~~~ Algo Trading with C/C++ - Code Examples ~~~

Download Price History ~~~~~~~~~~~~~

function main()
{
  StartDate = 20100101; // YYYYMMDD format
  EndDate = NOW;  // up to today
  assetHistory("AAPL",FROM_YAHOO); // download AAPL data
}

Trivial Trading System ~~~~~~~~~~~~~~

function run() // at any bar
{
  vars MovingAverages = series(SMA(seriesC(),300));
  Stop = ATR(100); // set stoploss distance dependent on volatility
  if(crossOver(seriesC(),MovingAverages))
    enterLong(); // exit short, enter long on Price/MA cross
  else if(crossUnder(seriesC(),MovingAverages))
    enterShort(); // and vice versa
}  

Broker Arbitrage HFT System ~~~~~~~~~~~~~

function main() // run at start
{
  LookBack = 0; // no lookback period
  set(TICKS); // tick-based backtest
  History = "*.t1";  // tick-based historical data file
  assetList("AssetsArb.csv"); // asset list with symbols
}

function tick()  // the HFT part; runs at any incoming tick
{
  asset("EURUSD_A"); // EUR/USD from broker A
  var SpreadA = marketVal(), PriceA = priceC(); 
  asset("EURUSD_B"); // EUR/USD from broker B
  var SpreadB = marketVal(), PriceB = priceC()

  var Threshold = 1.5*(SpreadA + SpreadB); 
  var Difference = PriceA - PriceB; 

  asset("EURUSD_A");
  if(NumOpenShort and Difference < 0) 
    exitShort(); // take profit
  else if(NumOpenLong and Difference > 0) 
    exitLong(); // take profit
  else if(!NumOpenShort and Difference > Threshold) 
    enterShort(); // go short with the expensive asset
  else if(!NumOpenLong and Difference < -Threshold) 
    enterLong(); // go long with the cheap asset
  
  asset("EURUSD_B");
  if(NumOpenShort and Difference > 0) 
   exitShort();
  else if(NumOpenLong and Difference < 0) 
    exitLong();
  else if(!NumOpenShort and Difference < -Threshold) 
    enterShort();
  else if(!NumOpenLong and Difference > Threshold) 
    enterLong();
}

Machine Learning System ~~~~~~~~~~~~~~

function run()
{
  set(RULES); // generate trading rules
  StartDate = 2012;
  EndDate = 2022; // backtest / training period
  BarPeriod = 240; // 4 hours
  LookBack = 200;
  NumWFOCycles = 10; // activate walk-forward analysis
  ReTrainDays = 60; // re-train live system every 2 months
	
  while(asset(loop("EUR/USD","AUD/USD","GBP/USD")))
  {
// generate signals for a decision tree
    var Range1 = priceH(0)-priceL(0);
    var Range2 = priceH(1)-priceL(1));
    var Trend = priceC(0)-SMA(seriesC(),LookBack);
    var Momentum1 = priceC(0) - priceC(1);
    var Momentum2 = priceC(1) - priceC(2);
		
    if(Train) Hedge = 2; // allow long+short in training
    LifeTime = 1440/BarPeriod; 	// 1 day prediction horizon
    
// generate decision tree, train on trade returns, 
// predict next trade in test/live mode
    var LongPrediction = adviseLong(DTREE+RETURNS,0,
      Range1,Range2,Momentum1,Momentum2,Trend);
    var ShortPrediction = adviseShort(DTREE+RETURNS,0,
      Range1,Range2,Momentum1,Momentum2,Trend);
    if(Train or (LongPrediction > 0 and ShortPrediction < 0))
      enterLong(); // in training or at favorable prediction 
    if(Train or (ShortPrediction > 0 and LongPrediction < 0))
      enterShort();
  }
}

Options Selling System ~~~~~~~~~

void run() 
{
  BarPeriod = 1440; // 1 day
  BarZone = EST;
  BarOffset = 9*60+30; // market open time
  asset("SPY");

// load today's contract chain
  if(!contractUpdate(Asset,0,CALL|PUT)) return;
// wait until previous combo was expired or exercised
  if(NumOpenShort) return;
// if excercised, sell remaining underlying at market 
