Multi Time Frame not waiting candle close

PanagiotisChar
19 Jun 2023, 09:42

Hi Sue, 

I don't think anybody is in a position to help you with such a complicated logic and just some parts of the code. If you think there is a bug in cTrader, try to simplify code and post a complete example that reproduces the problem. If you cannot figure out the correct code to implement your strategy, you can consider assigning the project to an experienced consultant.

Aieden Technologies

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sue.bugg
19 Jun 2023, 09:57 ( Updated at: 19 Jun 2023, 10:06 )

RE: full code

Hi PanagiotisChar

My apologies, I didn't think you would require full code. I was thinking the error was in the section I posted. Please see below full code. I hope you can help

Thanks

using cAlgo.API;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;
using System;
using System.Linq;

namespace cAlgo.Robots
{
    [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class OriginalPAandMultiTimeFrameBuy : Robot
    {
        #region Parameters

        [Parameter()]
        public DataSeries SourceSeries { get; set; }

        [Parameter("Risk Per Trade (%)", DefaultValue = 0.2, Step = 0.1, Group = "Risk Management")]
        public double RiskPerTrade { get; set; }

        [Parameter("Spread", DefaultValue = 1.0, Group = "Risk Management")]
        public double Spread { get; set; }

        [Parameter("Take Profit", DefaultValue = 3.1, Group = "Risk Management")]
        public double TP { get; set; }

        [Parameter("Max Open Trades", DefaultValue = 1, Group = "Risk Management")]
        public int MaxOpenTrades { get; set; }

        [Parameter("Operation Type", Group = "Risk Management")]
        public OperationType OpType { get; set; }

        [Parameter("ATR Periods", DefaultValue = 12, Group = "ATR")]
        public int ATRPeriods { get; set; }

        [Parameter("ATR Multiplier", DefaultValue = 1.5, Step = 0.1, Group = "ATR")]
        public double ATRMultiplier { get; set; }

        [Parameter("ATR MA Type", Group = "ATR")]
        public MovingAverageType MAType { get; set; }

        [Parameter("Fast EMA", DefaultValue = 9, Group = "EMA")]
        public int FastEMAPeriod { get; set; }

        [Parameter("Slow EMA", DefaultValue = 21, Group = "EMA")]
        public int SlowEMAPeriod { get; set; }

        [Parameter("Use Trading Time", Group = "Trading Time")]
        public bool UseTradingTime { get; set; }

        [Parameter("Start Time", DefaultValue = "09:55", Group = "Trading Time")]
        public string StartTime { get; set; }

        [Parameter("Stop Time", DefaultValue = "21:05", Group = "Trading Time")]
        public string StopTime { get; set; }

        [Parameter("Timezone", Group = "Trading Time")]
        public Timezone UserTimeZone { get; set; }

        [Parameter("Email Address", Group = "Notifications")]
        public string EmailAddress { get; set; }

        [Parameter("Instance", DefaultValue = "MTF PartialWorking 5")]
        public string Instance { get; set; }

        #endregion Parameters

        #region Private Variables

        private AverageTrueRange _atr;
        private bool _tradeTriggered;
        private DataSeries _high, _low, _open, _close;
        private IchimokuKinkoHyo _ichimokuKinkoHyoDaily;
        private IchimokuKinkoHyo _ichimokuKinkoHyoFourH;
        private IchimokuKinkoHyo _ichimokuKinkoHyoHourly;
        private IchimokuKinkoHyo _ichimokuKinkoHyoFiveM;
        private ExponentialMovingAverage _fastEMADaily, _slowEMADaily;
        

        #endregion Private Variables

        #region Public Variables

        public enum OperationType
        {
            Alert,
            Trade,
            Both
        }

        public enum Timezone
        {
            UTC10,
            UTC11
        }

        public enum BuyMethod
        {
            Traditional,
            NonTraditional,
            Both
        }

