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Volume Block Order Analyzer Strategy

Simplified strategy based on the TradingView script "Volume Block Order Analyzer". It measures how large volume spikes impact price direction and accumulates this effect over time. When the cumulative impact crosses user-defined thresholds, the strategy enters trades and protects them with a trailing stop.

Details

  • Entry: Cumulative impact above or below threshold.
  • Exit: Trailing stop based on percentage from entry.
  • Long/Short: Both.
  • Indicators: SMA.
  • Timeframe: Any.

This port focuses on the core idea; many visual features of the original script are omitted.

namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// Strategy that accumulates directional volume impact and trades on persistent imbalances.
/// </summary>
public class VolumeBlockOrderAnalyzerStrategy : Strategy
{
	private readonly StrategyParam<decimal> _volumeThreshold;
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _impactDecay;
	private readonly StrategyParam<decimal> _impactNormalization;
	private readonly StrategyParam<decimal> _signalThreshold;
	private readonly StrategyParam<int> _signalCooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _cumulativeImpact;
	private int _cooldownRemaining;
	private readonly List<decimal> _volumeBuffer = new();

	public decimal VolumeThreshold { get => _volumeThreshold.Value; set => _volumeThreshold.Value = value; }
	public int LookbackPeriod { get => _lookbackPeriod.Value; set => _lookbackPeriod.Value = value; }
	public decimal ImpactDecay { get => _impactDecay.Value; set => _impactDecay.Value = value; }
	public decimal ImpactNormalization { get => _impactNormalization.Value; set => _impactNormalization.Value = value; }
	public decimal SignalThreshold { get => _signalThreshold.Value; set => _signalThreshold.Value = value; }
	public int SignalCooldownBars { get => _signalCooldownBars.Value; set => _signalCooldownBars.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public VolumeBlockOrderAnalyzerStrategy()
	{
		_volumeThreshold = Param(nameof(VolumeThreshold), 1.05m)
			.SetDisplay("Volume Threshold", "Relative volume required for an impact update", "Volume")
			.SetGreaterThanZero();

		_lookbackPeriod = Param(nameof(LookbackPeriod), 20)
			.SetDisplay("Lookback Period", "Lookback used for average volume", "Volume")
			.SetGreaterThanZero();

		_impactDecay = Param(nameof(ImpactDecay), 0.9m)
			.SetDisplay("Impact Decay", "Decay applied to accumulated impact", "Impact");

		_impactNormalization = Param(nameof(ImpactNormalization), 2m)
			.SetDisplay("Impact Normalization", "Normalization applied to directional volume", "Impact")
			.SetGreaterThanZero();

		_signalThreshold = Param(nameof(SignalThreshold), 0.3m)
			.SetDisplay("Signal Threshold", "Absolute impact required for a new trade", "Strategy");

		_signalCooldownBars = Param(nameof(SignalCooldownBars), 10)
			.SetDisplay("Signal Cooldown", "Bars to wait after entries and exits", "Strategy")
			.SetGreaterThanZero();

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

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_cumulativeImpact = 0m;
		_cooldownRemaining = 0;
		_volumeBuffer.Clear();
	}

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

		_cumulativeImpact = 0m;
		_cooldownRemaining = 0;
		_volumeBuffer.Clear();

		var subscription = SubscribeCandles(CandleType);

		subscription
			.Bind(ProcessCandle)
			.Start();

		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(1, UnitTypes.Percent));

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

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

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		// Track volume for averaging
		_volumeBuffer.Add(candle.TotalVolume);
		if (_volumeBuffer.Count > LookbackPeriod)
			_volumeBuffer.RemoveAt(0);

		if (_volumeBuffer.Count < LookbackPeriod)
			return;

		// Calculate average volume
		var sumVol = 0m;
		for (var i = 0; i < _volumeBuffer.Count; i++)
			sumVol += _volumeBuffer[i];
		var averageVolume = sumVol / _volumeBuffer.Count;

		var relativeVolume = averageVolume <= 0m ? 0m : candle.TotalVolume / averageVolume;
		var directionalMove = candle.ClosePrice > candle.OpenPrice ? 1m : candle.ClosePrice < candle.OpenPrice ? -1m : 0m;
		var impact = relativeVolume >= VolumeThreshold ? directionalMove * relativeVolume / ImpactNormalization : 0m;

		_cumulativeImpact = _cumulativeImpact * ImpactDecay + impact;

		if (Position != 0 || _cooldownRemaining > 0)
			return;

		if (_cumulativeImpact >= SignalThreshold)
		{
			BuyMarket();
			_cooldownRemaining = SignalCooldownBars;
		}
		else if (_cumulativeImpact <= -SignalThreshold)
		{
			SellMarket();
			_cooldownRemaining = SignalCooldownBars;
		}
	}
}