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Dealers Trade ZeroLag MACD Strategy

Overview

This strategy ports the MetaTrader expert advisor "Dealers Trade v 7.91 ZeroLag MACD" to the StockSharp high level API. It tracks the slope of a zero lag MACD to decide whether the market is in an accumulation phase for longs or shorts and builds a grid of positions with adaptive spacing and risk management. The default timeframe is four-hour candles as recommended by the original author, but any candle type supported by StockSharp can be selected.

Trading logic

  • Signal detection. Two zero lag exponential moving averages (fast and slow) generate a MACD line. When the MACD rises compared to the previous bar the strategy treats the market as bullish; when it falls it treats the market as bearish. The signal can be inverted via the ReverseCondition parameter.
  • Position grid. The algorithm scales into the detected direction. Distances between entries are measured in pips and multiplied after each fill by IntervalCoefficient. The lot size is multiplied by LotMultiplier on every additional entry, mimicking the martingale scheme from the MQL version.
  • Volume control. If BaseVolume is greater than zero it is used as the initial order quantity. Otherwise the engine derives the size from RiskPercent, stop distance and the instrument step parameters. Each calculated volume is checked against the instrument limits and capped by MaxVolume.
  • Order management. Every entry can be equipped with a stop loss, take profit and trailing stop (all in pips). The take profit distance is multiplied by TakeProfitCoefficient for successive entries to widen targets.
  • Account protection. When the total number of open positions exceeds PositionsForProtection and their combined profit reaches SecureProfit, the strategy closes the trade with the largest profit to lock in gains. If the total number of positions exceeds MaxPositions it closes the worst performing trade before accepting new entries.

Position handling

  • Stops, trailing logic and targets are evaluated on finished candles using close, high and low prices.
  • All open positions are tracked with their own volume, entry price and trailing state. The last fill price is reused to enforce the minimum spacing for future entries.
  • When the account balance falls below MinimumBalance the strategy stops itself to avoid overtrading on small accounts.

Parameters

Parameter Description
BaseVolume Initial order size. Set to zero to enable risk-based sizing via RiskPercent.
RiskPercent Percentage of portfolio equity to risk when position size is derived from the stop distance.
MaxPositions Maximum number of simultaneously open entries.
IntervalPips Initial spacing between grid entries in pips.
IntervalCoefficient Multiplier applied to the spacing after each additional entry.
StopLossPips Stop loss distance in pips. Set to zero to disable.
TakeProfitPips Base take profit distance in pips. Multiplied by TakeProfitCoefficient per entry.
TrailingStopPips / TrailingStepPips Trailing stop distance and required advance before the trail is adjusted.
TakeProfitCoefficient Multiplier for widening take profit distances on later entries.
SecureProfit Profit threshold that triggers account protection once enough positions are open.
AccountProtection Enables automatic profit locking by closing the best trade.
PositionsForProtection Minimum number of open positions required before account protection becomes active.
ReverseCondition Inverts the MACD slope interpretation.
FastLength, SlowLength, SignalLength Periods of the zero lag exponential moving averages.
MaxVolume Cap for the volume of a single entry.
LotMultiplier Multiplicative factor for scaling position size with each grid entry.
MinimumBalance Minimal account balance required to continue trading.
CandleType Candle data type used for calculations.

Usage notes

  1. Connect the strategy to a portfolio and security before starting it.
  2. Review the instrument step and price settings to ensure pip conversions are correct.
  3. The default parameters replicate the original expert advisor behaviour but can be optimised through StockSharp optimisers.
  4. Python translation is not included for this strategy.
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>
/// Grid strategy based on zero lag MACD slope with adaptive spacing and money management.
/// </summary>
public class DealersTradeZeroLagMacdStrategy : Strategy
{
	private sealed class PositionEntry
	{
		public PositionEntry(Sides side, decimal volume)
		{
			Side = side;
			Volume = volume;
		}

		public Sides Side { get; }
		public decimal Volume { get; set; }
		public decimal EntryPrice { get; set; }
		public decimal? StopLoss { get; set; }
		public decimal? TakeProfit { get; set; }
		public decimal TrailingDistance { get; set; }
		public decimal TrailingStep { get; set; }
		public decimal? TrailingStop { get; set; }
		public decimal PendingCloseVolume { get; set; }
	}

