Sergey, Thanks tons! That was exactly my question. So let me just confirm that I understand what you did.
1) You added a 3rd WMA object called diffWMA
2) You added a new BarSeries object called diffSeries
3) You initialized diffSeries as a new BarSeries(
)
4) You initialized diffWMA using diffSeries as the BarSeries Input to the WMA
indicator
5) You added data to diffSeries in double Calculate (
)
using:
Input.GetDateTime(index) as the DataTime of the BarSeries diffSeries,
Value1-Value2 as the Open of the BarSeries diffSeries,
Value1-Value2 as the High of the BarSeries diffSeries,
Value1-Value2 as the Low of the BarSeries diffSeries,
Value1-Value2 as the Close of the BarSeries diffSeries,
0 as the volume and
0 as the size.
6) Lastly, you returned diffHMA as the value of
hma.
Is there anything I missed?
By the way, thanks a bunch, this helped me understand how to create temporary dataSeries for use in custom indicators! Everything compiles nicely
On a different note, when I go to use this
indicator in SmartQuant I get an error that shuts dowm SmartQuant. I am somewhat puzzled by this. Here are the steps I took:
1) Compiled the
HMA indicator into a DLL Guy.Indicators.
2) Copied the DLL to C:\Program Files\SmartQuant Ltd\OpenQuant 2\Bin
3) Added the reference to this DLL using Tools > Options > Projects and Solutions > Build > Add References
4) Quickly added the
indicator to the Simple Moving Average CrossOver Strategy that comes shipped with SQ (Just to see it on a chart) ... Code is Below after the NullReferenceException Error
5) Built Strategy (All builds fine)
6) Ran Strategy against the Daily MSFT data that comes shipped with SQ
The result is that SmartQuant stopped running and displayed the following error. Is there an error in the original
indicator code genertaing this or do I need to be particular about the type of data I can run it against?
System.NullReferenceException: Object reference not set to an instance of an object.
at Guy.Indicators.
HMA.Calculate(Int32 index)
at OpenQuant.API.Plugins.UserIndicator.OnInputItemAdded(Object sender, DateTimeEventArgs args)
at SmartQuant.Series.ItemAddedEventHandler.Invoke(Object sender, DateTimeEventArgs e)
at SmartQuant.Series.TimeSeries.EmitItemAdded(DateTime dateTime)
at SmartQuant.Series.BarSeries.Add(Bar bar)
at SmartQuant.Instruments.DataManager.m3LqtlyTC(Object , BarEventArgs
)
at SmartQuant.Providers.ProviderManager.Xeuohd09J(Object , BarEventArgs
)
at SmartQuant.Providers.BarEventHandler.Invoke(Object sender, BarEventArgs args)
at SmartQuant.Simulation.SimulationDataProvider.EhhPZB34o(IFIXInstrument , Bar
)
at SmartQuant.Simulation.SimulationDataProvider.NI50mC6nD(SeriesObjectEventArgs
)
at SmartQuant.Simulation.SeriesObjectEventHandler.Invoke(SeriesObjectEventArgs args)
at SmartQuant.Simulation.Simulator.Gyc3PYAH2(IDataSeries , IDataObject
)
at SmartQuant.Simulation.Simulator.Z1qoPcBNY(
)
at System.Threading.ThreadHelper.ThreadStart_Context(Object state)
at System.Threading.ExecutionContext.Run(ExecutionContext executionContext, ContextCallback callback, Object state)
at System.Threading.ThreadHelper.ThreadStart(
)
Strategy Code that generated the above error:
Code:
using System;
using System.Drawing;
using OpenQuant.API;
using OpenQuant.API.Indicators;
using Guy.Indicators;
public class MyStrategy : Strategy
{
[Parameter("Length of SMA1", "SMA")]
int Length1 = 3;
[Parameter("Length of SMA2", "SMA")]
int Length2 = 7;
[Parameter("Length of HMA1", "HMA")]
int Length3 = 7;
[Parameter("Color of SMA1", "SMA")]
Color Color1 = Color.Yellow;
[Parameter("Color of SMA2", "SMA")]
Color Color2 = Color.LightBlue;
[Parameter("Stop OCA Level", "OCA")]
double StopOCALevel = 0.98;
[Parameter("Limit OCA Level", "OCA")]
double LimitOCALevel = 1.05;
[Parameter("Stop Level", "Stop")]
double StopLevel = 0.05;
[Parameter("Stop Type", "Stop")]
StopType StopType = StopType.Trailing;
