AFL Library

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Details:

DISCLAIMER: Most formulas present in AFL on-line library are submitted by the users and are provided here on an "as is" and "as available" basis. AmiBroker.com makes no representations or warranties of any kind to the contents or the operation of material presented here. We do not maintain nor provide technical support for 3rd party formulas.
Description:

Auto trade
Buttons to send orders to IB paper account and send trade log to text file
Buy, Sell, Short, Cover, Reversal, CloseAll
Control Market Open and Market Close to place orders and Week End

Formula:

// AT StepByStep

// Buttons to send orders to IB paper account and send trade log to text file
//
// Mainly adapted from "Barry's buttton trading" formula
// Compilation from Barry Scarborough's, Ed Pottasch's, TJ's, Al Venosa's
notes
// Intraday Future Trading
// Adaptation by Reinsley
// the end's comments must be written and saved in SaveTradeLog_func.afl
// adjust your own path and your market hours

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

#include_once "C:\Program
Files\AmiBroker\Formulas\AutoTrade\SaveTradeLog_func.afl"

// #### init parameters of the active chart
############################################

_N( SectionName = "AT StepByStep" );
_N( Ver = "Ver1_0" ); // this is my version number
_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 to prevent
bizarre results if you use multiple versions of the trading program
simultaneously.
VarPfx = Filename + Ver; // static var prefix
_N( Title = "AT StepByStep" + StrFormat( " - {{DATE}} \nOpen %g, Hi %g, Lo
%g,Close %g (%.1f%%) Vol " + " {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1
) ) ) );
symb = Name();
Contracts = 1;// quantity send
typeOrder = "MKT";
SetChartOptions( 1, chartShowArrows | chartShowDates );
RequestTimedRefresh( 1 );
DOW = Now( 9 );//day of the week
WeekEnd = IIf( ( DOW == 1 OR DOW == 7 ), 1, 0 );
VarPfx = "Stp1"; // some static var personnalized to this formula


// ####  Defines market hours
##########################################################

MarketOpen = 080000;//08:00:00;
MarketClose = 142000;//20:00:00 or 163000
MarketON = TimeNum() >= MarketOpen AND Now( 4 ) < MarketClose AND NOT WeekEnd;
MarketOFF = Now( 4 ) >= MarketClose ;//day's over
Hhmod = frac( MArketclose / 10000 );

if ( Hhmod == 0 )
    delta = 4100;// minute close time is 00
else
    delta = 100;// minute close time is 30

MarketCloseMinusOneMinute = MarketClose - delta;//19:59:00;// one minute before
EOD to close all positions

MarketCloseAllPos = Now( 4 ) > MarketCloseMinusOneMinute ;// one minute to
close all positions

_TRACE( "MarketClose = " + MarketClose + "MarketCloseMinusOneMinute = " +
MarketCloseMinusOneMinute );

// #### Parameters
#####################################################################

//AutoTrading	= ParamToggle( "AutoTrading", "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" );

ReverseOrder = ParamTrigger( "Place Reverse order", "Reverse" );

CloseAll  = ParamTrigger( "Close all positions", "Close all" );

CancelAll = ParamTrigger( "Cancel all orders", "Cancel all" );

Reset		= ParamTrigger( "Reset", "Reset" );

// START ####  your timing system here 
################################################
//
// Place your timing system here
//
// then the plots
//
// END ####  your timing system here 
##################################################

//AT master switch, Automated Trading always OFF when AB starts
sAutoTrading = Nz( StaticVarGet( "AutoTrading" ) );

ATonTrigger = ParamTrigger( "Start AutoTrading", "START" );

AToffTrigger = ParamTrigger( "Stop AutoTrading", "STOP" );

if ( ATonTrigger )
{
    StaticVarSet( "sAutoTrading", 1 );
    StaticVarSet( "sFirstWrite", True );
}
else
    if ( AToffTrigger )
        StaticVarSet( "sAutoTrading", 0 );

