TimeEA-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>
/// Time-based strategy that opens a single directional position at the configured time
/// and closes it at another time or when optional stop/target levels are hit.
/// </summary>
public class TimeEaStrategy : Strategy
{
	private readonly StrategyParam<TimeSpan> _openTime;
	private readonly StrategyParam<TimeSpan> _closeTime;
	private readonly StrategyParam<TimeEaPositionTypes> _openedType;
	private readonly StrategyParam<decimal> _orderVolume;
	private readonly StrategyParam<int> _stopLossPoints;
	private readonly StrategyParam<int> _takeProfitPoints;
	private readonly StrategyParam<int> _minSpreadMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	private DateTime? _lastEntryDate;
	private DateTime? _lastCloseDate;
	private decimal _entryPrice;
	private decimal _stopPrice;
	private decimal _takeProfitPrice;

	/// <summary>
	/// Time of day to open the position.
	/// </summary>
	public TimeSpan OpenTime
	{
		get => _openTime.Value;
		set => _openTime.Value = value;
	}

	/// <summary>
	/// Time of day to close the position.
	/// </summary>
	public TimeSpan CloseTime
	{
		get => _closeTime.Value;
		set => _closeTime.Value = value;
	}

	/// <summary>
	/// Direction of the position opened at the scheduled time.
	/// </summary>
	public TimeEaPositionTypes OpenedType
	{
		get => _openedType.Value;
		set => _openedType.Value = value;
	}

	/// <summary>
	/// Market order volume for opening trades.
	/// </summary>
	public decimal OrderVolume
	{
		get => _orderVolume.Value;
		set => _orderVolume.Value = value;
	}

	/// <summary>
	/// Stop loss distance in price steps.
	/// </summary>
	public int StopLossPoints
	{
		get => _stopLossPoints.Value;
		set => _stopLossPoints.Value = value;
	}

	/// <summary>
	/// Take profit distance in price steps.
	/// </summary>
	public int TakeProfitPoints
	{
		get => _takeProfitPoints.Value;
		set => _takeProfitPoints.Value = value;
	}

	/// <summary>
	/// Minimal distance multiplier applied to stops and targets.
	/// </summary>
	public int MinSpreadMultiplier
	{
		get => _minSpreadMultiplier.Value;
		set => _minSpreadMultiplier.Value = value;
	}

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

	/// <summary>
	/// Initializes <see cref="TimeEaStrategy"/>.
	/// </summary>
	public TimeEaStrategy()
	{
		_openTime = Param(nameof(OpenTime), new TimeSpan(1, 0, 0))
			.SetDisplay("Open Time", "Time to enter the market", "Scheduling");

		_closeTime = Param(nameof(CloseTime), TimeSpan.Zero)
			.SetDisplay("Close Time", "Time to exit the market", "Scheduling");

		_openedType = Param(nameof(OpenedType), TimeEaPositionTypes.Buy)
			.SetDisplay("Position Type", "Direction to maintain", "Trading");

		_orderVolume = Param(nameof(OrderVolume), 0.1m)
			.SetGreaterThanZero()
			.SetDisplay("Order Volume", "Quantity for market orders", "Trading");

		_stopLossPoints = Param(nameof(StopLossPoints), 0)
			.SetNotNegative()
			.SetDisplay("Stop Loss (points)", "Distance in price steps", "Risk");

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 0)
			.SetNotNegative()
			.SetDisplay("Take Profit (points)", "Distance in price steps", "Risk");

		_minSpreadMultiplier = Param(nameof(MinSpreadMultiplier), 2)
			.SetNotNegative()
			.SetDisplay("Minimum Distance Multiplier", "Minimal offset applied to stops", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Candles used for scheduling", "General");
	}

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

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

		_lastEntryDate = null;
		_lastCloseDate = null;
		ResetRiskLevels();
	}

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

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

	private void ProcessCandle(ICandleMessage candle)
	{
		// Use finished candles to evaluate the time windows.
		if (candle.State != CandleStates.Finished)
			return;

		var candleDate = candle.CloseTime.Date;

		if (ContainsTime(candle, OpenTime) && _lastEntryDate != candleDate)
		{
			_lastEntryDate = candleDate;
			HandleOpen(candle);
		}

		if (ContainsTime(candle, CloseTime) && _lastCloseDate != candleDate)
		{
			_lastCloseDate = candleDate;

			if (Position != 0)
			{
				if (Position > 0) SellMarket(Position); else if (Position < 0) BuyMarket(Math.Abs(Position));
				ResetRiskLevels();
			}
			return;
		}

