Renko-Niveau-Strategie

using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Renko level breakout strategy. Emulates Renko bricks on time-based candles
/// and trades when the rounded level shifts up or down.
/// </summary>
public class RenkoLevelStrategy : Strategy
{
	private readonly StrategyParam<int> _blockSize;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _upperLevel;
	private decimal _lowerLevel;
	private bool _hasLevels;

	public int BlockSize
	{
		get => _blockSize.Value;
		set => _blockSize.Value = value;
	}

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

	public RenkoLevelStrategy()
	{
		_blockSize = Param(nameof(BlockSize), 5000)
			.SetGreaterThanZero()
			.SetDisplay("Block Size", "Renko block size in price steps", "Renko");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candles", "General");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_upperLevel = 0m;
		_lowerLevel = 0m;
		_hasLevels = false;
	}

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

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

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

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

		var brickSize = GetBrickSize();
		if (brickSize <= 0m)
			return;

		var close = candle.ClosePrice;

		if (!_hasLevels)
		{
			InitializeLevels(close, brickSize);
			return;
		}

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var previousUpper = _upperLevel;
		var moved = false;

		if (close < _lowerLevel)
		{
			var (round, _, ceil) = CalculateLevels(close, brickSize);
			if (Math.Abs(round - _lowerLevel) > brickSize * 0.01m)
			{
				_lowerLevel = round;
				_upperLevel = ceil;
				moved = true;
			}
		}
		else if (close > _upperLevel)
		{
			var (round, floor, _) = CalculateLevels(close, brickSize);
			if (Math.Abs(round - _upperLevel) > brickSize * 0.01m)
			{
				_lowerLevel = floor;
				_upperLevel = round;
				moved = true;
			}
		}

		if (!moved)
			return;

		if (_upperLevel > previousUpper && Position <= 0)
			BuyMarket();
		else if (_upperLevel < previousUpper && Position >= 0)
			SellMarket();
	}

	private void InitializeLevels(decimal price, decimal brickSize)
	{
		var (round, floor, _) = CalculateLevels(price, brickSize);
		_upperLevel = round;
		_lowerLevel = floor;
		_hasLevels = true;
	}

	private (decimal round, decimal floor, decimal ceil) CalculateLevels(decimal price, decimal brickSize)
	{
		var ratio = price / brickSize;
		var rounded = Math.Round(ratio, 0, MidpointRounding.AwayFromZero);
		var priceRound = rounded * brickSize;
		var priceFloor = priceRound - brickSize;
		var priceCeil = priceRound + brickSize;
		return (priceRound, priceFloor, priceCeil);
	}

	private decimal GetBrickSize()
	{
		var step = Security?.PriceStep ?? 0.01m;
		return step * BlockSize;
	}
}

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 renko_level_strategy(Strategy):
    def __init__(self):
        super(renko_level_strategy, self).__init__()

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candles", "General")
        self._block_size = self.Param("BlockSize", 5000) \
            .SetDisplay("Block Size", "Renko block size in price steps", "Renko")

        self._upper_level = 0.0
        self._lower_level = 0.0
        self._has_levels = False

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

    @property
    def BlockSize(self):
        return self._block_size.Value

    def OnReseted(self):
        super(renko_level_strategy, self).OnReseted()
        self._upper_level = 0.0
        self._lower_level = 0.0
        self._has_levels = False

    def OnStarted2(self, time):
        super(renko_level_strategy, self).OnStarted2(time)
        self._upper_level = 0.0
        self._lower_level = 0.0
        self._has_levels = False

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

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

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

        brick_size = self._get_brick_size()
        if brick_size <= 0:
            return

        close = float(candle.ClosePrice)

        if not self._has_levels:
            self._initialize_levels(close, brick_size)
            return

        previous_upper = self._upper_level
        moved = False

        if close < self._lower_level:
            rnd, _, ceil = self._calculate_levels(close, brick_size)
            if abs(rnd - self._lower_level) > brick_size * 0.01:
                self._lower_level = rnd
                self._upper_level = ceil
                moved = True
        elif close > self._upper_level:
            rnd, floor, _ = self._calculate_levels(close, brick_size)
            if abs(rnd - self._upper_level) > brick_size * 0.01:
                self._lower_level = floor
                self._upper_level = rnd
                moved = True

        if not moved:
            return

        if self._upper_level > previous_upper and self.Position <= 0:
            self.BuyMarket()
        elif self._upper_level < previous_upper and self.Position >= 0:
            self.SellMarket()

    def _initialize_levels(self, price, brick_size):
        rnd, floor, _ = self._calculate_levels(price, brick_size)
        self._upper_level = rnd
        self._lower_level = floor
        self._has_levels = True

    def _calculate_levels(self, price, brick_size):
        ratio = price / brick_size
        rounded = round(ratio)
        price_round = rounded * brick_size
        price_floor = price_round - brick_size
        price_ceil = price_round + brick_size
        return (price_round, price_floor, price_ceil)

    def _get_brick_size(self):
        sec = self.Security
        step = float(sec.PriceStep) if sec is not None and sec.PriceStep is not None else 0.01
        return step * self.BlockSize

    def CreateClone(self):
        return renko_level_strategy()