	private sealed class PendingEntry
	{
		public PendingEntry(Sides side, decimal volume)
		{
			Side = side;
			Volume = volume;
		}

		public Sides Side { get; }
		public decimal Volume { get; }
		public decimal StopLossDistance { get; set; }
		public decimal TakeProfitDistance { get; set; }
		public decimal TrailingDistance { get; set; }
		public decimal TrailingStep { get; set; }
		public decimal FilledVolume { get; set; }
		public PositionEntry Entry { get; set; }
	}

	private readonly StrategyParam<decimal> _baseVolume;
	private readonly StrategyParam<decimal> _riskPercent;
	private readonly StrategyParam<int> _maxPositions;
	private readonly StrategyParam<int> _intervalPips;
	private readonly StrategyParam<decimal> _intervalCoefficient;
	private readonly StrategyParam<int> _stopLossPips;
	private readonly StrategyParam<int> _takeProfitPips;
	private readonly StrategyParam<int> _trailingStopPips;
	private readonly StrategyParam<int> _trailingStepPips;
	private readonly StrategyParam<decimal> _takeProfitCoefficient;
	private readonly StrategyParam<decimal> _secureProfit;
	private readonly StrategyParam<bool> _accountProtection;
	private readonly StrategyParam<int> _positionsForProtection;
	private readonly StrategyParam<bool> _reverseCondition;
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<int> _signalLength;
	private readonly StrategyParam<decimal> _maxVolume;
	private readonly StrategyParam<decimal> _lotMultiplier;
	private readonly StrategyParam<decimal> _minimumBalance;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<PositionEntry> _longEntries = new();
	private readonly List<PositionEntry> _shortEntries = new();

	private ZeroLagExponentialMovingAverage _fastZlema = null!;
	private ZeroLagExponentialMovingAverage _slowZlema = null!;
	private ExponentialMovingAverage _signalEma = null!;

	private PendingEntry _pendingBuyEntry;
	private PendingEntry _pendingSellEntry;

	private decimal _pipSize;
	private decimal _lastLongEntryPrice;
	private decimal _lastShortEntryPrice;
	private decimal _previousMacd;
	private bool _hasPreviousMacd;

	/// <summary>
	/// Base order volume. Set to zero to enable risk-based sizing.
	/// </summary>
	public decimal BaseVolume
	{
		get => _baseVolume.Value;
		set => _baseVolume.Value = value;
	}

	/// <summary>
	/// Risk percent used when <see cref="BaseVolume"/> is zero.
	/// </summary>
	public decimal RiskPercent
	{
		get => _riskPercent.Value;
		set => _riskPercent.Value = value;
	}

	/// <summary>
	/// Maximum number of simultaneously open entries.
	/// </summary>
	public int MaxPositions
	{
		get => _maxPositions.Value;
		set => _maxPositions.Value = value;
	}

	/// <summary>
	/// Initial spacing between entries in pips.
	/// </summary>
	public int IntervalPips
	{
		get => _intervalPips.Value;
		set => _intervalPips.Value = value;
	}

	/// <summary>
	/// Multiplier applied to the spacing after each additional entry.
	/// </summary>
	public decimal IntervalCoefficient
	{
		get => _intervalCoefficient.Value;
		set => _intervalCoefficient.Value = value;
	}

	/// <summary>
	/// Stop loss distance expressed in pips.
	/// </summary>
	public int StopLossPips
	{
		get => _stopLossPips.Value;
		set => _stopLossPips.Value = value;
	}

	/// <summary>
	/// Take profit distance expressed in pips.
	/// </summary>
	public int TakeProfitPips
	{
		get => _takeProfitPips.Value;
		set => _takeProfitPips.Value = value;
	}

	/// <summary>
	/// Trailing stop distance in pips.
	/// </summary>
	public int TrailingStopPips
	{
		get => _trailingStopPips.Value;
		set => _trailingStopPips.Value = value;
	}

	/// <summary>
	/// Minimum price advance before the trailing stop starts to follow the price.
	/// </summary>
	public int TrailingStepPips
	{
		get => _trailingStepPips.Value;
		set => _trailingStepPips.Value = value;
	}

