Strategie XFatlXSatlCloud Duplex

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>
/// Duplex strategy based on XFatlXSatlCloud indicator crossovers.
/// </summary>
public class XFatlXSatlCloudDuplexStrategy : Strategy
{
	/// <summary>
	/// Supported smoothing methods for XFatlXSatlCloud indicator.
	/// </summary>
	public enum XmaMethods
	{
		/// <summary>
		/// Simple moving average.
		/// </summary>
		Sma,

		/// <summary>
		/// Exponential moving average.
		/// </summary>
		Ema,

		/// <summary>
		/// Smoothed moving average (RMA).
		/// </summary>
		Smma,

		/// <summary>
		/// Linear weighted moving average.
		/// </summary>
		Lwma,

		/// <summary>
		/// Jurik moving average.
		/// </summary>
		Jurik,

		/// <summary>
		/// Zero lag exponential moving average.
		/// </summary>
		ZeroLag,

		/// <summary>
		/// Kaufman adaptive moving average.
		/// </summary>
		Kaufman,
	}

	public enum AppliedPrices
	{
		Close,
		Open,
		High,
		Low,
		Median,
		Typical,
		Weighted,
		Simple,
		Quarter,
		TrendFollow0,
		TrendFollow1,
		Demark,
	}

	private readonly StrategyParam<decimal> _longVolume;
	private readonly StrategyParam<decimal> _shortVolume;
	private readonly StrategyParam<bool> _longAllowOpen;
	private readonly StrategyParam<bool> _longAllowClose;
	private readonly StrategyParam<bool> _shortAllowOpen;
	private readonly StrategyParam<bool> _shortAllowClose;
	private readonly StrategyParam<int> _longSignalBar;
	private readonly StrategyParam<int> _shortSignalBar;
	private readonly StrategyParam<DataType> _longCandleType;
	private readonly StrategyParam<DataType> _shortCandleType;
	private readonly StrategyParam<XmaMethods> _longMethod1;
	private readonly StrategyParam<int> _longLength1;
	private readonly StrategyParam<int> _longPhase1;
	private readonly StrategyParam<XmaMethods> _longMethod2;
	private readonly StrategyParam<int> _longLength2;
	private readonly StrategyParam<int> _longPhase2;
	private readonly StrategyParam<AppliedPrices> _longPriceType;
	private readonly StrategyParam<XmaMethods> _shortMethod1;
	private readonly StrategyParam<int> _shortLength1;
	private readonly StrategyParam<int> _shortPhase1;
	private readonly StrategyParam<XmaMethods> _shortMethod2;
	private readonly StrategyParam<int> _shortLength2;
	private readonly StrategyParam<int> _shortPhase2;
	private readonly StrategyParam<AppliedPrices> _shortPriceType;
	private readonly StrategyParam<decimal> _longStopLoss;
	private readonly StrategyParam<decimal> _longTakeProfit;
	private readonly StrategyParam<decimal> _shortStopLoss;
	private readonly StrategyParam<decimal> _shortTakeProfit;

	private XFatlXSatlCloudIndicator _longIndicator = null!;
	private XFatlXSatlCloudIndicator _shortIndicator = null!;
	private readonly List<(decimal fast, decimal slow)> _longHistory = new();
	private readonly List<(decimal fast, decimal slow)> _shortHistory = new();
	private decimal? _longEntryPrice;
	private decimal? _shortEntryPrice;

	/// <summary>
	/// Initializes a new instance of the <see cref="XFatlXSatlCloudDuplexStrategy"/>.
	/// </summary>
	public XFatlXSatlCloudDuplexStrategy()
	{
		_longVolume = Param(nameof(LongVolume), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Long Volume", "Order volume for long entries", "Trading");

		_shortVolume = Param(nameof(ShortVolume), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Short Volume", "Order volume for short entries", "Trading");

		_longAllowOpen = Param(nameof(LongAllowOpen), true)
			.SetDisplay("Enable Long Entries", "Allow opening long positions", "Trading");

		_longAllowClose = Param(nameof(LongAllowClose), true)
			.SetDisplay("Enable Long Exits", "Allow closing long positions", "Trading");

		_shortAllowOpen = Param(nameof(ShortAllowOpen), true)
			.SetDisplay("Enable Short Entries", "Allow opening short positions", "Trading");

		_shortAllowClose = Param(nameof(ShortAllowClose), true)
			.SetDisplay("Enable Short Exits", "Allow closing short positions", "Trading");

