Order Example-Strategie

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>
/// Breakout strategy based on recent highs and lows with SMA trend filter.
/// </summary>
public class OrderExampleStrategy : Strategy
{
	private readonly StrategyParam<int> _lookback;
	private readonly StrategyParam<int> _smaPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<decimal> _highs = new();
	private readonly List<decimal> _lows = new();

	public int Lookback { get => _lookback.Value; set => _lookback.Value = value; }
	public int SmaPeriod { get => _smaPeriod.Value; set => _smaPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public OrderExampleStrategy()
	{
		_lookback = Param(nameof(Lookback), 5)
			.SetGreaterThanZero()
			.SetDisplay("Lookback", "Candles to calculate highs and lows", "General");

		_smaPeriod = Param(nameof(SmaPeriod), 5)
			.SetGreaterThanZero()
			.SetDisplay("SMA Period", "Trend filter SMA period", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for candles", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_highs.Clear();
		_lows.Clear();
	}

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

		var sma = new ExponentialMovingAverage { Length = SmaPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(sma, ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_highs.Add(candle.HighPrice);
			_lows.Add(candle.LowPrice);
			if (_highs.Count > Lookback) _highs.RemoveAt(0);
			if (_lows.Count > Lookback) _lows.RemoveAt(0);
			return;
		}

		if (_highs.Count >= 3)
		{
			var highLevel = _highs.Max();
			var lowLevel = _lows.Min();

			if (candle.ClosePrice > highLevel && Position <= 0)
				BuyMarket();
			else if (candle.ClosePrice < lowLevel && Position >= 0)
				SellMarket();
		}

		_highs.Add(candle.HighPrice);
		_lows.Add(candle.LowPrice);
		if (_highs.Count > Lookback) _highs.RemoveAt(0);
		if (_lows.Count > Lookback) _lows.RemoveAt(0);
	}
}

import clr

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

from System import TimeSpan
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Indicators import ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy


class order_example_strategy(Strategy):
    def __init__(self):
        super(order_example_strategy, self).__init__()
        self._lookback = self.Param("Lookback", 5) \
            .SetDisplay("Lookback", "Candles to calculate highs and lows", "General")
        self._sma_period = self.Param("SmaPeriod", 5) \
            .SetDisplay("SMA Period", "Trend filter SMA period", "General")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Timeframe for candles", "General")
        self._highs = []
        self._lows = []

    @property
    def lookback(self):
        return self._lookback.Value

    @property
    def sma_period(self):
        return self._sma_period.Value

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

    def OnReseted(self):
        super(order_example_strategy, self).OnReseted()
        self._highs = []
        self._lows = []

    def OnStarted2(self, time):
        super(order_example_strategy, self).OnStarted2(time)

        sma = ExponentialMovingAverage()
        sma.Length = self.sma_period

        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(sma, self.process_candle).Start()

        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawIndicator(area, sma)
            self.DrawOwnTrades(area)

    def process_candle(self, candle, sma_value):
        if candle.State != CandleStates.Finished:
            return

        lb = int(self.lookback)
        high = float(candle.HighPrice)
        low = float(candle.LowPrice)
        close = float(candle.ClosePrice)

        if not self.IsFormedAndOnlineAndAllowTrading():
            self._highs.append(high)
            self._lows.append(low)
            if len(self._highs) > lb:
                self._highs.pop(0)
            if len(self._lows) > lb:
                self._lows.pop(0)
            return

        if len(self._highs) >= 3:
            high_level = max(self._highs)
            low_level = min(self._lows)

            if close > high_level and self.Position <= 0:
                self.BuyMarket()
            elif close < low_level and self.Position >= 0:
                self.SellMarket()

        self._highs.append(high)
        self._lows.append(low)
        if len(self._highs) > lb:
            self._highs.pop(0)
        if len(self._lows) > lb:
            self._lows.pop(0)

    def CreateClone(self):
        return order_example_strategy()