EXP FIBO ZZ Strategy

using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Exp Fibo ZZ: Fibonacci-style breakout using high/low channel with ATR stops.
/// </summary>
public class ExpFiboZzStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _channelLength;
	private readonly StrategyParam<int> _atrLength;
	private readonly StrategyParam<int> _emaLength;

	private decimal _entryPrice;
	private decimal _prevHigh;
	private decimal _prevLow;
	private readonly decimal[] _highs = new decimal[15];
	private readonly decimal[] _lows = new decimal[15];
	private int _barCount;

	public ExpFiboZzStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe.", "General");

		_channelLength = Param(nameof(ChannelLength), 15)
			.SetDisplay("Channel", "N-bar channel lookback.", "Indicators");

		_atrLength = Param(nameof(AtrLength), 14)
			.SetDisplay("ATR Length", "ATR period.", "Indicators");

		_emaLength = Param(nameof(EmaLength), 50)
			.SetDisplay("EMA Length", "Trend filter.", "Indicators");
	}

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

	public int ChannelLength
	{
		get => _channelLength.Value;
		set => _channelLength.Value = value;
	}

	public int AtrLength
	{
		get => _atrLength.Value;
		set => _atrLength.Value = value;
	}

	public int EmaLength
	{
		get => _emaLength.Value;
		set => _emaLength.Value = value;
	}

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

		_entryPrice = 0;
		_barCount = 0;
		_prevHigh = 0;
		_prevLow = 0;
		Array.Clear(_highs, 0, _highs.Length);
		Array.Clear(_lows, 0, _lows.Length);
	}

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

		_entryPrice = 0;
		_barCount = 0;
		_prevHigh = 0;
		_prevLow = 0;

		var atr = new AverageTrueRange { Length = AtrLength };
		var ema = new ExponentialMovingAverage { Length = EmaLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(atr, ema, ProcessCandle)
			.Start();

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

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

		var len = Math.Min(ChannelLength, _highs.Length);
		var idx = _barCount % len;
		_highs[idx] = candle.HighPrice;
		_lows[idx] = candle.LowPrice;
		_barCount++;

		if (_barCount < len || atrVal <= 0)
			return;

		var high = decimal.MinValue;
		var low = decimal.MaxValue;
		for (var i = 0; i < len; i++)
		{
			if (_highs[i] > high) high = _highs[i];
			if (_lows[i] < low) low = _lows[i];
		}

		var close = candle.ClosePrice;

		if (_prevHigh == 0 || _prevLow == 0)
		{
			_prevHigh = high;
			_prevLow = low;
			return;
		}

		if (Position > 0)
		{
			if (close >= _entryPrice + atrVal * 3m || close <= _entryPrice - atrVal * 1.5m)
			{
				SellMarket();
				_entryPrice = 0;
			}
		}
		else if (Position < 0)
		{
			if (close <= _entryPrice - atrVal * 3m || close >= _entryPrice + atrVal * 1.5m)
			{
				BuyMarket();
				_entryPrice = 0;
			}
		}

		if (Position == 0)
		{
			if (close > _prevHigh && close > emaVal)
			{
				_entryPrice = close;
				BuyMarket();
			}
			else if (close < _prevLow && close < emaVal)
			{
				_entryPrice = close;
				SellMarket();
			}
		}

		_prevHigh = high;
		_prevLow = low;
	}
}

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.Strategies import Strategy
from StockSharp.Algo.Indicators import AverageTrueRange, ExponentialMovingAverage

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Timeframe.", "General")
        self._channel_length = self.Param("ChannelLength", 15) \
            .SetDisplay("Channel", "N-bar channel lookback.", "Indicators")
        self._atr_length = self.Param("AtrLength", 14) \
            .SetDisplay("ATR Length", "ATR period.", "Indicators")
        self._ema_length = self.Param("EmaLength", 50) \
            .SetDisplay("EMA Length", "Trend filter.", "Indicators")

        self._entry_price = 0.0
        self._prev_high = 0.0
        self._prev_low = 0.0
        self._bar_count = 0
        self._highs = []
        self._lows = []

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

    @property
    def ChannelLength(self):
        return self._channel_length.Value

    @property
    def AtrLength(self):
        return self._atr_length.Value

    @property
    def EmaLength(self):
        return self._ema_length.Value

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

        self._entry_price = 0.0
        self._bar_count = 0
        self._prev_high = 0.0
        self._prev_low = 0.0
        self._highs = [0.0] * 15
        self._lows = [0.0] * 15

        self._atr = AverageTrueRange()
        self._atr.Length = self.AtrLength
        self._ema = ExponentialMovingAverage()
        self._ema.Length = self.EmaLength

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(self._atr, self._ema, self.ProcessCandle).Start()

    def ProcessCandle(self, candle, atr_val, ema_val):
        if candle.State != CandleStates.Finished:
            return

        av = float(atr_val)
        ev = float(ema_val)

        length = min(self.ChannelLength, 15)
        idx = self._bar_count % length
        self._highs[idx] = float(candle.HighPrice)
        self._lows[idx] = float(candle.LowPrice)
        self._bar_count += 1

        if self._bar_count < length or av <= 0:
            return

        high = max(self._highs[i] for i in range(length))
        low = min(self._lows[i] for i in range(length))

        close = float(candle.ClosePrice)

        if self._prev_high == 0 or self._prev_low == 0:
            self._prev_high = high
            self._prev_low = low
            return

        if self.Position > 0:
            if close >= self._entry_price + av * 3.0 or close <= self._entry_price - av * 1.5:
                self.SellMarket()
                self._entry_price = 0.0
        elif self.Position < 0:
            if close <= self._entry_price - av * 3.0 or close >= self._entry_price + av * 1.5:
                self.BuyMarket()
                self._entry_price = 0.0

        if self.Position == 0:
            if close > self._prev_high and close > ev:
                self._entry_price = close
                self.BuyMarket()
            elif close < self._prev_low and close < ev:
                self._entry_price = close
                self.SellMarket()

        self._prev_high = high
        self._prev_low = low

    def OnReseted(self):
        super(exp_fibo_zz_strategy, self).OnReseted()
        self._entry_price = 0.0
        self._bar_count = 0
        self._prev_high = 0.0
        self._prev_low = 0.0
        self._highs = []
        self._lows = []

    def CreateClone(self):
        return exp_fibo_zz_strategy()