EMA Cross Limit Entries from Level 1
This diagram follows the EMA(14)/EMA(50) signal from TwoDLimitsStrategy while making order handling visible. A completed five-minute candle samples Level 1, places a limit slightly behind the best quote, and cancels an unfilled order when the averages cross back.
Strategy Overview
- Finished five-minute candles feed fast EMA(14) and slow EMA(50); two Crossing blocks detect both directions.
- BestBidPrice and BestAskPrice arrive asynchronously from Level 1 and are latched on each candle before prices are calculated.
- Buy limits sit 0.02% below the best bid and sell limits 0.02% above the best ask, leaving time for Order cancellation to be observed.
- A fill starts a 100-candle N values cooldown. Until it completes, both new entries and the price stream used by Position protection are disabled.
- Position protection activates after the cooldown with a 0.3% stop and 0.6% target.
Entry and Exit Rules
- Long entry: EMA(14) crosses above EMA(50), Position is zero or short, a positive best bid is available, and the cooldown is complete. A buy limit is placed below the sampled bid; its volume is abs(Position) plus the base volume, so one fill can close a short and open a long.
- Short entry: EMA(14) crosses below EMA(50), Position is zero or long, a positive best ask is available, and the cooldown is complete. A sell limit is placed above the sampled ask with the same net-reversal volume rule.
- Exit: A reverse EMA cross cancels the latest still-active opposite limit. After an entry fill and the 100-candle holdoff, Position protection exits at a 0.3% stop or 0.6% take profit; a reverse filled limit can also reverse the position.
Parameters
| Parameter | Default | Description |
|---|---|---|
| Candle Time Frame | 00:05:00 | Finished-candle interval used by both EMAs, quote sampling, cooldown counting, and protection checks. |
| Fast EMA Length | 14 | Number of five-minute values in the fast exponential moving average. |
| Slow EMA Length | 50 | Number of five-minute values in the slow exponential moving average. |
| Quote Offset | 0.02% | Percentage moved away from the best quote: below bid for buys and above ask for sells. |
| Base Volume | 1 | Position size opened after any opposite exposure has been netted out. |
| Cooldown, candles | 100 | Finished candles ignored after every strategy fill before entries and protection are enabled again. |
| Stop Loss | 0.3% | Percentage distance of the protective stop from the entry fill. |
| Take Profit | 0.6% | Percentage distance of the profit target from the entry fill. |
Diagram Details
- The C# source enters with market orders; the diagram intentionally uses Level 1 limit orders so registration and cancellation have a visible lifecycle.
- The original 200/400 price-step distances are represented as approximately 0.3%/0.6% for the BTCUSDT replay price, preserving the 1:2 ratio.
- The source checks neither stop nor target during its first 100 bars after a fill. Gating the protection price reproduces that ordering instead of describing protection as continuously active.
- Quote latches keep the asynchronous Level 1 stream aligned with the candle-clocked EMA decision. Price shrinking is disabled because the replay security may not declare a price step.
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.