Closing all positions each day at a certain time

rdd75

#1

3/1/2016 8:11 PM

Hi,

I am looking for a code to close all open positions (no matter of the P&L) each day at a specified time.

Any help is highly apprecoated.

Rouven

Eugene

#2

3/1/2016 8:38 PM

Hi Rouven,

Here's a quick example that requires Community.Components. Run it on 5-minute data.

In a single-position strategy:

CODE:
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In multi-position strategy:

CODE:
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rdd75

#3

3/1/2016 9:06 PM

Thanks very much Eugene

rdd75

#4

3/1/2016 10:01 PM

Works very well when leaving

CODE:
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out. otherwise CS0136 for ASCII with my local time

when using IQFeed (trading hours are labelled 02.00-1600 on the chat facing a Run time error. No error when using off trading hours, just in active trading hours.

CODE:
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Size:

Color:

Works very well when leaving [code]         for(int bar = 1; bar < Bars.Count; bar++)[/code] out. otherwise CS0136 for ASCII with my local time

when using IQFeed (trading hours are labelled 02.00-1600 on the chat facing a Run time error. No error when using off trading hours, just in active trading hours.

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		
		protected override void Execute()
		{
			DataSeries maFast = WMA.Series(Close, 28);
			DataSeries maSlow = WMA.Series(Close, 14);
			DataSeries maFast_1 = WMA.Series(Close, 28);
			DataSeries maSlow_2 = WMA.Series(Close, 14);

PlotSeries(PricePane,WMA.Series(Close,28),Color.Red,LineStyle.Solid,2);
			PlotSeries(PricePane,WMA.Series(Close,14),Color.Green,LineStyle.Solid,2);
			PlotStops();

for(int bar = GetTradingLoopStartBar(29); bar < Bars.Count; bar++)
			{
					if (maFast[bar] < maSlow[bar])
					{
						BuyAtMarket(bar + 1, "Group1|");
					}
					if (CrossOver(bar, maFast_1, maSlow_2))
					{
						ShortAtMarket(bar + 1, "Group2|");
					}
				
				for(int _pos = ActivePositions.Count - 1; _pos >= 0; _pos--)
				{
					Position p = ActivePositions[_pos];
					if (p.Active)
						{
					if (p.EntrySignal.Contains("Group1|"))
					{
						bool Stopped;
						if(p.MFEAsOfBarPercent(bar) >= 1 )
						{
						    double profit = Close[bar] - p.EntryPrice;
						    profit = Close[bar] - profit * ( 50 / 100.0d );
						    Stopped = SellAtTrailingStop( bar + 1, p, profit, "Trailing Stop");
						}
						else
						{
						    //{ Dotted line indicates trailing stop trigger level }
						    double TStopTrigger = p.EntryPrice * ( 1 + 1/100.0d );
						    DrawLine(PricePane, bar - 1, TStopTrigger, bar, TStopTrigger, Color.Gray, LineStyle.Dotted, 0 );
						    double StopPrice = p.EntryPrice * ( 1 - 1.0/100.0d );
						    Stopped = SellAtStop( bar + 1, p, StopPrice, "Stop Loss");
						}
						if(!Stopped)
						{
						    double ProfitTgt = p.EntryPrice * ( 1 + 5/100.0d );
						    SellAtLimit( bar + 1, p, ProfitTgt, "Profit Target");
						}
					}
					if (p.EntrySignal.Contains("Group2|"))
					{
						bool Stopped_3;
						if(p.MFEAsOfBarPercent(bar) >= 1.00)
						{
						    double profit_4 = p.EntryPrice - Close[bar];
						    profit_4 = Close[bar] + profit_4 * ( 50 / 100.0d );
						    Stopped_3 = CoverAtTrailingStop( bar + 1, p, profit_4, "Trailing Stop" );
						}
						else
						{
						    //{ Dotted line indicates trailing stop trigger level }
						    double TStopTrigger_5 = p.EntryPrice * ( 1 - 1.00/100.0d );
						    DrawLine(PricePane, bar - 1, TStopTrigger_5, bar, TStopTrigger_5, Color.Gray, LineStyle.Dotted, 0 );
						    double StopPrice_7 = p.EntryPrice * ( 1 + 1.0/100.0d );
						    Stopped_3 = CoverAtStop( bar + 1, p, StopPrice_7, "Stop Loss");
						}
						if(!Stopped_3)
						{
						    double ProfitTgt_6 = p.EntryPrice * ( 1 - 5/100.0d );
						    CoverAtLimit( bar + 1, p, ProfitTgt_6, "Profit Target");
						}
					}
					} // Requires Community.Components
         
					if(!Bars.IsIntraday || Bars.BarInterval != 5)
					{
						DrawLabel(PricePane,"Requires 5-min data",Color.Red);
						Abort();
					}
         
