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Night Flat Trade Strategy

The Night Flat Trade Strategy reproduces the classic MQL5 expert advisor that looks for tight overnight ranges on EURUSD H1 candles. It focuses on the hour surrounding the trading day change, waiting for price to drift back toward the edges of a narrow consolidation channel and betting on a breakout continuation. The StockSharp version keeps the original ideas intact while relying on high-level candle subscriptions, indicator bindings and parameter objects for better configurability.

Overview

  • Market & Timeframe: Designed for EURUSD on the H1 timeframe, but any instrument with a clearly defined price step can be used.
  • Session Window: Entries are allowed only during a two-hour window that starts at the configured OpenHour and ends at OpenHour + 1 (exchange time).
  • Range Filter: The high-low span of the last three completed candles must remain between DiffMinPips and DiffMaxPips (converted into price units).
  • Bias: Long-only or short-only depending on where the latest close sits inside the qualifying range.

Trading Logic

  1. Calculate Range Bounds

    • The strategy binds to the built-in Highest and Lowest indicators (length = 3) to obtain the highest high and lowest low across the latest three candles.
    • The distance between those boundaries is the working range used for all subsequent checks.

  2. Entry Conditions

    • Long Setup: During the active session, if the closing price is above the range low but still within the lower quarter (lowest + range/4), the strategy opens a long position with an initial protective stop at lowest - range/3.
    • Short Setup: Symmetrically, if the close is below the range high but still inside the upper quarter (highest - range/4), a short position is opened with a stop at highest + range/3.

  3. Exit Management

    • Stop-Loss: Stops are simulated internally and trigger a market exit when the next candle breaches the stored threshold.
    • Take-Profit: When TakeProfitPips > 0, an additional fixed take-profit level (in pips) is created relative to the entry price.
    • Trailing Stop: When both TrailingStopPips and TrailingStepPips are positive, the stop is tightened only after price advances by TrailingStop + TrailingStep pips in favor of the trade. Subsequent adjustments require an extra TrailingStepPips of progress to mirror the original stepwise trailing behavior.

  4. Re-Entry Control

    • The algorithm always waits for the current position to be completely closed before searching for a new signal, keeping the system flat between trades as in the reference expert advisor.

Parameters

Parameter Description Default
CandleType Candle series to subscribe to (defaults to H1). 1-hour candles
TakeProfitPips Optional take-profit distance in pips. 50
TrailingStopPips Distance between price and trailing stop in pips (0 disables trailing). 15
TrailingStepPips Extra pips required before each trailing stop update. 5
DiffMinPips Minimum allowed three-candle range (pips). 18
DiffMaxPips Maximum allowed three-candle range (pips). 28
OpenHour Session start hour in exchange time (entries allowed until OpenHour + 1). 0

Indicators

  • Highest(Length = 3) to monitor the recent range top.
  • Lowest(Length = 3) to monitor the recent range bottom.

Implementation Notes

  • Pip conversion automatically adapts to instruments with 3 or 5 decimal places by multiplying the reported price step by 10, exactly like the original MQ5 implementation.
  • Because StockSharp operates on completed candles in this sample, intra-candle entry conditions are approximated using the closing price. This keeps the logic deterministic while remaining faithful to the intent of the source code.
  • All risk parameters are exposed through StrategyParam<T> objects, making them visible in the UI and ready for optimization or batch experiments.
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>
/// Night session flat trading strategy that enters near range extremes.
/// </summary>
public class NightFlatTradeStrategy : Strategy
{
	private readonly StrategyParam<int> _rangeLength;

	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _takeProfitPips;
	private readonly StrategyParam<decimal> _trailingStopPips;
	private readonly StrategyParam<decimal> _trailingStepPips;
	private readonly StrategyParam<decimal> _diffMinPips;
	private readonly StrategyParam<decimal> _diffMaxPips;
	private readonly StrategyParam<int> _openHour;

	private Highest _highest = null!;
	private Lowest _lowest = null!;

	private decimal _pipSize;
	private decimal _entryPrice;
	private decimal? _stopPrice;
	private decimal? _takeProfitPrice;

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public decimal TakeProfitPips
	{
		get => _takeProfitPips.Value;
		set => _takeProfitPips.Value = value;
	}

	public decimal TrailingStopPips
	{
		get => _trailingStopPips.Value;
		set => _trailingStopPips.Value = value;
	}

	public decimal TrailingStepPips
	{
		get => _trailingStepPips.Value;
		set => _trailingStepPips.Value = value;
	}

	public decimal DiffMinPips
	{
		get => _diffMinPips.Value;
		set => _diffMinPips.Value = value;
	}

	public decimal DiffMaxPips
	{
		get => _diffMaxPips.Value;
		set => _diffMaxPips.Value = value;
	}

	public int OpenHour
	{
		get => _openHour.Value;
		set => _openHour.Value = value;
	}

	/// <summary>
	/// Number of candles used to form the overnight range.
	/// </summary>
	public int RangeLength
	{
		get => _rangeLength.Value;
		set => _rangeLength.Value = value;
	}

	public NightFlatTradeStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles used for the setup", "General");

		_takeProfitPips = Param(nameof(TakeProfitPips), 50m)
			.SetRange(0m, 500m)
			.SetDisplay("Take Profit (pips)", "Take profit distance in pips", "Risk");

