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App Price Level Cross Strategy

Overview

  • Conversion of the MetaTrader 4 expert advisor BT_v4 (MQL/8543/BT_v4.mq4).
  • Reimplemented with the high-level StockSharp strategy API (candle subscriptions, indicator-free processing, built-in protections).
  • Focused on reacting to the close price crossing a user-defined horizontal level (AppPrice).

Trading Logic

  1. Each finished candle updates an internal buffer with the latest close price.
  2. When the close moves above AppPrice while the previous close was at or below the level, the strategy
    • Trades only if BuyOnly = true (mirrors the original EA default).
    • Cancels any pending orders, offsets an existing short via the same market order volume, and establishes a long position of the calculated lot size.
  3. When the close moves below AppPrice while the previous close was at or above the level, the strategy
    • Trades only if BuyOnly = false (sell-only mode of the EA).
    • Cancels pending orders, offsets any existing long position, and establishes a short position of the calculated lot size.
  4. Signals are evaluated strictly on completed candles; partially formed candles are ignored just like in the MQL script.

Position Sizing

  • EnableMoneyManagement = false → use FixedVolume (equivalent to the MQL Lots input).

  • EnableMoneyManagement = true → compute the lot using the original formula:

    [ \text = \text_{\text} \left( \frac{\text}{100} \times \frac{\text}{\text} \right) ]

    • divisor = 1000 for one-decimal lots and 100 for two-decimal lots (same rule as LotPrec in MQL).
    • The result is clamped to [MinLot, MaxLot] and then aligned with the security VolumeStep, VolumeMin, and VolumeMax constraints.
    • If portfolio balance data is unavailable the strategy falls back to FixedVolume.

Risk Management

  • StopLossPoints and TakeProfitPoints are measured in instrument price points (ticks).
  • If either value is positive, StartProtection is activated with the offsets converted through Security.PriceStep.
  • Setting a distance to 0 disables that particular protective leg, consistent with the original EA behavior.

Parameters

Name Description Default
AppPrice Level that triggers trades when the close crosses it. 0
BuyOnly true = long-only mode (original default), false = short-only. true
FixedVolume Lot size when MM is disabled. 0.1
EnableMoneyManagement Enables balance-percentage sizing. false
LotBalancePercent Percent of balance used when MM is on. 10
MinLot / MaxLot Bounds for the computed lot size. 0.1 / 5
LotPrecision Number of decimals to round the calculated lot. 1
StopLossPoints Stop-loss distance in price points (0 = disabled). 140
TakeProfitPoints Take-profit distance in price points (0 = disabled). 180
CandleType Candle timeframe used for the cross detection. 1 Minute

Implementation Notes

  • Uses SubscribeCandles(...).Bind(...) so indicators are unnecessary; the close prices arrive directly in the callback.
  • Market orders (BuyMarket/SellMarket) are sized to flatten the opposite position before opening a new one, mirroring the EA logic of closing opposite orders before entering.
  • CancelActiveOrders() is invoked before every market order to avoid unintended pending orders.
  • Parameters like Magic, Slippage, and color settings from the MQL file are omitted because they have no direct equivalent in StockSharp.
  • Ensure the Security metadata (PriceStep, VolumeStep, VolumeMin, VolumeMax) is populated so that price/volume adjustments match broker rules.

Usage Tips

  • Set AppPrice to the horizontal level you want to monitor (e.g., psychological price, daily pivot, etc.).
  • Switch BuyOnly off to replicate the original "sell-only" mode; leave it on to run the provided default long-only behaviour.
  • When enabling money management, verify that the portfolio connection supplies balance updates; otherwise, the strategy reverts to the fixed volume.
  • No Python port is provided per request; only the C# strategy is generated.
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;

using StockSharp.Algo;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy that opens trades when the close price crosses a configured level.
/// Converted from the MQL4 expert advisor BT_v4.
/// </summary>
public class AppPriceLevelCrossStrategy : Strategy
{
	private readonly StrategyParam<decimal> _appPrice;
	private readonly StrategyParam<bool> _buyOnly;
	private readonly StrategyParam<decimal> _fixedVolume;
	private readonly StrategyParam<int> _stopLossPoints;
	private readonly StrategyParam<int> _takeProfitPoints;
	private readonly StrategyParam<bool> _enableMoneyManagement;
	private readonly StrategyParam<decimal> _lotBalancePercent;
	private readonly StrategyParam<decimal> _minLot;
	private readonly StrategyParam<decimal> _maxLot;
	private readonly StrategyParam<int> _lotPrecision;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _previousClose;