        #endregion Public Variables

        #region Private Variables
        Bars _dailyBars;
        Bars _h4Bars;
        Bars _hourlyBars;
        Bars _m5Bars;
        #endregion

        protected override void OnStart()
        {
            // Put your initialization logic here
            _dailyBars = MarketData.GetBars(TimeFrame.Daily);
            _h4Bars = MarketData.GetBars(TimeFrame.Hour4);
            _hourlyBars = MarketData.GetBars(TimeFrame.Hour);
            _m5Bars = MarketData.GetBars(TimeFrame.Minute5);
            _atr = Indicators.AverageTrueRange(ATRPeriods, MAType);
            _high = Bars.HighPrices;
            _low = Bars.LowPrices;
            _open = Bars.OpenPrices;
            _close = Bars.ClosePrices;
            _ichimokuKinkoHyoDaily = Indicators.IchimokuKinkoHyo(_dailyBars,9, 26, 52);
            _ichimokuKinkoHyoFourH = Indicators.IchimokuKinkoHyo(_h4Bars,9, 26, 52);
            _ichimokuKinkoHyoHourly = Indicators.IchimokuKinkoHyo(_hourlyBars,9, 26, 52);
            _ichimokuKinkoHyoFiveM = Indicators.IchimokuKinkoHyo(_m5Bars,9, 26, 52);
            _fastEMADaily = Indicators.ExponentialMovingAverage(SourceSeries, FastEMAPeriod);
            _slowEMADaily = Indicators.ExponentialMovingAverage(SourceSeries, SlowEMAPeriod);

        }

        protected override void OnBar()
        {
            _tradeTriggered = false;
            if (RunningMode != RunningMode.Optimization)
                Chart.RemoveAllObjects();

            if (Positions.Count(x => x.Label == Instance) < MaxOpenTrades)
            {
                if (CanTradeBuyDaily(BuyMethod.Traditional) && CanTradeBuyFourHour(BuyMethod.Traditional) && CanTradeBuyHourly(BuyMethod.Traditional) && CanTradeBuyFiveMinute(BuyMethod.Traditional))
                {
                    if (!_tradeTriggered)
                        Print("BUY " + Symbol.Name);
                    if (!_tradeTriggered && (OpType == OperationType.Trade || OpType == OperationType.Both) && !ShutDown())
                    {
                        // Stop Loss based on ATR x #. Eg. ATR x 1.0, ATR x 1.5, ATR x 2.0, with ability for user to change
                        // Stop Loss = plus spread, with ability for user to change spread
                        // Stop Loss = round Up
                        // Stop Loss = ATR say 15, x 1.5 = 22.5, plus spread say 0.7 = 23.2, Round Up = 24 pip SL

                        var sl = Math.Ceiling((_atr.Result.Last(1) * ATRMultiplier / Symbol.PipSize) + Spread);

                        // Stop Loss based on ATR x #. Eg. ATR x 1.0, ATR x 1.5, ATR x 2.0, with ability for user to change
                        // Stop Loss = plus spread, with ability for user to change spread
                        // Stop Loss = round Up
                        // Stop Loss = ATR say 15, x 1.5 = 22.5, plus spread say 0.7 = 23.2, Round Up = 24 pip SL
                        // Stop(); stops the cBot from trading any further once a trade has entered

                        var tp = Math.Floor((sl * TP) - Spread);
                        var volume = GetVolume(sl);
                        ExecuteMarketOrder(TradeType.Buy, Symbol.Name, volume, Instance, sl, tp);
                        // Stop();
                    }

                    if (OpType == OperationType.Alert || OpType == OperationType.Both)
                    {
                        if (!IsBacktesting && !_tradeTriggered)
                        {
                            string message = string.Empty;
                            string nl = "\n";

                            message += "Symbol: " + Symbol.Name + nl;
                            message += "Time: " + Server.Time.ToShortTimeString() + nl;
                            message += "Price: " + this.Symbol.Bid.ToString() + nl;
                            message += "Signal: Buy" + nl;

                            Notifications.SendEmail(EmailAddress, EmailAddress, "BUY " + Symbol.Name, message);
                        }
                        if (RunningMode != RunningMode.Optimization)
                        {
                            Chart.DrawStaticText("Buy Text", "Buy", VerticalAlignment.Center, HorizontalAlignment.Center, Color.Green);
                            Chart.DrawVerticalLine("Buy", Bars.OpenTimes.Last(1), Color.Green);
                        }
                    }
                    _tradeTriggered = true;
                }
            }
        }
        private bool BuyPriceAction(BuyMethod method, Bars bars)
        {
            // Check the relevant method 
            switch (method)
            {
                case BuyMethod.Traditional:
                    return BuyTraditional(bars);
                case BuyMethod.NonTraditional:
                    return BuyNonTraditional(bars);
                case BuyMethod.Both:
                    return BuyBoth(bars);
            }

            return false;
        }

        private bool CanTradeBuyDaily(BuyMethod method)
        {

            // Get the daily timeframe bars
               var bars = MarketData.GetBars(TimeFrame.Daily);
                    

