@SampleAtmStrategy.cs

#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.Indicators;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion

//This namespace holds Strategies in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Strategies
{
	public class SampleAtmStrategy : Strategy
	{

		private string  atmStrategyId			= string.Empty;
		private string  orderId					= string.Empty;
		private bool	isAtmStrategyCreated	= false;

		protected override void OnStateChange()
		{
			if (State == State.SetDefaults)
			{
				Description	= NinjaTrader.Custom.Resource.NinjaScriptStrategyDescriptionSampleATMStrategy;
				Name		= NinjaTrader.Custom.Resource.NinjaScriptStrategyNameSampleATMStrategy;
				// This strategy has been designed to take advantage of performance gains in Strategy Analyzer optimizations
				// See the Help Guide for additional information
				IsInstantiatedOnEachOptimizationIteration = false;
			}
		}

		protected override void OnBarUpdate()
		{
			if (CurrentBar < BarsRequiredToTrade)
				return;

			// HELP DOCUMENTATION REFERENCE: Please see the Help Guide section "Using ATM Strategies" under NinjaScript--> Educational Resources--> http://ninjatrader.com/support/helpGuides/nt8/en-us/using_atm_strategies.htm

			// Make sure this strategy does not execute against historical data
			if(State == State.Historical)
				return;

			// Submits an entry limit order at the current low price to initiate an ATM Strategy if both order id and strategy id are in a reset state
			// **** YOU MUST HAVE AN ATM STRATEGY TEMPLATE NAMED 'AtmStrategyTemplate' CREATED IN NINJATRADER (SUPERDOM FOR EXAMPLE) FOR THIS TO WORK ****
			if (orderId.Length == 0 && atmStrategyId.Length == 0 && Close[0] > Open[0])
			{
				isAtmStrategyCreated = false;  // reset atm strategy created check to false
				atmStrategyId = GetAtmStrategyUniqueId();
				orderId = GetAtmStrategyUniqueId();
				AtmStrategyCreate(OrderAction.Buy, OrderType.Limit, Low[0], 0, TimeInForce.Day, orderId, "AtmStrategyTemplate", atmStrategyId, (atmCallbackErrorCode, atmCallBackId) => {
					//check that the atm strategy create did not result in error, and that the requested atm strategy matches the id in callback
					if (atmCallbackErrorCode == ErrorCode.NoError && atmCallBackId == atmStrategyId)
						isAtmStrategyCreated = true;
				});
			}

			// Check that atm strategy was created before checking other properties
			if (!isAtmStrategyCreated)
				return;

			// Check for a pending entry order
			if (orderId.Length > 0)
			{
				string[] status = GetAtmStrategyEntryOrderStatus(orderId);

				// If the status call can't find the order specified, the return array length will be zero otherwise it will hold elements
				if (status.GetLength(0) > 0)
				{
					// Print out some information about the order to the output window
					Print("The entry order average fill price is: " + status[0]);
					Print("The entry order filled amount is: " + status[1]);
					Print("The entry order order state is: " + status[2]);

					// If the order state is terminal, reset the order id value
					if (status[2] == "Filled" || status[2] == "Cancelled" || status[2] == "Rejected")
						orderId = string.Empty;
				}
			} // If the strategy has terminated reset the strategy id
			else if (atmStrategyId.Length > 0 && GetAtmStrategyMarketPosition(atmStrategyId) == Cbi.MarketPosition.Flat)
				atmStrategyId = string.Empty;

			if (atmStrategyId.Length > 0)
			{
				// You can change the stop price
				if (GetAtmStrategyMarketPosition(atmStrategyId) != MarketPosition.Flat)
					AtmStrategyChangeStopTarget(0, Low[0] - 3 * TickSize, "STOP1", atmStrategyId);

				// Print some information about the strategy to the output window, please note you access the ATM strategy specific position object here
				// the ATM would run self contained and would not have an impact on your NinjaScript strategy position and PnL
				Print("The current ATM Strategy market position is: " + GetAtmStrategyMarketPosition(atmStrategyId));
				Print("The current ATM Strategy position quantity is: " + GetAtmStrategyPositionQuantity(atmStrategyId));
				Print("The current ATM Strategy average price is: " + GetAtmStrategyPositionAveragePrice(atmStrategyId));
				Print("The current ATM Strategy Unrealized PnL is: " + GetAtmStrategyUnrealizedProfitLoss(atmStrategyId));
			}
		}
	}
}