + stat + "\n");
// end connection error
//se if (sysTime > closeTime)
//sibleBars = Status( "LastVisibleBar" ) - Status( "FirstVisibleBar" );
//otText( "###########\nMarket closed\n###########", BarCount - VisibleBars /2, LastValue(HHV(H, VisibleBars)), colorWhite, colorBlack);
// end if ibc
// end order processing loop
//#################################################################################################################################################
//#################################################################################################################################################
// ########## Commentary Commentary Commentary Commentary Commentary Commentary Commentary Commentary ################
//#################################################################################################################################################
//#################################################################################################################################################
//se // autotrade is off due to an error or trading is turned off
// if error state, display state in title bar
// feedback key info into title bar
//tChartBkColor( colorPink);
//xt = "\nStatus: \nAutoTrading is off. Some of the reasons are:\n" + " 1. Autotrading is turned off\n" + " 2. TWS has not been started or isn't functioning.\n" + " 3. Set chart to " + sTicker + ".\n" + " 4. Chart period mismatch.\n";
// end text
//intf(text);
//sibleBars = Status( "LastVisibleBar" ) - Status( "FirstVisibleBar" );
//otText(text, BarCount - VisibleBars / 2, LastValue(HHV(H, VisibleBars)),
//lorWhite, colorBlack);
//ECTION_END();
//#################################################################################################################################################
//#################################################################################################################################################
// ########## Setup and WARNINGS Setup and WARNINGS Setup andWARNINGS Setup AND WARNINGS ##############
//#################################################################################################################################################
//#################################################################################################################################################
// Before Auto trading will trade orders and have them filled automatically you must register your copy of IB Controller. See File>Enter unlock code.
// if it is NOT registered the order will be sent but a T will appear on TWS andthe order will NOT be transmitted to the market.
// Once IBC is registered AND the code is entered orders will be processed automatically.BrokerIB.exe ( IB Controller) of 1.2.1 OR above.
// This release level requires TWS 888.3 or above, IB.DLL of 1.8.2 or above, and
// These are required to handle after hours trading and back filling. Thisprogram will NOT work correctly unless these releases are installed.
// TWS may also require an update to JAVA. Check their site for recommendations.
_N(SectionName = "AutoTrader_Basic_Flow_updated_Apr_13,_2009");
_N(Ver = "Ver1_0");
_SECTION_BEGIN(SectionName);
EnableTextOutput(False); // prevents incidental text from being displayed in the
interpretation
//Filename = StrLeft(_DEFAULT_NAME(),StrLen(_DEFAULT_NAME())-2) + " " + Ver; //
//the Name of the program AND is displayed on the Title line
// CAUTION: VarPfx is used to make the static variables unique tp prevent
//bizarre results if you use multiple versions of the trading program
//simultaneously.
//VarPfx = Filename + Ver + Name();
//_N(Title = Filename + StrFormat(" - {{DATE}} \nOpen %g, Hi %g, Lo %g, Close %g
//Vol %g " + " {{VALUES}}", O, H, L, C, V ));
//RequestTimedRefresh(1);
//SetChartOptions(0, chartShowDates);
//pAutoTrading = ParamToggle("AutoTrade", "Off|Running"); // turns auto
//trading on AND off
//Pause = ParamToggle("Pause trading", "Run|Pause"); // pause trading
//DebugOn = ParamToggle("DebugView","Off|Running",0); // Dumps trade data to
//an output window
//closetime = Param("Close time (hhmmss)", 230000, 0, 245959, 1500); // end
//trading at the time specified
// The chart period below must agree with the chart before AutoTrading will
//connect to TWS.
// the following lines define the acceptable periods that auto trading will work with.
// To add a period simply add the period to the existiung ParmList separated by a comma AND then add an Interval test to the if statement.
//ChartPeriod = ParamList("Chart Period", "1,3,5,7,10,15,20,30,Hour,Day", 0); //
//chart period must agree with this setting for auto trading to work
//if( ( Interval() == 60 AND ChartPeriod == "1" ) OR
//( Interval() == 60 * 3 AND ChartPeriod == "3" ) OR
//( Interval() == 60 * 5 AND ChartPeriod == "5" ) OR
//( Interval() == 60 * 7 AND ChartPeriod == "7" ) OR
//( Interval() == 60 * 10 AND ChartPeriod == "10" ) OR
//( Interval() == 60 * 15 AND ChartPeriod == "15" ) OR
//( Interval() == 60 * 20 AND ChartPeriod == "20" ) OR
//( Interval() == 60 * 30 AND ChartPeriod == "30" ) OR
//( Interval() == inHourly AND ChartPeriod == "Hour" ) OR
//( Interval() == inDaily AND ChartPeriod == "Day" ) ) IntervalOK = True;
//else IntervalOK = False;
//pContracts = Param("Contracts", 100, 1, 1000000, 1); // definethe default
//number of contracts to order
//OrderType = ParamList("Order type", "STP,LMT,MKT", 2); // select type of ofder to send
//tick = Param("Tick size", 0.01, 0.0, 10.0, 0.1); // amount from current
//price the stop order will be set
//tMult = Param("Tick multiplier", 100, 1, 1000, 1); // tick * multiplier is used in placeOrder
//tickMult = tick * tMult;
// The symbol on the chart must agree with the symbol selected from this list before AutoTrading will connect to TWS
// Note on modifyin this. The symbol must match exactly what is in the AB symbol directory.
// You can see below that ZG has spaces and the exact number of spaces is required.
// To add a new line just copy a line and replace the things between the "..."
//with the new symbol.
// The last line ends with "); and that is required so don't mess it up.
// To change the ticker list you may remove a line but refer to ParamList if you have trouble. The spacing has to be exactly what the AB database has.
