OverHedgeV2 Grid-Strategie

using System;
using System.Collections.Generic;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Grid hedging strategy based on EMA crossover direction.
/// Opens positions on EMA trend, reverses on direction change.
/// </summary>
public class OverHedgeV2Strategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _shortEmaPeriod;
	private readonly StrategyParam<int> _longEmaPeriod;

	private int _prevSignal;

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

	public int ShortEmaPeriod
	{
		get => _shortEmaPeriod.Value;
		set => _shortEmaPeriod.Value = value;
	}

	public int LongEmaPeriod
	{
		get => _longEmaPeriod.Value;
		set => _longEmaPeriod.Value = value;
	}

	public OverHedgeV2Strategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");

		_shortEmaPeriod = Param(nameof(ShortEmaPeriod), 8)
			.SetGreaterThanZero()
			.SetDisplay("Short EMA", "Fast EMA length", "Indicators");

		_longEmaPeriod = Param(nameof(LongEmaPeriod), 21)
			.SetGreaterThanZero()
			.SetDisplay("Long EMA", "Slow EMA length", "Indicators");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevSignal = 0;
	}

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

		_prevSignal = 0;

		var shortEma = new ExponentialMovingAverage { Length = ShortEmaPeriod };
		var longEma = new ExponentialMovingAverage { Length = LongEmaPeriod };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var signal = shortEma > longEma ? 1 : shortEma < longEma ? -1 : _prevSignal;

		if (signal == _prevSignal)
			return;

		var oldSignal = _prevSignal;
		_prevSignal = signal;

		if (signal == 1 && oldSignal <= 0)
		{
			if (Position < 0)
				BuyMarket();
			if (Position <= 0)
				BuyMarket();
		}
		else if (signal == -1 && oldSignal >= 0)
		{
			if (Position > 0)
				SellMarket();
			if (Position >= 0)
				SellMarket();
		}
	}
}

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.Indicators import ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy


class over_hedge_v2_strategy(Strategy):
    def __init__(self):
        super(over_hedge_v2_strategy, self).__init__()

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(1))) \
            .SetDisplay("Candle Type", "Candle timeframe", "General")
        self._short_ema_period = self.Param("ShortEmaPeriod", 8) \
            .SetDisplay("Short EMA", "Fast EMA length", "Indicators")
        self._long_ema_period = self.Param("LongEmaPeriod", 21) \
            .SetDisplay("Long EMA", "Slow EMA length", "Indicators")

        self._prev_signal = 0

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

    @property
    def ShortEmaPeriod(self):
        return self._short_ema_period.Value

    @property
    def LongEmaPeriod(self):
        return self._long_ema_period.Value

    def OnReseted(self):
        super(over_hedge_v2_strategy, self).OnReseted()
        self._prev_signal = 0

    def OnStarted2(self, time):
        super(over_hedge_v2_strategy, self).OnStarted2(time)
        self._prev_signal = 0

        short_ema = ExponentialMovingAverage()
        short_ema.Length = self.ShortEmaPeriod
        long_ema = ExponentialMovingAverage()
        long_ema.Length = self.LongEmaPeriod

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(short_ema, long_ema, self._on_process).Start()

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

    def _on_process(self, candle, short_value, long_value):
        if candle.State != CandleStates.Finished:
            return
        sv = float(short_value)
        lv = float(long_value)
        if sv > lv:
            signal = 1
        elif sv < lv:
            signal = -1
        else:
            signal = self._prev_signal
        if signal == self._prev_signal:
            return
        old_signal = self._prev_signal
        self._prev_signal = signal
        if signal == 1 and old_signal <= 0:
            if self.Position < 0:
                self.BuyMarket()
            if self.Position <= 0:
                self.BuyMarket()
        elif signal == -1 and old_signal >= 0:
            if self.Position > 0:
                self.SellMarket()
            if self.Position >= 0:
                self.SellMarket()

    def CreateClone(self):
        return over_hedge_v2_strategy()