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Volumen-Profil-Strategie

Diese vereinfachte Volumen-Profil-Strategie verfolgt das Sitzungshoch, -tief und den Point of Control, der durch den Preis der Kerze mit dem höchsten Volumen definiert wird. Die Strategie kauft, wenn der Preis über dem Point of Control liegt, und verkauft, wenn er darunter liegt. Positionen werden geschlossen, wenn der Preis zum mittleren Sitzungsniveau zurückkehrt.

Parameter

  • Candle Type – Zeitrahmen der Eingabekerzen.
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Simplified volume profile strategy.
/// Tracks session high, low, mid and point of control based on maximum candle volume.
/// Buys when price is above POC and sells when below.
/// </summary>
public class VolumeProfileMakit0Strategy : Strategy
{
private readonly StrategyParam<DataType> _candleType;

private DateTime _currentSession;
private decimal _sessionHigh;
private decimal _sessionLow;
private decimal _sessionMid;
private decimal _pocPrice;
private decimal _maxVolume;
private bool _sessionTradeDone;

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

/// <summary>
/// Initializes <see cref="VolumeProfileMakit0Strategy"/>.
/// </summary>
public VolumeProfileMakit0Strategy()
{
_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).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();
_currentSession = default;
_sessionHigh = 0;
_sessionLow = 0;
_sessionMid = 0;
_pocPrice = 0;
_maxVolume = 0;
_sessionTradeDone = false;
}

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

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;

var sessionStart = GetSessionStart(candle.OpenTime.Date);

// start new session on session boundary
if (_currentSession != sessionStart)
{
	if (Position > 0)
		SellMarket(Position);
	else if (Position < 0)
		BuyMarket(Math.Abs(Position));

_currentSession = sessionStart;
_sessionHigh = candle.HighPrice;
_sessionLow = candle.LowPrice;
_sessionMid = candle.ClosePrice;
_pocPrice = candle.ClosePrice;
_maxVolume = candle.TotalVolume;
_sessionTradeDone = false;
return;
}

_sessionHigh = Math.Max(_sessionHigh, candle.HighPrice);
_sessionLow = Math.Min(_sessionLow, candle.LowPrice);
_sessionMid = (_sessionHigh + _sessionLow) / 2m;

if (candle.TotalVolume > _maxVolume)
{
_maxVolume = candle.TotalVolume;
_pocPrice = candle.ClosePrice;
}

if (!IsFormedAndOnlineAndAllowTrading())
return;

var bullishProfile = candle.ClosePrice > _pocPrice && candle.ClosePrice > _sessionMid;
var bearishProfile = candle.ClosePrice < _pocPrice && candle.ClosePrice < _sessionMid;

if (!_sessionTradeDone && Position == 0 && bullishProfile)
{
BuyMarket(Volume);
_sessionTradeDone = true;
}
else if (!_sessionTradeDone && Position == 0 && bearishProfile)
{
SellMarket(Volume);
_sessionTradeDone = true;
}

if (Position > 0 && candle.ClosePrice < _pocPrice && candle.ClosePrice < _sessionMid)
SellMarket(Position);
else if (Position < 0 && candle.ClosePrice > _pocPrice && candle.ClosePrice > _sessionMid)
BuyMarket(Math.Abs(Position));
}

private static DateTime GetSessionStart(DateTime date)
{
	return new DateTime(date.Year, date.Month, 1);
}
}