Trading Times

Demonstrates the TradingTimes feature with two configurable time windows. Trades up/down bars on bar close using a simple UpDownBarSignal.

Source: [INSTALL PATH]/API/Samples/TradingTimes.cs Class: TradingTimes : MZpackStrategyBase

What It Covers

• TradingTime objects with Begin/End time windows
• Strategy.TradingTimes list for restricting when the strategy can trade
• SessionBreak control — disabled when time schedule is active
• UpDownBarSignal (OnBarClose) — Long for up-bars, Short for down-bars
• Time string parsing with error handling via NTMessageBox

Strategy Setup

protected MZpack.NT8.Algo.Strategy CreateAlgoStrategy()
{
    MZpack.NT8.Algo.Strategy strategy = new MZpack.NT8.Algo.Strategy(
        @"Trading Times", this)
    {
        OppositePatternAction = OppositePatternAction.None,
        LogLevel = LogLevel, LogTarget = LogTarget, LogTime = LogTime
    };

    // Trading times
    if (Time1_Enable)
        strategy.TradingTimes.Add(new TradingTime()
        { Begin = TryParseDateTime(Time1_Begin), End = TryParseDateTime(Time1_End) });
    if (Time2_Enable)
        strategy.TradingTimes.Add(new TradingTime()
        { Begin = TryParseDateTime(Time2_Begin), End = TryParseDateTime(Time2_End) });

    // No session break when time schedule is enabled
    strategy.SessionBreak = !(Time1_Enable || Time2_Enable);

    return strategy;
}

Time parsing helper:

DateTime TryParseDateTime(string s)
{
    if (!DateTime.TryParse(s, out DateTime time))
        NTMessageBox.Show("Error in date/time format: '" + s + "'",
            Name, System.Windows.MessageBoxImage.None);
    return time;
}

Entry and Signal

Entry[] entries = new Entry[EntriesPerDirection];
entries[0] = new Entry(Strategy)
{
    EntryMethod = EntryMethod.Market,
    Quantity = Position_Quantity,
    SignalName = ENTRY_NAME,
    StopLossTicks = Position_StopLoss,
    ProfitTargetTicks = Position_ProfitTarget,
};

Pattern pattern = new Pattern(Strategy, Logic.And, null, true);
pattern.Signals.Root.AddChild(new UpDownBarSignal(Strategy));
Strategy.Initialize(pattern, entries, 3);

The UpDownBarSignal evaluates on bar close — Long for up-bars, Short for down-bars:

class UpDownBarSignal : Signal
{
    public UpDownBarSignal(MZpack.NT8.Algo.Strategy strategy)
        : base(strategy, MarketDataSource.Level1, SignalCalculate.OnBarClose, true) { }

    public override void OnCalculate(MarketDataEventArgs e, int barIdx,
        SignalDirection allowed)
    {
        SignalDirection direction = SignalDirection.None;

        if (Signal.IsLongAllowed(allowed)
            && Strategy.MZpackStrategy.Open[1] > Strategy.MZpackStrategy.Close[1])
            direction = Signal.ResolveDirection(SignalDirection.Short, allowed);
        else if (Signal.IsLongAllowed(allowed)
            && Strategy.MZpackStrategy.Open[1] < Strategy.MZpackStrategy.Close[1])
            direction = Signal.ResolveDirection(SignalDirection.Long, allowed);

        if (Signal.IsDetermined(direction))
        {
            Direction = direction;
            ChartRange = new ChartRange() { MinBarIdx = barIdx, MaxBarIdx = barIdx };
            Time = e.Time;
            EntryPrice = e.Price;
        }
    }
}

Configurable Properties

Trading Time

Property	Default	Description
Time1_Enable	true	Enable first time window
Time1_Begin	"08:30:00"	First window start
Time1_End	"15:15:00"	First window end
Time2_Enable	false	Enable second time window
Time2_Begin	"15:30:00"	Second window start
Time2_End	"17:00:00"	Second window end

Position

Property	Default	Description
Position_Direction	Any	Allowed direction
Position_Quantity	2	Contracts
Position_StopLoss	6	Stop loss ticks
Position_ProfitTarget	12	Profit target ticks

See Also

• MZpackStrategyBase — base class
• Algo.Strategy — strategy framework
• TradingTime — time windows reference
• Working with Samples — how to compile samples