// The ticker list is a string separated by commas. If you separate them so they fit on another line you must Close the string, add a + to indicate
// the string continues on the next line. The string must be closed with a " and the ParamList must be closed with a );
//sTicker = ParamList("Symbol to trade",
//"IBM,MSFT,IWM,QQQQ-SMART-STK,GLD-SMART-STK,FXP", 2);
//ManualBuy = ParamTrigger("Manual buy", "Buy"); // allows user to buy the default number of contracts
//ManualSell = ParamTrigger("Manual Sell", "Sell"); // allows user to sell the default number of contracts
//CancelAll = ParamTrigger("Cancel all pending orders", "Cancel all"); // user can cancel all orders that have NOT been filled
//CloseAll = ParamTrigger("Close all", "Close all"); // cancel all pending orders AND Close all Open positions
//Reset = ParamTrigger("Reset", "Reset"); // resets the auto trading variables
//StaticVarSet(VarPfx + "AutoTrading", pAutoTrading );
//
//##############################################################################################################################################################
//
//##############################################################################################################################################################
// ############### Initilization Initilization Initilization
//Initilization Initilization ########################################
//
//##############################################################################################################################################################
//
//##############################################################################################################################################################
//sysTime = Now(4); // time offset from New York
//sysTimeStr = NumToStr(SysTime, 1.0, False);
//barTime = TimeNum();
// assign values to the following constants
// trigger states used by the program
//fNone = 0; // no orders are being processed
//mCancel = 1; // the user has manually selected cancel all open orders
//mClose = 2; // the user has manually selected close all trades
//mBuy = 3; // the user has manually placed a buy order
//mSell = 4; // theuser has manually placed a sell order
//pBuy = 5; // the users system has generated a buy order
//pSell = 6; // the users system has generated a sell order
//pShort = 7; // the users system has generated a short order
//pCover = 8; // the users system has generated a cover order
// order states set by the program
//ordNone = 20; // there are no open orders being processed
//ordCancelBuy = 21; // an open buy order is being cancelled and is waiting for a "Cancelled" Status from TWS
//ordCancelSell = 22; // an open sell order is being cancelled and is waiting for a "Cancelled" Status from TWS
//ordSell = 23; // an open sell order is being processed and is waiting for a ordBuy = 24;
//"Filled" Status from TWS
// an open buy order is being processed and is waiting for a ordCover = 25;
//"Filled" Status from TWS
// an open cover order is being processed and is waiting for a "Filled" Status from TWS
// an open short order is being processed and is waiting for a ordShort = 26;
//"Filled" Status from TWS ordCancelAll = 27;
// a cancel all order is being processed and is waiting for a "Cancelled" Status from TWS ordCloseAll = 28;
// a manual buy order is being processed and is waiting for a ordManBuy = 29;
//"Filled" Status from TWS
// a manual sell order is being processed and is waiting for a ordManSell = 30;
//"Filled" Status from TWS
// initializes the static variables when the program starts and when the user presses Reset.static vars when indicator starts
//if (Reset OR Nz(StaticVarGet(VarPfx + "SystemInitialized"), True)) // init
//StaticVarSet(VarPfx + "SystemInitialized", True);
// pause = True; // used to artifically pause the system on init.
// initialize auto trading vars
//StaticVarSet(VarPfx + "OrderState", OrdNone); // contains the order state being processed, normal is none
//StaticVarSetText(VarPfx + "ordID", ""); // an active order being processed,blank when no orders are active
//StaticVarSet(VarPfx + "GetStatus", False); // a flag informs the program that statis is being requested for an active order
//StaticVarSet(VarPfx + "WaitForConfirm", False); // waiting for the number of contracts to agree with the order that was placed
//StaticVarSetText(VarPfx + "EOD", ""); // used to control order processing at the Close of trading hours
// end of power up or reset initialize
// make variables available to the system and trading code
//OrderState = StaticVarGet(VarPfx + "OrderState"); // the current order state numPositions = Nz(StaticVarGet(VarPfx + "numPositions"));
// the number of positions currently held on TWS
//GetStatus = StaticVarGet(VarPfx + "GetStatus"); // the condition of the Status flag, True if waiting for Status from TWS ordID = StaticVarGetText(VarPfx + "ordID");
// ID of the order beign processed WaitForConfirm = StaticVarGet(VarPfx + "WaitForConfirm");
// flag used to tell the program to wait for TWS to update the number of positions LastC = LastValue(Close);
// this is the last tick that was received from the broker data feed errorMsg = "None";
// used to hold the TWS error message
//
//##############################################################################################################################################################
//
//##############################################################################################################################################################
// ################################ Functions Functions Functions
//Functions Functions Functions
//######################################
//
//##############################################################################################################################################################
//
//##############################################################################################################################################################
// converts the trade states to displayable text
//function fCvtState(s) // conberts the states to strings for file or trace
//temp = "";
// prog trigger states
//if(s==fNone) temp = "NoTrigger";
//else if(s==pBuy) temp = "ProgBuy";
//else if(s==pSell) temp = "ProgSell";
//else if(s==pShort) temp = "ProgShort";
//else if(s==pCover) temp = "ProgCover";
// order states
//else if(s==ordNone) temp = "OrdNone";
//else if(s==ordBuy) temp = "OrdBuy";
//else if(s==ordSell) temp = "OrdSell";
//else if(s==ordShort) temp = "OrdShort";
//else if(s==ordCover) temp = "OrdCover";
//else if(s==ordCancelBuy) temp = "OrdCancelBuy";
//else if(s==ordCancelSell) temp = "OrdCancelSell";
//else if(s==ordCancelAll) temp = "OrdCancelAll";
//else if(s==ordCloseAll) temp = "OrdCloseAll";
//else if(s==ordManBuy) temp = "ordManBuy";
//else if(s==ordManSell) temp = "OrdManSell";
// manual triggers
//else if(s==mCancel) temp = "Cancel";
//else if(s==mClose) temp = "CloseAll";
//else if(s==mBuy) temp = "ManBuy";
//else if(s==mSell) temp = "ManSell";
// error state
//temp = "Invalid state";
//if(DebugOn) _TRACE("#, Invalid state=" + NumToStr(s, 1.0));
//return temp;
// take hhmmss string and convert to hh:mm:ss
//function fFormatTime(time) tFmt = "";
//Len = StrLen(time);
//if(Len == 5) tFmt = StrLeft(time,1) + ":" + StrMid(time,1,2) + ":" +
//else tFmt = StrLeft(time,2) + ":" + StrMid(time,2,2) + ":" + StrRight(time, 2);
//return tFmt;
// this handles the errors returned on the GetStatus command.
