FVG Trading Bot for NinjaTrader

Automated Fair Value Gap (FVG) trading system using Python for signal detection and NinjaTrader for order execution.

System Architecture

Component Overview

┌─────────────────────────────────────────────────────────────┐
│                   NinjaTrader Strategies                     │
│  (Data Feed Providers - Export to CSV)                      │
│  • HistoricalData.cs - Exports hourly bars                  │
│  • LiveFeed.cs - Exports real-time tick data                │
└─────────────────┬───────────────────────────────────────────┘
                  │
                  ▼
         ┌────────────────┐
         │   data folder   │
         │  • HistoricalData.csv                               │
         │  • LiveFeed.csv                                     │
         └────────┬───────┘
                  │
                  ▼
┌─────────────────────────────────────────────────────────────┐
│                  fvg_bot.py (CORE ENGINE)                    │
│  • Detects Fair Value Gaps from hourly bars                 │
│  • Monitors live price for zone entries                     │
│  • Manages zone cooldowns (60 min)                          │
│  • Sends signals to trade_signals.csv                       │
└─────────────────┬───────────────────────────────────────────┘
                  │
                  ▼
         ┌────────────────┐
         │ trade_signals.csv                                   │
         │ (DateTime, Signal, Direction)                       │
         └────────┬───────┘
                  │
                  ▼
┌─────────────────────────────────────────────────────────────┐
│            fvgbot.cs (NinjaTrader Strategy)                  │
│  • Reads signals from CSV                                   │
│  • Executes market orders                                   │
│  • Sets stop loss (10 points)                               │
│  • Sets profit target (5 points)                            │
│  • Manages position size                                    │
└─────────────────────────────────────────────────────────────┘

Components

1. fvg_bot.py - Signal Detection Engine

Location: fvg_bot.py

Responsibilities:

Scans hourly bars for Fair Value Gaps (minimum 2.5 points)
Tracks active FVG zones (up to 100 bars old)
Monitors real-time price for zone entries
Enforces 60-minute cooldown per zone
Writes signals to data/trade_signals.csv

Signal Format:

DateTime,Signal,Direction
01/15/2025 14:30:00,FVG_RETEST,LONG

Key Features:

Bullish FVG → SHORT signal when price enters zone
Bearish FVG → LONG signal when price enters zone
Zone cooldown prevents re-trading same zone
Real-time monitoring (1-second refresh)

2. fvgbot.cs - NinjaTrader Execution Strategy

Location: ninjascripts/fvgbot.cs

Responsibilities:

Reads data/trade_signals.csv every 2 seconds
Executes market entry orders
Sets stop loss at 10 points from fill price
Sets profit target at 5 points from fill price
Logs actual fills to trades_taken.csv

Configurable Parameters:

Contract Quantity: Number of contracts to trade (default: 12)
Profit Target: Points from entry (default: 5.0)
Stop Loss: Points from entry (default: 10.0)
File Check Interval: Seconds between CSV checks (default: 2)

Order Management:

Entry: Market Order (quantity from parameter)
Stop Loss: 10 points from ACTUAL fill price
Profit Target: 5 points from ACTUAL fill price

3. NinjaTrader Data Providers

Location: ninjascripts/ (HistoricalData.cs, LiveFeed.cs)

Purpose: Feed data to Python bot by exporting:

HistoricalData.csv - Hourly OHLC bars
LiveFeed.csv - Real-time tick data

These strategies run continuously in NinjaTrader to provide data.

Data Flow

Signal Generation Flow

HistoricalData.cs exports hourly bars → data/HistoricalData.csv
LiveFeed.cs exports live ticks → data/LiveFeed.csv
fvg_bot.py scans for FVG zones, monitors price
When price enters zone → writes to data/trade_signals.csv
fvgbot.cs reads signal → executes trade
fvgbot.cs sets stops/targets → logs to trades_taken.csv

CSV File Structure

trade_signals.csv (Cleared on fvg_bot.py startup)

DateTime,Signal,Direction
01/15/2025 14:30:00,FVG_RETEST,LONG

trades_taken.csv (Python log - zone tracking)

Signal_DateTime,Signal_Type,Direction,Zone_Bottom,Zone_Top,Gap_Size
01/15/2025 14:30:00,FVG_RETEST,LONG,5823.50,5828.25,4.75

trades_taken.csv (NinjaTrader log - actual fills)

