Low Volatility Stocks

namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;
using System.Globalization;
using System.IO;
using System.Linq;

using Ecng.Common;

using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

/// <summary>Low Volatility Stocks with point-in-time inputs and execution-based portfolio accounting.</summary>
public class LowVolatilityStocksStrategy : Strategy
{
	private readonly StrategyParam<IEnumerable<Security>> _universe;
	private readonly StrategyParam<decimal> _capital;
	private readonly StrategyParam<decimal> _leverage;
	private readonly StrategyParam<decimal> _minTradeUsd;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<string> _priceHistoryFile;
	private readonly StrategyParam<int> _volWindowDays;
	private readonly StrategyParam<int> _deciles;
	private Security[] _securities = [];
	private readonly Dictionary<Security, (DateTime time, decimal price)> _latest = [];
	private readonly Dictionary<Security, SortedDictionary<DateTime, decimal>> _history = [];
	private readonly Dictionary<Security, decimal> _targets = [];
	private readonly List<Order> _pending = [];
	private int _lastRebalance;
	private DateTime? _lastBar;

	/// <summary>Explicit execution securities with valid native volume metadata.</summary>
	public IEnumerable<Security> Universe { get => _universe.Value; set => _universe.Value = value; }

	/// <summary>Fixed capital budget in USD.</summary>
	public decimal Capital { get => _capital.Value; set => _capital.Value = value; }

	/// <summary>Gross target exposure divided by the capital budget.</summary>
	public decimal Leverage { get => _leverage.Value; set => _leverage.Value = value; }

	/// <summary>Minimum USD adjustment; complete liquidation bypasses this filter.</summary>
	public decimal MinTradeUsd { get => _minTradeUsd.Value; set => _minTradeUsd.Value = value; }

	/// <summary>Finished execution candle type.</summary>
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	/// <summary>Optional daily close CSV; future dates cannot prefill a decision.</summary>
	public string PriceHistoryFile { get => _priceHistoryFile.Value; set => _priceHistoryFile.Value = value; }

	/// <summary>Completed daily returns in the sample standard deviation.</summary>
	public int VolWindowDays { get => _volWindowDays.Value; set => _volWindowDays.Value = value; }

	/// <summary>Number of volatility buckets.</summary>
	public int Deciles { get => _deciles.Value; set => _deciles.Value = value; }

	/// <summary>Initialize the strategy parameters.</summary>
	public LowVolatilityStocksStrategy()
	{
		_universe = Param<IEnumerable<Security>>(nameof(Universe)).SetRequired()
			.SetDisplay("Universe", "Explicit execution securities with valid native volume metadata", "Parameters");
		_capital = Param(nameof(Capital), 100000m).SetGreaterThanZero()
			.SetDisplay("Capital", "Fixed capital budget in USD", "Parameters");
		_leverage = Param(nameof(Leverage), 1m).SetGreaterThanZero()
			.SetDisplay("Leverage", "Gross target exposure divided by the capital budget", "Parameters");
		_minTradeUsd = Param(nameof(MinTradeUsd), 200m).SetRange(0m, decimal.MaxValue)
			.SetDisplay("MinTradeUsd", "Minimum USD adjustment; complete liquidation bypasses this filter", "Parameters");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1440).TimeFrame())
			.SetDisplay("CandleType", "Finished execution candle type", "Parameters");
		_priceHistoryFile = Param<string>(nameof(PriceHistoryFile))
			.SetDisplay("PriceHistoryFile", "Optional daily close CSV; future dates cannot prefill a decision", "Parameters");
		_volWindowDays = Param(nameof(VolWindowDays), 60).SetRange(2, int.MaxValue)
			.SetDisplay("VolWindowDays", "Completed daily returns in the sample standard deviation", "Parameters");
		_deciles = Param(nameof(Deciles), 10).SetRange(2, int.MaxValue)
			.SetDisplay("Deciles", "Number of volatility buckets", "Parameters");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> (Universe ?? []).Where(s => s is not null).DistinctBy(s => s.Id, StringComparer.OrdinalIgnoreCase).Select(s => (s, CandleType));