	/// <summary>
	/// Initializes strategy parameters with defaults mirroring the MQL version.
	/// </summary>
	public AppPriceLevelCrossStrategy()
	{
		_appPrice = Param(nameof(AppPrice), 65000m)
			.SetDisplay("App Price", "Reference level that generates trades when the close crosses it", "Trading");

		_buyOnly = Param(nameof(BuyOnly), true)
			.SetDisplay("Buy Only", "Enable to trade only long entries (set to false for sell-only mode)", "Trading");

		_fixedVolume = Param(nameof(FixedVolume), 0.1m)
			.SetGreaterThanZero()
			.SetDisplay("Fixed Volume", "Lot size used when money management is disabled", "Risk");

		_stopLossPoints = Param(nameof(StopLossPoints), 140)
			.SetDisplay("Stop Loss (points)", "Distance in price points for the protective stop (0 disables)", "Risk");

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 180)
			.SetDisplay("Take Profit (points)", "Distance in price points for the profit target (0 disables)", "Risk");

		_enableMoneyManagement = Param(nameof(EnableMoneyManagement), false)
			.SetDisplay("Enable MM", "Toggle balance-based position sizing", "Risk");

		_lotBalancePercent = Param(nameof(LotBalancePercent), 10m)
			.SetDisplay("Balance %", "Percentage of balance used to compute the lot when MM is enabled", "Risk");

		_minLot = Param(nameof(MinLot), 0.1m)
			.SetDisplay("Minimum Lot", "Lower bound for the calculated lot size", "Risk");

		_maxLot = Param(nameof(MaxLot), 5m)
			.SetDisplay("Maximum Lot", "Upper bound for the calculated lot size", "Risk");

		_lotPrecision = Param(nameof(LotPrecision), 1)
			.SetDisplay("Lot Precision", "Number of decimal places to round the calculated lot size", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe used for signal generation", "General");
	}

	/// <summary>
	/// Target price level for the close-cross rule.
	/// </summary>
	public decimal AppPrice
	{
		get => _appPrice.Value;
		set => _appPrice.Value = value;
	}

	/// <summary>
	/// When true only long trades are allowed; set to false to trade only shorts.
	/// </summary>
	public bool BuyOnly
	{
		get => _buyOnly.Value;
		set => _buyOnly.Value = value;
	}

	/// <summary>
	/// Fixed lot size used when money management is disabled.
	/// </summary>
	public decimal FixedVolume
	{
		get => _fixedVolume.Value;
		set => _fixedVolume.Value = value;
	}

	/// <summary>
	/// Stop-loss distance expressed in price points.
	/// </summary>
	public int StopLossPoints
	{
		get => _stopLossPoints.Value;
		set => _stopLossPoints.Value = value;
	}

	/// <summary>
	/// Take-profit distance expressed in price points.
	/// </summary>
	public int TakeProfitPoints
	{
		get => _takeProfitPoints.Value;
		set => _takeProfitPoints.Value = value;
	}

	/// <summary>
	/// Enables the balance-percentage position sizing block.
	/// </summary>
	public bool EnableMoneyManagement
	{
		get => _enableMoneyManagement.Value;
		set => _enableMoneyManagement.Value = value;
	}

	/// <summary>
	/// Percentage of account balance used for lot calculation when MM is active.
	/// </summary>
	public decimal LotBalancePercent
	{
		get => _lotBalancePercent.Value;
		set => _lotBalancePercent.Value = value;
	}

	/// <summary>
	/// Minimum allowed lot for the calculated value.
	/// </summary>
	public decimal MinLot
	{
		get => _minLot.Value;
		set => _minLot.Value = value;
	}