		_longSignalBar = Param(nameof(LongSignalBar), 1)
			.SetNotNegative()
			.SetDisplay("Long Signal Shift", "Bars to look back for long signals", "Signals");

		_shortSignalBar = Param(nameof(ShortSignalBar), 1)
			.SetNotNegative()
			.SetDisplay("Short Signal Shift", "Bars to look back for short signals", "Signals");

		_longCandleType = Param(nameof(LongCandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Long Candle Type", "Timeframe for long indicator", "Data");

		_shortCandleType = Param(nameof(ShortCandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Short Candle Type", "Timeframe for short indicator", "Data");

		_longMethod1 = Param(nameof(LongMethod1), XmaMethods.Jurik)
			.SetDisplay("Long Fast Method", "Smoothing method for the fast long line", "Indicators");

		_longLength1 = Param(nameof(LongLength1), 3)
			.SetGreaterThanZero()
			.SetDisplay("Long Fast Length", "Length for the fast long smoother", "Indicators");

		_longPhase1 = Param(nameof(LongPhase1), 15)
			.SetDisplay("Long Fast Phase", "Phase parameter for the fast long smoother", "Indicators");

		_longMethod2 = Param(nameof(LongMethod2), XmaMethods.Jurik)
			.SetDisplay("Long Slow Method", "Smoothing method for the slow long line", "Indicators");

		_longLength2 = Param(nameof(LongLength2), 5)
			.SetGreaterThanZero()
			.SetDisplay("Long Slow Length", "Length for the slow long smoother", "Indicators");

		_longPhase2 = Param(nameof(LongPhase2), 15)
			.SetDisplay("Long Slow Phase", "Phase parameter for the slow long smoother", "Indicators");

		_longPriceType = Param(nameof(LongAppliedPrice), AppliedPrices.Close)
			.SetDisplay("Long Applied Price", "Price type used for the long indicator", "Indicators");

		_shortMethod1 = Param(nameof(ShortMethod1), XmaMethods.Jurik)
			.SetDisplay("Short Fast Method", "Smoothing method for the fast short line", "Indicators");

		_shortLength1 = Param(nameof(ShortLength1), 3)
			.SetGreaterThanZero()
			.SetDisplay("Short Fast Length", "Length for the fast short smoother", "Indicators");

		_shortPhase1 = Param(nameof(ShortPhase1), 15)
			.SetDisplay("Short Fast Phase", "Phase parameter for the fast short smoother", "Indicators");

		_shortMethod2 = Param(nameof(ShortMethod2), XmaMethods.Jurik)
			.SetDisplay("Short Slow Method", "Smoothing method for the slow short line", "Indicators");

		_shortLength2 = Param(nameof(ShortLength2), 5)
			.SetGreaterThanZero()
			.SetDisplay("Short Slow Length", "Length for the slow short smoother", "Indicators");

		_shortPhase2 = Param(nameof(ShortPhase2), 15)
			.SetDisplay("Short Slow Phase", "Phase parameter for the slow short smoother", "Indicators");

		_shortPriceType = Param(nameof(ShortAppliedPrice), AppliedPrices.Close)
			.SetDisplay("Short Applied Price", "Price type used for the short indicator", "Indicators");

		_longStopLoss = Param(nameof(LongStopLoss), 0m)
			.SetNotNegative()
			.SetDisplay("Long Stop Loss", "Price distance for long stop loss (0 disables)", "Risk");

		_longTakeProfit = Param(nameof(LongTakeProfit), 0m)
			.SetNotNegative()
			.SetDisplay("Long Take Profit", "Price distance for long take profit (0 disables)", "Risk");

		_shortStopLoss = Param(nameof(ShortStopLoss), 0m)
			.SetNotNegative()
			.SetDisplay("Short Stop Loss", "Price distance for short stop loss (0 disables)", "Risk");

		_shortTakeProfit = Param(nameof(ShortTakeProfit), 0m)
			.SetNotNegative()
			.SetDisplay("Short Take Profit", "Price distance for short take profit (0 disables)", "Risk");
	}

	/// <summary>
	/// Gets or sets volume for long trades.
	/// </summary>
	public decimal LongVolume
	{
		get => _longVolume.Value;
		set => _longVolume.Value = value;
	}

	/// <summary>
	/// Gets or sets volume for short trades.
	/// </summary>
	public decimal ShortVolume
	{
		get => _shortVolume.Value;
		set => _shortVolume.Value = value;
	}

