Geldverwaltungs-Strategie mit festem Margin

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;

using StockSharp.Algo;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Recreates the MetaTrader Money Fixed Margin sample using StockSharp.
/// It demonstrates fixed percentage risk sizing for long trades.
/// </summary>
public class MoneyFixedMarginStrategy : Strategy
{
	private readonly StrategyParam<decimal> _stopLossPips;
	private readonly StrategyParam<decimal> _riskPercent;
	private readonly StrategyParam<int> _checkInterval;
	private readonly StrategyParam<DataType> _candleType;

	private int _barCount;
	private decimal _pipSize;

	/// <summary>
	/// Stop-loss distance expressed in pips.
	/// </summary>
	public decimal StopLossPips
	{
		get => _stopLossPips.Value;
		set => _stopLossPips.Value = value;
	}

	/// <summary>
	/// Portfolio percentage risked on each trade.
	/// </summary>
	public decimal RiskPercent
	{
		get => _riskPercent.Value;
		set => _riskPercent.Value = value;
	}

	/// <summary>
	/// Number of finished candles between trade attempts.
	/// </summary>
	public int CheckInterval
	{
		get => _checkInterval.Value;
		set => _checkInterval.Value = value;
	}

	/// <summary>
	/// Candle series used to time entries.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of <see cref="MoneyFixedMarginStrategy"/>.
	/// </summary>
	public MoneyFixedMarginStrategy()
	{
		_stopLossPips = Param(nameof(StopLossPips), 25m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss (pips)", "Stop loss distance in pips", "Risk");

		_riskPercent = Param(nameof(RiskPercent), 10m)
			.SetGreaterThanZero()
			.SetDisplay("Risk Percent", "Percent of equity risked per trade", "Risk");

		_checkInterval = Param(nameof(CheckInterval), 150)
			.SetGreaterThanZero()
			.SetDisplay("Check Interval", "Completed candles between trades", "Execution");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_barCount = 0;
		_pipSize = 0m;
	}

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

		var priceStep = Security?.PriceStep ?? 1m;
		var decimals = Security?.Decimals ?? 0;
		var adjust = decimals == 3 || decimals == 5 ? 10m : 1m;

		_pipSize = priceStep * adjust;
		if (_pipSize <= 0m)
			_pipSize = priceStep > 0m ? priceStep : 1m;

		// Attach a protective stop using the pip-based distance converted to price units.
		StartProtection(
			new Unit(StopLossPips * _pipSize, UnitTypes.Absolute),
			new Unit(StopLossPips * _pipSize * 2, UnitTypes.Absolute));

		// Subscribe to the candle stream that emulates the tick counter from the MQL example.
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(ProcessCandle).Start();
	}

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

		// Count finished candles to mirror the tick counter from the original script.
		_barCount++;

		if (_barCount < CheckInterval)
			return;

		var entryPrice = candle.ClosePrice;

		if (entryPrice <= 0m)
		{
			LogWarning("Skip trade because entry price is not positive. Close={0}", entryPrice);
			return;
		}

		var riskAmount = CalculateRiskAmount();
		if (riskAmount <= 0m)
		{
			LogWarning("Skip trade because risk amount is not positive. Portfolio value={0}", riskAmount);
			return;
		}

		var stopDistance = StopLossPips * _pipSize;
		var stopPrice = entryPrice - stopDistance;

		var volumeWithoutStop = CalculateFixedMarginVolume(entryPrice, 0m, riskAmount);
		var volumeWithStop = CalculateFixedMarginVolume(entryPrice, stopPrice, riskAmount);

		this.LogInfo(
			"StopLoss=0 -> volume {0:0.####}; StopLoss={1:0.#####} -> volume {2:0.####}; Portfolio={3:0.##}",
			volumeWithoutStop,
			stopPrice,
			volumeWithStop,
			GetPortfolioValue());

		BuyMarket();

