112 lines
2.9 KiB
Plaintext
112 lines
2.9 KiB
Plaintext
-- test.epl - sample setup
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--
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-- Statements must be separated by an empty line.
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-- The time the trading logic will begin to enter trades.
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-- Exiting trades is 24/7.
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create constant variable int StartTimeHour = 9
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-- The time the trading logic will begin to enter trades.
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-- Exiting trades is 24/7.
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create constant variable int EndTimeHour = 17
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-- The time frame or tickbar count of the data to be analyzed or
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-- traded. Examples: 5s, 1m, 1h 30m, 2h, 12h, 1d.
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create constant variable string Interval = '2s'
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-- Amount to be traded, measured in units.
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create constant variable int TradeSize = 100000
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-- How many ticks to use for simple moving average calculation
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create constant variable int SMASize = 5
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-- How many ticks to store for Ref() access
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create constant variable int RefSize = 5
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--
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-- Trading window
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--
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-- InTradingHours will be set to true when the current time is between
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-- StartTime and EndTime.
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create variable bool InTradingHours = false
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-- Update on each tick
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-- NOTE: see "timer:within" pattern for possible alternate formulation
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on TickEvent as t set InTradingHours =
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(EPLHelpers.getHour(t.time) >= StartTimeHour and
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EPLHelpers.getHour(t.time) < EndTimeHour)
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--
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-- A stream of OHLC values calculated from TickEvents
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--
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create variant schema OneMinuteOHLCStream as OHLCEvent
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insert into OneMinuteOHLCStream
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select * from TickEvent#OHLC(Interval, time, midDouble)
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--
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-- Simple moving average streams
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--
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-- Average the most recent OHLC close values and create events that
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-- contain open, high, low, close and SMA(close). The number of
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-- OHLC events used in the SMA calc is set by SMASize.
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create schema SMACloseStream as ats.plugin.OHLCValueEvent
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insert into SMACloseStream
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select new ats.plugin.OHLCValueEvent(time, open, high, low, close, Avg(close))
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from OneMinuteOHLCStream#length(SMASize)
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--
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-- ValueWhen calculations
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--
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-- A stream that feeds B1 and B2
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create schema BStream as (low double)
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-- Find a bar with a lower close than its neighbors.
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-- Add that low value to the stream.
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insert into BStream
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select prev(1, low) as low from SMACloseStream#length(RefSize)
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where prev(0, value) > prev(1, value)
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and prev(1, value) < prev(2, value)
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create schema B1 (low double)
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insert into B1 select prev(0, low) as low
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from BStream#length(RefSize)
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create schema B2 (low double)
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insert into B2 select prev(1, low) as low
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from BStream#length(RefSize)
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-- A stream that feeds P1 and P2
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create schema PStream as (low double)
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-- Find a bar with a higher close than its neighbors.
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-- Add that low value to the stream.
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insert into PStream
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select prev(1, low) as low from SMACloseStream#length(RefSize)
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where prev(0, value) < prev(1, value)
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and prev(1, value) > prev(2, value)
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create schema P1 (low double)
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insert into P1 select prev(0, low) as low
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from PStream#length(RefSize)
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create schema P2 (low double)
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insert into P2 select prev(1, low) as low
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from PStream#length(RefSize)
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