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_securities = [];
		_latest.Clear();
		_history.Clear();
		_targets.Clear();
		_pending.Clear();
		_lastRebalance = 0;
		_lastBar = null;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		_securities = (Universe ?? []).ToArray();
		if (_securities.Length == 0 || _securities.Any(s => s is null || string.IsNullOrWhiteSpace(s.Id))
			|| _securities.Select(s => s.Id).Distinct(StringComparer.OrdinalIgnoreCase).Count() != _securities.Length)
			throw new InvalidOperationException("Universe must contain distinct execution securities.");
		foreach (var security in _securities)
		{
			if (security.VolumeStep is not > 0m || security.MinVolume is not > 0m || security.MaxVolume is not > 0m)
				throw new InvalidOperationException("Every security needs positive VolumeStep, MinVolume and MaxVolume.");
			_history[security] = [];
		}
		LoadPriceHistory();

		base.OnStarted2(time);
		foreach (var security in _securities)
			SubscribeCandles(CandleType, security: security).Bind(candle => ProcessCandle(security, candle)).Start();
	}

	private void ProcessCandle(Security security, ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished || candle.ClosePrice <= 0m) return;
		_latest[security] = (candle.OpenTime, candle.ClosePrice);
		_history[security][candle.OpenTime.Date] = candle.ClosePrice;
		if (_latest.Count != _securities.Length || _latest.Values.Any(v => v.time != candle.OpenTime)
			|| _lastBar == candle.OpenTime || !IsFormedAndOnlineAndAllowTrading()) return;
		_lastBar = candle.OpenTime;
		var month = candle.OpenTime.Year * 100 + candle.OpenTime.Month;
		if (_lastRebalance != month && SelectTargets(candle.OpenTime))
			_lastRebalance = month;
		ReconcileTargets();
	}

	private decimal Budget => Capital * Leverage;

	private DateTime AsOf(DateTime time)
		=> CandleType.Arg is TimeSpan frame ? time.Add(frame).AddTicks(-1) : time;

	private decimal UnitPrice(Security security) => _latest[security].price;

	private decimal Units(Security security, decimal notional)
		=> Math.Floor(notional / UnitPrice(security) / security.VolumeStep.Value) * security.VolumeStep.Value;

	private void ReconcileTargets()
	{
		if (_pending.Any(o => o.State is not (OrderStates.Done or OrderStates.Failed))) return;
		_pending.Clear();
		foreach (var security in _securities)
		{
			if (!_targets.TryGetValue(security, out var target)) continue;
			var delta = target - GetPositionValue(security, Portfolio).GetValueOrDefault();
			if (delta == 0m || (target != 0m && Math.Abs(delta) * UnitPrice(security) < MinTradeUsd)) continue;
			var step = security.VolumeStep.Value;
			var quantity = Math.Floor(Math.Min(Math.Abs(delta), security.MaxVolume.Value) / step) * step;
			if (quantity < security.MinVolume.Value) continue;
			var order = new Order
			{
				Security = security, Portfolio = Portfolio, Type = OrderTypes.Market,
				Side = delta > 0m ? Sides.Buy : Sides.Sell, Volume = quantity, Comment = "0377Rebalance",
			};
			_pending.Add(order);
			RegisterOrder(order);
		}
	}

	private static DateTime ParseUtc(string value)
		=> DateTime.ParseExact(value.Trim(), "yyyy-MM-dd'T'HH:mm:ss'Z'", CultureInfo.InvariantCulture, DateTimeStyles.AssumeUniversal | DateTimeStyles.AdjustToUniversal);

	private static IEnumerable<string[]> ReadRows(string path, string header, int fields)
	{
		using var lines = File.ReadLines(path).GetEnumerator();
		if (!lines.MoveNext() || lines.Current.Trim() != header)
			throw new InvalidOperationException("Invalid CSV header: expected " + header + ".");
		while (lines.MoveNext())
		{
			if (string.IsNullOrWhiteSpace(lines.Current)) continue;
			var row = lines.Current.Split(',');
			if (row.Length != fields) throw new InvalidOperationException("Invalid CSV field count.");
			yield return row;
		}
	}

	private DateTime LastClosedDate(DateTime time)
		=> CandleType.Arg is TimeSpan frame && frame == TimeSpan.FromDays(1) ? time.Date : time.Date.AddDays(-1);

