ExpICustomV1-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>
/// ExpICustomV1 - custom indicator signal strategy.
/// Uses fast/slow EMA crossover to generate entry/exit signals.
/// Reverses position on opposite crossover.
/// </summary>
public class ExpICustomV1Strategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevFast;
	private decimal _prevSlow;
	private bool _hasPrev;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ExpICustomV1Strategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 10)
			.SetDisplay("Fast EMA", "Fast EMA period", "Indicators");

		_slowPeriod = Param(nameof(SlowPeriod), 21)
			.SetDisplay("Slow EMA", "Slow EMA period", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevFast = 0m;
		_prevSlow = 0m;
		_hasPrev = false;
	}

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

		_hasPrev = false;

		var fast = new ExponentialMovingAverage { Length = FastPeriod };
		var slow = new ExponentialMovingAverage { Length = SlowPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fast, slow, ProcessCandle)
			.Start();
	}

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

		if (!_hasPrev)
		{
			_prevFast = fast;
			_prevSlow = slow;
			_hasPrev = true;
			return;
		}

		var bullCross = _prevFast <= _prevSlow && fast > slow;
		var bearCross = _prevFast >= _prevSlow && fast < slow;

		if (bullCross && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		else if (bearCross && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevFast = fast;
		_prevSlow = slow;
	}
}

import clr

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

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


class exp_i_custom_v1_strategy(Strategy):
    """Fast/slow EMA crossover strategy. Reverses position on opposite crossover."""

    def __init__(self):
        super(exp_i_custom_v1_strategy, self).__init__()

        self._fast_period = self.Param("FastPeriod", 10) \
            .SetDisplay("Fast EMA", "Fast EMA period", "Indicators")
        self._slow_period = self.Param("SlowPeriod", 21) \
            .SetDisplay("Slow EMA", "Slow EMA period", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candle timeframe", "General")

        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._has_prev = False

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

    @CandleType.setter
    def CandleType(self, value):
        self._candle_type.Value = value

    @property
    def FastPeriod(self):
        return self._fast_period.Value

    @property
    def SlowPeriod(self):
        return self._slow_period.Value

    def OnReseted(self):
        super(exp_i_custom_v1_strategy, self).OnReseted()
        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._has_prev = False

    def OnStarted2(self, time):
        super(exp_i_custom_v1_strategy, self).OnStarted2(time)

        self._has_prev = False

        fast = ExponentialMovingAverage()
        fast.Length = self.FastPeriod
        slow = ExponentialMovingAverage()
        slow.Length = self.SlowPeriod

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(fast, slow, self._process_candle).Start()

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

        fast_val = float(fast)
        slow_val = float(slow)

        if not self._has_prev:
            self._prev_fast = fast_val
            self._prev_slow = slow_val
            self._has_prev = True
            return

        bull_cross = self._prev_fast <= self._prev_slow and fast_val > slow_val
        bear_cross = self._prev_fast >= self._prev_slow and fast_val < slow_val

        if bull_cross and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        elif bear_cross and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()

        self._prev_fast = fast_val
        self._prev_slow = slow_val

    def CreateClone(self):
        return exp_i_custom_v1_strategy()