CarbonFx Modules Lib

This library allows for modularized strategy development using cAlgo.

The Problem

I've been building strategies for several years and have a pretty extensive collection of bots and indicators.
A problem emerged over time, where I had lots interesting pieces of entry, exit, and money management logic stuck in files, but no way to easily mix and match them into new strategies.

I tried sub-classing, utility libs, and extension methods, but it always bound my logic to a particular file. I always had to run functions at a particular place in the code, handle unique instantiations, and wrestle dependencies.

Everything had to conform to cAlgo's onBar, onTick, PositionFilled, PositionClosed, hooks. The issue is that, most interesting pieces of logic span more than one of those hooks, so you have to copy and paste functions into them. It was a pain in the butt and prone to errors, so I took a step back and looked for common elements amongst my robots.

Most strategies boiled down to some very basic pieces.

• Market Filters
• Order Filters
• Entry Logic
• Take Profit
• Stop Loss
• Lot sizing
• Money Management

A Solution

To be able to focus on building reusable modules instead of complete strategies, I needed a way to inject code into many different places, without interfering with anything else. To accomplish this, I created my own hooks and allowed modules to implement Interfaces to run code at particular places in a strategies lifecycle.

Standard Interfaces

These interfaces mirror cAlgo's hooks.

IModuleInit - Runs code OnStart

IOnBar - Runs code OnBar

IOnTick - Runs code OnTick

IPositionClose - Runs when position is closed

IPositionOpened - Runs when position is opened

All interfaces

Order Pipeline

In addition to the standard hooks, I also defined what I like to call an Order Pipeline. An Order Pipeline is a common sequence of checks that must be done before opening a market order.

The pipeline executes as follows.

1. IMarketFilter (bool) - Check to make sure the overall market condition is OK. Things like volume, time of day, no news, etc.

2. IMarketEntryLogic (buy|sell|null) - Should we buy or sell? Maybe check overbought oversold levels? MACD? Divergences?

3. IOrderFilter (bool) - (buy|sell) is passed to this method so we can do additions things like checking order spacing, or maybe a higher timeframe to see if we're opening a position against a larger trend.

4. Here we execute all order related interfaces. These interfaces allow you to fiddle with LotSize, TakeProfit, and StopLoss completely independent of other modules. Each of these methods are passed TradeType (buy|sell).

   • IStopLoss (double)
   • ITakeProfit (double)
   • ILotSize (double)

5. IBeforeExecutePosition (bool) - Last chance to check all order parameters before execution. The values (TradeType,LotSize,SL,TP) from previous steps are passed into this method.

6. IPositionOpened - Position is opened

Module Examples

Having interfaces arranged in a pipeline allow a lot of freedom to build smart modules that handle one particular task.

Here are some examples:

• An ITakeProfit module that sets the TP to a previous support or resistance level.

• An IMarketFilter module that prevents orders from being placed during quiet market hours. 20-22 GMT

• An IOrderFilter module that makes sure that orders are at least 1 hour and 15 pips apart. Both params are configurable settings.

• An IMarketEntryLogic module that ensures the RSI has reached the top and is trending back, plus MACD is converging.

All modules are independent, so you can mix and match without issue.

Instantiation in cAlgo

Strategies go from being a large block of monolithic code, to the following.

void OnStart()
{
    // Create strategy based on modules
    var sb = StrategyBuilder.CreateNewStrategy(
        this, "SuperAwesomeBot", 
        new string[]{   // Strategy Level Modules
            "MarketCondition.DontTradeOnFridays",
            "EquityManagement.GlobalEquityHighWater",
            "OrderProtection.TrailingStops",
            "TakeProfit.FixedTakeProfit",
            "BaconWrap.cAlgo.Telegram.PipelineManager, BaconWrap.cAlgo",
        });

    // Define and load modules for OnBar pipeline
    sb.AddOrderPipeline("overboughtoversold", CheckForEntry.OnBar, new string[] 
        {
            "OrderFilter.MarketProfile",
            "OrderFilter.FixedOrderSpacing",
            "EntryLogic.OverboughtOversold",
        });

    // Define and load modules for another pipeline
    sb.AddOrderPipeline("srpowerlevels", CheckForEntry.OnTick, new string[] 
        {  
            "OrderFilter.SRClustering",
            "EntryLogic.SRPowerLevels",
        });
    

    this.AddStrategy(sb.InitializeStrategy());
}

Utility Interfaces

IReportStatus (string) - This can be used to report current state of a module in a friendly way. For example: an RSI module that measures trend strength. These are primary used to report back to a Telegram client.

IValidateSettings - Each module can have it's own settings, this interface allows you to define which settings are available and required (throws exception is not defined).

Disclaimer

This project is still a work in progress. It might not work correctly, may throw exceptions, and may cause your account to blow up.

License

GNU AGPLv3