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Fußballclub-Arbitrage-Strategie

Diese Strategie sucht nach Arbitragemöglichkeiten zwischen Fan-Tokens von Fußballclubs, die an mehreren Handelsplätzen gehandelt werden. Durch die Beobachtung von Preisspreads und Funding-Rate-Ungleichgewichten werden gegenläufige Long- und Short-Positionen eröffnet, um Fehlbewertungen zu nutzen.

Ein Trade wird ausgelöst, wenn der Spread zwischen den Börsen einen Schwellenwert überschreitet. Positionen werden abgesichert und geschlossen, wenn sich die Preise annähern oder ein Schutz-Stop erreicht wird.

Details

  • Daten: Fan-Token-Preise und Funding Rates.
  • Einstieg: Gegenläufige Positionen öffnen, wenn Spread > X%.
  • Ausstieg: Schließen, wenn Spread < Y% oder beim Zeit-Stop.
  • Instrumente: An Börsen gelistete Fan-Tokens.
  • Risiko: Fest prozentualer Stop zum Schutz vor Slippage.
// SoccerClubsArbitrageStrategy.cs
// -----------------------------------------------------------------------------
// Two share classes of the same soccer club (pair length = 2).
// Long cheaper share, short expensive when relative premium > EntryThresh;
// exit when premium shrinks below ExitThresh.
// Uses candle-based price comparison between two securities.
// -----------------------------------------------------------------------------
// Date: 2 Aug 2025
// -----------------------------------------------------------------------------
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Arbitrage strategy for two share classes of the same soccer club.
/// </summary>
public class SoccerClubsArbitrageStrategy : Strategy
{
	private readonly StrategyParam<string> _security2Id;
	private readonly StrategyParam<decimal> _entry;
	private readonly StrategyParam<decimal> _exit;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	/// <summary>
	/// Second security identifier.
	/// </summary>
	public string Security2Id
	{
		get => _security2Id.Value;
		set => _security2Id.Value = value;
	}

	/// <summary>
	/// Premium threshold to enter a position.
	/// </summary>
	public decimal EntryThreshold
	{
		get => _entry.Value;
		set => _entry.Value = value;
	}

	/// <summary>
	/// Premium threshold to exit a position.
	/// </summary>
	public decimal ExitThreshold
	{
		get => _exit.Value;
		set => _exit.Value = value;
	}

	/// <summary>
	/// Cooldown bars between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// The type of candles to use for strategy calculation.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	private Security _secondSecurity;
	private decimal _priceA;
	private decimal _priceB;
	private bool _primaryUpdated;
	private bool _secondUpdated;
	private int _cooldownRemaining;

	public SoccerClubsArbitrageStrategy()
	{
		_security2Id = Param(nameof(Security2Id), Paths.HistoryDefaultSecurity2)
			.SetDisplay("Second Security Id", "Identifier of the second security", "General");

		_entry = Param(nameof(EntryThreshold), 0.005m)
			.SetDisplay("Entry Threshold", "Premium difference to open position", "Parameters");

		_exit = Param(nameof(ExitThreshold), 0.001m)
			.SetDisplay("Exit Threshold", "Premium difference to close position", "Parameters");

		_cooldownBars = Param(nameof(CooldownBars), 5)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		if (Security != null)
			yield return (Security, CandleType);

		if (!Security2Id.IsEmpty())
			yield return (new Security { Id = Security2Id }, CandleType);
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_secondSecurity = null;
		_priceA = 0;
		_priceB = 0;
		_primaryUpdated = false;
		_secondUpdated = false;
		_cooldownRemaining = 0;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		if (Security2Id.IsEmpty())
			throw new InvalidOperationException("Second security identifier is not specified.");

		_secondSecurity = this.LookupById(Security2Id) ?? new Security { Id = Security2Id };

		// Subscribe to primary security candles
		var primarySub = SubscribeCandles(CandleType, security: Security);
		primarySub
			.Bind(ProcessPrimaryCandle)
			.Start();

		// Subscribe to second security candles
		var secondSub = SubscribeCandles(CandleType, security: _secondSecurity);
		secondSub
			.Bind(ProcessSecondCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, primarySub);
			DrawOwnTrades(area);
		}
	}

	private void ProcessPrimaryCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		_priceA = candle.ClosePrice;
		_primaryUpdated = true;
		TryEvaluate();
	}

	private void ProcessSecondCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		_priceB = candle.ClosePrice;
		_secondUpdated = true;
		TryEvaluate();
	}

	private void TryEvaluate()
	{
		if (!_primaryUpdated || !_secondUpdated)
			return;

		if (_priceA <= 0 || _priceB <= 0)
			return;

		_primaryUpdated = false;
		_secondUpdated = false;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			return;
		}

		var premium = _priceA / _priceB - 1m;

		var primaryPos = GetPositionValue(Security, Portfolio) ?? 0m;

		// Exit when premium shrinks below exit threshold
		if (Math.Abs(premium) < ExitThreshold && primaryPos != 0)
		{
			Flatten(primaryPos);
			_cooldownRemaining = CooldownBars;
			return;
		}

		// A is overpriced relative to B -> short A, long B
		if (premium > EntryThreshold && primaryPos >= 0)
		{
			if (primaryPos > 0)
				Flatten(primaryPos);

			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// B is overpriced relative to A -> long A, short B
		else if (premium < -EntryThreshold && primaryPos <= 0)
		{
			if (primaryPos < 0)
				Flatten(primaryPos);

			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
	}

	private void Flatten(decimal primaryPos)
	{
		if (primaryPos > 0)
			SellMarket(primaryPos);
		else if (primaryPos < 0)
			BuyMarket(Math.Abs(primaryPos));
	}
}