	/// <summary>
	/// Allow opening long trades.
	/// </summary>
	public bool LongAllowOpen
	{
		get => _longAllowOpen.Value;
		set => _longAllowOpen.Value = value;
	}

	/// <summary>
	/// Allow closing long trades.
	/// </summary>
	public bool LongAllowClose
	{
		get => _longAllowClose.Value;
		set => _longAllowClose.Value = value;
	}

	/// <summary>
	/// Allow opening short trades.
	/// </summary>
	public bool ShortAllowOpen
	{
		get => _shortAllowOpen.Value;
		set => _shortAllowOpen.Value = value;
	}

	/// <summary>
	/// Allow closing short trades.
	/// </summary>
	public bool ShortAllowClose
	{
		get => _shortAllowClose.Value;
		set => _shortAllowClose.Value = value;
	}

	/// <summary>
	/// Number of bars to shift long signals.
	/// </summary>
	public int LongSignalBar
	{
		get => _longSignalBar.Value;
		set => _longSignalBar.Value = value;
	}

	/// <summary>
	/// Number of bars to shift short signals.
	/// </summary>
	public int ShortSignalBar
	{
		get => _shortSignalBar.Value;
		set => _shortSignalBar.Value = value;
	}

	/// <summary>
	/// Candle type for long indicator.
	/// </summary>
	public DataType LongCandleType
	{
		get => _longCandleType.Value;
		set => _longCandleType.Value = value;
	}

	/// <summary>
	/// Candle type for short indicator.
	/// </summary>
	public DataType ShortCandleType
	{
		get => _shortCandleType.Value;
		set => _shortCandleType.Value = value;
	}

	/// <summary>
	/// Smoothing method for fast long line.
	/// </summary>
	public XmaMethods LongMethod1
	{
		get => _longMethod1.Value;
		set => _longMethod1.Value = value;
	}

	/// <summary>
	/// Length for fast long smoother.
	/// </summary>
	public int LongLength1
	{
		get => _longLength1.Value;
		set => _longLength1.Value = value;
	}

	/// <summary>
	/// Phase for fast long smoother.
	/// </summary>
	public int LongPhase1
	{
		get => _longPhase1.Value;
		set => _longPhase1.Value = value;
	}

	/// <summary>
	/// Smoothing method for slow long line.
	/// </summary>
	public XmaMethods LongMethod2
	{
		get => _longMethod2.Value;
		set => _longMethod2.Value = value;
	}

	/// <summary>
	/// Length for slow long smoother.
	/// </summary>
	public int LongLength2
	{
		get => _longLength2.Value;
		set => _longLength2.Value = value;
	}

	/// <summary>
	/// Phase for slow long smoother.
	/// </summary>
	public int LongPhase2
	{
		get => _longPhase2.Value;
		set => _longPhase2.Value = value;
	}

	/// <summary>
	/// Applied price for long calculations.
	/// </summary>
	public AppliedPrices LongAppliedPrice
	{
		get => _longPriceType.Value;
		set => _longPriceType.Value = value;
	}

	/// <summary>
	/// Smoothing method for fast short line.
	/// </summary>
	public XmaMethods ShortMethod1
	{
		get => _shortMethod1.Value;
		set => _shortMethod1.Value = value;
	}

	/// <summary>
	/// Length for fast short smoother.
	/// </summary>
	public int ShortLength1
	{
		get => _shortLength1.Value;
		set => _shortLength1.Value = value;
	}

	/// <summary>
	/// Phase for fast short smoother.
	/// </summary>
	public int ShortPhase1
	{
		get => _shortPhase1.Value;
		set => _shortPhase1.Value = value;
	}

	/// <summary>
	/// Smoothing method for slow short line.
	/// </summary>
	public XmaMethods ShortMethod2
	{
		get => _shortMethod2.Value;
		set => _shortMethod2.Value = value;
	}

	/// <summary>
	/// Length for slow short smoother.
	/// </summary>
	public int ShortLength2
	{
		get => _shortLength2.Value;
		set => _shortLength2.Value = value;
	}

	/// <summary>
	/// Phase for slow short smoother.
	/// </summary>
	public int ShortPhase2
	{
		get => _shortPhase2.Value;
		set => _shortPhase2.Value = value;
	}

	/// <summary>
	/// Applied price for short calculations.
	/// </summary>
	public AppliedPrices ShortAppliedPrice
	{
		get => _shortPriceType.Value;
		set => _shortPriceType.Value = value;
	}

	/// <summary>
	/// Stop loss distance for long positions.
	/// </summary>
	public decimal LongStopLoss
	{
		get => _longStopLoss.Value;
		set => _longStopLoss.Value = value;
	}

