Fee Accounting per Fill Strategy Diagram
This diagram trades confirmed hourly CCI(30) threshold returns with one fixed-volume market order and demonstrates commission accounting for each observed fill. A four-candle cooldown controls new signals, an educational percentage-protection layer can close the position, and one log receives both the calculated per-fill charge and the strategy engine's cumulative commission value.
Strategy Overview
- Finished one-hour candles feed CommodityChannelIndex 30. The indicator emits every value, including values produced before its length is fully formed.
- A buy requires previous CCI < -100 and current CCI >= -100. A sell requires previous CCI > 100 and current CCI <= 100.
- The buy side also requires Position <= 0, the sell side requires Position >= 0, and both require the four-candle cooldown to be ready.
- Each accepted signal submits exactly one market order of fixed Volume. From a flat position it opens the signalled side; against a unit position it closes that position to zero and does not open the other side in the same signal.
- Position protection is an explicit educational layer with a 1% take-profit and a 0.7% fixed stop-loss. It checks only finished candle closes and skips the close of any candle that already produced a signal order.
- Each observed fill produces one synthetic charge using Trade.Price × Trade.Volume × Commission Rate % / 100. The chart shows CCI, orders, fills and both commission series, while formatted commission messages are written to one log stream.
Entry and Exit Rules
- Long entry: When the previous CCI is below -100 and the current CCI returns to -100 or higher, Position <= 0 and the cooldown is ready, submit one market buy of Volume. From flat this opens a long; against a unit short it only closes the short to zero.
- Short entry: When the previous CCI is above 100 and the current CCI returns to 100 or lower, Position >= 0 and the cooldown is ready, submit one market sell of Volume. From flat this opens a short; against a unit long it only closes the long to zero.
- Exit: An opposite eligible CCI signal can flatten a unit position with one fixed-volume market order. Independently, the educational protection layer can close the tracked exposure at a 1% take-profit or a 0.7% fixed stop-loss; its price input receives only finished closes from candles with no signal order.
Parameters
| Parameter | Default | Description |
|---|---|---|
| Candles | 01:00:00 | One-hour time frame; only finished candles drive CCI decisions, cooldown increments and protection price checks. |
| CCI Length | 30 | Length of CommodityChannelIndex; the block emits values without waiting for the indicator to become fully formed. |
| Lower Level | -100 | Lower CCI threshold. A return upward through -100 creates the buy-side crossing condition. |
| Upper Level | 100 | Upper CCI threshold. A return downward through 100 creates the sell-side crossing condition. |
| Cooldown | 4 | Number of finished candles required after a fill before another signal may trade. |
| Commission Rate % | 0.04 | Percentage rate used only by the displayed per-fill formula Trade.Price × Trade.Volume × rate / 100. |
| Take Profit % | 1 | Favourable percentage move used by the educational position-protection layer. |
| Stop Loss % | 0.7 | Adverse percentage move used by the fixed, non-trailing stop in the educational protection layer. |
| Volume | 1 | Fixed quantity of every buy or sell signal order. |
Diagram Details
- The Candles block emits finished hourly candles. Its close is stored for protection, while an Indicator block calculates CCI 30 with formed-only filtering disabled. Per-candle flags preserve all four previous/current threshold comparisons until the final decision pulse.
- Current position supplies the Position <= 0 and Position >= 0 gates. The cooldown starts at 4, is incremented and capped before each candle decision, and resets to 0 on every direct signal-order fill and protection fill. Consequently, finished bars 1, 2 and 3 after a fill are blocked and bar 4 is eligible.
- Two Order registration blocks submit the fixed-Volume market buy and sell. Each block's direct trade output updates protection and resets the cooldown; a dedicated Trades for order block observes the registered Order and supplies the signal-fill stream used by the synthetic fee calculation and chart.
- Both direct signal-fill streams enter Position protection, allowing its internal position to return to zero after a signal close. Its own fill output is not fed back into that input. The no-signal gate releases the stored finished close for a protection check only when neither signal order fired on that candle.
- For each observed buy, sell or protection fill, converters store Trade.Price and Trade.Volume in silent latches. A release pulse then emits rate, price and volume in that order; the Formula updates
a × b × r / 100, and the silent fee state is released last exactly once for that observed fill. - The Strategy P&L Commission output is the engine's cumulative commission and remains zero when the test or live environment has no commission rule configured. The synthetic per-fill formula is a displayed calculation and does not write into that engine value.
- Two String formatter outputs are merged by Combination
and sent to one Log Notification. Trades for order subscribes after it receives the registered Order, so an execution environment that completes an order inside the registration call can produce a fill before that observer is attached; the direct trade output still drives protection and cooldown in that case.
Usage
Import the .json file into Designer, run it in the backtester on historical data, then adjust the parameters or the blocks themselves to fit your instrument before trading it live.