SierraChartStudies/DISCStudies.cpp at main · dabooze/SierraChartStudies · GitHub

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#include "sierrachart.h"
#include "common.h"

SCDLLName("Danijel Ilisin's SierraChart Studies")

/*==========================================================================*/
SCSFExport scsf_ATRToRisk(SCStudyInterfaceRef sc)
{
	SCInputRef Input_Enabled = sc.Input[0];
	SCInputRef Input_AtrStudyPointer = sc.Input[1];
	SCInputRef Input_Atr_Multiplier = sc.Input[2];
	SCInputRef Input_MaxRiskPerTrade = sc.Input[3];

	SCString MessageText;

	if (sc.SetDefaults)
	{
		sc.GraphName = "ATR2Risk";
		sc.StudyDescription = "This study is automatically adjusting the current contract size based on ATR and a configured money risk value.";

		sc.AutoLoop = 1;//Auto looping
		sc.GraphRegion = 0;
		sc.ScaleRangeType = SCALE_SAMEASREGION;

		Input_Enabled.Name = "ATR2Risk Enabled";
		Input_Enabled.SetYesNo(true);
		Input_Enabled.SetDescription("Enable/Disable the study");

		Input_Atr_Multiplier.Name = "ATR Multiplier";
		Input_Atr_Multiplier.SetDouble(1.5);
		Input_Atr_Multiplier.SetDoubleLimits(0.1, 100);
		Input_Atr_Multiplier.SetDescription("ATR multiplier (e.g. 1.5x)");

		Input_MaxRiskPerTrade.Name = "Max. Money Risk per Trade";
		Input_MaxRiskPerTrade.SetInt(300);
		Input_MaxRiskPerTrade.SetIntLimits(1, 10000000);
		Input_MaxRiskPerTrade.SetDescription("How much max. money risk to be taken per trade");

		Input_AtrStudyPointer.Name = "Pointer to ATR Study Subgraph";
		Input_AtrStudyPointer.SetStudySubgraphValues(1,1);
		Input_AtrStudyPointer.SetDescription("Where the study is supposed to take the current ATR data from");

		sc.ReceivePointerEvents = false;
		// During development set this flag to 1, so the DLL can be rebuilt without restarting Sierra Chart. When development is completed, set it to 0 to improve performance.
//		sc.FreeDLL = 1;

		sc.AllowMultipleEntriesInSameDirection = 1;
		sc.AllowOppositeEntryWithOpposingPositionOrOrders = 1;
		sc.CancelAllOrdersOnEntriesAndReversals = 0;
		sc.AllowOnlyOneTradePerBar = 0;
		sc.SupportReversals = 0;
		sc.AllowEntryWithWorkingOrders = 1;
		sc.SupportAttachedOrdersForTrading = 0;
		sc.UseGUIAttachedOrderSetting = 1;

		//use a high-value to effectively not put any Position Quantity restrictions
		sc.MaximumPositionAllowed = 100000000;

		return;
	}

	if (sc.LastCallToFunction)
	{
		// abriss
		return;
	}

	if (sc.HideStudy || (!Input_Enabled.GetBoolean()))
		return;

	//For safety must never do any order management while historical data is being downloaded.
	if (sc.ChartIsDownloadingHistoricalData(sc.ChartNumber))
		return;

	int index = sc.Index;

	if (sc.UpdateStartIndex == 0)//Perform initialization
	{
		return;
	}

	SCFloatArray SubgraphArray;
	sc.GetStudyArrayUsingID(Input_AtrStudyPointer.GetStudyID(), Input_AtrStudyPointer.GetSubgraphIndex(), SubgraphArray);

	if (SubgraphArray.GetArraySize() == 0)
		return; // No subgraph data

	double currentATR = SubgraphArray[sc.Index];

	if (currentATR < 0.0)
		return;

//	int ticks = sc.PriceValueToTicks(currentATR);

	// target ATR
	double adjustedATR = currentATR * Input_Atr_Multiplier.GetDouble();

	float currencyValuePerTick = sc.CurrencyValuePerTick;

	float tickDiff = adjustedATR / sc.TickSize;

	float riskInCurrencyPerContract = tickDiff * currencyValuePerTick;
	int contractsToTrade = static_cast<int>(floor(Input_MaxRiskPerTrade.GetInt() / riskInCurrencyPerContract));

	if (contractsToTrade <= 0) contractsToTrade = 1;

	sc.TradeWindowOrderQuantity = contractsToTrade;

}