            // Check the relevant indicator conditions 
            if (_close.Last(1) > _ichimokuKinkoHyoDaily.SenkouSpanA.Last(27)
                && _close.Last(1) > _ichimokuKinkoHyoDaily.SenkouSpanB.Last(27)
                && _fastEMADaily.Result.Last(1) > _slowEMADaily.Result.Last(1))
                return true;
            else
                return false;
        }

        private bool CanTradeBuyFourHour(BuyMethod method)
        {

            // Get the 4 hour timeframe bars
            var bars = MarketData.GetBars(TimeFrame.Hour4);

            // Check the relevant indicator conditions 


            if (_close.Last(1) > _ichimokuKinkoHyoFourH.SenkouSpanA.Last(27)
                && _close.Last(1) > _ichimokuKinkoHyoFourH.SenkouSpanB.Last(27))
                return true;
            else
                return false;
        }
        private bool CanTradeBuyHourly(BuyMethod method)
        {

            // Get the hourly timeframe bars
            var bars = MarketData.GetBars(TimeFrame.Hour);

            // Check the relevant indicator conditions 
            

            if (_close.Last(1) > _ichimokuKinkoHyoHourly.SenkouSpanA.Last(27)
                && _close.Last(1) > _ichimokuKinkoHyoHourly.SenkouSpanB.Last(27))
                return true;
            else
                return false;
        }

        private bool CanTradeBuyFiveMinute(BuyMethod method)
        {

            // Get the minute timeframe bars
            var bars = MarketData.GetBars(TimeFrame.Minute5);

            // Check the relevant indicator conditions 
            if (!(_close.Last(1) > _ichimokuKinkoHyoFiveM.SenkouSpanA.Last(27)
                && _close.Last(1) > _ichimokuKinkoHyoFiveM.SenkouSpanB.Last(27)))
                return false;

            return BuyPriceAction(method, bars);
        }

        private bool BuyBoth(Bars bars)
        {

            if (BuyTraditional(bars))
                return true;

            if (BuyNonTraditional(bars))
                return true;

            return false;
        }

        private bool BuyNonTraditional(Bars bars)
        {
            if (bars.HighPrices.Last(2) > bars.HighPrices.Last(1) && bars.LowPrices.Last(2) < bars.LowPrices.Last(1) && bars.OpenPrices.Last(2) < bars.ClosePrices.Last(2) && bars.OpenPrices.Last(1) < bars.ClosePrices.Last(1))
                return true;

            if (bars.HighPrices.Last(2) < bars.HighPrices.Last(1) && bars.LowPrices.Last(2) > bars.LowPrices.Last(1) && bars.OpenPrices.Last(2) > bars.ClosePrices.Last(2) && bars.OpenPrices.Last(1) < bars.ClosePrices.Last(1))
                return true;

            if (bars.HighPrices.Last(3) > bars.HighPrices.Last(2) && bars.LowPrices.Last(3) > bars.LowPrices.Last(2) && bars.HighPrices.Last(1) > bars.HighPrices.Last(2) && bars.LowPrices.Last(1) > bars.LowPrices.Last(2) && bars.OpenPrices.Last(1) < bars.ClosePrices.Last(1))
                return true;

            return false;
        }

        private bool BuyTraditional(Bars bars)
        {

            if (bars.HighPrices.Last(2) > bars.HighPrices.Last(1) && bars.LowPrices.Last(2) < bars.LowPrices.Last(1) && bars.OpenPrices.Last(2) > bars.ClosePrices.Last(2) && bars.OpenPrices.Last(1) < bars.ClosePrices.Last(1))
                return true;