//function fErrorProcessor(msg)
//msgid = "";
//if(StrLeft(msg, 2) == "ID")
//offset1 = StrFind(msg, "Error ");
//temp = StrMid(msg, offset1 + 5, offset1 + 5);
//Offset2 = StrFind(temp, ".");
//msgid = StrLeft(temp, Offset2 - 1);
//if(DebugOn) _TRACE("#, ErrorMessage = " + msgid);
//return msgid;
//if(DebugOn) _TRACE("#, Post Init A, Positions=" + NumToStr(StaticVarGet(VarPfx
//"numPositions"), 1.0) +
//", GetStatus=" + NumToStr(GetStatus, 1.0) + ", OrderState=" +
//fCvtState(OrderState) + ", OrderID=" + ordID +
//", WaitForConfirm=" + NumToStr(WaitForConfirm, 1.0));
//_SECTION_END();
//
//##############################################################################################################################################################
//
//##############################################################################################################################################################
// ################### Trading system indicators Trading system
//indicators Trading system indicators #####################
// ################### This section of the code uses AB indicators to define
//the trade timing.
//#####################
//
//##############################################################################################################################################################
//
//##############################################################################################################################################################
//_SECTION_BEGIN("System");
//
//##############################################################################################################################################################
// ################ System Parameters
//
//##############################################################################################################################################################
//Buy = Sell = Short = Cover = 0; // make sure all arrays are set empty
//
//##############################################################################################################################################################
// ################ Signal calculations - add your indicator and calculations here
//
//##############################################################################################################################################################
//pWMA1 = Param("WMA 1 period", 6, 1, 20, 1);
//pWMA2 = Param("WMA 2 period", 7, 1, 20, 1);
//fMA1 = WMA(C, pWMA1); // calculate MA 1
//fMA2 = WMA( (Open + Close)/2, pWMA2); // original
//Buy = fMA1 > fMA2;
//Short = fMA2 > fMA1;
//Sell = Short;
//Cover = Buy;
//
//##############################################################################################################################################################
//
//##############################################################################################################################################################
// ##################### PLOT INDICATORS PLOT INDICATORS PLOT
//INDICATORS Plot INDICATORS Plot INDICATORS
//##################################
// ##################### Change the following lines to display your system as you see fit.
//##################################
//
//##############################################################################################################################################################
//
//##############################################################################################################################################################
//Plot(C, "", colorBlack, ParamStyle( "Price Style", styleBar, maskPrice ) );
//Plot(fMA1, "\nMA1(" + NumToStr(pWMA1, 1.0) + ")", colorRed); // plot the MA lines
//Plot(fMA2, "\nMA2(" + NumToStr(pWMA2, 1.0) + ")", colorRed, styleDashed);
//Plot the MA lines
//PlotShapes(Buy * shapeUpArrow, colorGreen, 0, L, -5 );
//PlotShapes(Sell * shapeDownArrow, colorRed, 0, H, -5 );
//PlotShapes(Short * shapeHollowDownArrow, colorRed, 0, H, -20 );
//PlotShapes(Cover * shapeHollowUpArrow, colorGreen, 0, L, -20 );
//_SECTION_END();
//_SECTION_BEGIN(SectionName + "AT"); // Dont change anything in this section
//unless you know exactly what you are doing.
//##############################################################################################################################################################
// ################ DO NOT CHANGE THE NEXT 4 LINES -- last values changes the
//array Signal to a binary Signal to provide a trigger for the auto trade logic
//
//##############################################################################################################################################################
// displays the signal value in the interpretation window
//printf("\nBuy = " + NumToStr(Buy, 1.0) +
//" Sell = " + NumToStr(Sell, 1.0) +
//" Short = " + NumToStr(Short, 1.0) +
//" Cover = " + NumToStr(Cover, 1.0) + "\n");
//BuyInd = LastValue(Buy); // convert the buy signal to a pulse used by the trading logic
//ShortInd = LastValue(Short); // convert the short signal to a pulse used by trading logic
//SellInd = LastValue(Sell); // convert the sell signal to a pulse used by the the trading logic
//CoverInd = LastValue(Cover); // convert the cover signal to a pulse used by the trading logic
//if(DebugOn) _TRACE("#, Indicators 2, Static, BuyInd = " + NumToStr(BuyInd, 1.0)
//", SellInd = " + NumToStr(SellInd, 1.0) +
//", ShortInd = " + NumToStr(ShortInd, 1.0) +
//", CoverInd = " + NumToStr(CoverInd, 1.0) );
//
//##############################################################################################################################################################
//
//##############################################################################################################################################################
// ###################################### MANUAL BUY MANUAL BUY
//MANUAL Buy MANUAL Buy MANUAL Buy
//###################################
//##############################################################################################################################################################
//##############################################################################################################################################################
//function fManBuyPositions(ib, oState, OID, positions)
//if(DebugOn) _TRACE("#, ManBuy top, positions=" + NumToStr(positions, 1) + ",
//contracts=" + NumToStr(pContracts, 1));
//newState = oState;
// this function closes all open trades
//orderID = ";
//orderID = ib.PlaceOrder(sTicker, "Buy", pContracts, "MKT", 0, 0, "GTC", True,
//tickMult, "outsideRTH");
//if(orderID != "")
//ordType = "ManBuy";
//newState = ordManBuy;
//StaticVarSet(VarPfx + "TargetPositions", positions + pContracts);
//StaticVarSetText(VarPfx + "ordID", orderID );
//StaticVarSet(VarPfx + "GetStatus", True);
//StaticVarSet(VarPfx + "WaitForConfirm", True);
//if(DebugOn) _TRACE("#, ManBuy " + ordType + ", " + fFormatTime(sysTimeStr) +
//", OrderID" + orderID + ", OrderState=" + fCvtState(newState) +
//", Close=" + NumToStr(LastValue(Close), 1.2));
//return newState; // return the type of order that was made
//##############################################################################################################################################################
//##############################################################################################################################################################
// ################################# MANUAL SELL MANUAL SELL MANUAL
//Sell MANUAL Sell MANUAL Sell
//###################################
