AOCCI 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>
/// Awesome Oscillator + CCI strategy with pivot and jump filters.
/// </summary>
public class AocciStrategy : Strategy
{
	private readonly StrategyParam<decimal> _tradeVolume;
	private readonly StrategyParam<decimal> _stopLossPips;
	private readonly StrategyParam<decimal> _takeProfitPips;
	private readonly StrategyParam<decimal> _trailingStopPips;
	private readonly StrategyParam<decimal> _trailingStepPips;
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<int> _signalCandleShift;
	private readonly StrategyParam<decimal> _bigJumpPips;
	private readonly StrategyParam<decimal> _doubleJumpPips;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<DataType> _higherCandleType;

	private AwesomeOscillator _ao;
	private CommodityChannelIndex _cci;

	private decimal? _lastAoValue;
	private readonly Queue<decimal> _cciValues = new();
	private int _maxCciValues;

	private readonly Queue<ICandleMessage> _recentCandles = new();
	private int _maxRecentCandles;

	private decimal? _longStop;
	private decimal? _longTake;
	private decimal? _shortStop;
	private decimal? _shortTake;
	private decimal? _longEntryPrice;
	private decimal? _shortEntryPrice;
	private decimal _pipSize;
	private decimal? _lastHigherClose;

	/// <summary>
	/// Base order volume.
	/// </summary>
	public decimal TradeVolume
	{
		get => _tradeVolume.Value;
		set => _tradeVolume.Value = value;
	}

	/// <summary>
	/// Stop loss distance expressed in pips.
	/// </summary>
	public decimal StopLossPips
	{
		get => _stopLossPips.Value;
		set => _stopLossPips.Value = value;
	}

	/// <summary>
	/// Take profit distance expressed in pips.
	/// </summary>
	public decimal TakeProfitPips
	{
		get => _takeProfitPips.Value;
		set => _takeProfitPips.Value = value;
	}

	/// <summary>
	/// Trailing stop distance in pips.
	/// </summary>
	public decimal TrailingStopPips
	{
		get => _trailingStopPips.Value;
		set => _trailingStopPips.Value = value;
	}

	/// <summary>
	/// Trailing step in pips.
	/// </summary>
	public decimal TrailingStepPips
	{
		get => _trailingStepPips.Value;
		set => _trailingStepPips.Value = value;
	}

	/// <summary>
	/// CCI indicator length.
	/// </summary>
	public int CciPeriod
	{
		get => _cciPeriod.Value;
		set => _cciPeriod.Value = value;
	}

	/// <summary>
	/// Offset applied when reading the CCI values.
	/// </summary>
	public int SignalCandleShift
	{
		get => _signalCandleShift.Value;
		set => _signalCandleShift.Value = value;
	}

	/// <summary>
	/// Maximum allowed jump between consecutive opens in pips.
	/// </summary>
	public decimal BigJumpPips
	{
		get => _bigJumpPips.Value;
		set => _bigJumpPips.Value = value;
	}

	/// <summary>
	/// Maximum allowed jump between every second open in pips.
	/// </summary>
	public decimal DoubleJumpPips
	{
		get => _doubleJumpPips.Value;
		set => _doubleJumpPips.Value = value;
	}

	/// <summary>
	/// Working candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Higher timeframe used for confirmation.
	/// </summary>
	public DataType HigherCandleType
	{
		get => _higherCandleType.Value;
		set => _higherCandleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of <see cref="AocciStrategy"/>.
	/// </summary>
	public AocciStrategy()
	{
		_tradeVolume = Param(nameof(TradeVolume), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Trade Volume", "Base order volume", "Risk");

		_stopLossPips = Param(nameof(StopLossPips), 50m)
			.SetNotNegative()
			.SetDisplay("Stop Loss (pips)", "Stop loss distance in pips", "Risk");

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

		_trailingStopPips = Param(nameof(TrailingStopPips), 5m)
			.SetNotNegative()
			.SetDisplay("Trailing Stop (pips)", "Trailing stop distance", "Risk");

		_trailingStepPips = Param(nameof(TrailingStepPips), 5m)
			.SetNotNegative()
			.SetDisplay("Trailing Step (pips)", "Trailing step distance", "Risk");

