Session OR break

Builds the London opening range on EURUSD from 08:00 to 08:30 London time, then emits when a bar closes above its high or below its low during the rest of the London session. Each direction fires at most once a day.

What it defines

Events or_break_up and or_break_dn, carrying the range high and low, the break close, and the session key.

Key decisions

Full script

meta({
  name: "OR break",
  kind: "flow",
  slug: "or-break",
  shortName: "ORBreak",
  runOn: ["1m", "5m", "15m"],
  runOnReason: "The opening range is 30 minutes of intraday bars",
});

warmup((w) => w.day());

events.declare({
  id: "or_break_up",
  intent: "signal",
  payload: {
    orHigh: { type: "number", description: "Opening range high, 08:00 to 08:30 London" },
    orLow: { type: "number", description: "Opening range low, 08:00 to 08:30 London" },
    close: { type: "number", description: "Close of the breaking bar" },
    sessionKey: { type: "string", description: "Start of the opening range session (UTC ISO)" },
  },
  paint: "pin",
  oncePer: { keys: ["sessionKey"] },
});

events.declare({
  id: "or_break_dn",
  intent: "signal",
  payload: {
    orHigh: { type: "number", description: "Opening range high, 08:00 to 08:30 London" },
    orLow: { type: "number", description: "Opening range low, 08:00 to 08:30 London" },
    close: { type: "number", description: "Close of the breaking bar" },
    sessionKey: { type: "string", description: "Start of the opening range session (UTC ISO)" },
  },
  paint: "pin",
  oncePer: { keys: ["sessionKey"] },
});

outputs.declare({ id: "or_high", kind: "line", name: "OR high", color: "#26a69a" });
outputs.declare({ id: "or_low", kind: "line", name: "OR low", color: "#ef5350" });

const LONDON = "Europe/London";

export function onBar(ctx) {
  const orWin = ctx.session({
    period: "daily",
    open: { hour: 8, minute: 0 },
    close: { hour: 8, minute: 30 },
    tz: LONDON,
  });
  const london = ctx.session({
    period: "daily",
    open: { hour: 8, minute: 0 },
    close: { hour: 16, minute: 30 },
    tz: LONDON,
  });

  const st = ctx.accum("or", () => ({ key: "", high: 0, low: 0 }), (prev) => {
    if (orWin.didOpen) return { key: orWin.key, high: ctx.high, low: ctx.low };
    if (orWin.isOpen && prev.key === orWin.key) {
      return {
        key: prev.key,
        high: Math.max(prev.high, ctx.high),
        low: Math.min(prev.low, ctx.low),
      };
    }
    return prev;
  });

  // Today's range is complete and the London session is still open.
  if (st.key !== orWin.key || orWin.isOpen || !london.isOpen) return;

  ctx.plot("or_high", st.high);
  ctx.plot("or_low", st.low);

  if (ctx.barConfirmed === false) return;

  const payload = {
    orHigh: st.high,
    orLow: st.low,
    close: ctx.close,
    sessionKey: st.key,
  };

  if (ctx.close > st.high) {
    ctx.emit("or_break_up", payload, {
      label: "OR break ↑",
      subtitle: `H ${st.high.toFixed(5)}`,
      price: ctx.close,
    });
  } else if (ctx.close < st.low) {
    ctx.emit("or_break_dn", payload, {
      label: "OR break ↓",
      subtitle: `L ${st.low.toFixed(5)}`,
      price: ctx.close,
    });
  }
}

The session key is the range window's start time, so both events for one day share it and oncePer keeps one of each. For a different market, change open, close and tz on both sessions, and the decimals in the subtitles. The options are on Sessions.