Entry_DateTime,Signal_DateTime,Signal_Type,Direction,Actual_Entry_Price,Stop_Loss,Profit_Target,Quantity
01/15/2025 14:30:15,01/15/2025 14:30:00,FVG_RETEST,LONG,5825.00,5815.00,5830.00,12

Installation & Setup

1. Install Python Bot

cd "C:\Users\Joshua\Documents\Projects\FVG Bot"
pip install pandas numpy

2. Install NinjaTrader Strategies

Copy all .cs files from ninjascripts/ to NinjaTrader's strategies folder
Compile in NinjaTrader (Tools → Compile)
Add strategies to chart:
- HistoricalData - 1 Hour chart for data export
- LiveFeed - Tick chart for real-time data
- FVG - Main execution strategy (any timeframe)

3. Configure Paths

Ensure these folders exist:

C:\Users\Joshua\Documents\Projects\FVG Bot\data\

Running the System

Start Sequence

NinjaTrader: Start HistoricalData and LiveFeed strategies
Python: Run python fvg_bot.py
NinjaTrader: Start FVG strategy

Stop Sequence

Stop FVG strategy (lets positions close)
Stop fvg_bot.py (Ctrl+C)
Stop data feed strategies

Configuration

Python Bot (`fvg_bot.py`)

self.zone_cooldown_minutes = 60  # Cooldown per zone
# Minimum FVG gap size: 2.5 points (hardcoded in find_fvgs_in_data)

NinjaTrader Strategy (`fvgbot.cs`)

Access via strategy parameters in NinjaTrader:

Contract Quantity: 1-100 contracts
Profit Target: 1.0-50.0 points
Stop Loss: 1.0-50.0 points
File Check Interval: 1-60 seconds

Trading Rules

Fair Value Gap Detection

Minimum Gap: 2.5 points
Bullish FVG: Gap between candle1.High and candle3.Low
Bearish FVG: Gap between candle3.High and candle1.Low

Entry Rules

Bullish Zone (SHORT): Price enters from above
Bearish Zone (LONG): Price enters from below
Cooldown: 60 minutes per zone after signal

Exit Rules (NinjaTrader Handles)

Profit Target: 5 points from entry
Stop Loss: 10 points from entry
Risk:Reward: 1:2 (10pt risk, 5pt reward)

Monitoring

Python Bot Console

Real-time FVG zones display
Distance to nearest zones
Signal generation alerts

NinjaTrader Output

Entry fills with actual prices
Stop/target placement
Exit fills (PT or SL)

Log Files

trades_taken.csv - Python signal log
trades_taken.csv - NinjaTrader execution log

Troubleshooting

No Signals Generated

Check data/HistoricalData.csv has recent data
Verify FVG zones exist (check Python console)
Ensure price is within zone boundaries

Signals Not Executing

Verify fvgbot.cs is running in NinjaTrader
Check file paths in strategy parameters
Review NinjaTrader Output window for errors

Multiple Signals for Same Zone

Check cooldown period (60 min default)
Verify trades_taken.csv has correct timestamps

File Structure

FVG Bot/
├── fvg_bot.py                 # Main signal detection engine
├── data/
│   ├── HistoricalData.csv     # Hourly bars (from NinjaTrader)
│   ├── LiveFeed.csv           # Real-time ticks (from NinjaTrader)
│   ├── trade_signals.csv      # Signals to NinjaTrader
│   └── trades_taken.csv       # Trade logs
├── ninjascripts/
│   ├── fvgbot.cs              # Main execution strategy
│   ├── HistoricalData.cs      # Hourly data exporter
│   └── LiveFeed.cs            # Live tick exporter
└── README.md

Performance Notes

Latency: ~2-3 seconds from signal to execution
Update Frequency: Python checks every 1 second
File Check: NinjaTrader checks CSV every 2 seconds
Zone Lifespan: Maximum 100 bars (removed after)

Risk Disclaimer

This is an automated trading system. Always:

Test on simulator before live trading
Monitor system performance
Understand risk per trade (10 points)
Use appropriate position sizing
Have manual kill switch ready

Name		Name	Last commit message	Last commit date
.claude		.claude
data		data
docs		docs
ninjascripts		ninjascripts
.gitignore		.gitignore
README.md		README.md
fvg_bot.py		fvg_bot.py
requirements.txt		requirements.txt

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