Writing Strategies: Basic Structure

A strategy consists of two main parts:

1. Indicator registration
2. The onBar function

Here's a minimal example:

// 1. Register any indicators you need
registerIndicator("SMA", "BUILTIN", { 
  period: 20,
  field: "close"
}, "SMA_20_CLOSE");  // Custom ID for this instance

// 2. Define your strategy logic
function onBar(data, indicators, positions, trades) {
  const rowCount = data.close.length;
  const signals = new Array(rowCount).fill("HOLD");
  
  for (let i = 0; i < rowCount; i++) {
    const token = data.token_address[i];
    const sma = indicators.getValue("SMA_20_CLOSE", token);
  
    if (data.close[i] > sma) {
      signals[i] = "BUY";
    } else if (data.close[i] < sma) {
      signals[i] = "SELL";
    }
  }
  
  return signals;
}

The onBar function receives four parameters:

• data: Object containing arrays for each price/volume field
• indicators: The indicator manager for accessing indicator values
• positions: Array of current open positions with their quantities and average costs
• trades: Array of all historical trades with realized PnL

Each position object contains:

interface Position {
  token: string;      // Token identifier
  quantity: number;   // Current quantity held
  avgCost: number;    // Average purchase price
}

Each trade record contains:

interface TradeRecord {
  token: string;
  timestamp: string;       // e.g., "2024-06-01 12:00"
  action: 'BUY' | 'SELL';
  price: number;          // includes slippage
  quantity: number;
  realizedPnl: number;    // if any, on partial or full close
}