Volume Trader-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>
/// Volume based reversal strategy that reacts to increasing or decreasing tick volume.
/// </summary>
public class VolumeTraderStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _startHour;
	private readonly StrategyParam<int> _endHour;

	private decimal? _previousVolume;
	private decimal? _previousPreviousVolume;

	/// <summary>
	/// Candle type used to calculate the signals.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Inclusive start hour of the trading session.
	/// </summary>
	public int StartHour
	{
		get => _startHour.Value;
		set => _startHour.Value = value;
	}

	/// <summary>
	/// Inclusive end hour of the trading session.
	/// </summary>
	public int EndHour
	{
		get => _endHour.Value;
		set => _endHour.Value = value;
	}


	/// <summary>
	/// Initializes a new instance of <see cref="VolumeTraderStrategy"/>.
	/// </summary>
	public VolumeTraderStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for signal calculation", "General");

		_startHour = Param(nameof(StartHour), 9)
			.SetDisplay("Start Hour", "Inclusive start hour for trading", "Session")
			.SetRange(0, 23);

		_endHour = Param(nameof(EndHour), 18)
			.SetDisplay("End Hour", "Inclusive end hour for trading", "Session")
			.SetRange(0, 23);

	}

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

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

		_previousVolume = null;
		_previousPreviousVolume = null;
	}

	/// <inheritdoc />
	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)
	{
		// Wait until the candle is finished to avoid partial data.
		if (candle.State != CandleStates.Finished)
			return;

		var currentVolume = candle.TotalVolume;

		if (_previousVolume.HasValue && _previousPreviousVolume.HasValue)
		{
			// MQL version trades at the open of the next bar, so use the next bar time for the filter.
			var nextBarTime = candle.CloseTime;
			var hour = nextBarTime.Hour;
			var inSession = hour >= StartHour && hour <= EndHour;

			if (inSession && IsFormedAndOnlineAndAllowTrading())
			{
				var prevVolume = _previousVolume.Value;
				var prevPrevVolume = _previousPreviousVolume.Value;

				// Rising volume suggests upward pressure -> go long.
				if (prevVolume > prevPrevVolume * 1.1m && Position <= 0)
				{
					var volumeToTrade = Volume + (Position < 0 ? Math.Abs(Position) : 0m);

					if (volumeToTrade > 0)
					{
						BuyMarket(volumeToTrade);
						LogInfo($"Volume increased from {prevPrevVolume} to {prevVolume}. Opening long position.");
					}
				}
				// Falling volume suggests weakening demand -> go short.
				else if (prevVolume < prevPrevVolume * 0.9m && Position >= 0)
				{
					var volumeToTrade = Volume + (Position > 0 ? Math.Abs(Position) : 0m);

					if (volumeToTrade > 0)
					{
						SellMarket(volumeToTrade);
						LogInfo($"Volume decreased from {prevPrevVolume} to {prevVolume}. Opening short position.");
					}
				}
			}
		}

		// Shift stored volumes so the latest closed candle becomes the previous reference.
		_previousPreviousVolume = _previousVolume;
		_previousVolume = currentVolume;
	}
}

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.Strategies import Strategy
from datatype_extensions import *
from indicator_extensions import *

class volume_trader_strategy(Strategy):
    """Volume-based reversal: rising volume suggests long, falling volume suggests short."""
    def __init__(self):
        super(volume_trader_strategy, self).__init__()
        self._start_hour = self.Param("StartHour", 9).SetDisplay("Start Hour", "Trading session start", "Session")
        self._end_hour = self.Param("EndHour", 18).SetDisplay("End Hour", "Trading session end", "Session")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(1))).SetDisplay("Candle Type", "Timeframe", "General")

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

    def OnReseted(self):
        super(volume_trader_strategy, self).OnReseted()
        self._prev_vol = None
        self._prev_prev_vol = None

    def OnStarted2(self, time):
        super(volume_trader_strategy, self).OnStarted2(time)
        self._prev_vol = None
        self._prev_prev_vol = None

        sub = self.SubscribeCandles(self.CandleType)
        sub.Bind(self.OnProcess).Start()

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

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

        vol = float(candle.TotalVolume)

        if self._prev_vol is not None and self._prev_prev_vol is not None:
            hour = candle.CloseTime.Hour
            start_h = self._start_hour.Value
            end_h = self._end_hour.Value
            in_session = hour >= start_h and hour <= end_h

            if in_session:
                if self._prev_vol > self._prev_prev_vol * 1.1 and self.Position <= 0:
                    vol_to_trade = self.Volume + (abs(self.Position) if self.Position < 0 else 0)
                    if vol_to_trade > 0:
                        self.BuyMarket(vol_to_trade)
                elif self._prev_vol < self._prev_prev_vol * 0.9 and self.Position >= 0:
                    vol_to_trade = self.Volume + (abs(self.Position) if self.Position > 0 else 0)
                    if vol_to_trade > 0:
                        self.SellMarket(vol_to_trade)

        self._prev_prev_vol = self._prev_vol
        self._prev_vol = vol

    def CreateClone(self):
        return volume_trader_strategy()