//##############################################################################################################################################################
//##############################################################################################################################################################
//function fManSellPositions(ib, oState, OID, positions) // we are neither long or Short
//if(DebugOn) _TRACE("#, ManSel1 top, positions=" + NumToStr(positions, 1) + ",
//contracts=" + NumToStr(pContracts, 1));
//newState = oState;
//orderID = "";
//orderID = ib.PlaceOrder(sTicker, "SELL", pContracts, "MKT", 0, 0, "GTC", True,
//tickMult, "outsideRTH");
//if(orderID != "")
//ordType = "ManSell";
//newState = ordManSell;
//StaticVarSet(VarPfx + "TargetPositions", positions - pContracts);
//StaticVarSetText(VarPfx + "ordID", orderID);
//StaticVarSet(VarPfx + "GetStatus", True);
//StaticVarSet(VarPfx + "WaitForConfirm", True);
//if(DebugOn) _TRACE("#, ManSel1, " + ordType + ", Time=" +
//fFormatTime(sysTimeStr) + ", OrderID=" + orderID +
//", OrderState=" + fCvtState(newState) + ", Close=" +
//NumToStr(LastValue(Close), 1.2));
//return newState; // return the type of order that was made
//##############################################################################################################################################################
//##############################################################################################################################################################
// ###################################### CANCEL CANCEL CANCEL
//CANCEL CANCEL CANCEL ######################################
//##############################################################################################################################################################
//##############################################################################################################################################################
//function fCancelPositions(ib, oState, OID, positions) // we are neither long or Short
// trigger - trg defines the type of order
//newState = oState;
// this if statement prevents making multiple orders - subsequent orders are ignored
//if( oState == ordSell OR oState == ordShort)
//if(OID != "") // used to cancel a sell order that has not been filled
//newState = ordCancelSell;
//ordType = "CancelSell";
//ib.CancelOrder(OID);
//StaticVarSet(VarPfx + "GetStatus", True);
//if(DebugOn) _TRACE("#, Cancel 1, " + ordType + ", Time=" + fFormatTime(sysTimeStr) + ", OrderState =" + fCvtState(newState) + ", OrderID=" + OID);
//else if(oState == ordBuy OR oState == ordCover)
//if(OID != "") // used to cancel a buy order that has not been filled
//newState = ordCancelBuy;
//ordType = "CancelBuy";
//ib.CancelOrder(OID);
//StaticVarSet(VarPfx + "GetStatus", True);
//if(DebugOn) _TRACE("#, Cancel 2, " + ordType + ", Time=" + fFormatTime(sysTimeStr) + ", OrderState=" + fCvtState(newState) + ", OrderID=" + OID);
//return newState; // return the type of order that was made
//##############################################################################################################################################################
//##############################################################################################################################################################
// ###################################### BUY BUY BUY BUY
//Buy Buy Buy
//###################################################
//##############################################################################################################################################################
//##############################################################################################################################################################
//function fBuyPositions(ib, oState, OID, positions) // we are neither long or Short
// trigger - trg defines the type of order
//wState = oState;
//ice = LastC;
//(DebugOn) _TRACE("#, Buy, OrderType= " + OrderType + ", " + NumToStr(OrderType == "MKT", 1));
// this if statement prevents making multiple orders - subsequent orders are ignored
//( oState == ordNone AND OID == "") // program trade and no open positions or pending order sent orderID = "";
//(OrderType == "MKT") orderID = ib.PlaceOrder(sTicker, "BUY", pContracts,"MKT", 0, 0, "GTC", True, tickMult, "outsideRTH");
//se if(OrderType == "STP") orderID = ib.PlaceOrder(sTicker, "BUY",
//ontracts, "STP", 0, price, "GTC", True, tickMult, "outsideRTH");
//se if(OrderType == "LMT") orderID = ib.PlaceOrder(sTicker, "BUY",
//ontracts, "LMT", price, 0, "GTC", True, tickMult, "outsideRTH");
//(DebugOn) _TRACE("#, Buy, OrderType= " + OrderType + ", OID=" + ORderID );
//(orderID != "")
//dType = "ProgBuy";
//wState = ordBuy;
//aticVarSetText(VarPfx + "ordID", orderID);
//aticVarSet(VarPfx + "GetStatus", True);
//aticVarSet(VarPfx + "WaitForConfirm", True);
//(DebugOn) _TRACE("#, Buy, " + ordType + ", Time" + fFormatTime(sysTimeStr)+ ", OrderState=" + fCvtState(newState) + ", OrderID=" + orderID + ", Price=" + NumToStr(LastC, 1.2));
//turn newState; // return the type of order that was made
//##############################################################################################################################################################
//##############################################################################################################################################################
// ################################# SHORT SHORT SHORT SHORT Short
//######################################################################
//
//############################################################################################################################################################
//
//############################################################################################################################################################
//nction fShortPositions(ib, oState, OID, positions) // we are neither long or Short
//wState = oState;
//ice = LastC;
//(DebugOn) _TRACE("#, Short, OrderType= " + OrderType + ", OID=" + OID + ", "+ NumToStr(OrderType == "MKT", 1));
//( oState == ordNone AND OID == "") // no sell order sent and no positionAND no current order orderID = "";
//(OrderType == "MKT") orderID = ib.PlaceOrder(sTicker, "SELL", pContracts,"MKT", 0, 0, "GTC", True, tickMult, "outsideRTH");
//se if(OrderType == "STP") orderID = ib.PlaceOrder(sTicker, "SELL",
//ontracts, "STP", 0, price, "GTC", True, tickMult, "outsideRTH");
//se if(OrderType == "LMT") orderID = ib.PlaceOrder(sTicker, "SELL",
//ontracts, "LMT", price, 0, "GTC", True, tickMult, "outsideRTH");
//DebugOn) _TRACE("#, Short, OrderType= " + OrderType + ", OID=" + ORderID ); if(orderID != "")
//dType = "ProgShort";
//wState = ordShort;
//aticVarSetText(VarPfx + "ordID", orderID);
//aticVarSet(VarPfx + "GetStatus", True);
//aticVarSet(VarPfx + "WaitForConfirm", True);
//(DebugOn) _TRACE("#, Short, " + ordType + ", Time=" + fFormatTime(sysTimeStr) + ", OrderState=" + fCvtState(newState) + ", OrderID=" + orderID + ", Price=" + NumToStr(price, 1.2));
//turn newState; // return the type of order that was made
//##############################################################################################################################################################
//##############################################################################################################################################################
// ################################# SELL SELL SELL SELL SELLSell Sell
//#######################################################