	private decimal[] Daily(Security security, DateTime time, int count, DateTime cutoff)
		=> _history[security].Where(x => x.Key <= LastClosedDate(time) && x.Key < cutoff).Select(x => x.Value).TakeLast(count).ToArray();

	private void LoadPriceHistory()
	{
		if (string.IsNullOrWhiteSpace(PriceHistoryFile)) return;
		foreach (var row in ReadRows(PriceHistoryFile, "SecurityId,Date,Close", 3))
		{
			var security = _securities.SingleOrDefault(s => string.Equals(s.Id, row[0].Trim(), StringComparison.OrdinalIgnoreCase));
			if (security is null) continue;
			var date = DateTime.ParseExact(row[1].Trim(), "yyyy-MM-dd", CultureInfo.InvariantCulture);
			var price = decimal.Parse(row[2], CultureInfo.InvariantCulture);
			if (price <= 0m || !_history[security].TryAdd(date, price))
				throw new InvalidOperationException("Daily prices must be positive and unique per security and UTC date.");
		}
	}

	private bool SelectTargets(DateTime time)
	{
		var scores = new List<(Security security, double score)>();
		foreach (var security in _securities)
		{
			var prices = Daily(security, time, VolWindowDays + 1, DateTime.MaxValue);
			if (prices.Length != VolWindowDays + 1) continue;
			var returns = prices.Skip(1).Select((p, i) => (double)(p / prices[i] - 1m)).ToArray();
			var mean = returns.Average();
			var deviation = Math.Sqrt(returns.Sum(r => (r - mean) * (r - mean)) / (VolWindowDays - 1));
			scores.Add((security, deviation));
		}
		if (scores.Count < Deciles) return false;
		var ranked = scores.OrderBy(x => x.score).ThenBy(x => x.security.Id, StringComparer.Ordinal).Select(x => x.security).ToArray();
		var count = ranked.Length / Deciles;
		SetBasketTargets(ranked.Take(count), ranked.TakeLast(count), Budget);
		return true;
	}

	private void SetBasketTargets(IEnumerable<Security> longBasket, IEnumerable<Security> shortBasket, decimal grossCapital)
	{
		var longs = longBasket.ToArray();
		var shorts = shortBasket.ToArray();
		foreach (var security in _securities) _targets[security] = 0m;
		foreach (var security in longs) _targets[security] = Units(security, grossCapital / (2m * longs.Length));
		foreach (var security in shorts) _targets[security] = -Units(security, grossCapital / (2m * shorts.Length));
	}
}

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.BusinessEntities")
clr.AddReference("StockSharp.Algo.Strategies")

from System import Boolean, DateTime, Decimal, Int32, Math, TimeSpan, InvalidOperationException
from System.Collections.Generic import IEnumerable
from System.Globalization import CultureInfo, DateTimeStyles
from System.IO import File, Path
from StockSharp.Algo.Strategies import Strategy
from StockSharp.BusinessEntities import Order, Security
from StockSharp.Messages import CandleStates, DataType, OrderStates, OrderTypes, Sides


class low_volatility_stocks_strategy(Strategy):
    """Low Volatility Stocks with point-in-time inputs and execution-based portfolio accounting."""

    def __init__(self):
        super(low_volatility_stocks_strategy, self).__init__()
        self._universe = self.Param[IEnumerable[Security]]("Universe", None).SetRequired() \
            .SetDisplay("Universe", "Explicit execution securities with valid native volume metadata", "Parameters")
        self._capital = self.Param("Capital", Decimal(100000)).SetGreaterThanZero() \
            .SetDisplay("Capital", "Fixed capital budget in USD", "Parameters")
        self._leverage = self.Param("Leverage", Decimal(1)).SetGreaterThanZero() \
            .SetDisplay("Leverage", "Gross target exposure divided by the capital budget", "Parameters")
        self._min_trade_usd = self.Param("MinTradeUsd", Decimal(200)).SetRange(Decimal(0), Decimal.MaxValue) \
            .SetDisplay("MinTradeUsd", "Minimum USD adjustment; complete liquidation bypasses this filter", "Parameters")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(1440))) \
            .SetDisplay("CandleType", "Finished execution candle type", "Parameters")
        self._price_history_file = self.Param[str]("PriceHistoryFile", None) \
            .SetDisplay("PriceHistoryFile", "Optional daily close CSV; future dates cannot prefill a decision", "Parameters")
        self._vol_window_days = self.Param("VolWindowDays", 60).SetRange(2, 2147483647) \
            .SetDisplay("VolWindowDays", "Completed daily returns in the sample standard deviation", "Parameters")
        self._deciles = self.Param("Deciles", 10).SetRange(2, 2147483647) \
            .SetDisplay("Deciles", "Number of volatility buckets", "Parameters")
        self._clear_state()

