SmartQuant Discussion

using OpenQuant.API;
using OpenQuant.API.Indicators;

using System.Drawing;

public class MyStrategy : Strategy
{
   [Parameter("Order quantity (number of contracts to trade)")]
   double Qty           = 100;
   
   [Parameter("Percent")]
   double Percent       = 3;
   
   [Parameter("Profit Target")]
   double ProfitTarget  = 1;
   
   [Parameter("Length of BBL", "BBL")]
   int    BBLLength = 10;
   
   [Parameter("Order of BBL", "BBL")]
   double BBLOrder  = 2;   
   
   BBL bbl;
   
   Order sellLimit;
   Order buyLimit;
   
   private int barsFromEntry = 0;
   
   public override void OnStrategyStart()
   {
      bbl = new BBL(Bars, BBLLength, BBLOrder);
         
      bbl.Color = Color.Yellow;
       
      Draw(bbl, 0);
   }   
   
   public override void OnBar(Bar bar)
   {
      if (bbl.Contains(bar.DateTime))
      {
         if (!HasPosition)
         {   
            // cancel previos buy limit
            if (buyLimit != null)
               buyLimit.Cancel();             
             
            // calculate limit price
            double buyPrice = bbl.Last * (1 - Percent / 100);
             
            // place new limit orders
            buyLimit = BuyLimitOrder(Qty, buyPrice, "Entry");             
            buyLimit.Send();
         }
         else
         {
            barsFromEntry++;
         
            // close position at the second bar after entry
            if (barsFromEntry == 2)
            {
               barsFromEntry = 0;               
               
               sellLimit.Cancel();
               
               Sell(Qty, "Exit (Second Bar After Entry)");
            }
         }
      }
   }
   
   public override void OnBarOpen(Bar bar)
   {
      // place limit order at the beginning of the next bar after entry
      if (barsFromEntry == 1)       
         PlaceSellLimit();
   }
   
   public override void OnOrderFilled(Order order)
   {
      if (order == sellLimit)
         barsFromEntry = 0;   
   }

   private void PlaceSellLimit()
   {
      // calculate price that satisfies the profit target
      double sellPrice = buyLimit.AvgPrice * (1 + ProfitTarget / 100);
             
      sellLimit = SellLimitOrder(Qty, sellPrice, "Exit (Profit Target)");
      sellLimit.Send();
   }
}

This Bollinger band strategy is intended for short intraday trades that last no longer than 5 or 10 minutes. It enters a trade if prices fall 3% below the lower Bollinger band, and exits a trade when a 1% profit target has been reached, or when two bars have passed since the trade was entered.