		ManageRisk(candle);
	}

	private void HandleOpen(ICandleMessage candle)
	{
		// Close opposite exposure before opening a new position.
		if (OpenedType == TimeEaPositionTypes.Buy)
		{
			if (Position < 0)
			{
				if (Position > 0) SellMarket(Position); else if (Position < 0) BuyMarket(Math.Abs(Position));
				ResetRiskLevels();
			}

			if (Position == 0 && OrderVolume > 0)
			{
				BuyMarket(OrderVolume);
				SetRiskLevels(candle.ClosePrice, true);
			}
		}
		else
		{
			if (Position > 0)
			{
				if (Position > 0) SellMarket(Position); else if (Position < 0) BuyMarket(Math.Abs(Position));
				ResetRiskLevels();
			}

			if (Position == 0 && OrderVolume > 0)
			{
				SellMarket(OrderVolume);
				SetRiskLevels(candle.ClosePrice, false);
			}
		}
	}

	private void ManageRisk(ICandleMessage candle)
	{
		// Monitor active position for stop loss and take profit.
		if (Position > 0)
		{
			if (_stopPrice > 0m && candle.LowPrice <= _stopPrice)
			{
				if (Position > 0) SellMarket(Position); else if (Position < 0) BuyMarket(Math.Abs(Position));
				ResetRiskLevels();
				return;
			}

			if (_takeProfitPrice > 0m && candle.HighPrice >= _takeProfitPrice)
			{
				if (Position > 0) SellMarket(Position); else if (Position < 0) BuyMarket(Math.Abs(Position));
				ResetRiskLevels();
			}
		}
		else if (Position < 0)
		{
			if (_stopPrice > 0m && candle.HighPrice >= _stopPrice)
			{
				if (Position > 0) SellMarket(Position); else if (Position < 0) BuyMarket(Math.Abs(Position));
				ResetRiskLevels();
				return;
			}

			if (_takeProfitPrice > 0m && candle.LowPrice <= _takeProfitPrice)
			{
				if (Position > 0) SellMarket(Position); else if (Position < 0) BuyMarket(Math.Abs(Position));
				ResetRiskLevels();
			}
		}
	}

	private void SetRiskLevels(decimal closePrice, bool isLong)
	{
		_entryPrice = closePrice;

		var step = Security?.PriceStep ?? 1m;
		var minDistance = Math.Max(MinSpreadMultiplier, 0) * step;
		var stopDistance = StopLossPoints > 0 ? Math.Max(StopLossPoints * step, minDistance) : 0m;
		var takeDistance = TakeProfitPoints > 0 ? Math.Max(TakeProfitPoints * step, minDistance) : 0m;

		// Calculate price levels in the same direction logic as the original Expert Advisor.
		if (isLong)
		{
			_stopPrice = stopDistance > 0m ? closePrice - stopDistance : 0m;
			_takeProfitPrice = takeDistance > 0m ? closePrice + takeDistance : 0m;
		}
		else
		{
			_stopPrice = stopDistance > 0m ? closePrice + stopDistance : 0m;
			_takeProfitPrice = takeDistance > 0m ? closePrice - takeDistance : 0m;
		}
	}

	private void ResetRiskLevels()
	{
		_entryPrice = 0m;
		_stopPrice = 0m;
		_takeProfitPrice = 0m;
	}

	private static bool ContainsTime(ICandleMessage candle, TimeSpan target)
	{
		var openTime = candle.OpenTime;
		var closeTime = candle.CloseTime;

		var openSpan = openTime.TimeOfDay;
		var closeSpan = closeTime.TimeOfDay;

		var crossesMidnight = closeTime.Date > openTime.Date || closeSpan < openSpan;

		if (!crossesMidnight)
			return target >= openSpan && target <= closeSpan;

		var startMinutes = openSpan.TotalMinutes;
		var endMinutes = closeSpan.TotalMinutes + TimeSpan.FromDays(1).TotalMinutes;
		var targetMinutes = target.TotalMinutes;

		if (targetMinutes < startMinutes)
			targetMinutes += TimeSpan.FromDays(1).TotalMinutes;

		return targetMinutes >= startMinutes && targetMinutes <= endMinutes;
	}

	/// <summary>
	/// Supported position directions.
	/// </summary>
	public enum TimeEaPositionTypes
	{
		/// <summary>
		/// Open a long position.
		/// </summary>
		Buy,

		/// <summary>
		/// Open a short position.
		/// </summary>
		Sell
	}
}

import clr

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

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


class time_ea_strategy(Strategy):
    TYPE_BUY = 0
    TYPE_SELL = 1

    def __init__(self):
        super(time_ea_strategy, self).__init__()
        self._open_time = self.Param("OpenTime", TimeSpan(1, 0, 0))
        self._close_time = self.Param("CloseTime", TimeSpan.Zero)
        self._opened_type = self.Param("OpenedType", self.TYPE_BUY)
        self._order_volume = self.Param("OrderVolume", 0.1)
        self._stop_loss_points = self.Param("StopLossPoints", 0)
        self._take_profit_points = self.Param("TakeProfitPoints", 0)
        self._min_spread_multiplier = self.Param("MinSpreadMultiplier", 2)
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(1)))
        self._last_entry_date = None
        self._last_close_date = None
        self._entry_price = 0.0
        self._stop_price = 0.0
        self._take_profit_price = 0.0