    def _clear_state(self):
        self._securities = []
        self._latest = {}
        self._history = {}
        self._targets = {}
        self._pending = []
        self._last_rebalance = 0
        self._last_bar = None


    @property
    def Universe(self):
        return self._universe.Value

    @Universe.setter
    def Universe(self, value):
        self._universe.Value = value

    @property
    def Capital(self):
        return self._capital.Value

    @Capital.setter
    def Capital(self, value):
        self._capital.Value = value

    @property
    def Leverage(self):
        return self._leverage.Value

    @Leverage.setter
    def Leverage(self, value):
        self._leverage.Value = value

    @property
    def MinTradeUsd(self):
        return self._min_trade_usd.Value

    @MinTradeUsd.setter
    def MinTradeUsd(self, value):
        self._min_trade_usd.Value = value

    @property
    def CandleType(self):
        return self._candle_type.Value

    @CandleType.setter
    def CandleType(self, value):
        self._candle_type.Value = value

    @property
    def PriceHistoryFile(self):
        return self._price_history_file.Value

    @PriceHistoryFile.setter
    def PriceHistoryFile(self, value):
        self._price_history_file.Value = value

    @property
    def VolWindowDays(self):
        return self._vol_window_days.Value

    @VolWindowDays.setter
    def VolWindowDays(self, value):
        self._vol_window_days.Value = value

    @property
    def Deciles(self):
        return self._deciles.Value

    @Deciles.setter
    def Deciles(self, value):
        self._deciles.Value = value

    def GetWorkingSecurities(self):
        return [(s, self.CandleType) for s in self.Universe] if self.Universe is not None else []

    def OnReseted(self):
        super(low_volatility_stocks_strategy, self).OnReseted()
        self._clear_state()

    def OnStarted2(self, time):
        self._securities = list(self.Universe) if self.Universe is not None else []
        if not self._securities or any(s is None or not s.Id for s in self._securities) or len(set(s.Id.upper() for s in self._securities)) != len(self._securities):
            raise InvalidOperationException("Universe must contain distinct execution securities.")
        for security in self._securities:
            if security.VolumeStep is None or security.MinVolume is None or security.MaxVolume is None or security.VolumeStep <= 0 or security.MinVolume <= 0 or security.MaxVolume <= 0:
                raise InvalidOperationException("Every security needs positive VolumeStep, MinVolume and MaxVolume.")
            self._history[security] = {}
        self._load_price_history()

        super(low_volatility_stocks_strategy, self).OnStarted2(time)
        for security in self._securities:
            self.SubscribeCandles(self.CandleType, True, security).Bind(lambda candle, s=security: self._process_candle(s, candle)).Start()

    def _process_candle(self, security, candle):
        if candle.State != CandleStates.Finished or candle.ClosePrice <= 0:
            return
        self._latest[security] = (candle.OpenTime, candle.ClosePrice)
        self._history[security][candle.OpenTime.Date] = candle.ClosePrice
        if len(self._latest) != len(self._securities) or any(t != candle.OpenTime for t, p in self._latest.values()) or self._last_bar == candle.OpenTime or not self.IsFormedAndOnlineAndAllowTrading():
            return
        self._last_bar = candle.OpenTime
        month = candle.OpenTime.Year * 100 + candle.OpenTime.Month
        if self._last_rebalance != month and self._select_targets(candle.OpenTime):
            self._last_rebalance = month
        self._reconcile_targets()

    def _budget(self):
        return self.Capital * self.Leverage

    def _as_of(self, time):
        return time.Add(self.CandleType.Arg).AddTicks(-1)