//##############################################################################################################################################################
//##############################################################################################################################################################
//nction fSellPositions(ib, oState, OID, positions) // we are neither long or Short
//wState = oState;
//( oState == ordNone ) // close a long position
// exit the current position with a market order orderID = "";
//derID = ib.PlaceOrder(sTicker, "SELL", abs(positions), "MKT", 0, 0, "GTC",True, tickMult, "outsideRTH");
//dType = "ProgSell";
//wState = ordSell;
//aticVarSetText(VarPfx + "ordID", orderID);
//aticVarSet(VarPfx + "GetStatus", True);
//aticVarSet(VarPfx + "WaitForConfirm", True);
//(DebugOn) _TRACE("#, Sell, " + ordType + ", Time=" +fFormatTime(sysTimeStr) + ", OrderState=" + fCvtState(newState) + ", OrderID=" + orderID + ", Close=" + NumToStr(LastValue(Close), 1.2));
//turn newState; // return the type of order that was made
//##############################################################################################################################################################
//##############################################################################################################################################################
// ################################ COVER COVER COVER COVER Cover Cover Cover
//############################################
//##############################################################################################################################################################
//##############################################################################################################################################################
//nction fCoverPositions(ib, oState, OID, positions) // we are neither long orShort
//wState = oState;
//( oState == ordNone ) // program cover and go flat
//derID = "";
//derID = ib.PlaceOrder(sTicker, "BUY", abs(positions), "MKT", 0, 0, "GTC",True, tickMult, "outsideRTH");
//dType = "progCover";
//wState = ordCover;
//aticVarSetText(VarPfx + "ordID", orderID);
//aticVarSet(VarPfx + "GetStatus", True);
//aticVarSet(VarPfx + "WaitForConfirm", True);
//(DebugOn) _TRACE("#, Cover, " + ordType + ", Time=" +fFormatTime(sysTimeStr) + ", OrderState=" + fCvtState(newState) + ", OrderID=" + orderID + ", Close=" + NumToStr(LastValue(Close), 1.2));
//turn newState; // return the type of order that was made
//##############################################################################################################################################################
//##############################################################################################################################################################
// ############ Order Precessing Loop Order Precessing Loop Order Precessing
//op Order Precessing Loop Order Precessing Loop #######################
//##############################################################################################################################################################
//##############################################################################################################################################################
//( StaticVarGet(VarPfx + "AutoTrading") == True AND // auto trading parameter is set on IntervalOK AND // chart is the same interval as the Chart period selected sTicker == Name() ) // the chart symbol is the same as the ticker parameter ibc = GetTradingInterface("IB");
//(ibc)ConnectedStatus = ibc.IsConnected(); // get the connection status, 2 is OK
// the foloowing code closes trades at the end of the day.
// it does this in steps. 1) cancels all open orders. 2) Closes all positions.3) resets the control var EOD EodVar = StaticVarGetText(VarPfx + "EOD"); i//sysTime == closeTime + 1 AND EodVar == "") // this is the close time r + 1 seconds paramete ibc.CancelAllPendingOrders(sTicker);
//aticVarSetText(VarPfx + "EOD", "Cancel");
//RACE("#, ##### CancelAll end of day #####");
//(sysTime == closeTime + 5 AND EodVar == "Cancel") // this is the close time parameter + 5 seconds ibc.CloseAllOpenPositions(sTicker);
//aticVarSetText(VarPfx + "EOD", "Close");
//RACE("#, ##### CloseAll end of day #####");
//(sysTime == closeTime + 8 AND EodVar == "Close") // this is the close time parameter + 8 seconds
//c.CloseAllOpenPositions(sTicker);
//aticVarSetText(VarPfx + "EOD", "");
//RACE("#, ***** Reset EOD static var *****");
// end of close trades at ene of day
// this is where the trade processing is done
//( sysTime < closeTime AND (ConnectedStatus == 2 OR ConnectedStatus == 3) )
// connected to TWS with no error messages
//(StaticVarGet(VarPfx + "SystemInitialized") == True)
//aticVarSet(VarPfx + "SystemInitialized", False);
//c.CancelAllPendingOrders(); // cancel any open orders on start or reset
// retrieve static variables
//mPositions = ibc.GetPositionSize(sTicker);
//aticVarSet(VarPfx + "numPositions", numPositions);
//(DebugOn) _TRACE("#, SysLoop 0, Positions=" + NumToStr(StaticVarGet(VarPfx+ "numPositions"), 1.0) + ", GetStatus=" + NumToStr(GetStatus, 1.0) + ", OrderState=" +fCvtState(OrderState) + ", OrderID=" + ordID + ", WaitForConfirm=" + NumToStr(WaitForConfirm, 1.0) + "\n" );
// GetStaus = false indicates TWS has completed processing the order
// Wait for the trade to be confirmed by a change in the number of positions before resetting the order state AND waitforconfirm flag
// this is used to prevent placing an order if the signal is still active after a filled Status from TWS
//(WaitForConfirm AND !GetStatus)
//(DebugOn) _TRACE("#, WaitForConfirm, OrderState = " +fCvtState(OrderState) + "\n");
// note: WaitForConfirm set false if order cancelled, see GetStatus Cancelled logic
//( (OrderState == OrdBuy AND numPositions > 0) OR
//rderState == OrdShort AND numPositions < 0) OR
//rderState == OrdCover AND numPositions == 0) OR
//rderState == OrdSell AND numPositions == 0) )
//(DebugOn) _TRACE("#, Program trade WaitForConfirm complete");
//derState = ordNone; StaticVarSet(VarPfx + "OrderState", OrderState);
//itForConfirm = False; StaticVarSet(VarPfx + "WaitForConfirm", False);
// user made a manual order so wait for the number of positions to indicate the purchase before resetting order state AND waitforconfirm flags else if(OrderState == ordManBuy OR OrderState == ordManSell
//(DebugOn) _TRACE("#, Manual trade processed, target positions=" + NumToStr(StaticVarGet(VarPfx + "TargetPositions"), 1.0));
//( numPositions == StaticVarGet(VarPfx + "TargetPositions"))
//derState = ordNone; StaticVarSet(VarPfx + "OrderState", OrderState);
//aticVarSet(VarPfx + "WaitForConfirm", False);
//aticVarSet(VarPfx + "TargetPositions", 0);
// user requested close all positions so wait for the number of positions to indicate all positions are closed before resetting
// order state AND waitforconfirm flags else if(OrderState == ordCloseAll )
//(numPositions == 0)
//(DebugOn) _TRACE("#, Close all processed");
//derState = ordNone; StaticVarSet(VarPfx + "OrderState", OrderState);
//dID = ""; StaticVarSetText(VarPfx + "ordID", "");
//aticVarSet(VarPfx + "GetStatus", False);
//aticVarSet(VarPfx + "WaitForConfirm", False);
// end close all
//##############################################################################################################################################################
// ################### Trigger Control Trigger Control Trigger ontrol Trigger Control Trigger Control Trigger Control
//####################
// ################### This section takes the indicator timing andconverts it to one shot triggers required for orders.