    @property
    def OpenTime(self):
        return self._open_time.Value

    @property
    def CloseTime(self):
        return self._close_time.Value

    @property
    def OpenedType(self):
        return self._opened_type.Value

    @property
    def OrderVolume(self):
        return self._order_volume.Value

    @property
    def StopLossPoints(self):
        return self._stop_loss_points.Value

    @property
    def TakeProfitPoints(self):
        return self._take_profit_points.Value

    @property
    def MinSpreadMultiplier(self):
        return self._min_spread_multiplier.Value

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

    def OnStarted2(self, time):
        super(time_ea_strategy, self).OnStarted2(time)
        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(self._process_candle).Start()

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

        if self._contains_time(candle, self.OpenTime) and self._last_entry_date != candle_date:
            self._last_entry_date = candle_date
            self._handle_open(candle)

        if self._contains_time(candle, self.CloseTime) and self._last_close_date != candle_date:
            self._last_close_date = candle_date
            pos = float(self.Position)
            if pos != 0:
                if pos > 0:
                    self.SellMarket(pos)
                elif pos < 0:
                    self.BuyMarket(abs(pos))
                self._reset_risk_levels()
            return

        self._manage_risk(candle)

    def _handle_open(self, candle):
        pos = float(self.Position)
        if self.OpenedType == self.TYPE_BUY:
            if pos < 0:
                self.BuyMarket(abs(pos))
                self._reset_risk_levels()
            if float(self.Position) == 0 and float(self.OrderVolume) > 0:
                self.BuyMarket(float(self.OrderVolume))
                self._set_risk_levels(float(candle.ClosePrice), True)
        else:
            if pos > 0:
                self.SellMarket(pos)
                self._reset_risk_levels()
            if float(self.Position) == 0 and float(self.OrderVolume) > 0:
                self.SellMarket(float(self.OrderVolume))
                self._set_risk_levels(float(candle.ClosePrice), False)

    def _manage_risk(self, candle):
        pos = float(self.Position)
        if pos > 0:
            if self._stop_price > 0 and float(candle.LowPrice) <= self._stop_price:
                self.SellMarket(pos)
                self._reset_risk_levels()
                return
            if self._take_profit_price > 0 and float(candle.HighPrice) >= self._take_profit_price:
                self.SellMarket(pos)
                self._reset_risk_levels()
        elif pos < 0:
            if self._stop_price > 0 and float(candle.HighPrice) >= self._stop_price:
                self.BuyMarket(abs(pos))
                self._reset_risk_levels()
                return
            if self._take_profit_price > 0 and float(candle.LowPrice) <= self._take_profit_price:
                self.BuyMarket(abs(pos))
                self._reset_risk_levels()

    def _set_risk_levels(self, close_price, is_long):
        self._entry_price = close_price
        sec = self.Security
        step = float(sec.PriceStep) if sec is not None and sec.PriceStep is not None else 1.0
        if step <= 0:
            step = 1.0
        min_distance = max(self.MinSpreadMultiplier, 0) * step
        stop_dist = max(self.StopLossPoints * step, min_distance) if self.StopLossPoints > 0 else 0.0
        take_dist = max(self.TakeProfitPoints * step, min_distance) if self.TakeProfitPoints > 0 else 0.0
        if is_long:
            self._stop_price = close_price - stop_dist if stop_dist > 0 else 0.0
            self._take_profit_price = close_price + take_dist if take_dist > 0 else 0.0
        else:
            self._stop_price = close_price + stop_dist if stop_dist > 0 else 0.0
            self._take_profit_price = close_price - take_dist if take_dist > 0 else 0.0

    def _reset_risk_levels(self):
        self._entry_price = 0.0
        self._stop_price = 0.0
        self._take_profit_price = 0.0

    def _contains_time(self, candle, target):
        open_time = candle.OpenTime
        close_time = candle.CloseTime
        open_span = open_time.TimeOfDay
        close_span = close_time.TimeOfDay
        crosses_midnight = close_time.Date > open_time.Date or close_span < open_span
        if not crosses_midnight:
            return target >= open_span and target <= close_span
        start_min = open_span.TotalMinutes
        end_min = close_span.TotalMinutes + 1440.0
        target_min = target.TotalMinutes
        if target_min < start_min:
            target_min += 1440.0
        return target_min >= start_min and target_min <= end_min

    def OnReseted(self):
        super(time_ea_strategy, self).OnReseted()
        self._last_entry_date = None
        self._last_close_date = None
        self._reset_risk_levels()

    def CreateClone(self):
        return time_ea_strategy()