#region Using declarations
using System;
using NinjaTrader.Cbi;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.Indicators.TDU;
using System.ComponentModel.DataAnnotations;
using NinjaTrader.Data;
#endregion

namespace NinjaTrader.NinjaScript.Strategies
{
    /// <summary>
    /// Sample automated strategy for the TDU PATS Indicator
    /// https://tradedevils-indicators.com/products/tdu-price-action
    /// </summary>
    public class PATSExampleStrategy : Strategy
    {
        private enum TduOrderState
        {
            Idle,
            Waiting,
            Filled,
        }

        private TDUPriceAction _patsIndicator;
        private int _lastOrderBar;
        private Order _runnerOrder;
        private Order _scalpOrder;
        private double _trailingStop;
        private double _trailPrice;
        private double _entryPrice;
        private int _breakEvenBar;
        private TduOrderState _state = TduOrderState.Idle;
        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"PATS Example Strategy.";
                Name = "PATS Example Strategy";
                Calculate = Calculate.OnEachTick;
                EntriesPerDirection = 2;
                EntryHandling = EntryHandling.AllEntries;
                IsExitOnSessionCloseStrategy = false;
                ExitOnSessionCloseSeconds = 30;
                IsFillLimitOnTouch = false;
                MaximumBarsLookBack = MaximumBarsLookBack.Infinite;
                OrderFillResolution = OrderFillResolution.High;
                OrderFillResolutionType = BarsPeriodType.Tick;
                OrderFillResolutionValue = 1;
                Slippage = 0;
                StartBehavior = StartBehavior.WaitUntilFlat;
                TimeInForce = TimeInForce.Gtc;
                TraceOrders = false;
                RealtimeErrorHandling = RealtimeErrorHandling.IgnoreAllErrors;
                StopTargetHandling = StopTargetHandling.PerEntryExecution;
                BarsRequiredToTrade = 10;
                IsInstantiatedOnEachOptimizationIteration = true;

                PositionType = TDUPATSPositionSizing.Contracts;
                MinRunnerContracts = 1;
                MaxContracts = 20;
                FixedContracts = 3;
                FixedAmount = 200;
                PercentCapital = 2;
                ScalpsPercentage = 66;
                TargetTicks = 4;
                StopLossTicks = 1;
                MaxStopLossTicks = 300;
            }
            else if (State == State.Configure)
            {
                // needed to get intrabar order fills
                //AddDataSeries(Data.BarsPeriodType.Tick, 1);

            }
            else if (State == State.DataLoaded)
            {
                // add the PATS indicator
                _patsIndicator = TDUPriceAction(Close);
                _patsIndicator.MaximumBarsLookBack = MaximumBarsLookBack.Infinite;
                _patsIndicator.LegCountMethod = TDUPatsRules.Mack;
                _patsIndicator.PositionType = PositionType;
                _patsIndicator.FixedContracts = FixedContracts;
                _patsIndicator.FixedAmount = FixedAmount;
                _patsIndicator.PercentCapital = PercentCapital;
                _patsIndicator.ScalpsPercentage = ScalpsPercentage;
                _patsIndicator.MinRunnerContracts = MinRunnerContracts;
                _patsIndicator.MaxContracts = MaxContracts;
                _patsIndicator.CashValue = Account.Get(AccountItem.CashValue, Currency.UsDollar);
                _patsIndicator.TargetTicks = TargetTicks;
                _patsIndicator.StopLossTicks = StopLossTicks;
                _patsIndicator.MaxStopLossTicks = MaxStopLossTicks;
                _patsIndicator.ShowOrderPanel = false;
                AddChartIndicator(_patsIndicator);
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar < 10)
            {
                return;
            }

            if (BarsInProgress != 0)
            {
                return;
            }

            //S   Print(string.Format("#{0}  {1}", CurrentBar, Position.MarketPosition));
            CreateOrders();
            ManageOrders();
        }