//####################
//##############################################################################################################################################################
// waitforconfirm and getstatus flags are used to prevent multiple orderswhile a current order is being processed
// orders are onluy allowed if the waitforconfirm and getstatus flags are False
//yTrigger = SellTrigger = ShortTrigger = CoverTrigger = False;
//(DebugOn) _TRACE("#, AllowInd 0, Indicator, Buy=" + NumToStr(BuyInd, 1.0) + ", Sell=" + NumToStr(SellInd, 1.0) + ", Short=" + NumToStr(ShortInd, 1.0) + ", Cover=" + NumToStr(CoverInd, 1.0));
//(!WaitForConfirm AND !GetStatus ) // allow indicators to pass unless a trade to being processed {
// This is sequence sensitive. cover and sell should close positions before
//w positions are taken.
// ********** CAUTION *****************
// but note that if your system does not generate the sell and cover signals
//e order process can hang AND NOT allow trades
// Pause parameter blocks all programmed trading
//( numPositions > 0 AND SellInd AND !Pause) // sell is only allowed when there are a positive number of positions
//llTrigger = True;
//(DebugOn) _TRACE("#, AllowInd 1 Sell trigger");
//se if( numPositions < 0 AND CoverInd AND !Pause) // cover is only allowed when there are a negative number of positions
//verTrigger = True;
//(DebugOn) _TRACE("#, AllowInd 2 Cover trigger");
//se if( !Pause AND numPositions == 0 ) // buy and short is only allowed when there are no positions
//(BuyInd )
//yTrigger = True;
//(DebugOn) _TRACE("#, AllowInd 3, Buy trigger");
//se if(ShortInd )
//ortTrigger = True;
//(DebugOn) _TRACE("#, AllowInd 4, Short trigger");
// end allowIndicators
// signal reversal and we have open an order and the trend changes direction
//se if ( WaitForConfirm AND numPositions == 0) // Reversal signal with an Open order
//(DebugOn) _TRACE("#, Reversal Cancel 0");
//( (OrderState == ordBuy OR OrderState == ordCover ) AND SellInd)
//llTrigger = True;
//derState == OrdNone; StaticVarSet(VarPfx + "OrderState", OrdNone);
//itForConfirm = False; StaticVarSet(VarPfx + "WaitForConfirm", False);
//(DebugOn) _TRACE("#, Reversal Cancel 1, SellTrigger=" + NumToStr(SellTrigger, 1.0));
//se if( (OrderState == ordShort OR OrderState == ordSell ) AND CoverInd )
//verTrigger = True;
//derState == OrdNone; StaticVarSet(VarPfx + "OrderState", OrdNone);
//itForConfirm = False; StaticVarSet(VarPfx + "WaitForConfirm", False);
//(DebugOn) _TRACE("#, Reversal Cancel 2, CoverTrigger=" +NumToStr(CoverTrigger, 1.0));
//(DebugOn) _TRACE("#, AllowInd End, Buy=" + NumToStr(BuyTrigger, 1.0) + ",
// Short=" + NumToStr(ShortTrigger, 1.0) + ", Cover=" + Sell=" + NumToStr(SellTrigger, 1.0) + NumToStr(CoverTrigger, 1.0));
//#################################################################################################################################################
// ######## Stateless processes Stateless processes Statelessprocesses Stateless processes Stateless processes ############
//#################################################################################################################################################
//(CancelAll)
//c.CancelAllPendingOrders(sTicker);
//derState = ordNone; StaticVarSet(VarPfx + "OrderState", OrderState);
//dType = "CancelAll";
//aticVarSet(VarPfx + "WaitForConfirm", False);
//aticVarSet(VarPfx + "GetStatus", False);
//(DebugOn) _TRACE("#, Trigger CancelAll, OrderState=" +fCvtState(OrderState) + ", OrderID=" + ordID);
//dID = ""; StaticVarSetText(VarPfx + "ordID", "");
//se if(CloseAll )
// close all positions
//c.CancelAllPendingOrders(sTicker);
//c.CloseAllOpenPositions(sTicker);
//derState = ordCloseAll; StaticVarSet(VarPfx + "OrderState", OrderState );
//dType = "CloseAll";
//aticVarSet(VarPfx + "GetStatus", True);
//aticVarSet(VarPfx + "WaitForConfirm", True);
//(DebugOn) _TRACE("#, ***** Trigger CloseAll " + ordID + ", OrderState="+ fCvtState(OrderState) + ", SysTime =" + NumToStr(SysTime, 1.0, False) + " ****");
//se if(!GetStatus AND ManualBuy) // manual buy the number of contractsdefined in pContracts
//ate = fManBuyPositions(ibc, OrderState, ordID, numPositions);
//aticVarSet(VarPfx + "OrderState", state);
//se if(!GetStatus AND ManualSell) // manual sell number of contracts definedin pContracts
//ate = fManSellPositions(ibc, OrderState, ordID, numPositions);
//aticVarSet(VarPfx + "OrderState", state);
//#################################################################################################################################################
//#################################################################################################################################################
// ########## Program Trading Program Trading ProgramTrading Program Trading Program Trading #################
// ########## Note that the order is sequence sensitive as sell andCover should be processed before Buy AND Short. #################
//#################################################################################################################################################
//#################################################################################################################################################
//se if(!WaitForConfirm ) // not waiting for a trade to settle
//( SellTrigger AND numPositions > 0) // sell to go flat
//ate = fSellPositions(ibc, OrderState, ordID, numPositions);
//derState = state; StaticVarSet(VarPfx + "OrderState", state);
//(DebugOn) _TRACE("#, Trigger ordSell, OrderState=" + fCvtState(state));