  contractSellUnderlying();

// open a new put/call strangle
  int Days = 45; // minimum days to expiration
  var Premium = 3; // get 600 dollars per combo
  Multiplier = 100;
  if(combo( // find matching options
    contractFind(CALL,Days,Premium,2),1, 
    contractFind(PUT,Days,Premium,2),1,
    0,0,0,0)) 
  {
    MarginCost = comboMargin(-1,3);
    enterShort(comboLeg(1)); // sell combo
    enterShort(comboLeg(2));
  }
}

Indicator (Laguerre Filter) ~~~~~~~~~~~~~~~

var Laguerre(vars Data, var alpha)
{
  var alpha1 = 1.-alpha;
  vars L = series(Data[0],8);
  L[0] = alpha*Data[0] + alpha1*L[1];
  L[2] = -alpha1*L[0] + L[1] + alpha1*L[3];
  L[4] = -alpha1*L[2] + L[3] + alpha1*L[5];
  L[6] = -alpha1*L[4] + L[5] + alpha1*L[7];
  return (L[0]+2.*L[2]+2.*L[4]+L[6])/6.;
} 

Plot Average Spread by Hour ~~~~~~~~~~~~~

function run()
{
  BarPeriod = 15;  // 15 minutes per histogram bar
  StartDate = 2019;
  EndDate = 2022;
  plotBar("Spread",(60*hour(0)+minute(0))/BarPeriod,tod(0),
    marketVal(0),AVG|BARS,RED);
}

Plot Price Distribution Histogram ~~~~~~~~~~~~

function run()
{
  BarPeriod = 60;
  StartDate = 2019;
  EndDate = 2022;
  asset("EUR/CHF");
  var PriceCHF = price(0);
  asset("EUR/USD");
  var PriceUSD = price(0);
  plotBar("EUR/CHF",1000*PriceCHF,PriceCHF,1,SUM|BARS,RED); 
  plotBar("EUR/USD",1000*PriceUSD,PriceUSD,1,SUM|BARS,GREEN);
}

Plot Price Cycles Spectrum ~~~~~~~~~~~~~~~~

function run()
{
  BarPeriod = 60;
  StartDate = ymd(wdate(NOW)-30); // last 30 days
  EndDate = ymd(wdate(NOW)); 
  LookBack = 2000;
  int Cycle;
  for(Cycle = 10; Cycle < 200; Cycle++)
    plotBar("Spectrum",Cycle,Cycle,
      Spectrum(Price,Cycle,4*Cycle),BARS|AVG,BLUE);
}

Plot Current Order Flow Profile ~~~~~~~~~~~~~~

function main() 
{
  StartDate = NOW;
  asset("BTC/USD");
// load current order book
  int N = orderUpdate("BTCUSD",1);
  T2* Quotes = dataStr(1,OrderRow,0);
  printf("\nOrderbook: %i quotes",N);
// evaluate order book +/- 5% range
  var Distance = 0.05*priceC(0); 
  int N2 = orderCVD(Quotes,N,Distance);
  printf(", %i in 5% range",N2);
  var Level = priceC(0) - Distance; // start level
  int i;
  for(i=0; i<100; i++) {
    Level += Distance/50;
    plotBar("Ask",i,Level,cpd(Level),BARS|LBL2,RED);
  }
  Level = priceClose() - Distance;
  for(i=0; i<100; i++) {
    Level += Distance/50;
    plotBar("Bid",i,Level,cpd(-Level),BARS|LBL2,BLUE);
  }
} 

Non-Linear Reinvestment Calculator ~~~~~~~~

function main()
{
  slider(1,10000,1,20000,"Capital","Initial capital");
  slider(2,10000,0,20000,"Profit","Collected profit");
  slider(3,2000,1000,2000,".Root","Nth root"); 
// N = 1.000 for linear reinvesting, 
// N = 2.000 for square root reinvesting
  while(wait(100)) // update info while moving sliders
    print(TO_INFO,"Investment: $%.0f",
      slider(1)*pow(1+slider(2)/slider(1),
      1./(0.001*slider(3))));
} 

 
Mass text replacing ~~~~~~~~~~~~~~~~~~~

void main()
{
  string Folder = "c:\\project\\zorro\\manual\\", 
  URL = "ftp://zorro-project.com/manual/en", // web server
  Old = "</head>", // where to insert
  New = 
   "<meta name=\"viewport\" content=\"width=device-width\">\n</head>";
  string Buffer = zalloc(1000000); // just a large buffer
  string FileName = file_next(strf("%s*.htm",Folder)); // first file
  while(FileName) {
    string FilePath = strf("%s%s",Folder,FileName); // generate path
    string Content = file_content(FilePath); // read file into string
    if(Content && !strstr(Content,"viewport")) { // no viewport yet?