	/// <summary>
	/// Take profit distance for long positions.
	/// </summary>
	public decimal LongTakeProfit
	{
		get => _longTakeProfit.Value;
		set => _longTakeProfit.Value = value;
	}

	/// <summary>
	/// Stop loss distance for short positions.
	/// </summary>
	public decimal ShortStopLoss
	{
		get => _shortStopLoss.Value;
		set => _shortStopLoss.Value = value;
	}

	/// <summary>
	/// Take profit distance for short positions.
	/// </summary>
	public decimal ShortTakeProfit
	{
		get => _shortTakeProfit.Value;
		set => _shortTakeProfit.Value = value;
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		var result = new List<(Security, DataType)> { (Security, LongCandleType) };

		if (ShortCandleType != LongCandleType)
			result.Add((Security, ShortCandleType));

		return result;
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_longHistory.Clear();
		_shortHistory.Clear();
		_longEntryPrice = null;
		_shortEntryPrice = null;
	}

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

		// Create indicator instances with current parameter values for both directions.
		_longIndicator = new XFatlXSatlCloudIndicator(LongMethod1, LongLength1, LongPhase1, LongMethod2, LongLength2, LongPhase2, LongAppliedPrice);
		_shortIndicator = new XFatlXSatlCloudIndicator(ShortMethod1, ShortLength1, ShortPhase1, ShortMethod2, ShortLength2, ShortPhase2, ShortAppliedPrice);

		// Subscribe to candles that drive the long side of the strategy.
		var longSubscription = SubscribeCandles(LongCandleType);
		longSubscription.BindEx(_longIndicator, ProcessLong).Start();

		// Subscribe separately for the short side (timeframe can differ from the long one).
		var shortSubscription = SubscribeCandles(ShortCandleType);
		shortSubscription.BindEx(_shortIndicator, ProcessShort).Start();
	}

	private void ProcessLong(ICandleMessage candle, IIndicatorValue indicatorValue)
	{
		if (candle.State != CandleStates.Finished || !indicatorValue.IsFinal)
			return;

		var value = (XFatlXSatlValue)indicatorValue;
		// Store the latest indicator readings so we can evaluate the configured shift.
		_longHistory.Insert(0, (value.Fast, value.Slow));
		var maxSize = Math.Max(LongSignalBar + 2, 2);
		if (_longHistory.Count > maxSize)
			_longHistory.RemoveAt(_longHistory.Count - 1);

		// Risk management can close the position immediately before analyzing crossovers.
		if (HandleLongRisk(candle))
			return;

		if (_longHistory.Count <= LongSignalBar + 1)
			return;

		var current = _longHistory[LongSignalBar];
		var previous = _longHistory[LongSignalBar + 1];
		var crossUp = current.fast > current.slow && previous.fast <= previous.slow;
		var crossDown = current.fast < current.slow && previous.fast >= previous.slow;

		// Close an existing long when the fast line drops below the slow line.
		if (LongAllowClose && crossDown && Position > 0m)
		{
			SellMarket(Position);
			_longEntryPrice = null;
		}

		if (!LongAllowOpen || !crossUp)
			return;

		// Flatten shorts before reversing into a long position.
		if (Position < 0m)
		{
			if (!ShortAllowClose)
				return;

			BuyMarket(-Position);
			_shortEntryPrice = null;
		}

		// Open the long trade only if no opposite exposure remains.
		if (Position <= 0m)
		{
			BuyMarket(LongVolume);
			_longEntryPrice = candle.ClosePrice;
		}
	}

	private bool HandleLongRisk(ICandleMessage candle)
	{
		if (!LongAllowClose || Position <= 0m || _longEntryPrice is not decimal entry)
			return false;

		// Hard stop: candle low moved below entry minus configured distance.
		if (LongStopLoss > 0m && candle.LowPrice <= entry - LongStopLoss)
		{
			SellMarket(Position);
			_longEntryPrice = null;
			return true;
		}

		// Hard target: candle high exceeded entry plus configured distance.
		if (LongTakeProfit > 0m && candle.HighPrice >= entry + LongTakeProfit)
		{
			SellMarket(Position);
			_longEntryPrice = null;
			return true;
		}

		return false;
	}

	private void ProcessShort(ICandleMessage candle, IIndicatorValue indicatorValue)
	{
		if (candle.State != CandleStates.Finished || !indicatorValue.IsFinal)
			return;

		var value = (XFatlXSatlValue)indicatorValue;
		// Maintain the rolling history for the short configuration.
		_shortHistory.Insert(0, (value.Fast, value.Slow));
		var maxSize = Math.Max(ShortSignalBar + 2, 2);
		if (_shortHistory.Count > maxSize)
			_shortHistory.RemoveAt(_shortHistory.Count - 1);