Title = "\nsAutoTradingDH " + WriteIf( StaticVarGet( "sAutoTrading" ), "On",
"Off" );

tn = Now();

_TRACE( "***********************Time = " + tn );

_TRACE( "\nsAutoTradingStart = " + StaticVarGet( "sAutoTrading" ) );

// #### Static vars reset
##############################################################

if ( reset  )
{

    FileName = " ";
    _TRACE( "\n1. Filename = " + Filename );
    StaticVarSet( "sFirstWrite", True );
    _TRACE( "\n2. sFirstWrite = " + StaticVarGet( "sFirstWrite" ) );
    ps = "";
    _TRACE( "\n3. ps  = " + ps );
    StaticVarSet( "sAutoTrading ", 0 );// AT OFF
    _TRACE ( "\n4. sAutoTrading = " + StaticVarGet( "sAutoTrading " ) );
    StaticVarSet( "sAutoTrading ", 1 );// AT ON
    Title = "\nsAutoTrading " + WriteIf( StaticVarGet( "sAutoTrading" ), "On",
"Off" ) + "\n\nRESET done... " ;
}

// ####  AutoTrading section
###########################################################

//StaticVarSet( "logflag", 0 );

if ( StaticVarGet( "sAutoTrading" ) )
{
    if (  LastValue( MArketON ) )  		// MarketON = TimeNum() >= MarketOpen AND
Now( 4 ) < MarketClose AND NOT WeekEnd
    {
        _TRACE( "\nMarketON = " + MarketON + " MarketOFF = " + MarketOFF );
        _TRACE( "\nsFirstWriteINIT = " + StaticVarGet( "sFirstWrite" ) );

        ibc = GetTradingInterface( "IB" );
        StaticVarSet( "ConnectedStatus", ibc.IsConnected() );	// get the
connection status, 2 is OK
        LastTWSMsg = ibc.getLastError( 0 );

        if ( StaticVarGet( "ConnectedStatus" ) == 2 OR StaticVarGet(
"ConnectedStatus" ) == 3 ) // connected to TWS with no error messages
        {
            OrderID = StaticVarGetText( VarPfx + "OrderID" );
            _TRACE( "OrderIDdeb = " + ORderID );
            OrderStatus = ibc.GetStatus( OrderID, True );
            oldNumPositions = StaticVarGet( VarPfx + "numPositions" );
            _TRACE( "oldNumPositions = " + oldNumPositions );
            numPositions  = ibc.GetPositionSize( symb );
            StaticVarSet( VarPfx + "numPositions", numPositions  );
            _TRACE( "NumPositions = " + NumPositions );

            LastTrade = StaticVarGetText( VarPfx + "lastTrade" );
            _TRACE( "# buy, positions = " + NumToStr( numPositions, 1.0 ) + ",
last trade = " + LastTrade + ", OID = " + OrderID );


            // the following will display in the interpretation window
            printf( "\nGeneral Status :" +
                    "\n\nLastTrade : " + LastTrade +
                    "\nOrder Status: " + OrderStatus +
                    "\nOrder ID: " + StaticVarGetText( VarPfx + "OrderID" ) +
                    "\nNum positions: " + NumToStr( ibc.GetPositionSize( symb
), 1.0, False ) +
                    "\nLast TWS Msg: " + StaticVarGet( "LastTWSMsg" ) );


            if (  ( LastTrade == "Buy" AND numPositions  > oldNumPositions )
	OR
                    ( LastTrade == "Sell" AND numPositions  < oldNumPositions )
	OR
                    ( LastTrade == "Close" AND numPositions  == 0 ) OR
                    ( numPositions  != oldNumPositions AND StaticVarGet(
"logflag" ) == 1 ) )
            {
                // wait for filled order then send trade log
                OrderID = StaticVarGetText( VarPfx + "OrderID" );       // get
OrderID if filled or cancelled
                _TRACE( "OrderIDLOG = " + ORderID );