	/// <summary>
	/// Maximum allowed lot for the calculated value.
	/// </summary>
	public decimal MaxLot
	{
		get => _maxLot.Value;
		set => _maxLot.Value = value;
	}

	/// <summary>
	/// Decimal precision applied to the calculated lot size.
	/// </summary>
	public int LotPrecision
	{
		get => _lotPrecision.Value;
		set => _lotPrecision.Value = value;
	}

	/// <summary>
	/// Candle type used to evaluate the cross conditions.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		// Reset stored close value so the next formed candle rebuilds the history.
		_previousClose = null;
	}

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

		var dummySma = new SimpleMovingAverage { Length = 2 };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(dummySma, ProcessCandle).Start();

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

		var step = Security?.PriceStep ?? 1m;
		if (TakeProfitPoints > 0 || StopLossPoints > 0)
		{
			var takeDistance = TakeProfitPoints > 0 ? new Unit(TakeProfitPoints * step, UnitTypes.Absolute) : new Unit(0m);
			var stopDistance = StopLossPoints > 0 ? new Unit(StopLossPoints * step, UnitTypes.Absolute) : new Unit(0m);

			StartProtection(takeProfit: takeDistance, stopLoss: stopDistance);
		}
	}

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

		var previousClose = _previousClose;
		_previousClose = candle.ClosePrice;

		// Need at least one completed candle to compare against the configured level.
		if (previousClose is null)
			return;

		var crossedAbove = candle.ClosePrice > AppPrice && previousClose <= AppPrice;
		var crossedBelow = candle.ClosePrice < AppPrice && previousClose >= AppPrice;

		if (crossedAbove)
		{
			ExecuteBuy();
		}
		else if (crossedBelow)
		{
			ExecuteSell();
		}
	}

	private void ExecuteBuy()
	{
		// Skip if we already hold a long position.
		if (Position > 0)
			return;

		var baseVolume = CalculateBaseVolume();
		if (baseVolume <= 0m)
			return;

		var volume = baseVolume;
		if (Position < 0)
			volume += Math.Abs(Position);

		volume = AlignVolume(volume);
		if (volume <= 0m)
			return;

BuyMarket(volume);
	}

	private void ExecuteSell()
	{
		// Skip if we already hold a short position.
		if (Position < 0)
			return;

		var baseVolume = CalculateBaseVolume();
		if (baseVolume <= 0m)
			return;

		var volume = baseVolume;
		if (Position > 0)
			volume += Math.Abs(Position);

		volume = AlignVolume(volume);
		if (volume <= 0m)
			return;

SellMarket(volume);
	}

	private decimal CalculateBaseVolume()
	{
		if (!EnableMoneyManagement)
			return FixedVolume;

		var balance = Portfolio?.CurrentValue ?? Portfolio?.BeginValue;
		if (balance is null || balance <= 0m)
			return FixedVolume;

		var divisor = LotPrecision == 2 ? 100m : 1000m;
		if (LotPrecision <= 0)
			divisor = 1m;

		var precision = LotPrecision;
		if (precision < 0)
			precision = 0;

		var volume = LotBalancePercent / 100m * balance.Value / divisor;
		volume = Math.Round(volume, precision, MidpointRounding.AwayFromZero);

		if (volume < MinLot)
			volume = MinLot;
		if (volume > MaxLot)
			volume = MaxLot;

		return volume;
	}

	private decimal AlignVolume(decimal volume)
	{
		var security = Security;
		if (security == null)
			return volume;

		var minVolume = security.MinVolume ?? 0m;
		var maxVolume = security.MaxVolume ?? decimal.MaxValue;
		var step = security.VolumeStep ?? 0m;

		if (minVolume > 0m && volume < minVolume)
			volume = minVolume;

		if (maxVolume > 0m && volume > maxVolume)
			volume = maxVolume;

		if (step > 0m)
		{
			var steps = Math.Round(volume / step, MidpointRounding.AwayFromZero);
			volume = steps * step;
		}

		return volume;
	}
}