Support Board

#include "sierrachart.h"
#include <unordered_map>
#include <chrono>

SCDLLName("Sweep Genie")

struct TradeInfo
{
std::chrono::time_point<std::chrono::steady_clock> startTime;
double startPrice;
bool tradeEntered;
int positionType; // 1 for buy, -1 for sell
bool stopMovedToBreakeven;
bool trailingStopActivated;
int stopOrderID;
};

std::unordered_map<int, TradeInfo> g_TradeInfo;

void PlaceBracketOrder(SCStudyInterfaceRef& sc, TradeInfo& tradeInfo, int positionType, int orderQuantity, double price, int stopLossTicks, int takeProfitTicks)
{
s_SCNewOrder order;
order.OrderType = SCT_ORDERTYPE_MARKET;
order.OrderQuantity = orderQuantity;
order.TimeInForce = SCT_TIF_GTC;

order.Target1Offset = takeProfitTicks * sc.TickSize;
order.Stop1Offset = stopLossTicks * sc.TickSize;

order.AttachedOrderTarget1Type = SCT_ORDERTYPE_LIMIT;
order.AttachedOrderStop1Type = SCT_ORDERTYPE_STOP;

int result = (positionType == 1) ? sc.BuyEntry(order) : sc.SellEntry(order);
if (result > 0)
{
tradeInfo.startTime = std::chrono::steady_clock::now();
tradeInfo.startPrice = price;
tradeInfo.tradeEntered = true;
tradeInfo.positionType = positionType;
tradeInfo.stopMovedToBreakeven = false;
tradeInfo.trailingStopActivated = false;

tradeInfo.stopOrderID = order.Stop1InternalOrderID;
}
}

SCSFExport scsf_SweepGenie(SCStudyInterfaceRef sc)
{
if (sc.SetDefaults)
{
sc.GraphName = "Sweep Genie";
sc.AutoLoop = 1;

sc.Input[0].Name = "Volume Threshold";
sc.Input[0].SetInt(1000);

sc.Input[1].Name = "Order Quantity";
sc.Input[1].SetInt(1);

sc.Input[2].Name = "Stop Loss Ticks";
sc.Input[2].SetInt(10);

sc.Input[3].Name = "Take Profit Ticks";
sc.Input[3].SetInt(20);

sc.Input[4].Name = "Trailing Stop Offset Ticks";
sc.Input[4].SetInt(5);

return;
}

int volumeThreshold = sc.Input[0].GetInt();
int orderQuantity = sc.Input[1].GetInt();
int stopLossTicks = sc.Input[2].GetInt();
int takeProfitTicks = sc.Input[3].GetInt();
int trailingStopOffsetTicks = sc.Input[4].GetInt();

SCDateTime currentTime = sc.CurrentSystemDateTime;

auto& tradeInfo = g_TradeInfo[sc.ChartNumber];

s_SCPositionData positionData;
sc.GetTradePosition(positionData);
int currentPosition = positionData.PositionQuantity;

double currentPrice = sc.Close[sc.ArraySize - 1];

bool buyConditionMet = false;
bool sellConditionMet = false;

double bidMboOrderSum = 0;
double askMboOrderSum = 0;

// Check top 5 bid levels
for (int level = 0; level < 5; ++level)
{
s_MarketDepthEntry bidDepthEntry(0); // Initialize with dummy value

if (sc.GetBidMarketDepthEntryAtLevel(level, bidDepthEntry))
{
const s_VolumeAtPriceV2* volumeAtPrice = nullptr;
int priceIndex = 0;

if (sc.VolumeAtPriceForBars->GetPriceIndexForPrice(sc.ArraySize - 1, bidDepthEntry.Price, priceIndex))
{
sc.VolumeAtPriceForBars->GetVAPElementAtIndex(sc.ArraySize - 1, priceIndex, &volumeAtPrice, false);

if (volumeAtPrice && bidDepthEntry.StackPullValue >= volumeThreshold && (volumeAtPrice->AskVolume - volumeAtPrice->BidVolume) > 0)
{
buyConditionMet = true;
}
}
}
}