        /// <summary>
        /// Create new orders when the PATS indicator sees a 2nd entry long or short
        /// </summary>
        private void CreateOrders()
        {
            if (_state != TduOrderState.Idle)
                return;

            if (Position.MarketPosition != MarketPosition.Flat)
            {
                return;
            }

            // Check for 2EL long
            if (_patsIndicator.SignalLong[0].ApproxCompare(1) == 0)
            {
                // We don't want multiple trades / bar
                if (CurrentBar > _lastOrderBar + 1)
                {
                    var contracts = (int)_patsIndicator.ContractsLong[0];
                    var stopLoss = _patsIndicator.StopLossLong[0];
                    _trailingStop = stopLoss;
                    _trailPrice = Math.Max(High[0], High[1]);
                    _entryPrice = _trailPrice + TickSize;

                    if (_entryPrice > GetCurrentAsk() + TickSize)
                    {
                        Print("-");
                        Print(string.Format("#{0} 2EL-S O:{1} SL:{2} ask:{3}", CurrentBar, _entryPrice, _trailingStop, GetCurrentAsk()));
                        _scalpOrder = EnterLongStopMarket(0, true, GetNumberOfScalpContracts(contracts), _entryPrice, "Scalp");
                        _runnerOrder = null;
                        if (_scalpOrder != null)
                        {
                            var runnerContracts = GetNumberRunnerContracts(contracts);
                            if (runnerContracts > 0)
                            {
                                Print(string.Format("#{0} 2EL-R O:{1} SL:{2} ask:{3}", CurrentBar, _entryPrice, _trailingStop, GetCurrentAsk()));
                                _runnerOrder = EnterLongStopMarket(0, true, runnerContracts, _entryPrice, "Runner");
                            }

                            _state = TduOrderState.Waiting;
                            _lastOrderBar = CurrentBar;
                        }
                    }
                    return;
                }
            }

            // Check for 2ES  short
            if (_patsIndicator.SignalShort[0].ApproxCompare(-1) == 0)
            {
                // We don't want multiple trades / bar
                if (CurrentBar > _lastOrderBar + 1)
                {
                    var contracts = (int)_patsIndicator.ContractsShort[0];
                    var stopLoss = _patsIndicator.StopLossShort[0];
                    _trailingStop = stopLoss;
                    _trailPrice = Math.Min(Low[0], Low[1]);
                    _entryPrice = _trailPrice - TickSize;

                    if (_entryPrice < GetCurrentBid() - TickSize)
                    {
                        Print("-");
                        Print(string.Format("#{0} 2ES-S O:{1} SL:{2} ask:{3}, {4}", CurrentBar, _entryPrice, _trailingStop, GetCurrentAsk(), High[0]));
                        _scalpOrder = EnterShortStopMarket(0, true, GetNumberOfScalpContracts(contracts), _entryPrice, "Scalp");
                        _runnerOrder = null;
                        if (_scalpOrder != null)
                        {
                            var runnerContracts = GetNumberRunnerContracts(contracts);

                            if (runnerContracts > 0)
                            {
                                Print(string.Format("#{0} 2ES-R O:{1} SL:{2} ask:{3}, {4}", CurrentBar, _entryPrice, _trailingStop, GetCurrentAsk(), High[0]));
                                _runnerOrder = EnterShortStopMarket(0, true, runnerContracts, _entryPrice, "Runner");
                            }

                            _state = TduOrderState.Waiting;
                            _lastOrderBar = CurrentBar;
                        }
                    }
                    return;
                }
            }
        }

        /// <summary>
        /// Manages the runners by first moving the stop to break even when 4 ticks in profit
        /// and then trailing the previous candle low/hi
        /// </summary>
        private void ManageOrders()
        {
            if (_state == TduOrderState.Idle)
                return;

            if (_scalpOrder == null && _runnerOrder == null)
            {
                _state = TduOrderState.Idle;
                return;
            }

            if (_state == TduOrderState.Waiting)
            {
                if (Position.MarketPosition != MarketPosition.Flat)
                {
                    if (_scalpOrder.Filled > 0 && (_runnerOrder == null || (_runnerOrder != null & _runnerOrder.Filled > 0)))
                    {
                        // When order is filled, set the stoploss and targets
                        _state = TduOrderState.Filled;

