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Line Order Dual Level Strategy

This strategy is an adaptation of the MetaTrader expert advisor "MyLineOrder" for the StockSharp API. It allows a trader to define horizontal price levels that trigger automatic market orders when touched. Optional stop loss, take profit and trailing stop distances are expressed in pips, and the trade volume can be configured.

When the market price reaches the BuyPrice level, the strategy enters a long position. Hitting the SellPrice level opens a short position. After entry, the strategy monitors the position and exits when one of the protective conditions is met: stop loss, take profit or trailing stop.

Details

  • Entry Criteria:
    • Long: Price touches or exceeds BuyPrice.
    • Short: Price touches or falls below SellPrice.
  • Long/Short: Both.
  • Exit Criteria:
    • Stop loss, take profit or trailing stop.
  • Stops:
    • StopLossPips, TakeProfitPips, TrailingStopPips.
  • Filters:
    • None.
  • Parameters:
    • BuyPrice – level for long entry.
    • SellPrice – level for short entry.
    • StopLossPips – stop-loss distance in pips.
    • TakeProfitPips – take-profit distance in pips.
    • TrailingStopPips – trailing stop distance in pips.
    • TradeVolume – order volume.
    • CandleType – timeframe of candles for price monitoring.
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Dual-level breakout strategy using SMA and ATR for dynamic support/resistance levels.
/// Buys when price breaks above SMA + ATR, sells when breaks below SMA - ATR.
/// Exits on mean reversion to SMA.
/// </summary>
public class LineOrderDualLevelStrategy : Strategy
{
	private readonly StrategyParam<int> _smaPeriod;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMult;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _entryPrice;

	public int SmaPeriod { get => _smaPeriod.Value; set => _smaPeriod.Value = value; }
	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public decimal AtrMult { get => _atrMult.Value; set => _atrMult.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public LineOrderDualLevelStrategy()
	{
		_smaPeriod = Param(nameof(SmaPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("SMA Period", "SMA period", "Indicators");
		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "ATR period", "Indicators");
		_atrMult = Param(nameof(AtrMult), 1.0m)
			.SetDisplay("ATR Mult", "ATR multiplier for levels", "Indicators");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType)];

	protected override void OnReseted()
	{
		base.OnReseted();
		_entryPrice = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var sma = new SimpleMovingAverage { Length = SmaPeriod };
		var atr = new StandardDeviation { Length = AtrPeriod };

		SubscribeCandles(CandleType)
			.Bind(sma, atr, ProcessCandle)
			.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal smaVal, decimal atrVal)
	{
		if (candle.State != CandleStates.Finished) return;
		if (atrVal <= 0) return;

		var close = candle.ClosePrice;
		var upperLevel = smaVal + atrVal * AtrMult;
		var lowerLevel = smaVal - atrVal * AtrMult;

		// Breakout above upper level => long
		if (close > upperLevel && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
			_entryPrice = close;
		}
		// Breakout below lower level => short
		else if (close < lowerLevel && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
			_entryPrice = close;
		}
		// Exit long at SMA or if loss > 2*ATR
		else if (Position > 0)
		{
			if (close <= smaVal || (_entryPrice > 0 && close <= _entryPrice - atrVal * 2))
			{
				SellMarket();
				_entryPrice = 0;
			}
		}
		// Exit short at SMA or if loss > 2*ATR
		else if (Position < 0)
		{
			if (close >= smaVal || (_entryPrice > 0 && close >= _entryPrice + atrVal * 2))
			{
				BuyMarket();
				_entryPrice = 0;
			}
		}
	}
}