                StaticVarSetText( VarPfx + "lastTrade", StaticVarGetText(
"action" ) );
                _TRACE( "# : " + StaticVarGetText( "action" ) + " " + NumToStr(
numPositions, 1.0 ) );

                // saves the report of the last trade into text file log when
filled

                if ( ibc.GetPositionSize( symb ) != oldNumPositions AND
StaticVarGet( "logflag" ) == 1 )
                {

                    _TRACE( "oldNumPositions = " + oldNumPositions + "
Staticlogflag= " + StaticVarGet( "logflag" ) );
                    numcontractlog = StaticVarGet( "numcontractlog" );
                    _TRACE( "numcontractlog = " + StaticVarGet(
"numcontractlog" ) );
                    _TRACE( "\nLOGaction = " + StaticVarGetText( "action" ) +
"\nLOGtypeOrder = " + typeOrder + "\nLOGOrderID = " + OrderID + "\nLOGContracts
= " + Contracts + "\nLOGavgCost= " + avgCost + "\nLOGsFirsWrite = " +
StaticVarGet( "sFirstWrite" ) );
                    avgCost = ibc.GetPositionInfo( symb, "Avg. Cost" ) / 10; //
ask for the filled price
                    SaveTradeLog_func( StaticVarGetText( "action" ) ,
typeOrder, OrderID , numcontractlog, avgCost, StaticVarGet( "sFirstWrite" ) );
                    StaticVarSet( "logflag", 0 );
                    LastTWSMsg = ibc.getLastError( 0 );
                    _TRACE( " Send To Log " + StaticVarGetText( "action" ) + "
= OK" );
                }

                LastTWSMsg = ibc.getLastError( 0 );

                // the following will display in the interpretation window
                printf( "\n\n\nReport Order Status" +
                        "\n\nOrder type: " + LastTrade +
                        "\nOrder Status: " + OrderStatus +
                        "\nOrder ID: " + StaticVarGetText( VarPfx + "OrderID" )
+
                        "\nNum positions: " + NumToStr( ibc.GetPositionSize(
symb ), 1.0, False ) +
                        "\nLast TWS Msg: " + LastTWSMsg );


                _TRACE( "Position Send To Log " + StaticVarGetText( "action" )
+ " = Passed"  );
            }

            _TRACE( "LastTrade = " + LastTrade );

            // Reverse Position or CloseAll or CancelAll

            _TRACE( "numPositions  = " + StaticVarGet( VarPfx + "numPositions"
) );

            if ( NOT MarketCloseAllPos )	// MarketCloseAllPos = Now( 4 ) <
MarketCloseMinusOneMinute
            {
                if ( CloseAll  )
                {
                    numPositions  = ibc.GetPositionSize( symb );
                    ibc.CancelAllPendingOrders( );
                    ibc.CloseAllOpenPositions();

                    if ( StaticVarGetText( "action" ) == "Sell" )
                    {
                        StaticVarSetText( "action" , "Buy" );
                        _TRACE( "lastTradeSELL2buy= " + StaticVarGetText(
VarPfx + "lastTrade" ) );
                    }
                    else
                        if ( StaticVarGetText( VarPfx + "lastTrade" ) == "Buy"
)
                        {
                            StaticVarSetText( "action" , "Sell" );
                            _TRACE( "lastTradeBUY2sell= " + StaticVarGetText(
VarPfx + "lastTrade" ) );
                        }

                    StaticVarSetText( VarPfx + "lastTrade", "Close" );

                    StaticVarSet( "logflag", 1 );
                    StaticVarSet( "numcontractlog", abs( numPositions )  );
                    _TRACE( "# close, positions = " + NumToStr( numPositions,
1.0 ) );
                }
                else
                    if ( CancelAll )
                    {
                        // retrieve orderID from previous run, will be empty if
no order was placed before
                        OrderID = StaticVarGetText( "OrderID" + symb );
                        ibc.CancelAllPendingOrders( );
                        _TRACE( "# cancel, " );