		_cciPeriod = Param(nameof(CciPeriod), 55)
			.SetGreaterThanZero()
			.SetDisplay("CCI Period", "Commodity Channel Index period", "Indicators");

		_signalCandleShift = Param(nameof(SignalCandleShift), 0)
			.SetDisplay("Signal Candle Shift", "Offset for reading indicator values", "Logic");

		_bigJumpPips = Param(nameof(BigJumpPips), 100m)
			.SetNotNegative()
			.SetDisplay("Big Jump (pips)", "Maximum allowed consecutive open gap", "Filters");

		_doubleJumpPips = Param(nameof(DoubleJumpPips), 100m)
			.SetNotNegative()
			.SetDisplay("Double Jump (pips)", "Maximum allowed two-bar open gap", "Filters");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Primary timeframe", "General");

		_higherCandleType = Param(nameof(HigherCandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Higher Candle", "Higher timeframe for confirmation", "General");
	}

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

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

		_ao = null;
		_cci = null;
		_lastAoValue = null;
		_cciValues.Clear();
		_maxCciValues = 0;
		_recentCandles.Clear();
		_maxRecentCandles = 0;
		ResetLongState();
		ResetShortState();
		_pipSize = 0m;
		_lastHigherClose = null;
	}

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

		Volume = TradeVolume;
		_pipSize = CalculatePipSize();

		_ao = new AwesomeOscillator();
		_cci = new CommodityChannelIndex { Length = CciPeriod };

		_maxCciValues = Math.Max(SignalCandleShift + 2, 2);
		_maxRecentCandles = Math.Max(SignalCandleShift + 2, 6);

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

		var higherSubscription = SubscribeCandles(HigherCandleType);
		higherSubscription
			.Bind(ProcessHigherCandle)
			.Start();

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

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

		// Store the last closed higher timeframe candle for pivot confirmation.
		_lastHigherClose = candle.ClosePrice;
	}

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

		// Maintain sliding windows for candles and indicator values.
		UpdateRecentCandles(candle);
		UpdateCciQueue(cciValue);

		var closedPosition = HandleActivePositions(candle);

		if (_ao == null || _cci == null)
		{
			_lastAoValue = aoValue;
			return;
		}

		if (!_ao.IsFormed || !_cci.IsFormed)
		{
			_lastAoValue = aoValue;
			return;
		}

		if (_lastAoValue is null)
		{
			_lastAoValue = aoValue;
			return;
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_lastAoValue = aoValue;
			return;
		}

		if (_cciValues.Count <= SignalCandleShift + 1)
		{
			_lastAoValue = aoValue;
			return;
		}

		if (_recentCandles.Count < 6)
		{
			_lastAoValue = aoValue;
			return;
		}

		if (!TryGetCciValue(SignalCandleShift, out var cciShift0) ||
		!TryGetCciValue(SignalCandleShift + 1, out var cciShift1))
		{
			_lastAoValue = aoValue;
			return;
		}

		if (!TryGetRecentCandle(SignalCandleShift + 1, out var pivotSource))
		{
			_lastAoValue = aoValue;
			return;
		}

		if (_lastHigherClose is null)
		{
			_lastAoValue = aoValue;
			return;
		}

		if (ShouldSkipDueToJumps())
		{
			_lastAoValue = aoValue;
			return;
		}

		if (closedPosition || Position != 0)
		{
			_lastAoValue = aoValue;
			return;
		}

		var pivot = (pivotSource.HighPrice + pivotSource.LowPrice + pivotSource.ClosePrice) / 3m;
		var aoPrev = _lastAoValue.Value;
		var higherClose = _lastHigherClose.Value;
		var price = candle.ClosePrice;

		// Long condition from original MQL logic.
		var openLong = aoValue > 0m && cciShift0 >= 0m && price > pivot &&
		(aoPrev < 0m || cciShift1 <= 0m || higherClose < pivot);