		// Stop or target may close the short before trend analysis.
		if (HandleShortRisk(candle))
			return;

		if (_shortHistory.Count <= ShortSignalBar + 1)
			return;

		var current = _shortHistory[ShortSignalBar];
		var previous = _shortHistory[ShortSignalBar + 1];
		var crossDown = current.fast < current.slow && previous.fast >= previous.slow;
		var crossUp = current.fast > current.slow && previous.fast <= previous.slow;

		// Cover a short when the fast line rises above the slow line again.
		if (ShortAllowClose && crossUp && Position < 0m)
		{
			BuyMarket(-Position);
			_shortEntryPrice = null;
		}

		if (!ShortAllowOpen || !crossDown)
			return;

		// Close existing longs before flipping into a short position.
		if (Position > 0m)
		{
			if (!LongAllowClose)
				return;

			SellMarket(Position);
			_longEntryPrice = null;
		}

		// Enter the new short once the direction is clear.
		if (Position >= 0m)
		{
			SellMarket(ShortVolume);
			_shortEntryPrice = candle.ClosePrice;
		}
	}

	private bool HandleShortRisk(ICandleMessage candle)
	{
		if (!ShortAllowClose || Position >= 0m || _shortEntryPrice is not decimal entry)
			return false;

		// Stop loss for the short side is triggered by a move above the entry price.
		if (ShortStopLoss > 0m && candle.HighPrice >= entry + ShortStopLoss)
		{
			BuyMarket(-Position);
			_shortEntryPrice = null;
			return true;
		}

		// Take profit for shorts fires when the low pierces the target distance.
		if (ShortTakeProfit > 0m && candle.LowPrice <= entry - ShortTakeProfit)
		{
			BuyMarket(-Position);
			_shortEntryPrice = null;
			return true;
		}

		return false;
	}

	private sealed class XFatlXSatlCloudIndicator : BaseIndicator
	{
		private static readonly decimal[] FatlCoefficients =
		{
	0.4360409450m,
	0.3658689069m,
	0.2460452079m,
	0.1104506886m,
	-0.0054034585m,
	-0.0760367731m,
	-0.0933058722m,
	-0.0670110374m,
	-0.0190795053m,
	0.0259609206m,
	0.0502044896m,
	0.0477818607m,
	0.0249252327m,
	-0.0047706151m,
	-0.0272432537m,
	-0.0338917071m,
	-0.0244141482m,
	-0.0055774838m,
	0.0128149838m,
	0.0226522218m,
	0.0208778257m,
	0.0100299086m,
	-0.0036771622m,
	-0.0136744850m,
	-0.0160483392m,
	-0.0108597376m,
	-0.0016060704m,
	0.0069480557m,
	0.0110573605m,
	0.0095711419m,
	0.0040444064m,
	-0.0023824623m,
	-0.0067093714m,
	-0.0072003400m,
	-0.0047717710m,
	0.0005541115m,
	0.0007860160m,
	0.0130129076m,
	0.0040364019m,
	};

		private static readonly decimal[] SatlCoefficients =
		{
	0.0982862174m,
	0.0975682269m,
	0.0961401078m,
	0.0940230544m,
	0.0912437090m,
	0.0878391006m,
	0.0838544303m,
	0.0793406350m,
	0.0743569346m,
	0.0689666682m,
	0.0632381578m,
	0.0572428925m,
	0.0510534242m,
	0.0447468229m,
	0.0383959950m,
	0.0320735368m,
	0.0258537721m,
	0.0198005183m,
	0.0139807863m,
	0.0084512448m,
	0.0032639979m,
	-0.0015350359m,
	-0.0059060082m,
	-0.0098190256m,
	-0.0132507215m,
	-0.0161875265m,
	-0.0186164872m,
	-0.0205446727m,
	-0.0219739146m,
	-0.0229204861m,
	-0.0234080863m,
	-0.0234566315m,
	-0.0231017777m,
	-0.0223796900m,
	-0.0213300463m,
	-0.0199924534m,
	-0.0184126992m,
	-0.0166377699m,
	-0.0147139428m,
	-0.0126796776m,
	-0.0105938331m,
	-0.0084736770m,
	-0.0063841850m,
	-0.0043466731m,
	-0.0023956944m,
	-0.0005535180m,
	0.0011421469m,
	0.0026845693m,
	0.0040471369m,
	0.0052380201m,
	0.0062194591m,
	0.0070340085m,
	0.0076266453m,
	0.0080376628m,
	0.0083037666m,
	0.0083694798m,
	0.0082901022m,
	0.0080741359m,
	0.0077543820m,
	0.0073260526m,
	0.0068163569m,
	0.0062325477m,
	0.0056078229m,
	0.0049516078m,
	0.0161380976m,
	};