                    }
                    else
                        if ( ReverseOrder )			// place reverse order
                        {
                            if ( numPositions  != 0 )  		// reverse position
with "Contracts" X 2
                            {

                                if ( StaticVarGet( "logflag" ) == 0 )
                                    oldNumPositions = ( ibc.GetPositionSize(
symb ) );

                                // retrieve orderID from previous run
                                OrderID = StaticVarGetText( VarPfx + "OrderID"
+ symb );

                                _TRACE( "OrderIDRetrieveReverse = " +  OrderID
);

                                // retrieve last trade action from previous
run
                                StaticVarSetText( VarPfx + "lastTrade",
StaticVarGetText( "action" ) );

                                _TRACE( "ActionRetrieveReverse = " +  lastTrade
);

                                _TRACE( "logflagRetrieveReverse = " + 
StaticVarGet( "logflag" ) );

                                if ( StaticVarGetText( "action" ) == "Sell" )
                                {
                                    StaticVarSetText( "action" , "Buy" );
                                    _TRACE( "lastTradeSELL2buy= " +
StaticVarGetText( VarPfx + "lastTrade" ) );
                                }
                                else
                                    if ( StaticVarGetText( VarPfx + "lastTrade"
) == "Buy" )
                                    {
                                        StaticVarSetText( "action" , "Sell" );
                                        _TRACE( "lastTradeBUY2sell= " +
StaticVarGetText( VarPfx + "lastTrade" ) );
                                    }

                                if ( ibc.IsOrderPending( OrderID ) )
                                {
                                    OrderID = ibc.ModifyOrder( OrderID, symb,
StaticVarGetText( "action" ), Contracts * 2, typeOrder , 0, 0, "Day", True );
                                    StaticVarSet( "logflag", 1 );
                                    StaticVarSet( "numcontractlog", Contracts *
2 );
                                }
                                else
                                {
                                    OrderID = ibc.PlaceOrder( symb,
StaticVarGetText( "action" ), Contracts * 2, typeOrder , 0, 0, "Day", True );
                                    StaticVarSet( "logflag", 1 );
                                    StaticVarSet( "numcontractlog", Contracts *
2 );

                                }

                                // store orderID for next run so we know which
order to modify
                                StaticVarSetText( VarPfx + "OrderID", OrderID
);

                                StaticVarSetText( VarPfx + "lastTrade",
StaticVarGetText( "action" ) );

                                _TRACE( "# : " + StaticVarGetText( "action" ) +
" " + NumToStr( numPositions, 1.0 ) );
                            }
                        }
                        else
                            if ( BuyOrder )			// number of lots contained in
"Contracts" only
                            {
                                if ( StaticVarGet( "logflag" ) == 0 )
                                    oldNumPositions = ( ibc.GetPositionSize(
symb ) );

                                // retrieve orderID from previous run, will be
empty if no order was placed before
                                OrderID = StaticVarGetText( VarPfx + "OrderID"
+ symb );

                                _TRACE( "logflag = " +  StaticVarGet( "logflag"
) );

                                StaticVarSetText( "action" , "Buy" );

                                if ( ibc.IsOrderPending( OrderID ) )
                                {
                                    OrderID = ibc.ModifyOrder( OrderID, symb,
"Buy", Contracts , typeOrder , 0, 0, "Day", True );
                                    StaticVarSet( "logflag", 1 );
                                    StaticVarSet( "numcontractlog", Contracts
);
                                }
                                else
                                {
                                    OrderID = ibc.PlaceOrder( symb, "Buy",
Contracts , typeOrder , 0, 0, "Day", True );
                                    StaticVarSet( "logflag", 1 );
                                    StaticVarSet( "numcontractlog", Contracts
);

                                }

                                // store orderID for next run so we know which
order to modify
                                StaticVarSetText( VarPfx + "OrderID", OrderID
);
                            }
                            else
                                if ( SellOrder )		// number of lots contained
in "Contracts" only
                                {
                                    if ( StaticVarGet( "logflag" ) == 0 )
                                        oldNumPositions = (
ibc.GetPositionSize( symb ) );