// Check top 5 ask levels
for (int level = 0; level < 5; ++level)
{
s_MarketDepthEntry askDepthEntry(0); // Initialize with dummy value

if (sc.GetAskMarketDepthEntryAtLevel(level, askDepthEntry))
{
const s_VolumeAtPriceV2* volumeAtPrice = nullptr;
int priceIndex = 0;

if (sc.VolumeAtPriceForBars->GetPriceIndexForPrice(sc.ArraySize - 1, askDepthEntry.Price, priceIndex))
{
sc.VolumeAtPriceForBars->GetVAPElementAtIndex(sc.ArraySize - 1, priceIndex, &volumeAtPrice, false);

if (volumeAtPrice && askDepthEntry.StackPullValue >= volumeThreshold && (volumeAtPrice->AskVolume - volumeAtPrice->BidVolume) < 0)
{
sellConditionMet = true;
}
}
}
}

// Final conditions: Only enter a trade if MBO conditions are also met
if (buyConditionMet && bidMboOrderSum > askMboOrderSum)
{
PlaceBracketOrder(sc, tradeInfo, 1, orderQuantity, currentPrice, stopLossTicks, takeProfitTicks);
}
else if (sellConditionMet && askMboOrderSum > bidMboOrderSum)
{
PlaceBracketOrder(sc, tradeInfo, -1, orderQuantity, currentPrice, stopLossTicks, takeProfitTicks);
}

// Exit conditions and trailing stop management
if (tradeInfo.tradeEntered)
{
double stopLossPrice = tradeInfo.startPrice - (tradeInfo.positionType * stopLossTicks * sc.TickSize);
double takeProfitPrice = tradeInfo.startPrice + (tradeInfo.positionType * takeProfitTicks * sc.TickSize);
double trailingStopTriggerPrice = tradeInfo.startPrice + (tradeInfo.positionType * takeProfitTicks * 0.7 * sc.TickSize);

if ((tradeInfo.positionType == 1 && (currentPrice <= stopLossPrice || currentPrice >= takeProfitPrice)) ||
(tradeInfo.positionType == -1 && (currentPrice >= stopLossPrice || currentPrice <= takeProfitPrice)))
{
sc.FlattenAndCancelAllOrders();
tradeInfo.tradeEntered = false;
tradeInfo.positionType = 0;
}
else if (!tradeInfo.trailingStopActivated && tradeInfo.stopOrderID > 0 &&
((tradeInfo.positionType == 1 && currentPrice >= trailingStopTriggerPrice) ||
(tradeInfo.positionType == -1 && currentPrice <= trailingStopTriggerPrice)))
{
tradeInfo.trailingStopActivated = true;

s_SCNewOrder modifyOrder;
modifyOrder.InternalOrderID = tradeInfo.stopOrderID;
modifyOrder.Price1 = tradeInfo.startPrice + (tradeInfo.positionType * trailingStopOffsetTicks * sc.TickSize);

int modifyResult = sc.ModifyOrder(modifyOrder);
if (modifyResult == 1)
{
SCString message;
message.Format("Trailing stop activated at price: %f", modifyOrder.Price1);
sc.AddMessageToLog(message, 0);
}
else
{
SCString message;
message.Format("Failed to modify stop order for trailing stop. Error: %d", modifyResult);
sc.AddMessageToLog(message, 1);
}
}

// Manage Breakeven Stop Logic
if (!tradeInfo.stopMovedToBreakeven && tradeInfo.positionType != 0)
{
double breakevenPrice = tradeInfo.startPrice;
if ((tradeInfo.positionType == 1 && currentPrice >= breakevenPrice) ||
(tradeInfo.positionType == -1 && currentPrice <= breakevenPrice))
{
s_SCNewOrder modifyOrder;
modifyOrder.InternalOrderID = tradeInfo.stopOrderID;
modifyOrder.Price1 = breakevenPrice;

int modifyResult = sc.ModifyOrder(modifyOrder);
if (modifyResult == 1)
{
tradeInfo.stopMovedToBreakeven = true;
SCString message;
message.Format("Stop moved to breakeven at price: %f", modifyOrder.Price1);
sc.AddMessageToLog(message, 0);
}
else
{
SCString message;
message.Format("Failed to modify stop order to breakeven. Error: %d", modifyResult);
sc.AddMessageToLog(message, 1);
}
}
}

}

return;
}