		private readonly IIndicator _fastSmoother;
		private readonly IIndicator _slowSmoother;
		private readonly AppliedPrices _appliedPrice;
		private readonly decimal[] _priceBuffer = new decimal[SatlCoefficients.Length];
		private int _bufferIndex;
		private int _bufferCount;

		public XFatlXSatlCloudIndicator(XmaMethods fastMethod, int fastLength, int fastPhase, XmaMethods slowMethod, int slowLength, int slowPhase, AppliedPrices appliedPrice)
		{
			_fastSmoother = CreateSmoother(fastMethod, fastLength, fastPhase);
			_slowSmoother = CreateSmoother(slowMethod, slowLength, slowPhase);
			_appliedPrice = appliedPrice;
		}

		protected override IIndicatorValue OnProcess(IIndicatorValue input)
		{
			var candle = input.GetValue<ICandleMessage>();
			var price = SelectPrice(candle, _appliedPrice);
			// Feed the latest price into the circular buffer used by the FIR filters.
			_priceBuffer[_bufferIndex] = price;
			_bufferIndex = (_bufferIndex + 1) % _priceBuffer.Length;
			if (_bufferCount < _priceBuffer.Length)
				_bufferCount++;

			var fastRaw = ComputeFilter(FatlCoefficients);
			var slowRaw = ComputeFilter(SatlCoefficients);

			// Smooth both raw filters with the configured moving averages.
			var fastValue = _fastSmoother.Process(new DecimalIndicatorValue(_fastSmoother, fastRaw, input.Time) { IsFinal = input.IsFinal });
			var slowValue = _slowSmoother.Process(new DecimalIndicatorValue(_slowSmoother, slowRaw, input.Time) { IsFinal = input.IsFinal });
			var fast = fastValue.ToDecimal();
			var slow = slowValue.ToDecimal();

			IsFormed = _bufferCount >= SatlCoefficients.Length && fastValue.IsFinal && slowValue.IsFinal;
			return new XFatlXSatlValue(this, input.Time, fast, slow, fastRaw, slowRaw) { IsFinal = input.IsFinal };
		}

		public override void Reset()
		{
			base.Reset();
			Array.Clear(_priceBuffer, 0, _priceBuffer.Length);
			_bufferIndex = 0;
			_bufferCount = 0;
			_fastSmoother.Reset();
			_slowSmoother.Reset();
		}

		private decimal ComputeFilter(IReadOnlyList<decimal> coefficients)
		{
			if (_bufferCount < coefficients.Count)
				return 0m;

			decimal sum = 0m;
			for (var i = 0; i < coefficients.Count; i++)
			{
				// Traverse the ring buffer backwards to align with the newest price first.
				var index = _bufferIndex - 1 - i;
				if (index < 0)
					index += _priceBuffer.Length;

				sum += coefficients[i] * _priceBuffer[index];
			}

			return sum;
		}

		private static IIndicator CreateSmoother(XmaMethods method, int length, int phase)
		{
			length = Math.Max(1, length);

			// Map the MQL smoothing options to the closest available StockSharp moving averages.
			return method switch
			{
				XmaMethods.Sma => new SimpleMovingAverage { Length = length },
				XmaMethods.Ema => new ExponentialMovingAverage { Length = length },
				XmaMethods.Smma => new SmoothedMovingAverage { Length = length },
				XmaMethods.Lwma => new WeightedMovingAverage { Length = length },
				XmaMethods.Jurik => new JurikMovingAverage { Length = length },
				XmaMethods.ZeroLag => new ZeroLagExponentialMovingAverage { Length = length },
				XmaMethods.Kaufman => new KaufmanAdaptiveMovingAverage { Length = length },
				_ => throw new ArgumentOutOfRangeException(nameof(method), method, "Unsupported smoothing method."),
			};
		}

