SingleRangeBar Trading Strategy

The SingleRangeBar project implements an algorithmic trading strategy for use with a trading platform such as Quantower or other compatible trading platforms. This strategy is based on analyzing range bars to make buy or sell decisions. It automates trading operations such as placing, removing, and managing positions, leveraging historical and real-time data.

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📖 Features

• Historical Data Analysis: Fetches and processes range bar historical data for strategy computation.
• Real-Time Tracking: Monitors live price updates and acts upon them dynamically.
• Event-Driven Execution: Handles key platform events including position changes and trades.
• Flexible Configuration: Customizable parameters for range bar size, number of contracts, etc.
• Automated Trading: Automatically places or removes trades based on range bar evaluations.
• Supports Both Long and Short Trades by evaluating the bar's price action.

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🔧 Requirements

• .NET 8.0: The project is built using .NET 8.0 and requires the runtime.
• Dependencies:
  • IPlatform: Interface for platform-specific operations (e.g., handling positions and trades).
  • IBroker: Interface for broker-related operations (e.g., placing market orders).
  • IQuantowerAsset: Interface for accessing symbol and historical data.
  • ILogger: Interface for logging system activity.
  • IConfiguration: Interface for custom strategy configurations.
• Compatible Trading Platform APIs, such as Quantower.

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🚀 Usage

This strategy leverages range bars to detect and act upon market trends. Here's a breakdown of how it operates:

1. Initialization:

   • Connects to the platform, initializes data sources, and subscribes to platform events such as price updates, position changes, and trade updates.

2. Historical Data Loading:

   • Retrieves historical range bar data to analyze the market over a specified time period:

     rangeBarData = asset.Symbol.GetHistory(new HistoryRequestParameters
     {
         Symbol = asset.Symbol,
         FromTime = Core.Instance.TimeUtils.DateTimeUtcNow.AddDays(-10),
         Aggregation = new HistoryAggregationRangeBars(configuration.RangeBarSize, asset.Symbol.HistoryType)
     });

3. Real-Time Monitoring:

   • Listens for the following events:
     • Price Updates: Monitors market prices in real time.
     • Range Bar Updates: Uses new bar data to decide whether to take a long or short position.
     • Position and Trade Events: Tracks open/close positions and trade executions.

4. Trading Logic:

   • Based on the most recent range bar, the strategy determines the price action:
     • Upward Movement: Side.Buy
     • Downward Movement: Side.Sell
   • Executes a market order via the broker API:

     broker.Market(
         PreviousRangeBar[PriceType.Open] < PreviousRangeBar[PriceType.Close] ? Side.Buy : Side.Sell,
         configuration.Contracts
     );

5. Shutdown:

   • Cleans up resources, closes all positions, and unsubscribes from platform events.

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🛠️ Methods Reference

Algo.Start()

Initializes and starts the trading algorithm:

• Subscribes to platform events (PriceUpdated, PositionAdded, etc.).
• Loads historical range bar data for analysis.

Algo.Stop()

Stops the algorithm:

• Unsubscribes from platform events.
• Closes all active positions using the broker.

OnNewHistoryItem(sender, e)

Fired when new range bar data becomes available:

• Evaluates if the latest bar signifies an upward or downward market move.
• Places a market order accordingly.

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⚙️ Configuration

The strategy relies on an IConfiguration implementation for dynamic settings, including:

• RangeBarSize: Determines the range bar aggregation period.
• Contracts: The number of contracts to trade per order.

Example:

{
  "RangeBarSize": 5,
  "Contracts": 2
}

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💻 Development and Customization

Prerequisites

• Install the .NET 8.0 SDK on your system.
• Set up an IDE like JetBrains Rider or Visual Studio.

Project Code Structure

• Strategy Logic: SingleRangeBar.Strategy.Algo
• Models: Contains the necessary data structures for working with platforms, brokers, and the trading marketplace.
• Logging and Configuration:
  • ILogger is used to log critical events during runtime.
  • IConfiguration provides runtime configuration details for the strategy.

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✨ How to Run

1. Clone the repository:

   git clone https://github.com/The-Coding-Trader/single-range-bar-strategy.git

2. Restore dependencies:

   dotnet restore

3. Build and run the application:

   dotnet run

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🧑‍💻 Contribution

Contributions are welcome! Please follow these steps:

1. Fork the project.
2. Create a feature or bugfix branch:

   git checkout -b feature-name

3. Commit changes and open a pull request.

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📜 License

This project is licensed under the MIT License. See the LICENSE file for more details.

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💬 Questions?

Feel free to reach out if you have any questions or suggestions. Open an issue or contact the repository maintainers directly.