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Automated Trading Strategies Suite

Assembly: TraderJan.Strategies.dll
Source Files: TJ Alpha Strategy.cs, Options Strategy.cs
Framework: ATAS Native C# Strategy Engine (ATAS.Indicators.Technical.Strategy)

🟢 Part 1: Layman & Trader Guide

1. What are Trader-Jan Strategies?

Trader-Jan Strategies are fully automated execution robots that run directly inside the ATAS platform. While indicators only draw lines, arrows, and statistics on the chart, strategies have the authority to: * Submit live market, limit, and stop orders to your broker or prop firm account (Apex, Topstep, Tradovate, Rithmic, Interactive Brokers). * Manage open trades with sub-millisecond precision. * Automatically close positions when daily loss limits or time rules are reached.

2. Supported Strategy Types

  1. TJ Alpha Strategy (Engine A):
  2. Trades automated price-action reversals and breakouts derived from order flow delta and wick rejections.
  3. Options Strategy (Engine B):
  4. Trades automated gamma wall sweeps and magnet drift setups derived from institutional options flow.

3. How Order Execution Works (ATM Brackets)

When a valid signal triggers on the chart, the strategy manages the trade following strict rules: * Immediate Entry: Submits an order at the market or limit price. * Automatic OCO Bracket: The exact moment your entry fills, the strategy immediately submits two linked orders: * A Take Profit (TP) limit order at your target price. * A Stop Loss (SL) stop order to protect against adverse moves. * One-Cancels-Other (OCO): If your profit target is reached, the stop loss is automatically cancelled (and vice-versa). * Two-Stage Breakeven: Once the trade reaches your first profit milestone (e.g., +15 ticks), the stop loss order is automatically moved up to your entry price + 1 tick to guarantee a risk-free trade. * Trailing Stop: If configured, the stop ratchets tighter behind price as the trade moves further into profit.

4. Prop Firm Safety & Account Protection

Designed specifically for prop trading evaluations and live funded accounts, the strategies feature hard protective gates: * Daily Loss Limit Circuit Breaker: If your cumulative losses on the day reach your threshold (e.g. -$450), the strategy flattens any open position and refuses to enter any new trades until 17:00 CT. * Session Close Auto-Flatten: Never hold contracts into the CME electronic session break or weekend. The strategy automatically exits positions before the 16:00 / 17:00 CT boundary. * Pre-Trade Risk Clamp: If a setup requires a stop loss wider than your maximum allowed loss per trade, the order is blocked before submission.

💻 Part 2: Expert & Developer Specification

1. State Machine Architecture & Order Lifecycle

The strategy execution engine operates as a deterministic, asynchronous finite state machine (FSM):

stateDiagram-v2
    [*] --> Idle
    Idle --> PendingEntry: Signal Received & Risk Gates Pass
    PendingEntry --> Filled: OnOrderChanged (Filled)
    PendingEntry --> Idle: Order Canceled / Timed Out
    Filled --> ManagingBrackets: OCO Bracket Submitted
    ManagingBrackets --> BreakevenRatcheted: Profit >= BreakevenTrigger
    BreakevenRatcheted --> TrailingRatcheted: Price advances by TrailingStep
    ManagingBrackets --> Closed: TP Hit or SL Hit
    BreakevenRatcheted --> Closed: Exit Order Filled
    TrailingRatcheted --> Closed: Exit Order Filled
    ManagingBrackets --> Flattened: Daily Circuit Breaker / Session End
    Closed --> Idle: Clean State & Reset
    Flattened --> Halted: Locked Until 17:00 CT

2. Dual Operation Modes: Bus Listener vs Internal Calculation

Trader-Jan strategies support two architectural operational modes: 1. Indicator Bus Listener Mode (UseIndicatorBus = true): * Strategy scans the host chart for an active instance of Alpha Signal or Options Signal. * Directly subscribes to the 9-series DataSeries unmanaged bus. * Zero redundant calculations: chart visualizer computes mathematics, strategy focuses exclusively on low-latency order execution. 2. Autonomous Headless Mode (UseIndicatorBus = false): * Strategy instantiates internal signal calculation engines (PnLSimulator, GexEngine). * Operates completely independently of chart rendering for headless backtesting or background execution.

3. ATAS Event Handlers & Concurrency Contracts

Strategies inherit from ATAS Strategy base class and bind to native lifecycle hooks: * OnCalculate(int bar, decimal value): Evaluates signal bar completions, checks clock time constraints against CME 17:00 CT rollover, and updates intra-bar trailing stops. * OnOrderChanged(Order order): Tracks order state transitions (Pending, Filled, Cancelled). Employs lock-guarded ID mappings to match broker IDs against internal trade structures. * OnTradeChanged(MyTrade trade): Ingests fill price, executed volume, and broker commission. Computes realized mark-to-market PnL and updates daily circuit breakers.

4. Race Condition & Slippage Mitigation

To ensure bit-perfect synchronization with the Python backtester under live market conditions: * Adverse Fill Model: Strategies account for tick-level slippage when evaluating bracket distances. * Stop-Loss Execution Priority: In high-volatility bars where both TP and SL price thresholds are breached simultaneously, the execution harness always yields priority to the protective stop order.