Examples of strategies

Sample SMA strategy

Sources from this sample

public class SmaChartStrategy : ATAS.Strategies.Chart.ChartStrategy
{
    #region Private fields
 
    private readonly SMA _shortSma = new SMA();
    private readonly SMA _longSma = new SMA();
 
    private int _lastBar;
 
    #endregion
 
    #region Public properties
 
    [Display(
        Name = "Short period", 
        Order = 10)]
    [Parameter]
    public int ShortPeriod
    {
        get => _shortSma.Period;
        set
        {
            _shortSma.Period = Math.Max(1, value);
            RecalculateValues();
        }
    }
 
    [Display(
        Name = "Long period", 
        Order = 20)]
    [Parameter]
    public int LongPeriod
    {
        get => _longSma.Period;
        set
        {
            _longSma.Period = Math.Max(1, value);
            RecalculateValues();
        }
    }
 
    [Display(
        Name = "Volume",
        Order = 30)]
    [Parameter]
    public decimal Volume { get; set; }
 
    [Display(ResourceType = typeof(Resources),
        Name = "ClosePositionOnStopping",
        Order = 40)]
    [Parameter]
    public bool ClosePositionOnStopping { get; set; }
 
    #endregion
 
    #region ctor
 
    public SmaChartStrategy()
    {
        var firstSeries = (ValueDataSeries)DataSeries[0];
        firstSeries.Name = "Short";
        firstSeries.Color = Colors.Red;
        firstSeries.VisualType = VisualMode.Line;
 
        DataSeries.Add(new ValueDataSeries("Long")
        {
            VisualType = VisualMode.Line,
            Color = Colors.Green,
        });
 
        ShortPeriod = 21;
        LongPeriod = 75;
        Volume = 1;
        ClosePositionOnStopping = true;
    }
 
    #endregion
 
    #region Overrides of BaseIndicator
 
    protected override void OnCalculate(int bar, decimal value)
    {
        var shortSma = _shortSma.Calculate(bar, value);
        var longSma = _longSma.Calculate(bar, value);
 
        DataSeries[0][bar] = shortSma;
        DataSeries[1][bar] = longSma;
 
        var prevBar = _lastBar;
        _lastBar = bar;
 
        if (!CanProcess(bar) || prevBar == bar)
            return;
 
        if (_shortSma[prevBar - 1] < _longSma[prevBar - 1] && _shortSma[prevBar] >= _longSma[prevBar])
        {
            //cross up
            OpenPosition(OrderDirections.Buy);
        }
 
        if (_shortSma[prevBar - 1] > _longSma[prevBar - 1] && _shortSma[prevBar] <= _longSma[prevBar])
        {
            //cross down
            OpenPosition(OrderDirections.Sell);
        }
    }
 
    protected override void OnStopping()
    {
        if (CurrentPosition != 0 && ClosePositionOnStopping)
        {
            RaiseShowNotification($"Closing current position {CurrentPosition} on stopping.", level: LoggingLevel.Warning);
            CloseCurrentPosition();
        }
 
        base.OnStopping();
    }
 
    #endregion
 
    #region Private methods
 
    private void OpenPosition(OrderDirections direction)
    {
        var order = new Order
        {
            Portfolio = Portfolio,
            Security = Security,
            Direction = direction,
            Type = OrderTypes.Market,
            QuantityToFill = GetOrderVolume(),
        };
 
        OpenOrder(order);
    }
 
    private void CloseCurrentPosition()
    {
        var order = new Order
        {
            Portfolio = Portfolio,
            Security = Security,
            Direction = CurrentPosition > 0 ? OrderDirections.Sell : OrderDirections.Buy,
            Type = OrderTypes.Market,
            QuantityToFill = Math.Abs(CurrentPosition),
        };
 
        OpenOrder(order);
    }
 
    private decimal GetOrderVolume()
    {
        if (CurrentPosition == 0)
            return Volume;
 
        if (CurrentPosition > 0)
            return Volume + CurrentPosition;
 
        return Volume + Math.Abs(CurrentPosition);
    }
 
    #endregion
}