      strx(Buffer,1000000,Content,Old,New); // replace text
      file_write(FilePath,Buffer,0); // save modified file
      ftp_upload(URL,FilePath,"User","Password"); // upload to server
      printf("\n%s updated",FileName);
    }
    FileName = file_next(0); // get next file
  }
}

 
Print 2000 digits of Pi ~~~~~~~~~~~~~~~~~~~

void main()
{
  int num=0,a=10000,b,c,d,e=0,gg;
  int f[14000];
  for(b=14000; b>0; b--) f[b] = 2000; 
  for(c=14000; c>0; c-=14) {
    d = 0;
    gg = c*2;
    for(b=c; b>0; b--)  {
       d += f[b]*a;
       gg--;
       f[b] = d%gg;
       d /= gg;
       gg--;
       d *= b;
    }
    printf("%.4d",e+d/a);
    e = d%a;
    num += 4;
  }
  printf("\n%d digits of pi calculated!",num);
}

Display a Mandelbrot Fractal ~~~~~~~~~~~~~~~~~~~

Zorro script of a standard Windows app with window class, menu, message loop, and interactive graphics. For hardcore programmers only!
 

#include <windows.h>

LRESULT CALLBACK WndProc(HWND hWnd, 
  UINT message, WPARAM wParam, LPARAM lParam);

int WINAPI main(WINARGS)
{
//Create and register a window - the basic stuff
  char *szClass = "ZorroWindowClass";
  HINSTANCE hi = GetModuleHandle(NULL);
  UnregisterClass(szClass,hi);

  WNDCLASSEX wcex;
  wcex.cbSize = sizeof(WNDCLASSEX);
  wcex.style = CS_HREDRAW|CS_VREDRAW;
  wcex.lpfnWndProc = WndProc;
  wcex.cbClsExtra = 0;
  wcex.cbWndExtra = 0;
  wcex.hInstance = hi;
  wcex.hIcon = LoadIcon(hi,(LPCSTR)128);
  wcex.hCursor = LoadCursor(NULL, IDC_ARROW);
  wcex.hbrBackground = (HBRUSH)(COLOR_WINDOW+1);
  wcex.lpszMenuName = NULL;
  wcex.lpszClassName = szClass;
  wcex.hIconSm = LoadIcon(hi,(LPCSTR)128);
  RegisterClassEx(&wcex);
  HWND hwnd=CreateWindowEx(0,szClass,
    "Zorro Mandelbrot Test",0x96cf0000,0,0,640,480,NULL,0,NULL,NULL);

// now create a "Reset" and "Quit" menu 
  HMENU menu = CreateMenu();
  HMENU hSubMenu = CreateMenu();
  InsertMenu(hSubMenu,0,MF_BYPOSITION|MF_STRING,1,"Reset");
  InsertMenu(hSubMenu,2,MF_BYPOSITION|MF_STRING,3,"Quit");
  InsertMenu(menu,0,
    MF_BYPOSITION|MF_STRING|MF_POPUP,(UINT_PTR)hSubMenu,"File");

// activate window, menu, and message loop
  if(hwnd) {
    SetMenu(hwnd,menu);
    ShowWindow(hwnd,SW_SHOW);
    MSG msg;
    while(GetMessage(&msg, NULL, 0, 0)) {
      TranslateMessage(&msg);
      DispatchMessage(&msg);
    }
  }
  return 0;
}

// convert value to color
long JetColor(double v)
{
  double d = 25.0;
  v = v/d + 0.5;
  int f = (int)(255*(v-i));
  int r=0, g=0, b=0;

  switch((int)v) {
    case 0: r=0; g=0; b=f; break;
    case 1: r=0; g=f; b=255; break;
    case 2: r=f; g=255; b=255-f;break;
    case 3: r=255; g=255-f;b=0; break;
    case 4: r=255-f;g=0; b=0; break;
  }
  return r|(g<<8)|(b<<16);
}

// Draw the Mandelbrot fractal.