	/// <summary>
	/// Multiplier applied to the take profit distance for each additional entry.
	/// </summary>
	public decimal TakeProfitCoefficient
	{
		get => _takeProfitCoefficient.Value;
		set => _takeProfitCoefficient.Value = value;
	}

	/// <summary>
	/// Target profit used when account protection is enabled.
	/// </summary>
	public decimal SecureProfit
	{
		get => _secureProfit.Value;
		set => _secureProfit.Value = value;
	}

	/// <summary>
	/// Enables closing the most profitable position once cumulative profit reaches <see cref="SecureProfit"/>.
	/// </summary>
	public bool AccountProtection
	{
		get => _accountProtection.Value;
		set => _accountProtection.Value = value;
	}

	/// <summary>
	/// Minimum number of entries required before account protection can trigger.
	/// </summary>
	public int PositionsForProtection
	{
		get => _positionsForProtection.Value;
		set => _positionsForProtection.Value = value;
	}

	/// <summary>
	/// Reverses the MACD slope interpretation when set to true.
	/// </summary>
	public bool ReverseCondition
	{
		get => _reverseCondition.Value;
		set => _reverseCondition.Value = value;
	}

	/// <summary>
	/// Fast length of the zero lag EMA.
	/// </summary>
	public int FastLength
	{
		get => _fastLength.Value;
		set => _fastLength.Value = value;
	}

	/// <summary>
	/// Slow length of the zero lag EMA.
	/// </summary>
	public int SlowLength
	{
		get => _slowLength.Value;
		set => _slowLength.Value = value;
	}

	/// <summary>
	/// Signal length used for smoothing MACD line.
	/// </summary>
	public int SignalLength
	{
		get => _signalLength.Value;
		set => _signalLength.Value = value;
	}

	/// <summary>
	/// Maximum allowed volume for a single entry.
	/// </summary>
	public decimal MaxVolume
	{
		get => _maxVolume.Value;
		set => _maxVolume.Value = value;
	}

	/// <summary>
	/// Multiplier applied to the base volume when stacking positions.
	/// </summary>
	public decimal LotMultiplier
	{
		get => _lotMultiplier.Value;
		set => _lotMultiplier.Value = value;
	}

	/// <summary>
	/// Minimum portfolio balance required to keep trading.
	/// </summary>
	public decimal MinimumBalance
	{
		get => _minimumBalance.Value;
		set => _minimumBalance.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of the <see cref="DealersTradeZeroLagMacdStrategy"/> class.
	/// </summary>
	public DealersTradeZeroLagMacdStrategy()
	{
		_baseVolume = Param(nameof(BaseVolume), 0.1m)
		.SetDisplay("Base Volume", "Initial order volume", "Trading")
		;

		_riskPercent = Param(nameof(RiskPercent), 5m)
		.SetDisplay("Risk Percent", "Risk per trade when base volume is zero", "Trading")
		;

		_maxPositions = Param(nameof(MaxPositions), 2)
		.SetDisplay("Max Positions", "Maximum simultaneous entries", "Risk")
		.SetGreaterThanZero()
		;

		_intervalPips = Param(nameof(IntervalPips), 50)
		.SetDisplay("Interval (pips)", "Base spacing between entries", "Grid")
		.SetNotNegative()
		;

		_intervalCoefficient = Param(nameof(IntervalCoefficient), 1.2m)
		.SetDisplay("Interval Coefficient", "Spacing multiplier for additional entries", "Grid")
		.SetGreaterThanZero()
		;

		_stopLossPips = Param(nameof(StopLossPips), 0)
		.SetDisplay("Stop Loss (pips)", "Distance to protective stop", "Risk")
		.SetNotNegative();

		_takeProfitPips = Param(nameof(TakeProfitPips), 50)
		.SetDisplay("Take Profit (pips)", "Base take profit distance", "Risk")
		.SetNotNegative()
		;

		_trailingStopPips = Param(nameof(TrailingStopPips), 0)
		.SetDisplay("Trailing Stop (pips)", "Trailing distance", "Risk")
		.SetNotNegative();

		_trailingStepPips = Param(nameof(TrailingStepPips), 5)
		.SetDisplay("Trailing Step (pips)", "Extra move required to tighten trail", "Risk")
		.SetNotNegative();