		private static decimal SelectPrice(ICandleMessage candle, AppliedPrices price)
		{
			return price switch
			{
				AppliedPrices.Open => candle.OpenPrice,
				AppliedPrices.High => candle.HighPrice,
				AppliedPrices.Low => candle.LowPrice,
				AppliedPrices.Median => (candle.HighPrice + candle.LowPrice) / 2m,
				AppliedPrices.Typical => (candle.HighPrice + candle.LowPrice + candle.ClosePrice) / 3m,
				AppliedPrices.Weighted => (candle.ClosePrice * 2m + candle.HighPrice + candle.LowPrice) / 4m,
				AppliedPrices.Simple => (candle.OpenPrice + candle.ClosePrice) / 2m,
				AppliedPrices.Quarter => (candle.OpenPrice + candle.ClosePrice + candle.HighPrice + candle.LowPrice) / 4m,
				AppliedPrices.TrendFollow0 => candle.ClosePrice > candle.OpenPrice ? candle.HighPrice : candle.ClosePrice < candle.OpenPrice ? candle.LowPrice : candle.ClosePrice,
				AppliedPrices.TrendFollow1 => candle.ClosePrice > candle.OpenPrice ? (candle.HighPrice + candle.ClosePrice) / 2m : candle.ClosePrice < candle.OpenPrice ? (candle.LowPrice + candle.ClosePrice) / 2m : candle.ClosePrice,
				AppliedPrices.Demark => CalculateDemarkPrice(candle),
				_ => candle.ClosePrice,
			};
		}

		private static decimal CalculateDemarkPrice(ICandleMessage candle)
		{
			var sum = candle.HighPrice + candle.LowPrice + candle.ClosePrice;
			if (candle.ClosePrice < candle.OpenPrice)
				sum = (sum + candle.LowPrice) / 2m;
			else if (candle.ClosePrice > candle.OpenPrice)
				sum = (sum + candle.HighPrice) / 2m;
			else
				sum = (sum + candle.ClosePrice) / 2m;

			return ((sum - candle.LowPrice) + (sum - candle.HighPrice)) / 2m;
		}
	}

	private sealed class XFatlXSatlValue : DecimalIndicatorValue
	{
		public XFatlXSatlValue(IIndicator indicator, DateTime time, decimal fast, decimal slow, decimal fastRaw, decimal slowRaw)
			: base(indicator, fast, time)
		{
			Fast = fast;
			Slow = slow;
			FastRaw = fastRaw;
			SlowRaw = slowRaw;
		}

		public decimal Fast { get; }
		public decimal Slow { get; }
		public decimal FastRaw { get; }
		public decimal SlowRaw { get; }
	}
}

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 (
    SimpleMovingAverage, ExponentialMovingAverage, SmoothedMovingAverage,
    WeightedMovingAverage, JurikMovingAverage, ZeroLagExponentialMovingAverage,
    KaufmanAdaptiveMovingAverage
)
from StockSharp.Algo.Strategies import Strategy
from indicator_extensions import *

_FATL_COEFF = [
    0.4360409450, 0.3658689069, 0.2460452079, 0.1104506886,
    -0.0054034585, -0.0760367731, -0.0933058722, -0.0670110374,
    -0.0190795053, 0.0259609206, 0.0502044896, 0.0477818607,
    0.0249252327, -0.0047706151, -0.0272432537, -0.0338917071,
    -0.0244141482, -0.0055774838, 0.0128149838, 0.0226522218,
    0.0208778257, 0.0100299086, -0.0036771622, -0.0136744850,
    -0.0160483392, -0.0108597376, -0.0016060704, 0.0069480557,
    0.0110573605, 0.0095711419, 0.0040444064, -0.0023824623,
    -0.0067093714, -0.0072003400, -0.0047717710, 0.0005541115,
    0.0007860160, 0.0130129076, 0.0040364019,
]

_SATL_COEFF = [
    0.0982862174, 0.0975682269, 0.0961401078, 0.0940230544,
    0.0912437090, 0.0878391006, 0.0838544303, 0.0793406350,
    0.0743569346, 0.0689666682, 0.0632381578, 0.0572428925,
    0.0510534242, 0.0447468229, 0.0383959950, 0.0320735368,
    0.0258537721, 0.0198005183, 0.0139807863, 0.0084512448,
    0.0032639979, -0.0015350359, -0.0059060082, -0.0098190256,
    -0.0132507215, -0.0161875265, -0.0186164872, -0.0205446727,
    -0.0219739146, -0.0229204861, -0.0234080863, -0.0234566315,
    -0.0231017777, -0.0223796900, -0.0213300463, -0.0199924534,
    -0.0184126992, -0.0166377699, -0.0147139428, -0.0126796776,
    -0.0105938331, -0.0084736770, -0.0063841850, -0.0043466731,
    -0.0023956944, -0.0005535180, 0.0011421469, 0.0026845693,
    0.0040471369, 0.0052380201, 0.0062194591, 0.0070340085,
    0.0076266453, 0.0080376628, 0.0083037666, 0.0083694798,
    0.0082901022, 0.0080741359, 0.0077543820, 0.0073260526,
    0.0068163569, 0.0062325477, 0.0056078229, 0.0049516078,
    0.0161380976,
]