  double m_x = 0.344142, 
    m_y = 0.075094, 
    m_width = 0.017813;

  void Draw(HDC hdc,long vw,long vh)
  {
    long w = (long)vw, h = (long)vh, i,j;
    long detail=100;

    if(w>0) {
      for(i=0; i<w; i++)
      for(j=0; j<h; j++) {
        double x = m_x+((double)i)*m_width/w;
        double y = m_y+((double)(h-j))*m_width/w;
        double zx = 0,zy = 0;
        int inset = 1, times = 0;
        while(inset && times<detail) {
          times++;
          double zxs = zx*zx;
          double zys = zy*zy;
          zy = 2*zx*zy+y;
          zx = zxs-zys+x;
          if (zxs+zys >= 4.0) inset=0;
        }
        if(inset) SetPixel(hdc,i,j,0);
        else SetPixel(hdc,i,j,JetColor(times));
      }
    }
  }
}

// Windows message loop
LRESULT CALLBACK WndProc(HWND hWnd, 
  UINT message, WPARAM wParam, LPARAM lParam)
{
  PAINTSTRUCT ps;
  HDC hdc;
  switch(message) {
    case WM_RBUTTONDOWN: // reset to full fractal
      m_x = -2.5;
      m_y = -2;
      m_width = 4.0;
      InvalidateRect(hWnd,0,0);
      break;
    case WM_LBUTTONDOWN: { // zoom in at cursor position
      RECT rect;
      GetClientRect(hWnd,&rect);
      long x = ((long)lParam)&0xffff;
      long y = (((long)lParam)&0xffff0000)>>16;
      double zoom = 0.5;
      double a = x; a /= rect.right; m_x += m_width*(a-0.5);
      a = y; a /= rect.bottom; m_y += m_width*(0.5-a);
      m_width *= zoom;
      InvalidateRect(hWnd,0,0);
      break;
    }
    case WM_DESTROY:
      PostQuitMessage(0);
      break;
    case WM_COMMAND:
      switch(wParam) {
        case 1:
          m_x=-2.5; m_y=-2; m_width=4.0;
          InvalidateRect(hWnd,0,0);
          break;
        case 2: break;
        case 3:
          PostMessage(hWnd, WM_CLOSE,0,0);
          break;
       }
       break;
    case WM_PAINT:
      hdc = BeginPaint(hWnd, &ps);
      RECT rect;
      GetClientRect(hWnd,&rect);
      Draw(hdc,rect.right,rect.bottom);
      EndPaint(hWnd, &ps);
      break;
    case WM_KEYDOWN:
      switch( wParam ) {
        case VK_ESCAPE:
        case VK_F12:
          PostMessage(hWnd, WM_CLOSE,0,0);
          break;
       }
       break;
    default:
     return DefWindowProc(hWnd, message, wParam, lParam);
  }
  return 0;
}