		_takeProfitCoefficient = Param(nameof(TakeProfitCoefficient), 1.2m)
		.SetDisplay("TP Coefficient", "Take profit multiplier per entry", "Risk")
		.SetGreaterThanZero()
		;

		_secureProfit = Param(nameof(SecureProfit), 300m)
		.SetDisplay("Secure Profit", "Cumulative profit to trigger protection", "Risk")
		.SetNotNegative();

		_accountProtection = Param(nameof(AccountProtection), true)
		.SetDisplay("Account Protection", "Enable profit locking", "Risk");

		_positionsForProtection = Param(nameof(PositionsForProtection), 3)
		.SetDisplay("Positions For Protection", "Entries required for protection", "Risk")
		.SetNotNegative();

		_reverseCondition = Param(nameof(ReverseCondition), false)
		.SetDisplay("Reverse Condition", "Invert MACD slope logic", "General");

		_fastLength = Param(nameof(FastLength), 14)
		.SetDisplay("Fast Length", "Fast ZLEMA length", "Indicators")
		.SetGreaterThanZero()
		;

		_slowLength = Param(nameof(SlowLength), 26)
		.SetDisplay("Slow Length", "Slow ZLEMA length", "Indicators")
		.SetGreaterThanZero()
		;

		_signalLength = Param(nameof(SignalLength), 9)
		.SetDisplay("Signal Length", "Signal smoothing length", "Indicators")
		.SetGreaterThanZero()
		;

		_maxVolume = Param(nameof(MaxVolume), 5m)
		.SetDisplay("Max Volume", "Maximum volume per entry", "Trading")
		.SetGreaterThanZero();

		_lotMultiplier = Param(nameof(LotMultiplier), 1.6m)
		.SetDisplay("Lot Multiplier", "Multiplier applied to each new entry", "Trading")
		.SetGreaterThanZero()
		;

		_minimumBalance = Param(nameof(MinimumBalance), 0m)
		.SetDisplay("Minimum Balance", "Stop trading below this balance", "Risk")
		.SetNotNegative();

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

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

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

		_longEntries.Clear();
		_shortEntries.Clear();
		_pendingBuyEntry = null;
		_pendingSellEntry = null;
		_lastLongEntryPrice = 0m;
		_lastShortEntryPrice = 0m;
		_previousMacd = 0m;
		_hasPreviousMacd = false;
		_pipSize = 0m;
	}

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

		_fastZlema = new ZeroLagExponentialMovingAverage { Length = FastLength };
		_slowZlema = new ZeroLagExponentialMovingAverage { Length = SlowLength };
		_signalEma = new ExponentialMovingAverage { Length = SignalLength };

		var decimals = Security?.Decimals ?? 0;
		var step = Security?.PriceStep ?? 0.0001m;
		var factor = decimals == 3 || decimals == 5 ? 10m : 1m;
		_pipSize = step * factor;

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

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

	}

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

		var balance = Portfolio?.CurrentValue;
		if (balance.HasValue && balance.Value < MinimumBalance)
			{
			Stop();
			return;
		}

		var macd = fast - slow;
		_signalEma.Process(new DecimalIndicatorValue(_signalEma, macd, candle.CloseTime) { IsFinal = true });

		if (!_fastZlema.IsFormed || !_slowZlema.IsFormed || !_signalEma.IsFormed)
			{
			_previousMacd = macd;
			_hasPreviousMacd = true;
			return;
		}

		if (!_hasPreviousMacd)
			{
			_previousMacd = macd;
			_hasPreviousMacd = true;
			return;
		}

		var direction = 3;

		if (macd > _previousMacd && macd != 0m && _previousMacd != 0m)
			direction = 2;
		else if (macd < _previousMacd && macd != 0m && _previousMacd != 0m)
			direction = 1;



		if (ReverseCondition)
			{
			if (direction == 1)
				direction = 2;
			else if (direction == 2)
				direction = 1;
		}

