Exp XRSI-Histogramm-Vol-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>
/// Exp XRSI Histogram Vol strategy. Uses RSI level crossovers.
/// </summary>
public class ExpXrsiHistogramVolStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiPeriod;

	private decimal? _prevRsi;

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

	public int RsiPeriod
	{
		get => _rsiPeriod.Value;
		set => _rsiPeriod.Value = value;
	}

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

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "RSI lookback", "Indicators");
	}

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

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

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevRsi = null;
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(rsi, ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null) { DrawCandles(area, subscription); DrawOwnTrades(area); }
	}

	private void ProcessCandle(ICandleMessage candle, decimal rsiVal)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!IsFormedAndOnlineAndAllowTrading()) { _prevRsi = rsiVal; return; }
		if (_prevRsi == null) { _prevRsi = rsiVal; return; }
		if (_prevRsi.Value < 45m && rsiVal >= 55m && Position <= 0) { if (Position < 0) BuyMarket(); BuyMarket(); }
		else if (_prevRsi.Value > 55m && rsiVal <= 45m && Position >= 0) { if (Position > 0) SellMarket(); SellMarket(); }
		_prevRsi = rsiVal;
	}
}

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 RelativeStrengthIndex
from StockSharp.Algo.Strategies import Strategy


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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(1))) \
            .SetDisplay("Candle Type", "Timeframe", "General")
        self._rsi_period = self.Param("RsiPeriod", 14) \
            .SetDisplay("RSI Period", "RSI lookback", "Indicators")

        self._prev_rsi = None

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

    def OnReseted(self):
        super(exp_xrsi_histogram_vol_strategy, self).OnReseted()
        self._prev_rsi = None

    def OnStarted2(self, time):
        super(exp_xrsi_histogram_vol_strategy, self).OnStarted2(time)
        self._prev_rsi = None

        rsi = RelativeStrengthIndex()
        rsi.Length = self.RsiPeriod

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

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

    def _on_process(self, candle, rsi_value):
        if candle.State != CandleStates.Finished:
            return
        rv = float(rsi_value)
        if not self.IsFormedAndOnlineAndAllowTrading():
            self._prev_rsi = rv
            return
        if self._prev_rsi is None:
            self._prev_rsi = rv
            return
        # RSI crosses from below 45 to above 55
        if self._prev_rsi < 45.0 and rv >= 55.0 and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        # RSI crosses from above 55 to below 45
        elif self._prev_rsi > 55.0 and rv <= 45.0 and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
        self._prev_rsi = rv

    def CreateClone(self):
        return exp_xrsi_histogram_vol_strategy()