Sitzungsstrategie für Tokio

namespace StockSharp.Samples.Strategies;

using System;

using Ecng.Common;

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

/// <summary>
/// Tokyo Session strategy: breakout from session range.
/// Tracks high/low during first hours, then buys breakout above high, sells below low.
/// </summary>
public class TokyoSessionStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _atrPeriod;

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

	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	public TokyoSessionStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "ATR period for volatility filter", "Indicators");
	}

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

		var atr = new AverageTrueRange { Length = AtrPeriod };

		var sessionHigh = decimal.MinValue;
		var sessionLow = decimal.MaxValue;
		var candleCount = 0;
		var rangeSet = false;
		decimal? prevClose = null;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(atr, (candle, atrVal) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!IsFormedAndOnlineAndAllowTrading())
					return;

				candleCount++;

				// Build range from first 4 candles (2 hours of 30min candles)
				if (candleCount <= 4)
				{
					if (candle.HighPrice > sessionHigh)
						sessionHigh = candle.HighPrice;
					if (candle.LowPrice < sessionLow)
						sessionLow = candle.LowPrice;

					if (candleCount == 4)
						rangeSet = true;

					prevClose = candle.ClosePrice;
					return;
				}

				if (!rangeSet)
				{
					prevClose = candle.ClosePrice;
					return;
				}

				// Reset range every 48 candles (24 hours of 30min candles)
				if (candleCount % 48 == 0)
				{
					sessionHigh = candle.HighPrice;
					sessionLow = candle.LowPrice;
					rangeSet = false;
					candleCount = 0;
					prevClose = candle.ClosePrice;
					return;
				}

				var close = candle.ClosePrice;

				if (prevClose.HasValue)
				{
					var crossAboveHigh = prevClose.Value <= sessionHigh && close > sessionHigh;
					var crossBelowLow = prevClose.Value >= sessionLow && close < sessionLow;

					if (crossAboveHigh && Position <= 0)
						BuyMarket();
					else if (crossBelowLow && Position >= 0)
						SellMarket();
				}

				prevClose = close;
			})
			.Start();

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

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 AverageTrueRange
from StockSharp.Algo.Strategies import Strategy


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

        self._atr_period = self.Param("AtrPeriod", 14) \
            .SetDisplay("ATR Period", "ATR period for volatility filter", "Indicators")

        self._atr = None
        self._session_high = None
        self._session_low = None
        self._candle_count = 0
        self._range_set = False
        self._prev_close = None

    @property
    def atr_period(self):
        return self._atr_period.Value

    def OnReseted(self):
        super(tokyo_session_strategy, self).OnReseted()
        self._atr = None
        self._session_high = None
        self._session_low = None
        self._candle_count = 0
        self._range_set = False
        self._prev_close = None

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

        self._atr = AverageTrueRange()
        self._atr.Length = self.atr_period
        self._session_high = -999999999.0
        self._session_low = 999999999.0
        self._candle_count = 0
        self._range_set = False

        subscription = self.SubscribeCandles(DataType.TimeFrame(TimeSpan.FromMinutes(30)))
        subscription.Bind(self._atr, self._process_candle)
        subscription.Start()

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

        if not self._atr.IsFormed:
            return

        self._candle_count += 1
        high = float(candle.HighPrice)
        low = float(candle.LowPrice)
        close = float(candle.ClosePrice)

        if self._candle_count <= 4:
            if high > self._session_high:
                self._session_high = high
            if low < self._session_low:
                self._session_low = low
            if self._candle_count == 4:
                self._range_set = True
            self._prev_close = close
            return

        if not self._range_set:
            self._prev_close = close
            return

        if self._candle_count % 48 == 0:
            self._session_high = high
            self._session_low = low
            self._range_set = False
            self._candle_count = 0
            self._prev_close = close
            return

        if self._prev_close is not None:
            cross_above = self._prev_close <= self._session_high and close > self._session_high
            cross_below = self._prev_close >= self._session_low and close < self._session_low

            if cross_above and self.Position <= 0:
                self.BuyMarket()
            elif cross_below and self.Position >= 0:
                self.SellMarket()

        self._prev_close = close

    def CreateClone(self):
        return tokyo_session_strategy()