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6. Automatic Trading Systems |
  
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6. Automatic Trading Systems |
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6.1. Introduction
Mechanical Trading Systems are scripts that open and close positions, enter stop/limit or entry orders on the basis of algorithms.
Structurally trading system script differs from the script that calculates and draws indicators:
| 1) | To write a script for the indicator Recalculate() procedure is being used that makes calculations for each candlestick on the basis of the historical data. It shouldn’t be done in case of trading systems, so Recalculate() procedure can be left empty and undertake all calculations in Add procedure. |
| 2) | To make system be compelled and work you should proclaim graphical variable (TLineGraph, TVolumeGraph, TPointGraph) and create this object of the graphical class in the Init procedure even if you use it in the body of the script. Without it you can’t compile your script. At that it is recommended to make Layout embedded. |
Layout = Embedded; |
As for the rest there is no significant difference.
6.2 Trade Functions
Four special functions are being used to undertake trade process:
CreateOrder( |
Create order for new position. Parameters:
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CreateEntryOrder( |
Create Entry Order. Parameters:
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CreateStopLimitOrder( |
Create Stop or Limit Order. Parameters:
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CloseTrade( |
Close Position. Parameters:
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Details for each function:
6.2.1 CreateOrder Function
CreateOrder() function is created for opening position at the current market price. It has 7 parameters:
| 1. | AccountID – Account number. |
| 2. | Amount – Lot Amount. |
| 3. | BuySell – Buy or Sell. |
| 4. | StopRate – Price rate for preset Stop Order, NullRate – if no order needed. |
| 5. | LimitRate – Price for preset Limit Order, NullRate – if no order needed. |
| 6. | TraderRange – Trader Range. |
| 7. | OperationTag – Order Tag. |
Tag order is used to make position search process easier. Order tag is a unique name of your open position, for this reason they shouldn’t be repeated. It means that existence of 2 positions with the same name (OpetarionTag) can lead to the incorrect work of the system. To avoid such mistakes one can keep external counter that will assign unique numbers for the open positions to make your script identify them.
Example: Let’s write a small trading system that will open your Buy position in case High and Low difference of the last candle accedes 50 points. At the same time it has to make Stop order 20 points lower than Low of that candle and Limit 20 points higher that High of this candle.
Script that realize such trading system by the following way:
Const IndicatorName = 'My Trading System'; // Name of trade system Layout = Embedded; // Don’t create separate window because there is no need for it var Graph:TLineGraph; // Announce a liner chart, // to make trading system compiled. PointSize, NowPrice, Volatility:Double; tag, Stop, Limit:integer; Account, OperationTag: string;
procedure CreateSettings; // Create Settings begin AddSetting('point_size', 'Point Size', '0.0001'); // Set point size AddSetting('account', 'Account number', '3312'); // Set account number AddSetting('stop', 'Stop Distance in pips', '20'); // Set Stop distance in pips AddSetting('limit', 'Limit Distance in pips', '20'); // Set Limit distance in pips end;
procedure ApplySettings; // Apply Settings begin Account := GetSetting('account'); // Apply account settings Stop := StrToInt(GetSetting('stop')); // Apply Stop settings in pips Limit := StrToInt(GetSetting('limit')); // Apply Limit settings in pips PointSize := StrToFloat(GetSetting('point_size')); // Apply point size settings end;
procedure Init; begin Graph := TLineGraph.Create(); //Create linear graph to make trade system // compiled. end;
procedure Recalculate; // In the recalculate procedure you assign 1 to // the Tag. Later this variable will serve to // generate unique numbers, because once // new candles appear it’ll increase by one. begin tag:=1; end; // Recalculate
procedure Add(const ValueIndex: Integer); // Procedure that on the appearance of the // new candle will check the preset // conditions. If they are realized it will open // position. begin tag:=tag+1; // Increase identifier by one if ValueIndex > SourceGraph.Count()-2 then begin OperationTag:=IntToStr(Tag); // Variable OperationTag assign identifier // value converted into String variable NowPrice:=SourceGraph.YValue(ValueIndex); // variable NowPrice we assign value Volatility:=(SourceGraph.HighValue(ValueIndex-1)- SourceGraph.LowValue(ValueIndex-1))/PointSize; // Set candle size in points if Volatility>50 then CreateOrder(Account, 10, bsBuy, NowPrice-Stop*PointSize, NowPrice+Limit*PointSize, 3, OperationTag); // If candle size is higher than 50 points // open Buy position end; end; |
6.2.2 CreateEntryOrder Function
CreateOrder() Function is created for creation of pending orders. It has 6 parameters:
| 1. | AccountID – Account number. |
| 2. | Amount – Lot Amount. |
| 3. | BuySell – Buy or Sell. |
| 4. | Rate – Price. |
| 5. | OrderType - Order Type: otEStop – Entry Stop; otELimit – Entry Limit. |
| 6. | OperationTag – Order Tag. |
Example: create a small trade system that will create 2 pending orders. First – order to buy 30 points higher than current price. Second – order to sell 50 points higher than current price. Script has to generate orders if close price of the candle is higher than close price of the previous one.
