AFL Library

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Details:

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Description:

An indicator that allows buying and selling stocks or futures contracts via ABs auto trading interface. It is not automatic but allows the user to enter their formula and press a button when the buy or sell signal appears.

Formula:

// Barrys buttton trading 
// Written by Barry Scarborough 20 May 2008

_SECTION_BEGIN("Button trading"); 
EnableTextOutput(False);
SetChartOptions(0, chartShowDates); 
RequestTimedRefresh(1);
Filename = StrLeft(_DEFAULT_NAME(),StrLen(_DEFAULT_NAME())-2);
_N(Title = Filename + StrFormat(" - {{DATE}} \nOpen %g, Hi %g, Lo %g, Close %g
(%.1f%%) Vol " + " {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 )) ));

VarPfx = "Btn1"; // some var that reflects the trading file

// ####  Parameters  
########################################################################################################
AutoTrade	= ParamToggle("Auto trade", "Off|Running");
Contracts	= Param("Num contracts", 1, 1, 1000, 1);
typeOrder = ParamList("Order type", "MKT,STP");
BuyOrder  	= ParamTrigger("Place Buy order","Buy");
SellOrder = ParamTrigger("Place Sell order","Sell");
CloseAll  = ParamTrigger("Close all positions","Close all");
CancelAll = ParamTrigger("Cancel all orders","Cancel all");
Reset		= ParamTrigger("Reset", "Reset"); 


// ####  Place your timing system here
#######################################################################################

// calc MACD
myMACD = MACD(); 		// calculate the macd
mySig = Signal();		// calculate the signal
// macd buy and sell conditions
upMacd = myMACD > mysig; // buy condition is the macd line above the signal
line
dnMacd = mySig  > myMACD; // sell condition is the macd line below the signal
line

Buy = Sell = Short = Cover = 0; // make sure all arrays are set false
Buy  = Cover = upMACD; 
Sell = Short = dnMACD;  

// ####  Plot indicators and shapes 
##########################################################################################
Plot(myMACD, "\nMACD",colorRed,styleThick|styleLeftAxisScale); // plot the macd
line
Plot(mySig,"\nSignal",colorBlack,styleDashed|styleLeftAxisScale); // plot the
macd signal line

PlotShapes(Buy * shapeUpArrow, colorGreen,0,Low, 2);
PlotShapes(Sell * shapeDownArrow, colorRed,0,High, 2);
 
// ####  Static vars reset  
##################################################################################################
if( reset OR Nz(StaticVarGet(varPfx  + "Init") == False) )
{
	StaticVarSetText(varPfx  + "orderID", "");
	StaticVarSetText(VarPfx + "lastTrade", ""); 
	StaticVarSet(VarPfx + "numPositions", 0);
	_TRACE("# init, " + NumToStr(StaticVarGet(varPfx  + "num"), 1.0));
}

// ####  functions 
###########################################################################################################

function fSayOnce( text ) 
{ 
   	if( StaticVarGetText(VarPfx + "lastsaidtext") != text ) 
	{ 
      	Say( text ); 
      	StaticVarSetText(VarPfx + "lastsaidtext", text ); 
		if(DebugOn) 	_TRACE("#, SayOnce Text =" + text + "\n");
   } 
} 

// ####  Trading section
########################################################################################################

if(autotrade) 
{
	ibc = GetTradingInterface("IB");
	ConnectedStatus = ibc.IsConnected();	// get the connection status, 2 is OK

	// this is where the trade processing is done
	if( ConnectedStatus == 2 OR ConnectedStatus == 3) // connected to TWS with no
error messages
	{
		OrderID = StaticVarGetText(VarPfx + "OrderID");
		OrderStatus = ibc.GetStatus( OrderID, True );
		oldNumPositions = StaticVarGet(VarPfx + "numPositions");
		numPositions  = ibc.GetPositionSize(Name()); 
		StaticVarSet(VarPfx + "numPositions", numPositions  );
		LastTrade = StaticVarGetText(VarPfx + "lastTrade"); 
		_TRACE("# buy, positions = " + NumToStr(numPositions, 1.0) + ", last trade =
" + LastTrade + ", OID = " + OrderID);

		if(  ( LastTrade == "Buy" AND numPositions  > oldNumPositions ) 	OR 
			 ( LastTrade == "Sell" AND numPositions  < oldNumPositions ) 	OR 
			 ( LastTrade == "Close" AND numPositions  == 0) 				    )
		{
			fSayOnce("Filled");
			OrderID = StaticVarSetText(VarPfx + OrderID, "");
		}
		else if (OrderStatus == "Cancelled")
			OrderID = StaticVarSetText(VarPfx + OrderID, "");
			
		if( BuyOrder )
	   {
			fSayOnce("buy");
 	      	OrderID = ibc.PlaceOrder( Name(), "Buy", Contracts, typeOrder, 0,
LastValue(C), "GTC", True);
 	      	StaticVarSetText(VarPfx + "OrderID", OrderID);
			StaticVarSetText(VarPfx + "lastTrade", "Buy"); 
			_TRACE("# buy, positions = " + NumToStr(numPositions, 1.0));
	   }

		if( SellOrder )
		{
			fSayOnce("sell");
			OrderID = ibc.PlaceOrder( Name(), "Sell", Contracts, typeOrder , 0,
LastValue(C), "GTC", True);
			StaticVarSetText(VarPfx + "OrderID", OrderID);
			StaticVarSetText(VarPfx + "lastTrade", "Sell"); 
			_TRACE("# sell, positions = " + NumToStr(numPositions, 1.0));
		}
		else if( CloseAll  )
		{
			fSayOnce("close all");
			ibc.CancelAllPendingOrders( );
			ibc.CloseAllOpenPositions();
			StaticVarSetText(VarPfx + "lastTrade", "Close"); 
			_TRACE("# close, positions = " + NumToStr(numPositions, 1.0));
		}
		else if( CancelAll )
		{
			fSayOnce("cancel all");
			ibc.CancelAllPendingOrders( );
			_TRACE("# cancel, ");
		}
		LastTWSMsg = ibc.getLastError( 0 );

	// the following will display in the interprettion window
		printf("Order type: " + LastTrade +
		"\nOrder Status: " + OrderStatus + 
		"\nOrder ID: " + StaticVarGetText(VarPfx + "OrderID") + 
		"\nNum positions: " + NumToStr(ibc.GetPositionSize( Name() ),1.0,False) +
		"\nLast TWS Msg: " + LastTWSMsg );
	}
	else // ConnectedStatus == 0 OR ConnectedStatus == 1, lost connection
	{
		// handle commection errors 
		if(ConnectedStatus == 0) stat = "Not Connected."; else if(ConnectedStatus ==
1) stat = "Lost Connection.";
		SetChartBkColor( colorYellow);		
	// the following will display in the interprettion window
		printf("\nTWS Status: " + stat + "\n"); 
	}
} // end auto trading loop
else
{
	SetChartBkColor( colorPink);
	// the following will display in the interprettion window
	printf("\n1. Autotrading is turned off\n" +
	"2. TWS not started." );
}

_SECTION_END();

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