                        Print(string.Format("#{0} {1} filled O:{2} SL:{3}", CurrentBar, _scalpOrder.IsLong ? "2EL-S" : "2ES-S", _scalpOrder.AverageFillPrice, GetDistanceInTicks(_trailingStop, _scalpOrder.AverageFillPrice)));
                        SetStopLoss("Scalp", CalculationMode.Ticks, GetDistanceInTicks(_trailingStop, _scalpOrder.AverageFillPrice), false);
                        SetProfitTarget("Scalp", CalculationMode.Ticks, TargetTicks);

                        if (_runnerOrder != null)
                        {
                            Print(string.Format("#{0} {1} filled O:{2} SL:{3}", CurrentBar, _runnerOrder.IsLong ? "2EL-R" : "2ES-R", _runnerOrder.AverageFillPrice, GetDistanceInTicks(_trailingStop, _runnerOrder.AverageFillPrice)));
                            SetStopLoss("Runner", CalculationMode.Ticks, GetDistanceInTicks(_trailingStop, _runnerOrder.AverageFillPrice), false);
                        }

                        return;
                    }
                }

                if (_scalpOrder.Filled == 0)
                {
                    // if order is not filled yet, then trail the entry price
                    if (CurrentBar != _lastOrderBar && IsFirstTickOfBar && BarsInProgress == 0)
                    {
                        // longs
                        if (_scalpOrder.IsLong && Low[1] < _trailPrice)
                        {
                            // set new entry price for long order
                            _lastOrderBar = CurrentBar;
                            _trailPrice = High[1];
                            _entryPrice = High[1] + TickSize;
                            _trailingStop = Math.Min(Low[0], Low[1]) - TickSize;

                            if (_entryPrice.ApproxCompare(_scalpOrder.StopPrice) != 0 && _entryPrice > GetCurrentAsk() + TickSize)
                            {
                                Print(string.Format("#{0} 2EL-S Trail Entry O:{1}->{2} SL:{3}", CurrentBar, _scalpOrder.StopPrice, _entryPrice, _trailingStop));

                                _scalpOrder.StopPriceChanged = _entryPrice;
                                ChangeOrder(_scalpOrder, _scalpOrder.Quantity, _scalpOrder.LimitPrice, _scalpOrder.StopPriceChanged);

                                if (_runnerOrder != null)
                                {
                                    Print(string.Format("#{0} 2EL-R Trail Entry O:{1}->{2} SL:{3}", CurrentBar, _scalpOrder.StopPrice, _entryPrice, _trailingStop));
                                    _runnerOrder.StopPriceChanged = _entryPrice;
                                    ChangeOrder(_runnerOrder, _runnerOrder.Quantity, _runnerOrder.LimitPrice, _runnerOrder.StopPriceChanged);
                                }
                            }

                            return;
                        }

                        //shorts
                        if (_scalpOrder.IsShort && High[1] > _trailPrice)
                        {
                            // set new entry price for short order
                            _lastOrderBar = CurrentBar;
                            _trailPrice = Low[1];
                            _entryPrice = Low[1] - TickSize;
                            _trailingStop = Math.Max(High[0], High[1]) + TickSize;

                            if (_entryPrice.ApproxCompare(_scalpOrder.StopPrice) != 0 && _entryPrice < GetCurrentBid() - TickSize)
                            {
                                Print(string.Format("#{0} 2ES-S Trail Entry O:{1}->{2} SL:{3}", CurrentBar, _scalpOrder.StopPrice, _entryPrice, _trailingStop));

                                _scalpOrder.StopPriceChanged = _entryPrice;
                                ChangeOrder(_scalpOrder, _scalpOrder.Quantity, _scalpOrder.LimitPrice, _scalpOrder.StopPriceChanged);

