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Trailing Stop Trigger Manager Strategy

Overview

The Trailing Stop Trigger Manager Strategy is a StockSharp port of the MetaTrader expert advisor Trailing Sl.mq5. The original EA did not open trades on its own. Instead, it monitored already open positions with a matching magic number and tightened their stop-loss levels when the market moved in the desired direction. This C# implementation reproduces that behaviour using StockSharp's high-level strategy API, delivering transparent trailing-stop management that works with any instrument supported by StockSharp.

Trailing logic

  1. Subscribes to the order book in order to read the latest best bid and best ask quotes.
  2. Detects whether the strategy currently holds a long or short net position.
  3. Calculates the floating profit using the appropriate side of the market (best bid for longs, best ask for shorts).
  4. Activates the trailing mode once the profit exceeds TriggerPoints (converted to price units through PriceStep).
  5. Sets the trailing stop at the configured distance TrailingPoints away from the current market quote.
  6. Moves the trailing stop only towards the market to keep locking in additional profit.
  7. Sends a market order to flatten the position as soon as the best quote touches the calculated trailing stop level.

Order and risk management

  • The strategy does not submit initial entry orders. It only manages an existing position that may have been opened manually or by another strategy.
  • Market exits are placed with BuyMarket/SellMarket, mirroring the PositionModify calls from the original MetaTrader code.
  • The stop distance automatically scales with the instrument's PriceStep, which preserves the point-based configuration from the EA.
  • Once the position is closed, the trailing state resets so that new positions start from a clean slate.

Parameters

Name Type Default Description
TrailingPoints int 1000 Distance between the current price and the trailing stop, measured in price steps.
TriggerPoints int 1500 Minimum profit in price steps required to start trailing the position.

Usage notes

  • Attach the strategy to the security whose position you want to supervise. It will immediately start tracking the existing exposure.
  • Configure the initial Volume of the strategy to match the size of your open position. StockSharp uses net positions, so the strategy will exit the entire lot when the trailing stop is triggered.
  • If the broker delivers coarse price steps, adjust TrailingPoints and TriggerPoints accordingly to avoid premature exits.
  • The strategy keeps its state entirely inside StockSharp, so it can be combined with any discretionary or automated system that leaves the actual order execution to StockSharp.

Differences from the original MetaTrader expert

  • MetaTrader managed separate positions per ticket and filtered them by magic number. StockSharp works with a net position per security, removing the need for ticket filtering.
  • The Setloss, TakeProfit, and Lots inputs were unused in the original EA. They are therefore omitted in the StockSharp version to keep the configuration focused on trailing behaviour.
  • Order modifications are replaced by direct market exits, which is the idiomatic approach for netting accounts in StockSharp.
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>
/// Strategy that mirrors the MetaTrader "Trailing Sl" expert by managing trailing stops for existing positions.
/// Adds SMA crossover entries for backtesting.
/// </summary>
public class TrailingStopTriggerManagerStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _trailingPoints;
	private readonly StrategyParam<int> _triggerPoints;

	private decimal _lastEntryPrice;
	private decimal? _activeStopPrice;
	private bool _trailingEnabled;
	private decimal _trailingDistance;
	private decimal _triggerDistance;
	private decimal _prevFast;
	private decimal _prevSlow;
	private bool _hasPrev;

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

	/// <summary>
	/// Trailing stop distance in price steps.
	/// </summary>
	public int TrailingPoints
	{
		get => _trailingPoints.Value;
		set => _trailingPoints.Value = value;
	}

	/// <summary>
	/// Profit distance that activates trailing stop.
	/// </summary>
	public int TriggerPoints
	{
		get => _triggerPoints.Value;
		set => _triggerPoints.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the strategy.
	/// </summary>
	public TrailingStopTriggerManagerStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe", "General");

		_trailingPoints = Param(nameof(TrailingPoints), 1000)
			.SetGreaterThanZero()
			.SetDisplay("Trailing Points", "Trailing stop distance", "Trailing Management");

		_triggerPoints = Param(nameof(TriggerPoints), 1500)
			.SetGreaterThanZero()
			.SetDisplay("Trigger Points", "Profit to activate trailing", "Trailing Management");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_lastEntryPrice = 0m;
		_activeStopPrice = null;
		_trailingEnabled = false;
		_trailingDistance = 0m;
		_triggerDistance = 0m;
		_prevFast = 0m;
		_prevSlow = 0m;
		_hasPrev = false;
	}

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

		var step = Security?.PriceStep ?? 1m;
		if (step <= 0m) step = 1m;
		_trailingDistance = step * TrailingPoints;
		_triggerDistance = step * TriggerPoints;

		var smaFast = new SimpleMovingAverage { Length = 10 };
		var smaSlow = new SimpleMovingAverage { Length = 30 };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(smaFast, smaSlow, ProcessCandle)
			.Start();

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

	/// <inheritdoc />
	protected override void OnOwnTradeReceived(MyTrade trade)
	{
		base.OnOwnTradeReceived(trade);
		_lastEntryPrice = trade.Trade.Price;
	}

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

		var price = candle.ClosePrice;

		// Trailing stop management
		if (Position > 0 && _lastEntryPrice > 0)
		{
			var profit = price - _lastEntryPrice;
			if (!_trailingEnabled && profit >= _triggerDistance)
			{
				_trailingEnabled = true;
				_activeStopPrice = price - _trailingDistance;
			}
			else if (_trailingEnabled)
			{
				var desiredStop = price - _trailingDistance;
				if (!_activeStopPrice.HasValue || desiredStop > _activeStopPrice.Value)
					_activeStopPrice = desiredStop;
			}

			if (_trailingEnabled && _activeStopPrice.HasValue && price <= _activeStopPrice.Value)
			{
				SellMarket();
				ResetTrailingState();
				return;
			}
		}
		else if (Position < 0 && _lastEntryPrice > 0)
		{
			var profit = _lastEntryPrice - price;
			if (!_trailingEnabled && profit >= _triggerDistance)
			{
				_trailingEnabled = true;
				_activeStopPrice = price + _trailingDistance;
			}
			else if (_trailingEnabled)
			{
				var desiredStop = price + _trailingDistance;
				if (!_activeStopPrice.HasValue || desiredStop < _activeStopPrice.Value)
					_activeStopPrice = desiredStop;
			}

			if (_trailingEnabled && _activeStopPrice.HasValue && price >= _activeStopPrice.Value)
			{
				BuyMarket();
				ResetTrailingState();
				return;
			}
		}

		// SMA crossover entries
		if (_hasPrev)
		{
			var crossUp = _prevFast <= _prevSlow && fast > slow;
			var crossDown = _prevFast >= _prevSlow && fast < slow;

			if (crossUp && Position <= 0)
			{
				if (Position < 0)
					BuyMarket();
				BuyMarket();
				ResetTrailingState();
			}
			else if (crossDown && Position >= 0)
			{
				if (Position > 0)
					SellMarket();
				SellMarket();
				ResetTrailingState();
			}
		}

		_prevFast = fast;
		_prevSlow = slow;
		_hasPrev = true;
	}

	private void ResetTrailingState()
	{
		_trailingEnabled = false;
		_activeStopPrice = null;
	}
}