		_previousMacd = macd;

		var openPositions = _longEntries.Count + _shortEntries.Count;
		var continueOpening = openPositions <= MaxPositions;

		if (direction != 3 && openPositions > MaxPositions)
			{
			CloseMinimumProfit(candle.ClosePrice);
			return;
		}

		var closedThisBar = ManagePositions(candle);
		if (closedThisBar)
			return;

		var totalProfit = GetTotalProfit(candle.ClosePrice);
		if (AccountProtection && openPositions > PositionsForProtection && totalProfit >= SecureProfit)
			{
			CloseMaximumProfit(candle.ClosePrice);
			return;
		}

		if (!continueOpening)
			return;

		if (direction == 2)
			TryOpenLong(candle, openPositions);
		else if (direction == 1)
			TryOpenShort(candle, openPositions);
	}

	private void TryOpenLong(ICandleMessage candle, int openPositions)
	{
		var interval = GetIntervalDistance(openPositions);
		var canOpen = _longEntries.Count == 0 || _lastLongEntryPrice - candle.ClosePrice >= interval;

		if (!canOpen)
			return;

		var stopDistance = StopLossPips > 0 ? StopLossPips * _pipSize : 0m;
		var takeDistance = TakeProfitPips > 0 ? TakeProfitPips * _pipSize : 0m;
		if (takeDistance > 0m)
			{
			var tpMultiplier = Pow(TakeProfitCoefficient, openPositions + 1);
			takeDistance *= tpMultiplier;
		}

		var trailingDistance = TrailingStopPips > 0 ? TrailingStopPips * _pipSize : 0m;
		var trailingStep = TrailingStepPips > 0 ? TrailingStepPips * _pipSize : 0m;

		var lotMultiplier = openPositions == 0 ? 1m : Pow(LotMultiplier, openPositions + 1);
		var volume = CalculateEntryVolume(stopDistance, lotMultiplier);

		if (volume <= 0m)
			return;

		var pending = new PendingEntry(Sides.Buy, volume)
		{
			StopLossDistance = stopDistance,
			TakeProfitDistance = takeDistance,
			TrailingDistance = trailingDistance,
			TrailingStep = trailingStep
		};

		_pendingBuyEntry = pending;
		BuyMarket(volume);
	}

	private void TryOpenShort(ICandleMessage candle, int openPositions)
	{
		var interval = GetIntervalDistance(openPositions);
		var canOpen = _shortEntries.Count == 0 || candle.ClosePrice - _lastShortEntryPrice >= interval;

		if (!canOpen)
			return;

		var stopDistance = StopLossPips > 0 ? StopLossPips * _pipSize : 0m;
		var takeDistance = TakeProfitPips > 0 ? TakeProfitPips * _pipSize : 0m;
		if (takeDistance > 0m)
			{
			var tpMultiplier = Pow(TakeProfitCoefficient, openPositions + 1);
			takeDistance *= tpMultiplier;
		}

		var trailingDistance = TrailingStopPips > 0 ? TrailingStopPips * _pipSize : 0m;
		var trailingStep = TrailingStepPips > 0 ? TrailingStepPips * _pipSize : 0m;

		var lotMultiplier = openPositions == 0 ? 1m : Pow(LotMultiplier, openPositions + 1);
		var volume = CalculateEntryVolume(stopDistance, lotMultiplier);

		if (volume <= 0m)
			return;

		var pending = new PendingEntry(Sides.Sell, volume)
		{
			StopLossDistance = stopDistance,
			TakeProfitDistance = takeDistance,
			TrailingDistance = trailingDistance,
			TrailingStep = trailingStep
		};

		_pendingSellEntry = pending;
		SellMarket(volume);
	}

	private bool ManagePositions(ICandleMessage candle)
	{
		var closed = false;

		if (ManageEntries(_longEntries, candle, true))
			closed = true;

		if (ManageEntries(_shortEntries, candle, false))
			closed = true;

		return closed;
	}

	private bool ManageEntries(List<PositionEntry> entries, ICandleMessage candle, bool isLong)
	{
		var closed = false;

		foreach (var entry in entries.ToList())
			{
			if (entry.PendingCloseVolume > 0m)
				continue;

			if (isLong)
				{
				if (entry.StopLoss.HasValue && candle.LowPrice <= entry.StopLoss.Value)
					{
					SendCloseOrder(entry);
					closed = true;
					continue;
				}