//se if( CoverTrigger AND numPositions < 0) // buy to go flat
//ate = fCoverPositions(ibc, OrderState, ordID, numPositions);
//derState = state; StaticVarSet(VarPfx + "OrderState", state);
//(DebugOn) _TRACE("#, Trigger ordCover, OrderState=" + fCvtState(state));
//se if( BuyTrigger )
//ate = OrderState;
//(numPositions == 0) // buy n contracts
//ate = fBuyPositions(ibc, OrderState, ordID, numPositions);
//se if(numPositions < 0) // close short position first then go long after flled state = fCoverPositions(ibc, OrderState, ordID, numPositions);
//derState = state; StaticVarSet(VarPfx + "OrderState", state);
//(DebugOn) _TRACE("#, Trigger ordBuy, OrderState=" + fCvtState(state));
//se if( ShortTrigger )
//ate = OrderState;
//(numPositions == 0) // sell n contracts state = fShortPositions(ibc, OrderState, ordID, numPositions);
//se if(numPositions > 0) // close long first then go short after filled state = fSellPositions(ibc, OrderState, ordID, numPositions);
//erState = state; StaticVarSet(VarPfx + "OrderState", state);
//(DebugOn) _TRACE("#, Trigger ordShort, OrderState=" + fCvtState(state));
//#################################################################################################################################################
//#################################################################################################################################################
// ########## Order Status Processing Order Status Processing Order Status Processing Order Status Processing #################
//#################################################################################################################################################
// ### order states ordNone = 20; ordCancelBuy = 21; ordCancelSell = 22; rdSell = 23; ordBuy = 24; ordCover = 25; ordShort = 26;
// ### ordCancelAll = 27; ordCloseAll = 28; ordManBuy = 29; ordManSell = 30;
//#################################################################################################################################################
//#################################################################################################################################################
//dID = StaticVarGet(VarPfx + "ordID");
//(DebugOn) _TRACE("#, OrdState 0, GetStatus=" + NumToStr(GetStatus, 1.0) +", Positions=" + NumToStr(numPositions, 1.0) + ", OrderState=" + fCvtState(OrderState) + ", OrderID=" + ordID + ", Time=" + fFormatTime(sysTimeStr));
// process the status messages after an order has been sent or cancelled tempStatus = "None";
//(GetStatus)
//mpStatus = ibc.GetStatus( ordID, True ); // get order status
//(tempStatus == "Filled")
// make sure the numPositions is true for the operation being conducted
// this prevents another order as soon as this one is filled
//aticVarSet(VarPfx + "GetStatus", False);
//( OrderState == ordCancelSell OR OrderState == ordCancelBuy )
//derState = ordNone;
//aticVarSet(VarPfx + "OrderState", OrderState );
//(DebugOn) _TRACE("#, OrdState 1 Filled, OrderState=" +fCvtState(OrderState) + ", OrderID=" + ordID);
//dID = ""; StaticVarSetText(VarPfx + "ordID", "");
// end filled
//se if(tempStatus == "PreSubmitted" OR
//mpStatus == "PendingSubmit" OR
//mpStatus == "Pending" OR
//mpStatus == "ApiPending" OR
//mpStatus == "Submitted" )
//( numPositions != 0 AND (OrderState == ordCancelSell OR OrderState ==
//dCancelBuy ))
//derState = ordNone;
//aticVarSet(VarPfx + "OrderState", OrderState );
//aticVarSet(VarPfx + "GetStatus", False);
//(CoverTrigger AND (OrderState == ordShort OR OrderState == ordSell))
// call Cancel to cancel the sell order and set up to reverse
//ate = fCancelPositions(ibc, OrderState, ordID, numPositions);
//derState = state; StaticVarSet(VarPfx + "OrderState", state);
//(DebugOn) _TRACE("#, OrdState 2a, CancelSell, OrderState=" + fCvtState(state));
//se if(SellTrigger AND (OrderState == ordBuy OR OrderState == ordCover))
// call Cancel to cancel the buy order and set up to reverse
//ate = fCancelPositions(ibc, OrderState, ordID, numPositions);
//derState = state; StaticVarSet(VarPfx + "OrderState", state);
//(DebugOn) _TRACE("#, OrdState 2c, CancelBuy , OrderState=" + end Status preSubmitted OR Pending
//se if(tempStatus == "Cancelled")
//aticVarSet(VarPfx + "GetStatus", False);
//aticVarSet(VarPfx + "WaitForConfirm", False);
//derState = ordNone; StaticVarSet(VarPfx + "OrderState", ordNone);
//(DebugOn) _TRACE("#, OrdState 3 Cancel, OrderState=" +fCvtState(OrderState) + ", OrderID=" + ordID + ", Positions=" + NumToStr(numPositions , 1.0) +"\n"); ordID = ""; StaticVarSetText(VarPfx + "ordID", "");
//se if(tempStatus == "Error")
//g = ibc.GetLastError(0);
//ror = fErrorProcessor(msg);
//(DebugOn) _TRACE("#, OrdState 4, Error code=" + Error );
//aticVarSet(VarPfx + "SetErrorState", True);
// NOTE: For error not listed below look at the message notes at the end of the program to see how OR if they were handled.trading hours
//(Error == "135" OR Error == "2106" OR Error == "2109") // out of normal
//aticVarSet(VarPfx + "GetStatus", False);
//derState = ordNone; StaticVarSet(VarPfx + "OrderState", ordNone);
//dID = ""; StaticVarSetText(VarPfx + "ordID", "");
//se if(Error == "201")
//(OrderState == ordShort OR OrderState == ordSell)
// call Cancel to cancel the sell order and set up to reverse
//ate = fCancelPositions(ibc, OrderState, ordID, numPositions);
//derState = state; StaticVarSet(VarPfx + "OrderState", state);
//se if(OrderState == ordBuy OR OrderState == ordCover)
// call Cancel to cancel the buy order and set up to reverse
//ate = fCancelPositions(ibc, OrderState, ordID, numPositions);