                                    // retrieve orderID from previous run, will
be empty if no order was placed before
                                    OrderID = StaticVarGetText( VarPfx +
"OrderID" + symb );

//                                   if ( StaticVarGet( "logflag" ) == 0 )
                                    //                                    
oldNumPositions = ( ibc.GetPositionSize( symb ) );

                                    _TRACE( "logflag = " +  StaticVarGet(
"logflag" ) );

                                    StaticVarSetText( "action" , "Sell" );

                                    if ( ibc.IsOrderPending( OrderID ) )
                                    {
                                        OrderID = ibc.ModifyOrder( OrderID,
symb, "Sell", Contracts , typeOrder , 0, 0, "Day", True );
                                        StaticVarSet( "logflag", 1 );
                                        StaticVarSet( "numcontractlog",
Contracts );
                                    }
                                    else
                                    {
                                        OrderID = ibc.PlaceOrder( symb, "Sell",
Contracts , typeOrder , 0, 0, "Day", True );
                                        StaticVarSet( "logflag", 1 );
                                        StaticVarSet( "numcontractlog",
Contracts );

                                    }

                                    // store orderID for next run so we know
which order to modify
                                    StaticVarSetText( VarPfx + "OrderID",
OrderID );
                                }
            }

            else 							// last minute
            {
                // CloseAll
                if ( CloseAll  )			//  20" in the last minute to activate
CloseAll button
                {
                    if ( ibc.GetPositionSize( symb ) != 0 )
                    {
                        _TRACE( "\nMarketOFF in one minute then CloseALL..."
);
                        numPositions  = ibc.GetPositionSize( symb );
                        ibc.CancelAllPendingOrders( );
                        ibc.CloseAllOpenPositions();

                        if ( StaticVarGetText( "action" ) == "Sell" )
                        {
                            StaticVarSetText( "action" , "Buy" );
                            _TRACE( "lastTradeSELL2buy= " + StaticVarGetText(
VarPfx + "lastTrade" ) );
                        }
                        else
                            if ( StaticVarGetText( VarPfx + "lastTrade" ) ==
"Buy" )
                            {
                                StaticVarSetText( "action" , "Sell" );
                                _TRACE( "lastTradeBUY2sell= " +
StaticVarGetText( VarPfx + "lastTrade" ) );
                            }

                        StaticVarSetText( VarPfx + "lastTrade", "Close" );

                        StaticVarSet( "logflag", 1 );
                        StaticVarSet( "numcontractlog", abs( numPositions ) 
);
                        _TRACE( "# closeMKTOFF, positions = " + NumToStr(
numPositions, 1.0 ) );
                    }
                }

                // The last 40 seconds
                else
                    if ( Now( 4 ) >= MarketCloseMinusOneMinute + 20 )
                    {
                        if ( ibc.GetPositionSize( symb ) == 0 )
                        {
                            StaticVarSet( "sAutoTrading", False ); // turn auto
trading off
                            _TRACE( "\nFLAT : In 40 seconds auto trading is
turned off..." );
                        }
                        else // display a warning, not flat
                        {
                            printf ( "\n NOT FLAT ! Close all orders manually"
);
                            _TRACE( "\n NOT FLAT ! Close all orders manually
before the end of the minute" );
                        }
                    }
            }
        }
        else // ConnectedStatus == 0 OR ConnectedStatus == 1, lost connection
        {
            // handle commection errors
            if ( StaticVarGet( "ConnectedStatus" ) == 0 )
                StaticVarSet( "stat", "NOT Connected." );
            else
                if ( StaticVarGet( "ConnectedStatus" ) == 1 )
                    StaticVarSet( "stat", "Lost Connection." );

            StaticVarSet( "sAutoTrading", False ); // turn auto trading off

            SetChartBkColor( colorYellow );

