Custom Signal Oscillator

using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Custom Signal Oscillator strategy.
/// The oscillator is the difference between two price signals of the candle, its close and its open.
/// A cross above zero goes long and a cross below zero goes short, reversing an opposite position.
/// In long-only mode a cross below zero only closes the long.
/// </summary>
public class CustomSignalOscillatorStrategy : Strategy
{
	private readonly StrategyParam<bool> _longOnly;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevOscillator;

	/// <summary>
	/// Trade only long positions.
	/// </summary>
	public bool LongOnly
	{
		get => _longOnly.Value;
		set => _longOnly.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public CustomSignalOscillatorStrategy()
	{
		_longOnly = Param(nameof(LongOnly), false)
			.SetDisplay("Long Only", "Trade only long positions", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevOscillator = null;
	}

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

		_prevOscillator = null;

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

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

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

		var oscillator = candle.ClosePrice - candle.OpenPrice;
		var prev = _prevOscillator;
		_prevOscillator = oscillator;

		if (prev is not decimal prevOscillator)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var crossUp = prevOscillator <= 0m && oscillator > 0m;
		var crossDown = prevOscillator >= 0m && oscillator < 0m;

		if (crossUp && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
		}
		else if (crossDown)
		{
			if (LongOnly)
			{
				if (Position > 0)
					SellMarket(Position);
			}
			else if (Position >= 0)
			{
				SellMarket(Volume + Math.Abs(Position));
			}
		}
	}
}

import clr

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

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


class custom_signal_oscillator_strategy(Strategy):
    """
    Custom Signal Oscillator strategy.
    The oscillator is the difference between two price signals of the candle, its close and its open.
    A cross above zero goes long and a cross below zero goes short, reversing an opposite position.
    In long-only mode a cross below zero only closes the long.
    """

    def __init__(self):
        super(custom_signal_oscillator_strategy, self).__init__()
        self._long_only = self.Param("LongOnly", False) \
            .SetDisplay("Long Only", "Trade only long positions", "General")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))) \
            .SetDisplay("Candle Type", "Type of candles to use", "General")
        self._prev_oscillator = None

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

    def GetWorkingSecurities(self):
        return [(self.Security, self.candle_type)]

    def OnReseted(self):
        super(custom_signal_oscillator_strategy, self).OnReseted()
        self._prev_oscillator = None

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

        self._prev_oscillator = None

        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(self._process_candle).Start()

        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawOwnTrades(area)

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

        oscillator = candle.ClosePrice - candle.OpenPrice
        prev = self._prev_oscillator
        self._prev_oscillator = oscillator

        if prev is None:
            return

        if not self.IsFormedAndOnlineAndAllowTrading():
            return

        cross_up = prev <= 0 and oscillator > 0
        cross_down = prev >= 0 and oscillator < 0

        if cross_up and self.Position <= 0:
            self.BuyMarket(self.Volume + abs(self.Position))
        elif cross_down:
            if self._long_only.Value:
                if self.Position > 0:
                    self.SellMarket(self.Position)
            elif self.Position >= 0:
                self.SellMarket(self.Volume + abs(self.Position))

    def CreateClone(self):
        return custom_signal_oscillator_strategy()