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4)))
        self._long_length1 = self.Param("LongLength1", 3)
        self._long_length2 = self.Param("LongLength2", 5)
        self._long_signal_bar = self.Param("LongSignalBar", 1)
        self._long_stop_loss = self.Param("LongStopLoss", 0.0)
        self._long_take_profit = self.Param("LongTakeProfit", 0.0)

        self._long_history = []
        self._long_entry_price = None
        self._price_buffer = [0.0] * len(_SATL_COEFF)
        self._buf_idx = 0
        self._buf_count = 0
        self._fast_smoother = None
        self._slow_smoother = None

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

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

    @property
    def LongLength1(self):
        return self._long_length1.Value

    @property
    def LongLength2(self):
        return self._long_length2.Value

    @property
    def LongSignalBar(self):
        return self._long_signal_bar.Value

    @property
    def LongStopLoss(self):
        return self._long_stop_loss.Value

    @property
    def LongTakeProfit(self):
        return self._long_take_profit.Value

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

        self._fast_smoother = JurikMovingAverage()
        self._fast_smoother.Length = max(1, self.LongLength1)
        self._slow_smoother = JurikMovingAverage()
        self._slow_smoother.Length = max(1, self.LongLength2)

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

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

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

        price = float(candle.ClosePrice)
        buf_len = len(self._price_buffer)
        self._price_buffer[self._buf_idx] = price
        self._buf_idx = (self._buf_idx + 1) % buf_len
        if self._buf_count < buf_len:
            self._buf_count += 1

        fast_raw = self._compute_filter(_FATL_COEFF)
        slow_raw = self._compute_filter(_SATL_COEFF)

        t = candle.OpenTime
        fv = process_float(self._fast_smoother, fast_raw, t, True)
        sv = process_float(self._slow_smoother, slow_raw, t, True)
        fast = float(fv)
        slow = float(sv)

        self._long_history.insert(0, (fast, slow))
        max_size = max(self.LongSignalBar + 2, 2)
        if len(self._long_history) > max_size:
            self._long_history.pop()

        if self._handle_long_risk(candle):
            return

        if len(self._long_history) <= self.LongSignalBar + 1:
            return

        current = self._long_history[self.LongSignalBar]
        previous = self._long_history[self.LongSignalBar + 1]
        cross_up = current[0] > current[1] and previous[0] <= previous[1]
        cross_down = current[0] < current[1] and previous[0] >= previous[1]

        if cross_down and self.Position > 0:
            self.SellMarket()
            self._long_entry_price = None

        if cross_up and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
            self._long_entry_price = float(candle.ClosePrice)

        if cross_down and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()

    def _handle_long_risk(self, candle):
        if self.Position <= 0 or self._long_entry_price is None:
            return False
        entry = self._long_entry_price
        if self.LongStopLoss > 0 and float(candle.LowPrice) <= entry - self.LongStopLoss:
            self.SellMarket()
            self._long_entry_price = None
            return True
        if self.LongTakeProfit > 0 and float(candle.HighPrice) >= entry + self.LongTakeProfit:
            self.SellMarket()
            self._long_entry_price = None
            return True
        return False

    def _compute_filter(self, coefficients):
        if self._buf_count < len(coefficients):
            return 0.0
        total = 0.0
        for i in range(len(coefficients)):
            idx = self._buf_idx - 1 - i
            if idx < 0:
                idx += len(self._price_buffer)
            total += coefficients[i] * self._price_buffer[idx]
        return total

    def OnReseted(self):
        super(x_fatl_x_satl_cloud_duplex_strategy, self).OnReseted()
        self._long_history = []
        self._long_entry_price = None
        self._price_buffer = [0.0] * len(_SATL_COEFF)
        self._buf_idx = 0
        self._buf_count = 0

    def CreateClone(self):
        return x_fatl_x_satl_cloud_duplex_strategy()