			
					{
					if( ActivePositions.Count > 0 )
						if( this.GetTime(bar) == 1455 )
							ExitAtMarket(bar+1, Position.AllPositions);

if( Bars.IntradayBarNumber(bar) == 0 )
						BuyAtMarket( bar+1 );
						}
				}
			}
		}
	}
}[/code]

Eugene

#5

3/2/2016 6:59 AM

QUOTE:
otherwise CS0136 for ASCII with my local time

That's expected: starting at bar #1 is only good for my example. To avoid an index out of bounds error (IOOB) in real code, you have to:

* use GetTradingLoopStartBar,
* care about indicators that don't have an input parameter named "period" (because GetTradingLoopStartBar is unable to sense such indicators),
* not exceed the largest indicator period by accessing a value N bars ago (e.g. suppose your largest indicator period is 5 bars but you're evaluating its value 20 bars ago),
* and use FirstActualBar if necessary.

rdd75

#6

3/2/2016 5:17 PM

Call me a Muppet, but I can’t get it up and running, still the same issue.

Grateful for any help in the forum.

Eugene

#7

3/2/2016 6:03 PM

Are you sure that the fast MA is 28-period and the slow one is 14-period? Otherwise feel free to unroll my change. Hope this helps:

CODE:
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Size:

Color:

Are you sure that the fast MA is 28-period and the slow one is 14-period? Otherwise feel free to unroll my change. Hope this helps:
[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class rdd75_20160302 : WealthScript
	{      
		protected override void Execute()
		{			         
			if(!Bars.IsIntraday || Bars.BarInterval != 5)
			{
				DrawLabel(PricePane,"Requires 5-min data",Color.Red);
				Abort();
			}
			//DataSeries maFast = WMA.Series(Close, 28);
			//DataSeries maSlow = WMA.Series(Close, 14);
			DataSeries maFast = WMA.Series(Close, 14);
			DataSeries maSlow = WMA.Series(Close, 28);
			PlotSeries(PricePane,maFast,Color.Red,LineStyle.Solid,2);
			PlotSeries(PricePane,maSlow,Color.Green,LineStyle.Solid,2);
			PlotStops();

for(int bar = GetTradingLoopStartBar(29); bar < Bars.Count; bar++)
			{
				if (maFast[bar] < maSlow[bar])
					BuyAtMarket(bar + 1, "MA1 below MA2");

if (CrossOver(bar, maFast, maSlow))
					ShortAtMarket(bar + 1, "MA Crossover");

if( Bars.IntradayBarNumber(bar) == 0 )
					BuyAtMarket( bar+1 );

if( ActivePositions.Count > 0 )
					if( this.GetTime(bar) == 1455 )
						ExitAtMarket(bar+1, Position.AllPositions);

for(int _pos = ActivePositions.Count - 1; _pos >= 0; _pos--)
				{
					Position p = ActivePositions[_pos];
					bool isLong = p.PositionType == PositionType.Long;
					bool Stopped;
					
					if(p.MFEAsOfBarPercent(bar) >= 1 )
					{
						double profit = isLong ? Close[bar] - p.EntryPrice : Close[bar] + p.EntryPrice;
						profit = isLong ? (Close[bar] - profit * ( 50 / 100.0d )) : Close[bar] + profit * ( 50 / 100.0d );						
						Stopped = ExitAtTrailingStop( bar + 1, p, profit, "Trailing Stop");
					}
					else
					{
						//{ Dotted line indicates trailing stop trigger level }
						double TStopTrigger = isLong ? (p.EntryPrice * ( 1 + 1/100.0d )) : (p.EntryPrice * ( 1 - 1.00/100.0d ));
						DrawLine(PricePane, bar - 1, TStopTrigger, bar, TStopTrigger, Color.Gray, LineStyle.Dotted, 0 );
						double StopPrice = isLong ? (p.EntryPrice * ( 1 - 1.0/100.0d )) : p.EntryPrice * ( 1 + 1.0/100.0d );
						Stopped = ExitAtStop( bar + 1, p, StopPrice, "Stop Loss");
					}
					
					if(!Stopped)
					{
						double ProfitTgt = isLong ? (p.EntryPrice * ( 1 + 5/100.0d )) : p.EntryPrice * ( 1 - 5/100.0d );
						ExitAtLimit( bar + 1, p, ProfitTgt, "Profit Target");
					}
         		}
			}
		}
	}
}[/code]