[Parameter("StopMode", "Stop")]
StopMode StopMode = StopMode.Percent;
[Parameter("CrossoverExitEnabled", "Exit")]
bool CrossoverExitEnabled = true;
[Parameter("OCA Exit Enabled", "Exit")]
bool OCAExitEnabled = true;
[Parameter("Stop Exit Enabled", "Exit")]
bool StopExitEnabled = true;
// this strategy uses some of the same exit methods
// as the breakout strategy described earlier. Look
// there for additional documentation
// lengths and colors of the simple moving averages
SMA sma1;
SMA sma2;
HMA hma1;
// only one trade is allowed at a time
bool entryEnabled = true;
int OCACount = 0;
// for the orders used by this strategy
Order marketOrder,
limitOrder,
stopOrder;
[Parameter("Order quantity (number of contracts to trade)")]
double Qty = 100;
public override void OnStrategyStart()
{
// set up the moving averages, based on closing prices
sma1 = new SMA(Bars, Length1, Color1);
sma2 = new SMA(Bars, Length2, Color2);
hma1 = new HMA(Bars, Length3, BarData.Close);
// 0 means draw both averages on the price chart
Draw(sma1, 0);
Draw(sma2, 0);
Draw(hma1,0);
}
public override void OnBar(Bar bar)
{
// does the fast average cross over the slow average?
// if so, time to buy long
Cross cross = sma1.Crosses(sma2, bar);
// we only allow one active position at a time
if (entryEnabled)
{
// if price trend is moving upward, open a long
// position using a market order, and send it in
if (cross == Cross.Above)
{
marketOrder = MarketOrder(OrderSide.Buy, Qty, "Entry");
marketOrder.Send();
// if one cancels all exit method is desired, we
// also issue a limit (profit target) order, and
// a stop loss order in case the breakout fails.
// The OCA exit method uses a real stop loss order.
// The Stop exit method uses a stop indicator.
// Use either the OCA or Stop method, not both at once.
if (OCAExitEnabled)
{
// create and send a profit limit order
double profitTarget = LimitOCALevel * bar.Close;
limitOrder = SellLimitOrder(Qty, profitTarget, "Limit OCA " + OCACount);
limitOrder.OCAGroup = "OCA " + Instrument.Symbol + " "
+ OCACount;
limitOrder.Send();
// create and send a stop loss order
double lossTarget = StopOCALevel * bar.Close;
stopOrder = SellStopOrder(Qty, lossTarget, "Stop OCA " + OCACount);
stopOrder.OCAGroup = "OCA " + Instrument.Symbol + " "
+ OCACount;
stopOrder.Send();
// bump the OCA count to make OCA group strings unique
OCACount++;
}
entryEnabled = false;
}
}
// else if entry is disabled on this bar, we have an open position
else
{
// if we are using the crossover exit, and if the fast
// average just crossed below the slow average, issue a
// market order to close the existing position
if (CrossoverExitEnabled)
if (cross == Cross.Below)
{
marketOrder = MarketOrder(OrderSide.Sell, Qty, "Crossover Exit");
marketOrder.Send();
}
}
}
public override void OnPositionOpened()
{
// if we want to exit trades using the Stop method, set a
// a trailing stop indicator when the position is
// first opened. The stop indicator is not a stop loss
// order that can be executed by a broker. Instead, the stop
// just fires the OnStopExecuted event when it it triggered.
if (StopExitEnabled)
SetStop(StopLevel, StopType, StopMode);
}
public override void OnPositionClosed()
{
// when a position is closed, cancel the limit and stop
// orders that might be associated with this position.
// But only cancel if the order has not been filled or
// not been cancelled already.
if (OCAExitEnabled &&
!(limitOrder.IsFilled || limitOrder.IsCancelled))
{
limitOrder.Cancel();
}
// allow entries once again, since our position is closed
entryEnabled = true;
}
public override void OnStopExecuted(Stop stop)
{
// if our trailing stop indicator was executed,
// issue a market sell order to close the position.
marketOrder = MarketOrder(OrderSide.Sell, Qty, "Stop Exit");
marketOrder.Send();
}
}
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