            if (bars.HighPrices.Last(2) < bars.HighPrices.Last(1) && bars.LowPrices.Last(2) > bars.LowPrices.Last(1) && bars.OpenPrices.Last(2) > bars.ClosePrices.Last(2) && bars.OpenPrices.Last(1) < bars.ClosePrices.Last(1))
                return true;

            return false;
        }

        protected override void OnTick()
        {
        }

        private double GetVolume(double pips)
        {
            // The volume is calculated based on the expected net loss if all SL levels trigger.
            var maxAmountRisked = Account.Balance * (RiskPerTrade / 100);
            return Symbol.NormalizeVolumeInUnits(maxAmountRisked / (pips * Symbol.PipValue), RoundingMode.Down);
        }

        protected override void OnStop()
        {
            // Put your deinitialization logic here
        }

        private bool ShutDown()
        {
            TimeSpan tradingStarts;
            TimeSpan tradingStops;

            tradingStarts = TimeSpan.ParseExact(StartTime, "hh\\:mm", null);
            tradingStops = TimeSpan.ParseExact(StopTime, "hh\\:mm", null);

            var time = UserTimeZone == Timezone.UTC10 ? Server.Time.AddHours(10) : Server.Time.AddHours(11);
            if (tradingStarts < tradingStops)
            {
                if (time.TimeOfDay >= tradingStarts && time.TimeOfDay < tradingStops)
                {
                    //Print("cBot is shut down");
                    return false;
                }
            }
            else
            {
                if (!(time.TimeOfDay <= tradingStarts && time.TimeOfDay > tradingStops))
                {
                    //Print("cBot is shut down");
                    return false;
                }
            }

            return UseTradingTime;
        }
    }
}

pick
19 Jun 2023, 11:47

The first "obvious" issue I see in that code is that in "CanTradeBuyDaily", "CanTradeBuyFourHour", "CanTradeBuyHourly" and "CanTradeBuyFiveMinute" you're using "_close" for comparisons - which, at a quick glance, looks like it is always equal to the timeframe on which the bot is loaded. I see you've loaded the bars for the relevant timeframe for each method, but you're not using those bars? 

sue.bugg
19 Jun 2023, 12:27

RE:

pick said:

The first "obvious" issue I see in that code is that in "CanTradeBuyDaily", "CanTradeBuyFourHour", "CanTradeBuyHourly" and "CanTradeBuyFiveMinute" you're using "_close" for comparisons - which, at a quick glance, looks like it is always equal to the timeframe on which the bot is loaded. I see you've loaded the bars for the relevant timeframe for each method, but you're not using those bars? 

Yes, I am thinking that is the issue also, but when you say I’m not using the bars, that is the problem. I don’t know how to use them. When I do the following, (put them in the right section and repeat for 4hour & 1hour), I believe I’m just changing the name from _close to _closeDaily. I’m missing something to connect _closeDaily to the actual Daily bars

private DataSeries _closeDaily;

_closeDaily = Bars.ClosePrices;

if (_closeDaily.Last(1) > _ichimokuKinkoHyoDaily.SenkouSpanA.Last(27)

&& _closeDaily.Last(1) > _ichimokuKinkoHyoDaily.SenkouSpanB.Last(27)

If I use Ichimoku as example… In the bracket, the standard to put in is 9,26,52… But it accepted _dailyBars as additional entry. Which I think is what’s connecting it to the bars. The following works for Ichimoku

_ichimokuKinkoHyoDaily = Indicators.IchimokuKinkoHyo(_dailyBars,9, 26, 52);

If I do the following for the Close, it errors out and says “non invocable member, cannot be used like a method”

_closeDaily = Bars.ClosePrices(_dailyBars);

Basically, I don’t know how to connect the _closeDaily to the bars. Do you know what I’m missing?

Thankyou

pick
19 Jun 2023, 12:35

RE: RE:

sue.bugg said:

pick said:

The first "obvious" issue I see in that code is that in "CanTradeBuyDaily", "CanTradeBuyFourHour", "CanTradeBuyHourly" and "CanTradeBuyFiveMinute" you're using "_close" for comparisons - which, at a quick glance, looks like it is always equal to the timeframe on which the bot is loaded. I see you've loaded the bars for the relevant timeframe for each method, but you're not using those bars? 

