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TrueRange

interface cAlgo.API.Indicators

DesktopCLICloud

The Average True Range is a measure of market volatility developed by Wilder.

Definition

public interface TrueRange

Namespace: cAlgo.API.Indicators · Group: Indicators · Implements: StandardIndicator

Examples

Example 1

private TrueRange _trueRange;

protected override void Initialize()
{
     _trueRange = Indicators.TrueRange();
}
import clr
clr.AddReference("cAlgo.API")

from cAlgo.API import *

class Test():
    def initialize(self):
        self.trueRange = api.Indicators.TrueRange()

    def calculate(self, index):
        result = self.trueRange.Result[index]

Example 2

using cAlgo.API;
using cAlgo.API.Indicators;
using System;

namespace cAlgo.Robots
{
    // This sample cBot shows how to use the True Range indicator
    public partial class TrueRangeSample : Robot
    {
        private double _volumeInUnits;

        private TrueRange _trueRange;

        public Position[] BotPositions
        {
            get
            {
                return Positions.FindAll(Label);
            }
        }

        protected override void OnStart()
        {
            _volumeInUnits = Symbol.QuantityToVolumeInUnits(VolumeInLots);

            _trueRange = Indicators.TrueRange();
        }

        protected override void OnBar()
        {
            if (Bars.ClosePrices.Last(1) > Bars.OpenPrices.Last(1) && Bars.ClosePrices.Last(2) < Bars.OpenPrices.Last(2))
            {
                ClosePositions(TradeType.Sell);

                ExecuteOrder(TradeType.Buy);
            }
            else if (Bars.ClosePrices.Last(1) < Bars.OpenPrices.Last(1) && Bars.ClosePrices.Last(2) > Bars.OpenPrices.Last(2))
            {
                ClosePositions(TradeType.Buy);

                ExecuteOrder(TradeType.Sell);
            }
        }

        private void ClosePositions(TradeType tradeType)
        {
            foreach (var position in BotPositions)
            {
                if (position.TradeType != tradeType) continue;

                ClosePosition(position);
            }
        }

        private void ExecuteOrder(TradeType tradeType)
        {
            var trueRangeInPips = _trueRange.Result.Last(1) * (Symbol.TickSize / Symbol.PipSize * Math.Pow(10, Symbol.Digits));

            var stopLossInPips = trueRangeInPips * 2;
            var takeProfitInPips = stopLossInPips * 2;

            ExecuteMarketOrder(tradeType, SymbolName, _volumeInUnits, Label, stopLossInPips, takeProfitInPips);
        }
    }
}
import clr

clr.AddReference("cAlgo.API")

# Import cAlgo API types
from cAlgo.API import *

# Import trading wrapper functions
from robot_wrapper import *

class TrueRangeSample():
    def on_start(self):
        self.volumeInUnits = api.Symbol.QuantityToVolumeInUnits(api.VolumeInLots)
        self.trueRange = api.Indicators.TrueRange()

    def on_bar_closed(self):
        if api.Bars.ClosePrices.Last(0) > api.Bars.OpenPrices.Last(0) and api.Bars.ClosePrices.Last(1) < api.Bars.OpenPrices.Last(1):
            self.close_positions(TradeType.Sell)
            self.execute_order(TradeType.Buy)
        elif api.Bars.ClosePrices.Last(0) < api.Bars.OpenPrices.Last(0) and api.Bars.ClosePrices.Last(1) > api.Bars.OpenPrices.Last(1):
            self.close_positions(TradeType.Buy)
            self.execute_order(TradeType.Sell)

    def get_bot_positions(self):
        return api.Positions.FindAll(api.Label)

    def close_positions(self, tradeType):
        for position in self.get_bot_positions():
            if position.TradeType != tradeType:
                continue
            api.ClosePosition(position)

    def execute_order(self, tradeType):
        trueRangeInPips = self.trueRange.Result.Last(0) * (api.Symbol.TickSize / api.Symbol.PipSize * pow(10, api.Symbol.Digits))
        stopLossInPips = trueRangeInPips * 2
        takeProfitInPips = stopLossInPips * 2
        api.ExecuteMarketOrder(tradeType, api.SymbolName, self.volumeInUnits, api.Label, stopLossInPips, takeProfitInPips)
{
  "AccessRights": "None",
  "TimeZone": "UTC",
  "Parameters": [
    {
      "Name": "VolumeInLots",
      "DisplayName": "Volume (Lots)",
      "Type": "Double",
      "DefaultValue": 0.01
    },
    {
      "Name": "Label",
      "Type": "String",
      "DefaultValue": "Sample"
    }
  ]
}

Properties

Name Description
ResultDesktopCLICloudIndicatorDataSeries Gets the resulting time series of the True Range indicator calculation.

Inherited members

From StandardIndicator: AddToChart, Symbol, TimeFrame, Bars