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Volume by Session Strategy

Simplified strategy derived from the TradingView "Volume by Session" indicator. The trading day is divided into four sessions, each with its own average volume. When current volume within a session deviates from its average, the strategy enters trades accordingly.

Details

  • Entry: Current session volume above or below its moving average.
  • Exit: Opposite signal closes existing position.
  • Long/Short: Both.
  • Indicators: SMA.
  • Timeframe: Intraday.

This is a minimal educational translation; visualization and extensive settings of the original script are omitted.

using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Volume by session strategy.
/// Tracks average volume and trades on volume deviations with price confirmation.
/// Buys when volume spikes above average and price is rising, sells when opposite.
/// </summary>
public class VolumeBySessionStrategy : Strategy
{
	private readonly StrategyParam<int> _volAvgLength;
	private readonly StrategyParam<decimal> _volMult;
	private readonly StrategyParam<decimal> _stopPct;
	private readonly StrategyParam<decimal> _tpPct;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _signalCooldownBars;

	private readonly List<decimal> _volumes = new();
	private decimal _volumeSum;
	private decimal _entryPrice;
	private decimal _stopDist;
	private decimal? _prevHigh;
	private decimal? _prevLow;
	private int _cooldownRemaining;

	public int VolAvgLength { get => _volAvgLength.Value; set => _volAvgLength.Value = value; }
	public decimal VolMult { get => _volMult.Value; set => _volMult.Value = value; }
	public decimal StopPct { get => _stopPct.Value; set => _stopPct.Value = value; }
	public decimal TpPct { get => _tpPct.Value; set => _tpPct.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int SignalCooldownBars { get => _signalCooldownBars.Value; set => _signalCooldownBars.Value = value; }

	public VolumeBySessionStrategy()
	{
		_volAvgLength = Param(nameof(VolAvgLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Vol Avg Length", "Volume average period", "Parameters");

		_volMult = Param(nameof(VolMult), 2.25m)
			.SetGreaterThanZero()
			.SetDisplay("Vol Multiplier", "Volume spike multiplier", "Parameters");

		_stopPct = Param(nameof(StopPct), 0.5m)
			.SetGreaterThanZero()
			.SetDisplay("Stop %", "Stop loss percent", "Risk");

		_tpPct = Param(nameof(TpPct), 1m)
			.SetGreaterThanZero()
			.SetDisplay("TP %", "Take profit percent", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");

		_signalCooldownBars = Param(nameof(SignalCooldownBars), 12)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown", "Bars to wait between new entries", "Trading");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_volumes.Clear();
		_volumeSum = 0m;
		_entryPrice = 0;
		_stopDist = 0;
		_prevHigh = null;
		_prevLow = null;
		_cooldownRemaining = 0;
	}

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

		_volumes.Clear();
		_volumeSum = 0m;
		_entryPrice = 0;
		_stopDist = 0;
		_prevHigh = null;
		_prevLow = null;
		_cooldownRemaining = 0;

		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 vol = candle.TotalVolume;
		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		// TP/SL
		if (Position > 0 && _entryPrice > 0 && _stopDist > 0)
		{
			if (candle.ClosePrice <= _entryPrice - _stopDist || candle.ClosePrice >= _entryPrice + _stopDist * (TpPct / StopPct))
			{
				SellMarket(Position);
				_entryPrice = 0;
				_stopDist = 0;
				_cooldownRemaining = SignalCooldownBars;
			}
		}
		else if (Position < 0 && _entryPrice > 0 && _stopDist > 0)
		{
			if (candle.ClosePrice >= _entryPrice + _stopDist || candle.ClosePrice <= _entryPrice - _stopDist * (TpPct / StopPct))
			{
				BuyMarket(Math.Abs(Position));
				_entryPrice = 0;
				_stopDist = 0;
				_cooldownRemaining = SignalCooldownBars;
			}
		}

		if (_volumes.Count >= VolAvgLength && _prevHigh.HasValue && _prevLow.HasValue && _cooldownRemaining == 0 && Position == 0)
		{
			var avgVol = _volumeSum / _volumes.Count;
			var highVol = vol >= avgVol * VolMult;
			var bullishBreakout = candle.ClosePrice > _prevHigh.Value && candle.ClosePrice > candle.OpenPrice;
			var bearishBreakout = candle.ClosePrice < _prevLow.Value && candle.ClosePrice < candle.OpenPrice;
			var minBody = Math.Max(candle.ClosePrice * 0.001m, Security?.PriceStep ?? 0m);
			var body = Math.Abs(candle.ClosePrice - candle.OpenPrice);

			if (highVol && bullishBreakout && body >= minBody)
			{
				BuyMarket(Volume);
				_entryPrice = candle.ClosePrice;
				_stopDist = candle.ClosePrice * StopPct / 100m;
				_cooldownRemaining = SignalCooldownBars;
			}
			else if (highVol && bearishBreakout && body >= minBody)
			{
				SellMarket(Volume);
				_entryPrice = candle.ClosePrice;
				_stopDist = candle.ClosePrice * StopPct / 100m;
				_cooldownRemaining = SignalCooldownBars;
			}
		}

		_volumes.Add(vol);
		_volumeSum += vol;

		if (_volumes.Count > VolAvgLength)
		{
			_volumeSum -= _volumes[0];
			_volumes.RemoveAt(0);
		}

		_prevHigh = candle.HighPrice;
		_prevLow = candle.LowPrice;
	}
}