Const IndicatorName = 'My Trading System'; // Name trading system Layout = Embedded; // Don’t create separate window because there is no use in it var Graph:TLineGraph; // Announce some linear chart, // to have trading system compiled. PointSize, NowPrice, PreviousPrice:Double; tag, BuyDistance, SellDistance:integer; Account, OperationTag: string;
procedure CreateSettings; // Create setting begin AddSetting('point_size', 'Point Size', '0.0001'); //Create point size settings AddSetting('account', 'Account number', '3312'); // Create account size settings AddSetting('buy_distance', 'Buy Distance in pips', '30'); // Create buy distance settings AddSetting('sell_distance', 'Sell Distance in pips', '50'); // Create sell distance settings end;
procedure ApplySettings; // Apply Settings begin Account := GetSetting('account'); // Apply account setting number BuyDistance := StrToInt(GetSetting('buy_distance')); // Apply buy distance setting SellDistance := StrToInt(GetSetting('sell_distance')); // Apply sell distance setting PointSize := StrToFloat(GetSetting('point_size')); // Apply point size end;
procedure Init; begin Graph := TLineGraph.Create(); // Create linear chart to have trading system // compelled. end;
procedure Recalculate; // In the recalculation processes variable // tag is assigned one. Later this variable will // serve to assign positions unique numbers. // With each new candle it will increase by 1. begin tag:=1; end; // Recalculate
procedure Add(const ValueIndex: Integer); // Procedure that on the appearance of the // new candle will check the preset // conditions. If they are realized it will open // position.
begin if ValueIndex > SourceGraph.Count()-2 then begin NowPrice:=SourceGraph.CloseValue(ValueIndex-1); // Variable NowPrice assign // last candle close value PreviousPrice:= SourceGraph.CloseValue(ValueIndex-2); // Variable PreviousPrice // assign next to last candle close value if NowPrice> PreviousPrice then begin tag:=tag+1; // Increase identifier by one OperationTag:=IntToStr(Tag); // Variable OperationTag assign // identifier value converted into String // variable
CreateEntryOrder(Account, 10, bsBuy, NowPrice+BuyDistance*PointSize, otEStop, OperationTag); // Create pending order Buy Entry Stop tag:=tag+1; // increase identifier by one OperationTag:=IntToStr(Tag); // Variable OperationTag assign // identifier value converted into String // variable
CreateEntryOrder(Account, 5, bsSell, NowPrice+SellDistance*PointSize, otELimit, OperationTag); // Create pending order Sell Entry Limit end; end; end; |
For this example, CreateEntryOrder() Function has the following view:
6.2.3 CreateStopLimitOrder Function
CreateStopLimitOrder() Function created for generating stops and limits on open positions (in case if position was opened without preset Stop and Limit). It has 4 parameters:
| 1. | TradeID – Trade number, if no tag order is preset. |
| 2. | OperationTag – Order tag, if no trade number preset. |
| 3. | Rate – Price. |
| 4. | OrderType – Order Type: otStop – Stop; otLimit – Limit. |
Example 1: let’s write a trading system that will generate Stop 20 point higher and Limit 30 points lower than the current sell position that has a tag ‘a123’. If the close price of the last candle accedes some concrete price (for example if close price is higher than 1.3680). To make things easier let’s concentrate only on Add procedure. In this case Add will have the following view:
procedure Add(const ValueIndex: Integer); begin if ValueIndex > SourceGraph.Count()-1 then begin NowPrice:=SourceGraph.CloseValue(ValueIndex-1); // Variable NowPrice assign // current market price value if NowPrice>1.368 then begin CreateStopLimitOrder('',’a123’, NowPrice+20*PointSize, otStop); // Create Stop Order CreateStopLimitOrder('',’a123’, NowPrice-30*PointSize, otLimit); // Create Limit Order end; end; end; |
Example 2: let’s write the same trading system, like in the first example, but search for positions by the trade number. For example trade number 352155. In this case Add procedure will have the following view:
procedure Add(const ValueIndex: Integer); begin if ValueIndex > SourceGraph.Count()-1 then begin NowPrice:=SourceGraph.CloseValue(ValueIndex-1); // Variable NowPrice assign // current market price value if NowPrice>1.368 then begin CreateStopLimitOrder('352155',’’, NowPrice+20*PointSize, otStop); // Create Stop Order CreateStopLimitOrder('352155',’’, NowPrice-30*PointSize, otLimit); // Create Limit Order end; end; end; |
We should bare in mind that order tag and trade number we put in the single quotes.
6.2.4 CloseTrade Function
CloseTrade() function is created for closing positions. Position can be closed by trade number or order tag. It has 5 parameters:
| 1. | TradeID – Trade number, if order tag is not preset. |
| 2. | OperationTag – Order tag, if trade number isn’t preset. |
| 3. | Amount – Lot Amount. |
| 4. | WithHedge – Close position with hedge positions. |
| 5. | TraderRange - Trader Range. |
Example 1: Let’s write a trading system that will close position with ‘a123’ tag for 5 lots, if close price of the last candle goes below some concrete price (for example, if close candle price is lower than 1.8620). To make things easier let’s concentrate only on Add procedure. In this case Add procedure will have the following view:
procedure Add(const ValueIndex: Integer); begin if ValueIndex > SourceGraph.Count()-1 then begin NowPrice:=SourceGraph.CloseValue(ValueIndex-1); // Variable NowPrice assign // current market price value if NowPrice<1.862 then CloseTrade('',’a123’,5,False,3); // Close position without hedge end; end; |
Example 2: let’s write a trading system that will close position with number 54921 for 10 lots, if close candle price goes below some concrete price (for example, if close candle price goes lower than 1.8620). The position will be closed with hedge. In this case Add will have the following view:
procedure Add(const ValueIndex: Integer); begin if ValueIndex > SourceGraph.Count()-1 then begin NowPrice:=SourceGraph.CloseValue(ValueIndex-1); // Variable NowPrice is // assigned current price value if NowPrice<1.862 then CloseTrade('54921',’’,5,True,3);// Close position with hedge end; end; |