//derState = state; StaticVarSet(VarPfx + "OrderState", state);
//(DebugOn) _TRACE("#, OrdState 10 Unexpected status=" + tempstatus + ",OrderState=" + fCvtState(OrderState) + ", OrderID=" + ordID);
// end status errorelse
//(DebugOn) _TRACE("#, OrdState 11 Unexpected status=" + tempstatus + ",OrderState=" + fCvtState(OrderState) + ", OrderID=" + ordID);
// end get status
//( StaticVarGet(VarPfx + "SetErrorState") == True)
//rorMsg = ibc.GetLastError(ordID);
//(errorMsg == "None" OR errorMsg == "")
//aticVarSet(VarPfx + "SetErrorState", False); else
//tChartBkColor( colorTan);
//sibleBars = Status( "LastVisibleBar" ) - Status( "FirstVisibleBar" );
//structions = "\n Determine what the error is. Use trace if necessary.\n
//ncel OR Close all orders on TWS.\n Press Reset to continue.";
//otText( "Error " + errorMsg + instructions, BarCount - VisibleBars / 2,
//stValue( ( HHV(H, VisibleBars) + LLV(L, VisibleBars)) / 2), colorWhite,colorBlack);
//(DebugOn) _TRACE("#, Unexpected error msg=" + errorMsg + ", OrderState="+ fCvtState(OrderState) + ", OrdID=" + OrdID);
//se if (Pause )
//tChartBkColor( colorLightGrey);
//sibleBars = Status( "LastVisibleBar" ) - Status( "FirstVisibleBar" );
//otText( "######\nTrading\nPaused\n######", BarCount - VisibleBars / 2,
//stValue( ( HHV(H, VisibleBars) + LLV(L, VisibleBars)) / 2), colorWhite,colorBlack);
//(ConnectedStatus == 2) stat = "Connected."; else if(ConnectedStatus == 3)stat = "Connected with warnings.";
//(StaticVarGet(VarPfx + "ConnectOK") == False)
//aticVarSet(VarPfx + "ConnectOK", True);
//intf("\nStatus:" +
//n Symbol = " + sTicker +
//n TWS " + stat +
//n Last TWS message = " + errorMsg +
//n Order ID = " + WriteIf(ordID != "", OrdId, "None") +
//n OrderState = " + fCvtState(OrderState) +
//n Order Status = " + tempStatus +
//n Positions = " + NumToStr(Nz(numPositions), 1.0, False) );
// end is connected
//se if( ConnectedStatus == 0 OR ConnectedStatus == 1) // lost connection
// handle commection errors
//(ConnectedStatus == 0) stat = "Not Connected."; else if(ConnectedStatus ==
// stat = "Lost Connection.";
//tChartBkColor( colorYellow);
//sibleBars = Status( "LastVisibleBar" ) - Status( "FirstVisibleBar" );
//otText( "TWS not connected. Some reasons are:\nTWS error message: " +errorMsg + "\nIncoming connection has not been accepted.", BarCount -VisibleBars / 2, LastValue(HHV(H, VisibleBars)), colorWhite, colorBlack); printf("\nTWS Status: " + stat + "\n");
// end connection error
//se if (sysTime > closeTime)
//sibleBars = Status( "LastVisibleBar" ) - Status( "FirstVisibleBar" );
//otText( "###########\nMarket closed\n###########", BarCount - VisibleBars /2, LastValue(HHV(H, VisibleBars)), colorWhite, colorBlack);
// end if ibc
// end order processing loop
//#################################################################################################################################################
//#################################################################################################################################################
// ########## Commentary Commentary Commentary Commentary Commentary Commentary Commentary Commentary ################
//#################################################################################################################################################
//#################################################################################################################################################
//se // autotrade is off due to an error or trading is turned off
// if error state, display state in title bar
// feedback key info into title bar
//tChartBkColor( colorPink);
//xt = "\nStatus: \nAutoTrading is off. Some of the reasons are:\n" + " 1. Autotrading is turned off\n" + " 2. TWS has not been started or isn't functioning.\n" + " 3. Set chart to " + sTicker + ".\n" + " 4. Chart period mismatch.\n";
// end text
//intf(text);
//sibleBars = Status( "LastVisibleBar" ) - Status( "FirstVisibleBar" );
//otText(text, BarCount - VisibleBars / 2, LastValue(HHV(H, VisibleBars)),
//lorWhite, colorBlack);
//ECTION_END();
//#################################################################################################################################################
//#################################################################################################################################################
// ########## Setup and WARNINGS Setup and WARNINGS Setup andWARNINGS Setup AND WARNINGS ##############
//#################################################################################################################################################
//#################################################################################################################################################
// Before Auto trading will trade orders and have them filled automatically you must register your copy of IB Controller. See File>Enter unlock code.
// if it is NOT registered the order will be sent but a T will appear on TWS andthe order will NOT be transmitted to the market.
// Once IBC is registered AND the code is entered orders will be processed automatically.BrokerIB.exe ( IB Controller) of 1.2.1 OR above.
// This release level requires TWS 888.3 or above, IB.DLL of 1.8.2 or above, and
// These are required to handle after hours trading and back filling. Thisprogram will NOT work correctly unless these releases are installed.
// TWS may also require an update to JAVA. Check their site for recommendations.
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