Einfache FX-Crossover-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>
/// Simple FX crossover strategy.
/// Uses fast and slow SMA crossover for trend detection.
/// Buys on golden cross, sells on death cross.
/// </summary>
public class SimpleFxCrossoverStrategy : Strategy
{
	private readonly StrategyParam<int> _shortPeriod;
	private readonly StrategyParam<int> _longPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevShort;
	private decimal _prevLong;
	private bool _hasPrev;

	public int ShortPeriod { get => _shortPeriod.Value; set => _shortPeriod.Value = value; }
	public int LongPeriod { get => _longPeriod.Value; set => _longPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public SimpleFxCrossoverStrategy()
	{
		_shortPeriod = Param(nameof(ShortPeriod), 10)
			.SetDisplay("Fast SMA", "Fast SMA period", "Indicators");

		_longPeriod = Param(nameof(LongPeriod), 30)
			.SetDisplay("Slow SMA", "Slow SMA period", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).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();
		_prevShort = 0m;
		_prevLong = 0m;
		_hasPrev = false;
	}

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

		_hasPrev = false;

		var fast = new SimpleMovingAverage { Length = ShortPeriod };
		var slow = new SimpleMovingAverage { Length = LongPeriod };

		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)
		{
			_prevShort = fast;
			_prevLong = slow;
			_hasPrev = true;
			return;
		}

		var crossUp = _prevShort <= _prevLong && fast > slow;
		var crossDown = _prevShort >= _prevLong && fast < slow;

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

		_prevShort = fast;
		_prevLong = 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
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Indicators import SimpleMovingAverage
from StockSharp.Algo.Strategies import Strategy


class simple_fx_crossover_strategy(Strategy):
    def __init__(self):
        super(simple_fx_crossover_strategy, self).__init__()
        self._short_period = self.Param("ShortPeriod", 10) \
            .SetDisplay("Fast SMA", "Fast SMA period", "Indicators")
        self._long_period = self.Param("LongPeriod", 30) \
            .SetDisplay("Slow SMA", "Slow SMA period", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(1))) \
            .SetDisplay("Candle Type", "Candle timeframe", "General")
        self._prev_short = 0.0
        self._prev_long = 0.0
        self._has_prev = False

    @property
    def short_period(self):
        return self._short_period.Value

    @property
    def long_period(self):
        return self._long_period.Value

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

    def OnReseted(self):
        super(simple_fx_crossover_strategy, self).OnReseted()
        self._prev_short = 0.0
        self._prev_long = 0.0
        self._has_prev = False

    def OnStarted2(self, time):
        super(simple_fx_crossover_strategy, self).OnStarted2(time)
        self._has_prev = False
        fast = SimpleMovingAverage()
        fast.Length = self.short_period
        slow = SimpleMovingAverage()
        slow.Length = self.long_period
        subscription = self.SubscribeCandles(self.candle_type)
        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_short = fast_val
            self._prev_long = slow_val
            self._has_prev = True
            return
        cross_up = self._prev_short <= self._prev_long and fast_val > slow_val
        cross_down = self._prev_short >= self._prev_long and fast_val < slow_val
        if cross_up and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        elif cross_down and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
        self._prev_short = fast_val
        self._prev_long = slow_val

    def CreateClone(self):
        return simple_fx_crossover_strategy()