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Multi Arbitration Strategy

Overview

The Multi Arbitration Strategy is a StockSharp port of the MetaTrader "Multi_arbitration 1.000" expert advisor. The original script continuously evaluates existing buy and sell positions, adds new trades in the direction with weaker floating profit, and performs a global liquidation once overall profit targets are met. This C# implementation keeps the core decision logic while adapting it to StockSharp's netting portfolio model and high-level strategy API.

The strategy:

  • Opens an initial long position as soon as the first finished candle arrives.
  • Compares the unrealized profit of the active direction with the alternative direction to decide whether a reversal is required.
  • Forces a flat position when the configured profit target is exceeded or when position pressure grows beyond a configurable limit.
  • Uses only market orders (BuyMarket / SellMarket) to maintain simplicity and fast execution.

Trading Logic

  1. Initial order – The very first finished candle triggers a long market order with the configured trade volume. This reproduces the MetaTrader expert's immediate market entry.
  2. Profit comparison – On every finished candle the strategy calculates the floating PnL of the current direction:
    • Long profit = (close - entry) * volume
    • Short profit = (entry - close) * volume
  3. Position selection – If the alternative direction would currently perform better than the active one, the strategy flips the position by sending a market order sized to cover the existing exposure and open a new position in the new direction. When no position is open, the algorithm defaults to a long entry, matching the original expert advisor.
  4. Position limit guard – A configurable MaxOpenPositions parameter mirrors the MetaTrader check against LimitOrders(). When the combined long/short exposure reaches this cap and the strategy is profitable, it flattens the book to avoid over-leverage.
  5. Profit target exit – When the account PnL (realized + unrealized) exceeds the ProfitForClose threshold the strategy closes all positions, exactly like the original Equity - Balance check.

Parameters

Name Description Default
TradeVolume Volume used for every market order. Represents the minimum lot size in the original EA. 1
ProfitForClose Profit threshold that triggers a global exit once exceeded. 300
MaxOpenPositions Maximum number of simultaneous positions allowed before the strategy forces a flatten. Acts as limit - 15 equivalent. 15
CandleType Candle data type that synchronizes trade decisions. Default is 1-minute time frame. 1 minute candles

Implementation Notes

  • StockSharp uses a netting position model, so the strategy can hold only one net direction at a time. Reversals are handled by sizing market orders to both close the existing exposure and open a new position in the opposite direction.
  • The StartProtection() call is used to inherit built-in risk handling (e.g., stop-out on non-zero positions when the strategy is stopped).
  • All state variables (_entryPrice, _currentSide, _initialOrderPlaced) are reset on OnReseted to support restarts and repeated simulations without stale data.
  • The strategy only reacts to finished candles to avoid double-counting profits on partially formed bars.

Usage Recommendations

  • Align the TradeVolume parameter with the instrument's lot size or contract multiplier.
  • The ProfitForClose value should be set using the same currency as the account PnL (e.g., USD for FX accounts).
  • Increase or decrease MaxOpenPositions depending on how aggressively you want the strategy to accumulate exposure before forcing a flatten.
  • Because the strategy always begins with a long trade, consider manually starting it when long entries are acceptable for the traded instrument.

Differences from the MetaTrader Version

  • MetaTrader's hedging mode allows simultaneous long and short positions, while this port operates in a netting environment. The decision logic still compares directional profitability, but only one net position is kept at any moment.
  • Platform-specific checks (terminal trading permissions, filling type selection, account magic numbers) are replaced with StockSharp equivalents such as StartProtection() and candle subscriptions.
  • Commented diagnostics from the MQL file are not reproduced; rely on StockSharp logging if runtime information is required.
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>
/// Multi-direction arbitration strategy adapted from MetaTrader logic.
/// </summary>
public class MultiArbitrationStrategy : Strategy
{
	private readonly StrategyParam<decimal> _profitForClose;
	private readonly StrategyParam<decimal> _tradeVolume;
	private readonly StrategyParam<int> _maxOpenPositions;
	private readonly StrategyParam<DataType> _candleType;

	private bool _initialOrderPlaced;
	private decimal _entryPrice;
	private Sides? _currentSide;