    def _unit_price(self, security):
        return self._latest[security][1]

    def _units(self, security, notional):
        return Math.Floor(notional / self._unit_price(security) / security.VolumeStep) * security.VolumeStep

    def _reconcile_targets(self):
        if any(o.State != OrderStates.Done and o.State != OrderStates.Failed for o in self._pending):
            return
        self._pending = []
        for security in self._securities:
            if security not in self._targets:
                continue
            target = self._targets[security]
            position = self.GetPositionValue(security, self.Portfolio)
            delta = target - (position if position is not None else Decimal(0))
            if delta == 0 or (target != 0 and abs(delta) * self._unit_price(security) < self.MinTradeUsd):
                continue
            quantity = Math.Floor(min(abs(delta), security.MaxVolume) / security.VolumeStep) * security.VolumeStep
            if quantity < security.MinVolume:
                continue
            order = Order()
            order.Security = security
            order.Portfolio = self.Portfolio
            order.Type = OrderTypes.Market
            order.Side = Sides.Buy if delta > 0 else Sides.Sell
            order.Volume = quantity
            order.Comment = "0377Rebalance"
            self._pending.append(order)
            self.RegisterOrder(order)

    @staticmethod
    def _parse_utc(value):
        return DateTime.ParseExact(value.strip(), "yyyy-MM-dd'T'HH:mm:ss'Z'", CultureInfo.InvariantCulture, DateTimeStyles.AssumeUniversal | DateTimeStyles.AdjustToUniversal)

    @staticmethod
    def _read_rows(path, header, fields):
        lines = list(File.ReadLines(path))
        if not lines or lines[0].strip() != header:
            raise InvalidOperationException("Invalid CSV header: expected " + header + ".")
        for line in lines[1:]:
            if not line.strip():
                continue
            row = line.split(",")
            if len(row) != fields:
                raise InvalidOperationException("Invalid CSV field count.")
            yield row

    def _last_closed_date(self, time):
        return time.Date if self.CandleType.Arg == TimeSpan.FromDays(1) else time.Date.AddDays(-1)

    def _daily(self, security, time, count, cutoff):
        dates = [d for d in sorted(self._history[security]) if d <= self._last_closed_date(time) and d < cutoff]
        return [self._history[security][d] for d in dates[-count:]]

    def _load_price_history(self):
        if not self.PriceHistoryFile:
            return
        for row in self._read_rows(self.PriceHistoryFile, "SecurityId,Date,Close", 3):
            security = next((s for s in self._securities if s.Id.upper() == row[0].strip().upper()), None)
            if security is None:
                continue
            date = DateTime.ParseExact(row[1].strip(), "yyyy-MM-dd", CultureInfo.InvariantCulture)
            price = Decimal.Parse(row[2], CultureInfo.InvariantCulture)
            if price <= 0 or date in self._history[security]:
                raise InvalidOperationException("Daily prices must be positive and unique per security and UTC date.")
            self._history[security][date] = price

    def _select_targets(self, time):
        scores = []
        for security in self._securities:
            prices = self._daily(security, time, self.VolWindowDays + 1, DateTime.MaxValue)
            if len(prices) != self.VolWindowDays + 1:
                continue
            returns = [float(prices[i] / prices[i - 1] - Decimal(1)) for i in range(1, len(prices))]
            mean = sum(returns) / len(returns)
            deviation = Math.Sqrt(sum((r - mean) ** 2 for r in returns) / (self.VolWindowDays - 1))
            scores.append((security, deviation))
        if len(scores) < self.Deciles:
            return False
        ranked = [s for s, score in sorted(scores, key=lambda x: (x[1], x[0].Id))]
        count = len(ranked) // self.Deciles
        self._set_basket_targets(ranked[:count], ranked[-count:], self._budget())
        return True

    def _set_basket_targets(self, longs, shorts, gross):
        self._targets = {s: Decimal(0) for s in self._securities}
        for security in longs:
            self._targets[security] = self._units(security, gross / Decimal(2 * len(longs)))
        for security in shorts:
            self._targets[security] = -self._units(security, gross / Decimal(2 * len(shorts)))

    def CreateClone(self):
        return low_volatility_stocks_strategy()