                                if (_runnerOrder != null)
                                {
                                    Print(string.Format("#{0} 2ES-R Trail Entry O:{1}->{2} SL:{3}", CurrentBar, _scalpOrder.StopPrice, _entryPrice, _trailingStop));
                                    _runnerOrder.StopPriceChanged = _entryPrice;
                                    ChangeOrder(_runnerOrder, _runnerOrder.Quantity, _runnerOrder.LimitPrice, _runnerOrder.StopPriceChanged);
                                }
                            }

                            return;
                        }
                    }
                }
            }


            // if order is filled trail stops
            if (_state == TduOrderState.Filled)
            {
                if (_scalpOrder != null && _scalpOrder.IsLong && _scalpOrder.Filled > 0)
                {
                    // did we hit the stoloss ?
                    if (Closes[0][0] <= _trailingStop)
                    {
                        // stoploss hit, close long position
                        Print(string.Format("#{0} 2EL-S SL hit {1} {2} {3} ", CurrentBar, Times[0][0], Closes[0][0], _trailingStop));
                        _runnerOrder = null;
                        _scalpOrder = null;
                        _state = TduOrderState.Idle;
                        ExitLong();

                        return;
                    }

                    if (_runnerOrder == null && Position.MarketPosition == MarketPosition.Flat)
                    {
                        Print(string.Format("#{0} 2ES-S exit {1} {2} {3} ", CurrentBar, Times[0][0], Closes[0][0], _trailingStop));
                        _runnerOrder = null;
                        _scalpOrder = null;
                        _state = TduOrderState.Idle;
                        ExitLong();

                        return;
                    }

                    if (_runnerOrder != null)
                    {
                        var breakEvenPrice = _runnerOrder.AverageFillPrice;
                        var firstTarget = _runnerOrder.AverageFillPrice + 4 * TickSize;

                        if (Closes[0][0] > firstTarget)
                        {
                            if (_trailingStop < breakEvenPrice)
                            {
                                // move stop to break even after 4 ticks
                                Print(string.Format("#{0} 2EL-R move stop to BE {1}", CurrentBar, _trailingStop));
                                _trailingStop = breakEvenPrice;
                                _breakEvenBar = CurrentBar;
                                SetStopLoss("Runner", CalculationMode.Ticks, GetDistanceInTicks(_trailingStop, _runnerOrder.AverageFillPrice), false);
                            }
                            else if (CurrentBar > _breakEvenBar)
                            {
                                var previousCandleLow = Low[1];

                                if (previousCandleLow > _trailingStop)
                                {
                                    // trail previous candle low
                                    _trailingStop = previousCandleLow;
                                    Print(string.Format("#{0} 2EL-R trail stop to {1}", CurrentBar, _trailingStop));
                                    SetStopLoss("Runner", CalculationMode.Ticks, GetDistanceInTicks(_trailingStop, _runnerOrder.AverageFillPrice), false);
                                }
                            }
                        }
                    }
                }

                if (_scalpOrder != null && _scalpOrder.IsShort && _scalpOrder.Filled > 0)
                {
                    // did we hit the stoloss ?
                    if (Closes[0][0] >= _trailingStop)
                    {
                        // stoploss hit, close short position
                        Print(string.Format("#{0} 2EL SL hit {1} {2} {3} ", CurrentBar, Times[0][0], Closes[0][0], _trailingStop));
                        _runnerOrder = null;
                        _scalpOrder = null;
                        _state = TduOrderState.Idle;
                        ExitShort();

                        return;
                    }

                    if (_runnerOrder == null && Position.MarketPosition == MarketPosition.Flat)
                    {
                        Print(string.Format("#{0} 2ES exit {1} {2} {3} ", CurrentBar, Times[0][0], Closes[0][0], _trailingStop));
                        _runnerOrder = null;
                        _scalpOrder = null;
                        _state = TduOrderState.Idle;
                        ExitShort();

                        return;
                    }

                    if (_runnerOrder != null)
                    {
                        var breakEvenPrice = _runnerOrder.AverageFillPrice;
                        var firstTarget = _runnerOrder.AverageFillPrice - 4 * TickSize;