		// Short condition mirrors the original code (identical filters).
		var openShort = aoValue > 0m && cciShift0 >= 0m && price > pivot &&
		(aoPrev < 0m || cciShift1 <= 0m || higherClose < pivot);

		if (openLong)
		{
			var volume = Volume + Math.Abs(Position);
			if (volume > 0m)
			{
				BuyMarket(volume);
				_longEntryPrice = price;
				_longStop = StopLossPips > 0m ? price - StopLossPips * _pipSize : null;
				_longTake = TakeProfitPips > 0m ? price + TakeProfitPips * _pipSize : null;
				ResetShortState();
			}
		}
		else if (openShort)
		{
			var volume = Volume + Math.Abs(Position);
			if (volume > 0m)
			{
				SellMarket(volume);
				_shortEntryPrice = price;
				_shortStop = StopLossPips > 0m ? price + StopLossPips * _pipSize : null;
				_shortTake = TakeProfitPips > 0m ? price - TakeProfitPips * _pipSize : null;
				ResetLongState();
			}
		}

		_lastAoValue = aoValue;
	}

	private bool HandleActivePositions(ICandleMessage candle)
	{
		var closed = false;

		if (Position > 0)
		{
			_longEntryPrice ??= candle.ClosePrice;
			UpdateTrailingForLong(candle);

			if (_longTake.HasValue && candle.HighPrice >= _longTake.Value)
			{
				SellMarket(Math.Abs(Position));
				ResetLongState();
				closed = true;
			}
			else if (_longStop.HasValue && candle.LowPrice <= _longStop.Value)
			{
				SellMarket(Math.Abs(Position));
				ResetLongState();
				closed = true;
			}
		}
		else if (Position < 0)
		{
			_shortEntryPrice ??= candle.ClosePrice;
			UpdateTrailingForShort(candle);

			if (_shortTake.HasValue && candle.LowPrice <= _shortTake.Value)
			{
				BuyMarket(Math.Abs(Position));
				ResetShortState();
				closed = true;
			}
			else if (_shortStop.HasValue && candle.HighPrice >= _shortStop.Value)
			{
				BuyMarket(Math.Abs(Position));
				ResetShortState();
				closed = true;
			}
		}
		else
		{
			ResetLongState();
			ResetShortState();
		}

		return closed;
	}

	private void UpdateTrailingForLong(ICandleMessage candle)
	{
		if (TrailingStopPips <= 0m || TrailingStepPips <= 0m || !_longEntryPrice.HasValue)
		return;

		var trailingStop = TrailingStopPips * _pipSize;
		var trailingStep = TrailingStepPips * _pipSize;
		var price = candle.ClosePrice;
		var entry = _longEntryPrice.Value;

		if (price - entry > trailingStop + trailingStep)
		{
			var minimal = price - (trailingStop + trailingStep);
			if (!_longStop.HasValue || _longStop.Value < minimal)
			_longStop = price - trailingStop;
		}
	}

	private void UpdateTrailingForShort(ICandleMessage candle)
	{
		if (TrailingStopPips <= 0m || TrailingStepPips <= 0m || !_shortEntryPrice.HasValue)
		return;

		var trailingStop = TrailingStopPips * _pipSize;
		var trailingStep = TrailingStepPips * _pipSize;
		var price = candle.ClosePrice;
		var entry = _shortEntryPrice.Value;

		if (entry - price > trailingStop + trailingStep)
		{
			var maximal = price + (trailingStop + trailingStep);
			if (!_shortStop.HasValue || _shortStop.Value > maximal)
			_shortStop = price + trailingStop;
		}
	}

	private void UpdateCciQueue(decimal value)
	{
		var required = Math.Max(SignalCandleShift + 2, 2);
		if (_maxCciValues != required)
		{
			_maxCciValues = required;
			while (_cciValues.Count > _maxCciValues)
			_cciValues.Dequeue();
		}

		_cciValues.Enqueue(value);
		while (_cciValues.Count > _maxCciValues)
		_cciValues.Dequeue();
	}

	private void UpdateRecentCandles(ICandleMessage candle)
	{
		var required = Math.Max(SignalCandleShift + 2, 6);
		if (_maxRecentCandles != required)
		{
			_maxRecentCandles = required;
			while (_recentCandles.Count > _maxRecentCandles)
			_recentCandles.Dequeue();
		}