		// Reset the counter only after successfully sending an order.
		_barCount = 0;
	}

	private decimal CalculateRiskAmount()
	{
		var portfolioValue = GetPortfolioValue();
		return portfolioValue > 0m ? portfolioValue * RiskPercent / 100m : 0m;
	}

	private decimal GetPortfolioValue()
	{
		var current = Portfolio?.CurrentValue ?? 0m;
		if (current > 0m)
			return current;

		var begin = Portfolio?.BeginValue ?? 0m;
		return begin > 0m ? begin : current;
	}

	private decimal CalculateFixedMarginVolume(decimal entryPrice, decimal stopPrice, decimal riskAmount)
	{
		if (riskAmount <= 0m || entryPrice <= 0m || stopPrice <= 0m)
			return 0m;

		var stopDistance = entryPrice - stopPrice;
		if (stopDistance <= 0m)
			return 0m;

		var priceStep = Security?.PriceStep ?? 0m;
		if (priceStep <= 0m)
			priceStep = 1m;

		var stepPrice = 0m;
		if (stepPrice <= 0m)
			stepPrice = priceStep;

		var stepsCount = stopDistance / priceStep;
		if (stepsCount <= 0m)
			return 0m;

		var riskPerVolume = stepsCount * stepPrice;
		if (riskPerVolume <= 0m)
			return 0m;

		var rawVolume = riskAmount / riskPerVolume;
		return NormalizeVolume(rawVolume);
	}

	private decimal NormalizeVolume(decimal volume)
	{
		if (volume <= 0m)
			return 0m;

		if (Security?.VolumeStep is decimal step && step > 0m)
		{
			volume = Math.Ceiling(volume / step) * step;
		}

		return volume;
	}
}

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, Unit, UnitTypes
from StockSharp.Algo.Strategies import Strategy


class money_fixed_margin_strategy(Strategy):
    def __init__(self):
        super(money_fixed_margin_strategy, self).__init__()

        self._stop_loss_pips = self.Param("StopLossPips", 25.0)
        self._risk_percent = self.Param("RiskPercent", 10.0)
        self._check_interval = self.Param("CheckInterval", 150)
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(15)))

        self._bar_count = 0
        self._pip_size = 1.0

    @property
    def StopLossPips(self):
        return self._stop_loss_pips.Value

    @StopLossPips.setter
    def StopLossPips(self, value):
        self._stop_loss_pips.Value = value

    @property
    def RiskPercent(self):
        return self._risk_percent.Value

    @RiskPercent.setter
    def RiskPercent(self, value):
        self._risk_percent.Value = value

    @property
    def CheckInterval(self):
        return self._check_interval.Value

    @CheckInterval.setter
    def CheckInterval(self, value):
        self._check_interval.Value = value

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

    @CandleType.setter
    def CandleType(self, value):
        self._candle_type.Value = value

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

        self._bar_count = 0

        sec = self.Security
        price_step = float(sec.PriceStep) if sec is not None and sec.PriceStep is not None else 1.0
        if price_step <= 0.0:
            price_step = 1.0
        decimals = int(sec.Decimals) if sec is not None and sec.Decimals is not None else 0
        adjust = 10.0 if decimals == 3 or decimals == 5 else 1.0
        self._pip_size = price_step * adjust
        if self._pip_size <= 0.0:
            self._pip_size = price_step if price_step > 0.0 else 1.0

        sl_distance = float(self.StopLossPips) * self._pip_size

        self.StartProtection(
            Unit(sl_distance, UnitTypes.Absolute),
            Unit(sl_distance * 2.0, UnitTypes.Absolute))

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(self.ProcessCandle).Start()

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

        self._bar_count += 1

        if self._bar_count < int(self.CheckInterval):
            return

        entry_price = float(candle.ClosePrice)
        if entry_price <= 0.0:
            return

        self.BuyMarket()
        self._bar_count = 0

    def OnReseted(self):
        super(money_fixed_margin_strategy, self).OnReseted()
        self._bar_count = 0
        self._pip_size = 1.0

    def CreateClone(self):
        return money_fixed_margin_strategy()