	/// <summary>
	/// Target profit that triggers a full position exit.
	/// </summary>
	public decimal ProfitForClose
	{
		get => _profitForClose.Value;
		set => _profitForClose.Value = value;
	}

	/// <summary>
	/// Volume used when sending market orders.
	/// </summary>
	public decimal TradeVolume
	{
		get => _tradeVolume.Value;
		set => _tradeVolume.Value = value;
	}

	/// <summary>
	/// Maximum simultaneous positions allowed before forcing a flatten.
	/// </summary>
	public int MaxOpenPositions
	{
		get => _maxOpenPositions.Value;
		set => _maxOpenPositions.Value = value;
	}

	/// <summary>
	/// Candle type used for synchronization and decision making.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="MultiArbitrationStrategy"/> class.
	/// </summary>
	public MultiArbitrationStrategy()
	{
		_profitForClose = Param(nameof(ProfitForClose), 300m)
			.SetDisplay("Profit Threshold", "Profit required before flattening all positions.", "Risk");

		_tradeVolume = Param(nameof(TradeVolume), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Trade Volume", "Volume used when opening new positions.", "Trading");

		_maxOpenPositions = Param(nameof(MaxOpenPositions), 15)
			.SetGreaterThanZero()
			.SetDisplay("Max Open Positions", "Maximum simultaneous positions allowed before closing everything.", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle type used to synchronize trading decisions.", "Data");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_initialOrderPlaced = false;
		_entryPrice = 0m;
		_currentSide = null;
	}

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

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

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

		if (!_initialOrderPlaced)
		{
			OpenLong(candle);
			_initialOrderPlaced = true;
		}

		var longCount = _currentSide == Sides.Buy ? 1 : 0;
		var shortCount = _currentSide == Sides.Sell ? 1 : 0;

		var longProfit = _currentSide == Sides.Buy ? (candle.ClosePrice - _entryPrice) * Volume : 0m;
		var shortProfit = _currentSide == Sides.Sell ? (_entryPrice - candle.ClosePrice) * Volume : 0m;

		if (longCount + shortCount < MaxOpenPositions)
		{
			if (longProfit < shortProfit && _currentSide != Sides.Buy)
			{
				OpenLong(candle);
			}
			else if (shortProfit < longProfit && _currentSide != Sides.Sell)
			{
				OpenShort(candle);
			}
			else if (longProfit == 0m && shortProfit == 0m && Position == 0 && _currentSide is null)
			{
				OpenLong(candle);
			}
		}
		else if (PnL > 0m && Position != 0)
		{
			FlattenPosition(candle);
		}

		if (PnL > ProfitForClose && Position != 0)
		{
			FlattenPosition(candle);
		}
	}

	private void OpenLong(ICandleMessage candle)
	{
		if (Position > 0)
		{
			// Already holding a long position, so only refresh the entry reference.
			_entryPrice = candle.ClosePrice;
			_currentSide = Sides.Buy;
			return;
		}

		BuyMarket();
		_entryPrice = candle.ClosePrice;
		_currentSide = Sides.Buy;
	}

	private void OpenShort(ICandleMessage candle)
	{
		if (Position < 0)
		{
			// Already holding a short position, so only refresh the entry reference.
			_entryPrice = candle.ClosePrice;
			_currentSide = Sides.Sell;
			return;
		}

		SellMarket();
		_entryPrice = candle.ClosePrice;
		_currentSide = Sides.Sell;
	}

	private void FlattenPosition(ICandleMessage candle)
	{
		if (_currentSide is null)
			return;

		if (Position > 0)
		{
			SellMarket();
		}
		else if (Position < 0)
		{
			BuyMarket();
		}

		_currentSide = null;
		_entryPrice = 0m;
	}
}