		_recentCandles.Enqueue(candle);
		while (_recentCandles.Count > _maxRecentCandles)
		_recentCandles.Dequeue();
	}

	private bool TryGetCciValue(int shift, out decimal value)
	{
		value = 0m;
		if (shift < 0 || shift >= _cciValues.Count)
		return false;

		var targetIndex = _cciValues.Count - 1 - shift;
		var index = 0;
		foreach (var item in _cciValues)
		{
			if (index == targetIndex)
			{
				value = item;
				return true;
			}
			index++;
		}

		return false;
	}

	private bool TryGetRecentCandle(int shift, out ICandleMessage candle)
	{
		candle = null;
		if (shift < 0 || shift >= _recentCandles.Count)
		return false;

		var targetIndex = _recentCandles.Count - 1 - shift;
		var index = 0;
		foreach (var item in _recentCandles)
		{
			if (index == targetIndex)
			{
				candle = item;
				return candle != null;
			}
			index++;
		}

		return false;
	}

	private bool ShouldSkipDueToJumps()
	{
		if (_pipSize <= 0m)
		return false;

		var bigJump = BigJumpPips * _pipSize;
		var doubleJump = DoubleJumpPips * _pipSize;

		if (BigJumpPips > 0m)
		{
			if (Math.Abs(GetOpenDifference(0, 1)) >= bigJump ||
			Math.Abs(GetOpenDifference(1, 2)) >= bigJump ||
			Math.Abs(GetOpenDifference(2, 3)) >= bigJump ||
			Math.Abs(GetOpenDifference(3, 4)) >= bigJump ||
			Math.Abs(GetOpenDifference(4, 5)) >= bigJump)
			return true;
		}

		if (DoubleJumpPips > 0m)
		{
			if (Math.Abs(GetOpenDifference(0, 2)) >= doubleJump ||
			Math.Abs(GetOpenDifference(1, 3)) >= doubleJump ||
			Math.Abs(GetOpenDifference(2, 4)) >= doubleJump ||
			Math.Abs(GetOpenDifference(3, 5)) >= doubleJump)
			return true;
		}

		return false;
	}

	private decimal GetOpenDifference(int firstShift, int secondShift)
	{
		if (!TryGetRecentCandle(firstShift, out var first) ||
		!TryGetRecentCandle(secondShift, out var second))
		return 0m;

		return second.OpenPrice - first.OpenPrice;
	}

	private decimal CalculatePipSize()
	{
		var priceStep = Security?.PriceStep ?? 1m;
		if (priceStep <= 0m)
		priceStep = 1m;

		var decimals = GetDecimalPlaces(priceStep);
		var factor = decimals == 3 || decimals == 5 ? 10m : 1m;
		return priceStep * factor;
	}

	private static int GetDecimalPlaces(decimal value)
	{
		value = Math.Abs(value);
		if (value == 0m)
		return 0;

		var bits = decimal.GetBits(value);
		return (bits[3] >> 16) & 0xFF;
	}

	private void ResetLongState()
	{
		_longStop = null;
		_longTake = null;
		_longEntryPrice = null;
	}

	private void ResetShortState()
	{
		_shortStop = null;
		_shortTake = null;
		_shortEntryPrice = null;
	}
}

import clr

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

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


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

        self._trade_volume = self.Param("TradeVolume", 1.0)
        self._stop_loss_pips = self.Param("StopLossPips", 50.0)
        self._take_profit_pips = self.Param("TakeProfitPips", 50.0)
        self._trailing_stop_pips = self.Param("TrailingStopPips", 5.0)
        self._trailing_step_pips = self.Param("TrailingStepPips", 5.0)
        self._cci_period = self.Param("CciPeriod", 55)
        self._signal_candle_shift = self.Param("SignalCandleShift", 0)
        self._big_jump_pips = self.Param("BigJumpPips", 100.0)
        self._double_jump_pips = self.Param("DoubleJumpPips", 100.0)
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(15)))

        self._ao = None
        self._cci = None

        self._last_ao_value = None
        self._cci_values = []
        self._max_cci_values = 0

        self._recent_candles = []
        self._max_recent_candles = 0

        self._long_stop = None
        self._long_take = None
        self._short_stop = None
        self._short_take = None
        self._long_entry_price = None
        self._short_entry_price = None
        self._pip_size = 0.0

