Strategy Development

Getting Started

QXFinLib .NET is best suited for the algorithmic trading lifecycle — from concept, modelling, backtesting, optimization, to live trading. The platform is built in C# to provide both low-level control and simplicity.

We will explain step-by-step how to develop your own trading system and test it using historical data.

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Create Your First Trading Strategy

A strategy is a set of rules that determines when to buy or sell an instrument.
It can be:

• Backtested on historical data
• Executed in real-time

QXFinLib provides built-in indicators and allows custom indicators.

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Building Blocks of a Trading Strategy

Historical Data

• Represented as OHLCV bars
• Can come from CSV, API, or database
• Converted into TimeDataSeries

Instrument

• Represented by InstrumentBase
• Supports Equity, Futures, Options

Strategy Model

• Custom class inheriting from StrategyBase
• Contains trading logic

Strategy Configuration

StrategyConfigData strategyConfigData = new StrategyConfigData();

strategyConfigData.InitialCapital = 500000;
strategyConfigData.Pyramiding = PyramidingType.Disallow;
strategyConfigData.MaxPyramidingPosition = 1;

strategyConfigData.ContractMultiplier = 1;
strategyConfigData.StopLossTriggerPoint = StopLossTriggerPoint.High_Low_Bar;
strategyConfigData.OrderExecutionAt = OrderExecution.CurrentBar_Close;

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StrategyConfigData Properties

Property	Description
InitialCapital	Initial capital
FilledOrderCommission	Commission per trade
CancelOrderCommission	Cancel cost
LimitOrderSlippage	Slippage
MarketOrderSlippage	Slippage
CommissionType	Per_Contract / Per_Transaction / Percentage
StopLossTriggerPoint	Stop loss logic
SlippageType	Slippage mode
SlippagePercenta	Slippage %
OrderExecutionAt	NextBar_Open / CurrentBar_Close
Pyramiding	Allow/Disallow
MaxPyramidingPosition	Max positions
ContractMultiplier	Contract size
UserID	User
StrategyName	Name
PositionSizerType	Position sizing
PositionSize	Size

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Required DLL References

using QX.FinLib.Data;
using QX.FinLib.Data.TI;
using QX.FinLib.TS.Strategy;

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Strategy Template

using QX.FinLib.Data;
using QX.FinLib.Data.TI;
using QX.FinLib.TS.Strategy;

namespace QX.Strategies
{
    [StrategyAttribute("{B9650BDC-74EB-451E-A05E-2BF7056A2BFA}", "EMAStrategy", "EMA Strategy", "QXT")]
    public class EMAStrategy : StrategyBase
    {
        [Parameter("FastLengthPeriod", DefaultValue = 12)]
        private int _fastLengthPeriod = 5;

        [Parameter("SlowLengthPeriod", DefaultValue = 15)]
        private int _slowLengthPeriod = 12;

        private IndicatorBase _slowEMAIndicator;
        private IndicatorBase _fastEMAIndicator;

        protected override void Initialize()
        {
            _slowEMAIndicator = GetIndicator("EMA");
            _fastEMAIndicator = GetIndicator("EMA");
        }

        protected override void OnStateChanged()
        {
            if (StrategyState == StrategyState.ActiveMode)
            {
                _slowEMAIndicator.SetFieldValue("LengthPeriod", _slowLengthPeriod);
                _fastEMAIndicator.SetFieldValue("LengthPeriod", _fastLengthPeriod);
            }
        }

        public override void ProcessStrategy()
        {
            if (CurrentIndex < _slowLengthPeriod)
                return;

            CrossOver crossover =
                _fastEMAIndicator["EMA"].Cross(_slowEMAIndicator["EMA", CurrentIndex]);

            if (crossover == CrossOver.Above)
                EnterLongAtMarket(1, "Buy");

            else if (crossover == CrossOver.Below)
                EnterShortAtMarket(1, "Sell");
        }
    }
}

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Strategy Input Parameter

[Parameter("FastLengthPeriod", DefaultValue = 12)]
private int _fastLengthPeriod = 5;

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Initialize Method

protected override void Initialize()
{
    _slowEMAIndicator = GetIndicator("EMA");
    _fastEMAIndicator = GetIndicator("EMA");
}

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OnStateChanged Method

protected override void OnStateChanged()
{
    if (StrategyState == StrategyState.ActiveMode)
    {
        _slowEMAIndicator.SetFieldValue("LengthPeriod", _slowLengthPeriod);
        _fastEMAIndicator.SetFieldValue("LengthPeriod", _fastLengthPeriod);
    }
}

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Strategy States

State	Description
ConfigureMode	Initial
ActiveMode	Before execution
HistoricalMode	Backtesting
RealtimeMode	Live
TerminateMode	End

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Calculation Mode

OnBarClose

Default mode — runs after bar closes

OnEachTick

Runs on every tick update

protected override void OnStateChanged()
{
    if (StrategyState == StrategyState.ConfigureMode)
    {
        CalculationMode = CalculationMode.OnEachTick;
    }
}