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Volume Profile Strategy

This simplified volume profile strategy tracks session high, low and the point of control defined by the price of the candle with the highest volume. The strategy buys when price is above the point of control and sells when it is below. Positions are closed when price returns to the session mid level.

Parameters

  • Candle Type – timeframe of input candles.
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;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Simplified volume profile strategy.
/// Tracks session high, low, mid and point of control based on maximum candle volume.
/// Buys when price is above POC and sells when below.
/// </summary>
public class VolumeProfileMakit0Strategy : Strategy
{
private readonly StrategyParam<DataType> _candleType;

private DateTime _currentSession;
private decimal _sessionHigh;
private decimal _sessionLow;
private decimal _sessionMid;
private decimal _pocPrice;
private decimal _maxVolume;
private bool _sessionTradeDone;

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

/// <summary>
/// Initializes <see cref="VolumeProfileMakit0Strategy"/>.
/// </summary>
public VolumeProfileMakit0Strategy()
{
_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
.SetDisplay("Candle Type", "Type of candles", "General");
}

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

/// <inheritdoc />
protected override void OnReseted()
{
base.OnReseted();
_currentSession = default;
_sessionHigh = 0;
_sessionLow = 0;
_sessionMid = 0;
_pocPrice = 0;
_maxVolume = 0;
_sessionTradeDone = false;
}

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

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

StartProtection(
takeProfit: new Unit(2, UnitTypes.Percent),
stopLoss: new Unit(1, UnitTypes.Percent)
);

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

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

var sessionStart = GetSessionStart(candle.OpenTime.Date);

// start new session on session boundary
if (_currentSession != sessionStart)
{
	if (Position > 0)
		SellMarket(Position);
	else if (Position < 0)
		BuyMarket(Math.Abs(Position));

_currentSession = sessionStart;
_sessionHigh = candle.HighPrice;
_sessionLow = candle.LowPrice;
_sessionMid = candle.ClosePrice;
_pocPrice = candle.ClosePrice;
_maxVolume = candle.TotalVolume;
_sessionTradeDone = false;
return;
}

_sessionHigh = Math.Max(_sessionHigh, candle.HighPrice);
_sessionLow = Math.Min(_sessionLow, candle.LowPrice);
_sessionMid = (_sessionHigh + _sessionLow) / 2m;

if (candle.TotalVolume > _maxVolume)
{
_maxVolume = candle.TotalVolume;
_pocPrice = candle.ClosePrice;
}

if (!IsFormedAndOnlineAndAllowTrading())
return;

var bullishProfile = candle.ClosePrice > _pocPrice && candle.ClosePrice > _sessionMid;
var bearishProfile = candle.ClosePrice < _pocPrice && candle.ClosePrice < _sessionMid;

if (!_sessionTradeDone && Position == 0 && bullishProfile)
{
BuyMarket(Volume);
_sessionTradeDone = true;
}
else if (!_sessionTradeDone && Position == 0 && bearishProfile)
{
SellMarket(Volume);
_sessionTradeDone = true;
}

if (Position > 0 && candle.ClosePrice < _pocPrice && candle.ClosePrice < _sessionMid)
SellMarket(Position);
else if (Position < 0 && candle.ClosePrice > _pocPrice && candle.ClosePrice > _sessionMid)
BuyMarket(Math.Abs(Position));
}

private static DateTime GetSessionStart(DateTime date)
{
	return new DateTime(date.Year, date.Month, 1);
}
}