Tradovate Patterns

Lightweight scaffold for Tradovate JavaScript indicator development.

File Conventions

• File naming: *LB.js or *ProLB.js

• Tags: Must include "Luther Barnum"

Dependencies

const predef = require("./tools/predef"); const meta = require("./tools/meta"); const { ParamType } = meta;

Class Structure

class IndicatorName { init() { // One-time initialization this.cumulativeValue = 0; }

map(d, i, history) {
    // d = current bar { open, high, low, close, volume, timestamp }
    // i = bar index
    // history = historical data access

    const result = {};
    result.plotName = calculatedValue;
    return result;
}

filter() {
    // Optional validation
    return true;
}

}

Export Pattern

module.exports = { name: "indicator-name", description: "Description of indicator", calculator: IndicatorName, params: { period: predef.paramSpecs.period(14), multiplier: { type: ParamType.NUMBER, def: 1.0, step: 0.1, min: 0.1, max: 10.0 } }, plots: { value: { title: "Value" }, upperBand: { title: "Upper Band" } }, inputType: meta.InputType.BARS, tags: ["Luther Barnum", "vwap", "trading"], schemeStyles: { dark: { value: predef.styles.plot({ color: "#00FF00" }) } } };

Session Types

Access via this.props.type :

• "chart"

• Reset per trading day

• "session"

• Reset at specific time

• "rolling"

• Reset per N-bar window

History Access

// Previous bar const prevBar = history.prior();

// Specific historical bar const bar = history.get(i - 5);

// Direct array access const data = history.data[i];

Session Detection

map(d, i, history) { const tradeDate = d.tradeDate();

if (tradeDate !== this.lastTradeDate) {
    // New session - reset values
    this.cumulativeValue = 0;
    this.lastTradeDate = tradeDate;
}

}

Helper Functions

function number(defValue, step, min, max) { return { type: ParamType.NUMBER, def: defValue, step, min, max }; }

Complete Example

Reference: /Users/lgbarn/Personal/Indicators/Tradovate/LRBMACD.js

const predef = require("./tools/predef"); const meta = require("./tools/meta"); const SMA = require("./tools/SMA");

class SimpleMACD { init() { this.fastSMA = SMA(this.props.fast); this.slowSMA = SMA(this.props.slow); this.signalSMA = SMA(this.props.signal); }

map(d, i) {
    const value = d.value();
    const macd = this.fastSMA(value) - this.slowSMA(value);

    let signal;
    let histogram;

    if (i >= this.props.slow - 1) {
        signal = this.signalSMA(macd);
        histogram = macd - signal;
    }

    return { macd, signal, histogram, zero: 0 };
}

filter(d) {
    return predef.filters.isNumber(d.histogram);
}

}

module.exports = { name: "simple-macd-lb", description: "Simple MACD Indicator", calculator: SimpleMACD, params: { fast: predef.paramSpecs.period(3), slow: predef.paramSpecs.period(10), signal: predef.paramSpecs.period(16) }, validate(obj) { if (obj.slow < obj.fast) { return meta.error("slow", "Slow must be >= fast"); } }, inputType: meta.InputType.BARS, plots: { macd: { title: "MACD" }, signal: { title: "Signal" }, histogram: { title: "Histogram" }, zero: { displayOnly: true } }, tags: ["Luther Barnum", predef.tags.Oscillators], schemeStyles: { dark: { macd: predef.styles.plot("#FFA500"), signal: predef.styles.plot("#0000FF"), histogram: predef.styles.plot("#FF3300"), zero: predef.styles.plot({ color: "#B5BAC2", lineStyle: 3 }) } } };

VWAP Calculation Pattern

class SessionVWAP { init() { this.cumVolume = 0; this.cumVwap = 0; this.cumVwap2 = 0; this.lastTradeDate = null; }

map(d, i, history) {
    const currentDate = d.tradeDate();

    // Reset on new session
    if (currentDate !== this.lastTradeDate) {
        this.cumVolume = 0;
        this.cumVwap = 0;
        this.cumVwap2 = 0;
        this.lastTradeDate = currentDate;
    }

    const typicalPrice = (d.high() + d.low() + d.close()) / 3;
    const volume = d.volume();

    this.cumVolume += volume;
    this.cumVwap += volume * typicalPrice;
    this.cumVwap2 += volume * typicalPrice * typicalPrice;

    if (this.cumVolume === 0) {
        return { vwap: undefined, upper: undefined, lower: undefined };
    }

    const vwap = this.cumVwap / this.cumVolume;
    const variance = (this.cumVwap2 / this.cumVolume) - (vwap * vwap);
    const stdev = variance > 0 ? Math.sqrt(variance) : 0;

    return {
        vwap,
        upper: vwap + stdev,
        lower: vwap - stdev
    };
}

}

Error Handling Patterns

Validation function

validate(obj) { if (obj.period < 1) { return meta.error("period", "Period must be >= 1"); } if (obj.slow <= obj.fast) { return meta.error("slow", "Slow must be greater than fast"); } }

Check history in map()

map(d, i, history) { // Not enough history if (i < this.props.period - 1) { return { value: undefined }; }

// Check previous bar exists
const prev = history.prior();
if (!prev) {
    return { value: undefined };
}

}

Safe division

const divisor = d.high() - d.low(); const result = divisor === 0 ? 0 : (d.close() - d.low()) / divisor;

Filter invalid data

filter(d) { return predef.filters.isNumber(d.value); }

// Or multiple checks filter(d) { return predef.filters.isNumber(d.value) && predef.filters.isNumber(d.signal); }

Undefined checks

map(d, i, history) { const prev = history.prior(); const prevClose = prev ? prev.close() : d.close(); }

Trading Context

• Focus: /ES, /NQ futures

• Timeframe: 5-minute

• Key concepts: VWAP, Session detection, Cumulative calculations

• Location: /Users/lgbarn/Personal/Indicators/Tradovate/

Documentation Sources

Use WebSearch to find Tradovate indicator documentation:

• Tradovate Community Forum (community.tradovate.com)

• Tradovate Indicator API examples