Forming bar momentum

// Purpose: a strategy that decides INSIDE the bar, from the bar still forming -- not from the last one that closed. It buys when, in the minute in
// progress, buyers have taken at least `min_delta` more than sellers, the price is at that bar's high and has come `min_move` up from its open;
// it sells on the mirror of that. It is out at a target of two moves, at a stop of one, or as soon as the bar's buying and selling turn against it.
//
// The bar still forming (`features.forming_open`, `forming_high`, `forming_low`, `forming_volume`, `forming_delta`) is made of the prints the
// strategy is given, so it is the same bar in a backtest, in a replay and live, and it changes at every print. It is unknown in a minute the
// strategy did not see from its start (a part of a bar is another bar) and from a bar's close until the next print, and a rule that reads an
// unknown value does not fire. Its close is `features.price`. Volume and delta are in units of the instrument, like an order's size.
// Category: host
// Permissions: orders.submit
// Preconditions: a chart in hand on the live market or a replay, whose instrument the live feed serves (aggregated prints)
// Side effects: asks the terminal to run the strategy on that market; once running it places orders on the account the person chose.
// Run: Add script on the Market Replay window or the title bar's script icon (replay or real time); Insert strategy in the Datasets window (backtest).

lang ">=0.1.1, <0.2.0";
host "ttt" ">=0.1.9, <0.2.0";
requires "features" ">=0.1.4, <0.2.0";
requires "trade" ">=0.1.0, <0.2.0";

strategy forming_bar_momentum(min_delta: Decimal, min_move: Decimal, size: Quantity) version "1.0.0" {
    // The bar still forming, as the prints so far make it.
    let px = features.price(features.Source.AggTrades);
    let open = features.forming_open(features.Source.AggTrades);
    let high = features.forming_high(features.Source.AggTrades);
    let low = features.forming_low(features.Source.AggTrades);
    let delta = features.forming_delta(features.Source.AggTrades);

    // The open trade: which side, and at what price.
    let held = features.position_sign();
    let entry = features.entry_price();

    rule long_target when exposure_is(Exposure.Open) && held > 0 && px >= entry + 2.0 * min_move
        => order(Side.Sell, Intent.Close, OrderType.Market, Sizing.Fixed(size));
    rule long_stop when exposure_is(Exposure.Open) && held > 0 && px <= entry - min_move
        => order(Side.Sell, Intent.Close, OrderType.Market, Sizing.Fixed(size));
    rule long_turned when exposure_is(Exposure.Open) && held > 0 && delta < 0
        => order(Side.Sell, Intent.Close, OrderType.Market, Sizing.Fixed(size));
    rule short_target when exposure_is(Exposure.Open) && held < 0 && px <= entry - 2.0 * min_move
        => order(Side.Buy, Intent.Close, OrderType.Market, Sizing.Fixed(size));
    rule short_stop when exposure_is(Exposure.Open) && held < 0 && px >= entry + min_move
        => order(Side.Buy, Intent.Close, OrderType.Market, Sizing.Fixed(size));
    rule short_turned when exposure_is(Exposure.Open) && held < 0 && delta > 0
        => order(Side.Buy, Intent.Close, OrderType.Market, Sizing.Fixed(size));

    rule enter_long when exposure_is(Exposure.Flat) && delta >= min_delta && px >= high && px - open >= min_move
        => order(Side.Buy, Intent.Open, OrderType.Market, Sizing.Fixed(size));
    rule enter_short when exposure_is(Exposure.Flat) && delta + min_delta <= 0 && px <= low && open - px >= min_move
        => order(Side.Sell, Intent.Open, OrderType.Market, Sizing.Fixed(size));
    flatten_on_stop;
}

fn main() -> Result<Unit, Error> {
    // Five units of the instrument more bought than sold in the minute, and ten dollars up from its open.
    let run = trade.run(forming_bar_momentum(5.0, 10.0, qty(0.01)))?;
    print(run.name + " on " + run.target + ": " + run.state);
    return Ok(());
}