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

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

        self._pip_size = self._calculate_pip_size()

        self._ao = AwesomeOscillator()
        self._cci = CommodityChannelIndex()
        self._cci.Length = self._cci_period.Value

        self._max_cci_values = max(self._signal_candle_shift.Value + 2, 2)
        self._max_recent_candles = max(self._signal_candle_shift.Value + 2, 6)

        sub = self.SubscribeCandles(self.CandleType)
        sub.Bind(self._ao, self._cci, self._process_candle).Start()

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

        ao_val = float(ao_value)
        cci_val = float(cci_value)

        self._update_recent_candles(candle)
        self._update_cci_queue(cci_val)

        closed_position = self._handle_active_positions(candle)

        if self._ao is None or self._cci is None:
            self._last_ao_value = ao_val
            return

        if not self._ao.IsFormed or not self._cci.IsFormed:
            self._last_ao_value = ao_val
            return

        if self._last_ao_value is None:
            self._last_ao_value = ao_val
            return

        if len(self._cci_values) <= self._signal_candle_shift.Value + 1:
            self._last_ao_value = ao_val
            return

        if len(self._recent_candles) < 6:
            self._last_ao_value = ao_val
            return

        cci_shift0 = self._try_get_cci_value(self._signal_candle_shift.Value)
        cci_shift1 = self._try_get_cci_value(self._signal_candle_shift.Value + 1)

        if cci_shift0 is None or cci_shift1 is None:
            self._last_ao_value = ao_val
            return

        pivot_source = self._try_get_recent_candle(self._signal_candle_shift.Value + 1)
        if pivot_source is None:
            self._last_ao_value = ao_val
            return

        if self._should_skip_due_to_jumps():
            self._last_ao_value = ao_val
            return

        if closed_position or self.Position != 0:
            self._last_ao_value = ao_val
            return

        pivot = (float(pivot_source.HighPrice) + float(pivot_source.LowPrice) + float(pivot_source.ClosePrice)) / 3.0
        ao_prev = self._last_ao_value
        price = float(candle.ClosePrice)

        # Long condition from original MQL logic
        open_long = ao_val > 0 and cci_shift0 >= 0 and price > pivot and (ao_prev < 0 or cci_shift1 <= 0)

        # Short condition mirrors the original code
        open_short = ao_val > 0 and cci_shift0 >= 0 and price > pivot and (ao_prev < 0 or cci_shift1 <= 0)

        if open_long:
            volume = float(self.Volume) + abs(self.Position)
            if volume > 0:
                self.BuyMarket(volume)
                self._long_entry_price = price
                self._long_stop = price - self._stop_loss_pips.Value * self._pip_size if self._stop_loss_pips.Value > 0 else None
                self._long_take = price + self._take_profit_pips.Value * self._pip_size if self._take_profit_pips.Value > 0 else None
                self._reset_short_state()
        elif open_short:
            volume = float(self.Volume) + abs(self.Position)
            if volume > 0:
                self.SellMarket(volume)
                self._short_entry_price = price
                self._short_stop = price + self._stop_loss_pips.Value * self._pip_size if self._stop_loss_pips.Value > 0 else None
                self._short_take = price - self._take_profit_pips.Value * self._pip_size if self._take_profit_pips.Value > 0 else None
                self._reset_long_state()

        self._last_ao_value = ao_val

    def _handle_active_positions(self, candle):
        closed = False

        if self.Position > 0:
            if self._long_entry_price is None:
                self._long_entry_price = float(candle.ClosePrice)
            self._update_trailing_for_long(candle)

            if self._long_take is not None and float(candle.HighPrice) >= self._long_take:
                self.SellMarket(abs(self.Position))
                self._reset_long_state()
                closed = True
            elif self._long_stop is not None and float(candle.LowPrice) <= self._long_stop:
                self.SellMarket(abs(self.Position))
                self._reset_long_state()
                closed = True

        elif self.Position < 0:
            if self._short_entry_price is None:
                self._short_entry_price = float(candle.ClosePrice)
            self._update_trailing_for_short(candle)

            if self._short_take is not None and float(candle.LowPrice) <= self._short_take:
                self.BuyMarket(abs(self.Position))
                self._reset_short_state()
                closed = True
            elif self._short_stop is not None and float(candle.HighPrice) >= self._short_stop:
                self.BuyMarket(abs(self.Position))
                self._reset_short_state()
                closed = True
        else:
            self._reset_long_state()
            self._reset_short_state()

