Firetron's Hedged Flash Crash

--  ==========================================================================================================
--    Firetron's Hedged Flash Crash
--
--    Tries to catch flashes up and flashes down at the same time. Places orders when price changes a certain
--    amount within a certain time frame. One long and one short may be open at the same time. Position
--    direction is chosen based on your choice of reverting or trending.
--
--    Discord:  @FiretronP75
--  ==========================================================================================================

--  =================
--    Configuration  
--  =================

EnableHighSpeedUpdates(true)
HideOrderSettings()
HideTradeAmountSettings()

--  =============
--    Variables  
--  =============

local modeType = {
  reverting = 'reverting',
  trending  = 'trending',
}

--  ----------
--    Inputs  
--  ----------

-- Testing

local fee = Input('Fee Percentage', Fee(), 'for backtests and simulated trading', 'Testing')

-- Script Logic

local downTrigger = Input(        '1) If price goes down by', -3, '(Percent)',   'Script Logic')
local upTrigger   = Input(        '2) or price goes up by',    3, '(Percent)',   'Script Logic')
local interval    = InputInterval('3) Within an interval of', 60, '(Candle)',    'Script Logic')
local amount      = Input(        '4) Place an order for',   100, '(Contracts)', 'Script Logic')
local mode        = InputOptions( '5) in hope of market', modeType.reverting, modeType, '(Relative to the price change direction)', 'Script Logic')
local takeProfit  = Input(        '6) With a take profit of',  2, '(Percent)',   'Script Logic')
local stopLoss    = Input(        '7) and a stop loss of',     1, '(Percent)',   'Script Logic')
local coolDown    = InputInterval('8) and cool down of',      60, 'before placing in same direction again', 'Script Logic')

--  ----------
--    Memory  
--  ----------

local maxRiskPointAmount = Load('maxRiskPointAmount', 0)

local longPositionId  = Load('longPositionId',  '')
local shortPositionId = Load('shortPositionId', '')

local longStopLossTime  = Load('longStopLossTime',  0)
local shortStopLossTime = Load('shortStopLossTime', 0)

--  ----------
--    System  
--  ----------

local currentPrice  = CurrentPrice()
local highPriceList = HighPrices(interval, true)
local lowPriceList  = LowPrices( interval, true)

local longContainer  = PositionContainer(longPositionId)
local shortContainer = PositionContainer(shortPositionId)

--  --------------
--    Calculated  
--  --------------

local highPrice = ArrayGet(highPriceList, 1)
local lowPrice  = ArrayGet(lowPriceList,  1)

local downChange = PercentageChange(highPrice, currentPrice.bid)
local upChange   = PercentageChange(lowPrice,  currentPrice.ask)

local downWasTriggered = downChange <= downTrigger
local upWasTriggered   = upChange   >= upTrigger

--  =============
--    Functions  
--  =============

--  ------------
--    Checking  
--  ------------

-- Check Max Risk Point

function CheckMaxRiskPoint()

  local positionList = GetAllOpenPositions()

  if Count(positionList) == 0 then return end

  local nowRiskPointAmount = 0

  for i = 1, #positionList do

    local positionContainer = positionList[i]

    nowRiskPointAmount = nowRiskPointAmount + positionContainer.profit

  end

  if nowRiskPointAmount >= maxRiskPointAmount then return end

  maxRiskPointAmount = nowRiskPointAmount

  Save('maxRiskPointAmount', maxRiskPointAmount)

end

-- Check Long

function CheckLong()

  if longPositionId == '' or IsPositionClosed(longPositionId) then

    if longStopLossTime > Time() then
      return
    end

    if downWasTriggered and mode == modeType.reverting then
      GoLong('reverting the jump down')
    end

    if upWasTriggered and mode == modeType.trending then
      GoLong('following the trend up')
    end

  elseif TakeProfit(takeProfit, longPositionId, PositionLong) then
    
    ExitLong('take profit')

  elseif StopLoss(stopLoss, longPositionId, PositionLong) then
    
    ExitLong('stop loss')
    longStopLossTime = Time()
    longStopLossTime = AdjustTimestamp(longStopLossTime, 0, coolDown)
    Save('longStopLossTime', longStopLossTime)

  end

end

-- Check Short

function CheckShort()

  if shortPositionId == '' or IsPositionClosed(shortPositionId) then

    if shortStopLossTime > Time() then
      return
    end

    if downWasTriggered and mode == modeType.trending then
      GoShort('following the trend down')
    end

    if upWasTriggered and mode == modeType.reverting then
      GoShort('reverting the jump up')
    end

  elseif TakeProfit(takeProfit, shortPositionId, PositionShort) then
    
    ExitShort('take profit')

  elseif StopLoss(stopLoss, shortPositionId, PositionShort) then
    
    ExitShort('stop loss')
    shortStopLossTime = Time()
    shortStopLossTime = AdjustTimestamp(shortStopLossTime, 0, coolDown)
    Save('shortStopLossTime', shortStopLossTime)
    
  end

end

--  -----------
--    Exiting  
--  -----------

-- Exit Long

function ExitLong(note)
  
  local parameters = {
    positionId = longPositionId,
    price = currentPrice,
    type = MarketOrderType,
    note = note,
  }

  PlaceExitPositionOrder(parameters);

end

-- Exit Short

function ExitShort(note)
  
  local parameters = {
    positionId = shortPositionId,
    price = currentPrice,
    type = MarketOrderType,
    note = note,
  }

  PlaceExitPositionOrder(parameters);

end

--  ------------
--    Entering  
--  ------------

-- Go Long

function GoLong(note)
  
  longPositionId = NewGuid()
  local parameters = {
    type = MarketOrderType,
    note = note,
    positionId = longPositionId,
  }

  PlaceGoLongOrder(currentPrice, amount, parameters)
  Save('longPositionId', longPositionId)

end

-- Go Short

function GoShort(note)

  shortPositionId = NewGuid()
  local parameters = {
    type = MarketOrderType,
    note = note,
    positionId = shortPositionId,
  }

  PlaceGoShortOrder(currentPrice, amount, parameters)
  Save('shortPositionId', shortPositionId)

end

--  =============
--    Execution  
--  =============

SetFee(fee)
CheckMaxRiskPoint()
CheckLong()
CheckShort()

Finalize(function()

  local maxRiskPointAmountText = maxRiskPointAmount..' '..QuoteCurrency()

  CustomReport('Max. Risk Point Amount', maxRiskPointAmountText, 'Max Risk Point Report')

end)