                        if (Closes[0][0] < firstTarget)
                        {
                            if (_trailingStop > breakEvenPrice)
                            {
                                // move stop to break even after 4 ticks
                                _trailingStop = breakEvenPrice;
                                _breakEvenBar = CurrentBar;
                                Print(string.Format("#{0} 2ES-R move stop to BE {1}", CurrentBar, _trailingStop));
                                SetStopLoss("Runner", CalculationMode.Ticks, GetDistanceInTicks(_trailingStop, _runnerOrder.AverageFillPrice), false);
                            }
                            else if (CurrentBar > _breakEvenBar)
                            {
                                var previousCandleHigh = High[1];

                                if (previousCandleHigh < _trailingStop)
                                {
                                    // trail previous candle low
                                    _trailingStop = previousCandleHigh;
                                    Print(string.Format("#{0} 2ES-R trail stop to {1}", CurrentBar, _trailingStop));
                                    SetStopLoss("Runner", CalculationMode.Ticks, GetDistanceInTicks(_trailingStop, _runnerOrder.AverageFillPrice), false);
                                }
                            }
                        }
                    }
                }
            }
        }

        private double GetDistanceInTicks(double price1, double price2)
        {
            return (int)(Math.Abs(price1 - price2) / TickSize);
        }

        /// <summary>
        /// Gets the number of contracts to use for the runners
        /// </summary>
        /// <param name="totalContracts">The total number of contracts</param>
        private int GetNumberRunnerContracts(int totalContracts)
        {
            return totalContracts - GetNumberOfScalpContracts(totalContracts);
        }

        /// <summary>
        /// Gets the number of contracts to use for the scalps
        /// </summary>
        /// <param name="totalContracts">The total number of contracts</param>
        private int GetNumberOfScalpContracts(int totalContracts)
        {
            var onePercent = totalContracts / 100d;
            var scalps = (int)(0.5 + ScalpsPercentage * onePercent);
            var runners = totalContracts - scalps;
            if (runners < MinRunnerContracts && totalContracts > MinRunnerContracts)
            {
                runners = MinRunnerContracts;
                scalps = totalContracts - runners;
            }
            return scalps;
        }


        [Display(ResourceType = typeof(Custom.Resource), Name = "Position sizing type", GroupName = "01. Position Sizing", Order = 1)]
        public TDUPATSPositionSizing PositionType { get; set; }

        [Display(ResourceType = typeof(Custom.Resource), Name = "Fixed # contracts", GroupName = "01. Position Sizing", Order = 2)]
        public int FixedContracts { get; set; }

        [Display(ResourceType = typeof(Custom.Resource), Name = "Fixed $ amount", GroupName = "01. Position Sizing", Order = 3)]
        public int FixedAmount { get; set; }

        [Display(ResourceType = typeof(Custom.Resource), Name = "% of account", GroupName = "01. Position Sizing", Order = 4)]
        public double PercentCapital { get; set; }

        [Display(ResourceType = typeof(Custom.Resource), Name = "Contracts Scalps %", GroupName = "01. Position Sizing", Order = 5)]
        public double ScalpsPercentage { get; set; }

        [Display(ResourceType = typeof(Custom.Resource), Name = "Max # contracts", GroupName = "01. Position Sizing", Order = 6)]
        public int MaxContracts { get; set; }

        [Display(ResourceType = typeof(Custom.Resource), Name = "Min. # runner contracts", GroupName = "01. Position Sizing", Order = 7)]
        public int MinRunnerContracts { get; set; }

        [Display(ResourceType = typeof(Custom.Resource), Name = "Target (ticks)", GroupName = "01. Position Sizing", Order = 9)]
        public int TargetTicks { get; set; }

        [Display(ResourceType = typeof(Custom.Resource), Name = "Stoploss # ticks above/below signal bar", GroupName = "01. Position Sizing", Order = 10)]
        public int StopLossTicks { get; set; }

        [Display(ResourceType = typeof(Custom.Resource), Name = "Max. stoploss (ticks)", GroupName = "01. Position Sizing", Order = 12)]
        public int MaxStopLossTicks { get; set; }
    }
}