        return closed

    def _update_trailing_for_long(self, candle):
        if self._trailing_stop_pips.Value <= 0 or self._trailing_step_pips.Value <= 0 or self._long_entry_price is None:
            return
        trailing_stop = self._trailing_stop_pips.Value * self._pip_size
        trailing_step = self._trailing_step_pips.Value * self._pip_size
        price = float(candle.ClosePrice)
        entry = self._long_entry_price

        if price - entry > trailing_stop + trailing_step:
            minimal = price - (trailing_stop + trailing_step)
            if self._long_stop is None or self._long_stop < minimal:
                self._long_stop = price - trailing_stop

    def _update_trailing_for_short(self, candle):
        if self._trailing_stop_pips.Value <= 0 or self._trailing_step_pips.Value <= 0 or self._short_entry_price is None:
            return
        trailing_stop = self._trailing_stop_pips.Value * self._pip_size
        trailing_step = self._trailing_step_pips.Value * self._pip_size
        price = float(candle.ClosePrice)
        entry = self._short_entry_price

        if entry - price > trailing_stop + trailing_step:
            maximal = price + (trailing_stop + trailing_step)
            if self._short_stop is None or self._short_stop > maximal:
                self._short_stop = price + trailing_stop

    def _update_cci_queue(self, value):
        self._cci_values.append(value)
        while len(self._cci_values) > self._max_cci_values:
            self._cci_values.pop(0)

    def _update_recent_candles(self, candle):
        self._recent_candles.append(candle)
        while len(self._recent_candles) > self._max_recent_candles:
            self._recent_candles.pop(0)

    def _try_get_cci_value(self, shift):
        if shift < 0 or shift >= len(self._cci_values):
            return None
        target_index = len(self._cci_values) - 1 - shift
        if target_index < 0 or target_index >= len(self._cci_values):
            return None
        return self._cci_values[target_index]

    def _try_get_recent_candle(self, shift):
        if shift < 0 or shift >= len(self._recent_candles):
            return None
        target_index = len(self._recent_candles) - 1 - shift
        if target_index < 0 or target_index >= len(self._recent_candles):
            return None
        return self._recent_candles[target_index]

    def _should_skip_due_to_jumps(self):
        if self._pip_size <= 0:
            return False

        big_jump = self._big_jump_pips.Value * self._pip_size
        double_jump = self._double_jump_pips.Value * self._pip_size

        if self._big_jump_pips.Value > 0:
            for i in range(5):
                if abs(self._get_open_difference(i, i + 1)) >= big_jump:
                    return True

        if self._double_jump_pips.Value > 0:
            for i in range(4):
                if abs(self._get_open_difference(i, i + 2)) >= double_jump:
                    return True

        return False

    def _get_open_difference(self, first_shift, second_shift):
        first = self._try_get_recent_candle(first_shift)
        second = self._try_get_recent_candle(second_shift)
        if first is None or second is None:
            return 0.0
        return float(second.OpenPrice) - float(first.OpenPrice)

    def _calculate_pip_size(self):
        price_step = float(self.Security.PriceStep) if self.Security is not None and self.Security.PriceStep is not None else 1.0
        if price_step <= 0:
            price_step = 1.0
        decimals = self._get_decimal_places(price_step)
        factor = 10.0 if decimals == 3 or decimals == 5 else 1.0
        return price_step * factor

    def _get_decimal_places(self, value):
        value = abs(value)
        decimals = 0
        while value != int(value) and decimals < 10:
            value *= 10.0
            decimals += 1
        return decimals

    def _reset_long_state(self):
        self._long_stop = None
        self._long_take = None
        self._long_entry_price = None

    def _reset_short_state(self):
        self._short_stop = None
        self._short_take = None
        self._short_entry_price = None

    def OnReseted(self):
        super(aocci_strategy, self).OnReseted()
        self._ao = None
        self._cci = None
        self._last_ao_value = None
        self._cci_values = []
        self._max_cci_values = 0
        self._recent_candles = []
        self._max_recent_candles = 0
        self._reset_long_state()
        self._reset_short_state()
        self._pip_size = 0.0

    def CreateClone(self):
        return aocci_strategy()