Yes, I am thinking that is the issue also, but when you say I’m not using the bars, that is the problem. I don’t know how to use them. When I do the following, (put them in the right section and repeat for 4hour & 1hour), I believe I’m just changing the name from _close to _closeDaily. I’m missing something to connect _closeDaily to the actual Daily bars

private DataSeries _closeDaily;

_closeDaily = Bars.ClosePrices;

if (_closeDaily.Last(1) > _ichimokuKinkoHyoDaily.SenkouSpanA.Last(27)

&& _closeDaily.Last(1) > _ichimokuKinkoHyoDaily.SenkouSpanB.Last(27)

 

If I use Ichimoku as example… In the bracket, the standard to put in is 9,26,52… But it accepted _dailyBars as additional entry. Which I think is what’s connecting it to the bars. The following works for Ichimoku

_ichimokuKinkoHyoDaily = Indicators.IchimokuKinkoHyo(_dailyBars,9, 26, 52);

 

If I do the following for the Close, it errors out and says “non invocable member, cannot be used like a method”

_closeDaily = Bars.ClosePrices(_dailyBars);

Basically, I don’t know how to connect the _closeDaily to the bars. Do you know what I’m missing?

Thankyou

Have you tried using the bars you've already loaded like this?

private bool CanTradeBuyHourly(BuyMethod method)
{
	if (_hourlyBars.ClosePrices.Last(1) > _ichimokuKinkoHyoHourly.SenkouSpanA.Last(27)
		&& _hourlyBars.ClosePrices.Last(1) > _ichimokuKinkoHyoHourly.SenkouSpanB.Last(27))
		return true;
	else
		return false;
}

sue.bugg
19 Jun 2023, 12:52

RE: RE: RE:

pick said:

sue.bugg said:

pick said:

The first "obvious" issue I see in that code is that in "CanTradeBuyDaily", "CanTradeBuyFourHour", "CanTradeBuyHourly" and "CanTradeBuyFiveMinute" you're using "_close" for comparisons - which, at a quick glance, looks like it is always equal to the timeframe on which the bot is loaded. I see you've loaded the bars for the relevant timeframe for each method, but you're not using those bars? 

Yes, I am thinking that is the issue also, but when you say I’m not using the bars, that is the problem. I don’t know how to use them. When I do the following, (put them in the right section and repeat for 4hour & 1hour), I believe I’m just changing the name from _close to _closeDaily. I’m missing something to connect _closeDaily to the actual Daily bars

private DataSeries _closeDaily;

_closeDaily = Bars.ClosePrices;

if (_closeDaily.Last(1) > _ichimokuKinkoHyoDaily.SenkouSpanA.Last(27)

&& _closeDaily.Last(1) > _ichimokuKinkoHyoDaily.SenkouSpanB.Last(27)

 

If I use Ichimoku as example… In the bracket, the standard to put in is 9,26,52… But it accepted _dailyBars as additional entry. Which I think is what’s connecting it to the bars. The following works for Ichimoku

_ichimokuKinkoHyoDaily = Indicators.IchimokuKinkoHyo(_dailyBars,9, 26, 52);

 

If I do the following for the Close, it errors out and says “non invocable member, cannot be used like a method”

_closeDaily = Bars.ClosePrices(_dailyBars);

Basically, I don’t know how to connect the _closeDaily to the bars. Do you know what I’m missing?

Thankyou

Have you tried using the bars you've already loaded like this?

private bool CanTradeBuyHourly(BuyMethod method)
{
	if (_hourlyBars.ClosePrices.Last(1) > _ichimokuKinkoHyoHourly.SenkouSpanA.Last(27)
		&& _hourlyBars.ClosePrices.Last(1) > _ichimokuKinkoHyoHourly.SenkouSpanB.Last(27))
		return true;
	else
		return false;
}

You are an absolute champion. Thankyou so much. This appears to have worked. Incorrect trades have disappeared. I will test more thoroughly. But looking very good so far. Thanks again. Totally appreciate your help. 

pick
19 Jun 2023, 12:58

sue.bugg said:

You are an absolute champion. Thankyou so much. This appears to have worked. Incorrect trades have disappeared. I will test more thoroughly. But looking very good so far. Thanks again. Totally appreciate your help. 

No worries. Good luck with your bot!