            // the following will display in the interprettion window

            printf( "\nTWS Status: " + StaticVarGet ( "stat" ) + "\n" );


            // the following will display in the interpretation window

            printf( "\n\n\nConnection Error Status : " +
                    "\n\nLastTrade : " + StaticVarGetText( VarPfx + "lastTrade"
) +
                    "\nOrder ID: " + StaticVarGetText( VarPfx + "OrderID" ) +
                    "\nNum positions: " + NumToStr( StaticVarGet(
"numPositions" ), 1.0, False ) +
                    "\nLast TWS Msg: " + StaticVarGet( "LastTWSMsg" ) );

            OrderID = StaticVarGetText( VarPfx + "OrderID" );

            _TRACE( "\n# buy, positions = " + NumToStr( StaticVarGet(
"numPositions" ), 1.0 ) + ", last trade = " + StaticVarGetText( VarPfx +
"lastTrade" ) + ", OID = " + OrderID );
        }
    }
    else								// Market OFF
        if ( StaticVarGet( "sAutoTrading" ) == 1 )
        {
            StaticVarSet ( "sAutoTrading", 0 );
            stat = "Connection Closed, Market OFF.";
            SetChartBkColor( colorYellow );
            // the following will display in the interprettion window
            printf( "\nTWS Status: " + stat + "\n" + "sAutoTrading = " +
StaticVarGet ( "sAutoTrading" ) );
            _TRACE( "\nsAutoTradingOFF = " + StaticVarGet( "sAutoTrading" ) );
        }

    //LastTWSMsg = ibc.getLastError( 0 );
} //end auto trade loop
else
{
    SetChartBkColor( colorPink );
    // the following will display in the interpretation window
    printf( "\n1. Autotrading is turned off\n" +
            "2. TWS not started." );
}

_SECTION_BEGIN( "Price" );

/*
// the following function must be written and saved in SaveTradeLog_func.afl
//
// SaveTradeLog_func
// this function is called every action with IB and saves data about the
trade.
// func = Buy or Sell, ordtype = LMT or MKT, OID = OrderID number, num = number
of contracts, price, firstwrite
function SaveTradeLog_func( func, typeorder, OID, Contracts, price, FW )
{

    // _TRACE( "FW= " + FW );

    if ( FW == 1 )
    {
        StaticVarSetText( "FileName", "C:\\Program
Files\\AmiBroker\\Formulas\\AutoTrade\\IB Trades\\"
                          + Name() + " " + StrRight( NumToStr( Year(), 1.0 ), 2
) + "-"
                          + NumToStr( Month(), 2.0 ) + "-" + NumToStr( Day(),
2.0 ) + " "
                          + NumToStr( Now( 4 ), 1.0, False ) + ".csv" );
        _TRACE( "FWONE= " + FW );
    }

    _TRACE( "FWZERO= " + FW );

    trdClose = NumToStr( LastValue( Close ), 1.2 );

    timestr = NumToStr( Now( 4 ), 1.0, False );
    symbol = Name();
    where = StrFind( symbol, "-" );

    if ( where > 0 )
        symbol = StrLeft( symbol, where - 1 ); // get significant part of
symbol name

    if ( FW )
        fhw = fopen( StaticVarGetText( "FileName" ), "w" ); //open a file for
writing
    else
        fhw = fopen( StaticVarGetText( "FileName" ), "a" ); //open a file for
appending

    if ( fhw )
    {
        if ( FW )
        {
            fputs( "Time, Symbol, Function, Order, Type, OrderID, Contracts,
Price\n", fhw );
            FW = 0;
        }

        fputsString = timestr + "," + symbol + "," + func + "," + typeorder +
"," +

                      OID + "," + NumToStr( Contracts, 1.0 ) + "," + NumToStr(
price, 1.2 )  + "\n";

        fputs( fputsString, fhw ) ;
    }

    fclose( fhw );


    return StaticVarSet( "sFirstWrite", FW );

}

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