		_trailingStopPips = Param(nameof(TrailingStopPips), 15m)
			.SetRange(0m, 200m)
			.SetDisplay("Trailing Stop (pips)", "Trailing stop distance in pips", "Risk");

		_trailingStepPips = Param(nameof(TrailingStepPips), 5m)
			.SetRange(0m, 200m)
			.SetDisplay("Trailing Step (pips)", "Extra advance required to shift the trailing stop", "Risk");

		_diffMinPips = Param(nameof(DiffMinPips), 18m)
			.SetGreaterThanZero()
			.SetDisplay("Min Range (pips)", "Minimum three-candle range in pips", "Setup");

		_diffMaxPips = Param(nameof(DiffMaxPips), 28m)
			.SetGreaterThanZero()
			.SetDisplay("Max Range (pips)", "Maximum three-candle range in pips", "Setup");

		_openHour = Param(nameof(OpenHour), 0)
			.SetRange(0, 23)
			.SetDisplay("Open Hour", "Hour (exchange time) when entries become active", "Schedule");

		_rangeLength = Param(nameof(RangeLength), 3)
			.SetGreaterThanZero()
			.SetDisplay("Range Length", "Number of candles composing the range", "Setup");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();

		_highest = null!;
		_lowest = null!;
		_pipSize = 0m;
		_entryPrice = 0m;
		_stopPrice = null;
		_takeProfitPrice = null;
	}

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

		_highest = new Highest { Length = RangeLength };
		_lowest = new Lowest { Length = RangeLength };

		var priceStep = Security?.PriceStep ?? 0m;
		var decimals = Security?.Decimals;

		if (priceStep <= 0m)
			priceStep = 0.0001m;

		_pipSize = priceStep;

		if (decimals.HasValue && (decimals.Value == 3 || decimals.Value == 5))
			_pipSize *= 10m;

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

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

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

		// Manage active trades before scanning for new setups.
		HandleExistingPosition(candle);

		if (Position != 0m)
			return;

		if (_highest == null || _lowest == null)
			return;

		if (!_highest.IsFormed || !_lowest.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var diff = highestValue - lowestValue;
		if (diff <= 0m)
			return;

		var quarter = diff / 4m;
		var closePrice = candle.ClosePrice;

		if (closePrice > lowestValue && closePrice <= lowestValue + quarter)
		{
			BuyMarket();
			_entryPrice = closePrice;
			_stopPrice = lowestValue - diff / 3m;
			_takeProfitPrice = TakeProfitPips > 0m ? closePrice + ToPrice(TakeProfitPips) : null;
			return;
		}

		if (closePrice < highestValue && closePrice >= highestValue - quarter)
		{
			SellMarket();
			_entryPrice = closePrice;
			_stopPrice = highestValue + diff / 3m;
			_takeProfitPrice = TakeProfitPips > 0m ? closePrice - ToPrice(TakeProfitPips) : null;
		}
	}

	private void HandleExistingPosition(ICandleMessage candle)
	{
		if (Position > 0m)
		{
			UpdateTrailingForLong(candle);

			if (_stopPrice.HasValue && candle.LowPrice <= _stopPrice.Value)
			{
				SellMarket(Math.Abs(Position));
				ResetTradeState();
				return;
			}

			if (_takeProfitPrice.HasValue && candle.HighPrice >= _takeProfitPrice.Value)
			{
				SellMarket(Math.Abs(Position));
				ResetTradeState();
			}
		}
		else if (Position < 0m)
		{
			UpdateTrailingForShort(candle);

			if (_stopPrice.HasValue && candle.HighPrice >= _stopPrice.Value)
			{
				BuyMarket(Math.Abs(Position));
				ResetTradeState();
				return;
			}

			if (_takeProfitPrice.HasValue && candle.LowPrice <= _takeProfitPrice.Value)
			{
				BuyMarket(Math.Abs(Position));
				ResetTradeState();
			}
		}
	}

	private void UpdateTrailingForLong(ICandleMessage candle)
	{
		if (TrailingStopPips <= 0m || TrailingStepPips <= 0m || _stopPrice == null)
			return;

		var trailingDistance = ToPrice(TrailingStopPips);
		var stepDistance = ToPrice(TrailingStepPips);

		var advance = candle.HighPrice - _entryPrice;
		if (advance < trailingDistance + stepDistance)
			return;

		var newStop = candle.HighPrice - trailingDistance;

		if (newStop <= _stopPrice.Value || newStop - _stopPrice.Value < stepDistance)
			return;

		// Raise the stop only after price travels an additional step distance.
		_stopPrice = newStop;
	}

	private void UpdateTrailingForShort(ICandleMessage candle)
	{
		if (TrailingStopPips <= 0m || TrailingStepPips <= 0m || _stopPrice == null)
			return;

		var trailingDistance = ToPrice(TrailingStopPips);
		var stepDistance = ToPrice(TrailingStepPips);

		var advance = _entryPrice - candle.LowPrice;
		if (advance < trailingDistance + stepDistance)
			return;

		var newStop = candle.LowPrice + trailingDistance;

		if (newStop >= _stopPrice.Value || _stopPrice.Value - newStop < stepDistance)
			return;

		// Lower the stop only after price moves the additional step distance in favor of the trade.
		_stopPrice = newStop;
	}

	private decimal ToPrice(decimal pips)
	{
		if (pips <= 0m)
			return 0m;

		var pip = _pipSize > 0m ? _pipSize : 0.0001m;
		return pips * pip;
	}

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