				if (entry.TakeProfit.HasValue && candle.HighPrice >= entry.TakeProfit.Value)
					{
					SendCloseOrder(entry);
					closed = true;
					continue;
				}

				if (entry.TrailingDistance > 0m)
					{
					var profit = candle.ClosePrice - entry.EntryPrice;
					if (profit > entry.TrailingDistance + entry.TrailingStep)
						{
						var newStop = candle.ClosePrice - entry.TrailingDistance;
						if (!entry.TrailingStop.HasValue || entry.TrailingStop.Value < newStop)
							entry.TrailingStop = newStop;
					}

					if (entry.TrailingStop.HasValue && candle.LowPrice <= entry.TrailingStop.Value)
						{
						SendCloseOrder(entry);
						closed = true;
					}
				}
			}
			else
				{
				if (entry.StopLoss.HasValue && candle.HighPrice >= entry.StopLoss.Value)
					{
					SendCloseOrder(entry);
					closed = true;
					continue;
				}

				if (entry.TakeProfit.HasValue && candle.LowPrice <= entry.TakeProfit.Value)
					{
					SendCloseOrder(entry);
					closed = true;
					continue;
				}

				if (entry.TrailingDistance > 0m)
					{
					var profit = entry.EntryPrice - candle.ClosePrice;
					if (profit > entry.TrailingDistance + entry.TrailingStep)
						{
						var newStop = candle.ClosePrice + entry.TrailingDistance;
						if (!entry.TrailingStop.HasValue || entry.TrailingStop.Value > newStop)
							entry.TrailingStop = newStop;
					}

					if (entry.TrailingStop.HasValue && candle.HighPrice >= entry.TrailingStop.Value)
						{
						SendCloseOrder(entry);
						closed = true;
					}
				}
			}
		}

		return closed;
	}

	private void SendCloseOrder(PositionEntry entry)
	{
		if (entry.PendingCloseVolume > 0m)
			return;

		entry.PendingCloseVolume = entry.Volume;

		if (entry.Side == Sides.Buy)
			SellMarket(entry.Volume);
		else
			BuyMarket(entry.Volume);
	}

	private void CloseMaximumProfit(decimal price)
	{
		PositionEntry best = null;
		var bestProfit = decimal.MinValue;

		foreach (var entry in _longEntries)
			{
			var profit = GetEntryProfit(entry, price);
			if (profit > bestProfit)
				{
				bestProfit = profit;
				best = entry;
			}
		}

		foreach (var entry in _shortEntries)
			{
			var profit = GetEntryProfit(entry, price);
			if (profit > bestProfit)
				{
				bestProfit = profit;
				best = entry;
			}
		}

		if (best != null)
			SendCloseOrder(best);
	}

	private void CloseMinimumProfit(decimal price)
	{
		PositionEntry worst = null;
		var worstProfit = decimal.MaxValue;

		foreach (var entry in _longEntries)
			{
			var profit = GetEntryProfit(entry, price);
			if (profit < worstProfit)
				{
				worstProfit = profit;
				worst = entry;
			}
		}

		foreach (var entry in _shortEntries)
			{
			var profit = GetEntryProfit(entry, price);
			if (profit < worstProfit)
				{
				worstProfit = profit;
				worst = entry;
			}
		}

		if (worst != null)
			SendCloseOrder(worst);
	}

	private decimal GetTotalProfit(decimal price)
	{
		var total = 0m;

		foreach (var entry in _longEntries)
			total += GetEntryProfit(entry, price);

		foreach (var entry in _shortEntries)
			total += GetEntryProfit(entry, price);

		return total;
	}

	private decimal GetEntryProfit(PositionEntry entry, decimal price)
	{
		var priceStep = Security?.PriceStep ?? 1m;
		var stepPrice = GetSecurityValue<decimal?>(Level1Fields.StepPrice) ?? priceStep;
		if (priceStep == 0m)
			priceStep = 1m;

		var diff = entry.Side == Sides.Buy ? price - entry.EntryPrice : entry.EntryPrice - price;
		var steps = diff / priceStep;
		return steps * stepPrice * entry.Volume;
	}

	private decimal CalculateEntryVolume(decimal stopDistance, decimal multiplier)
	{
		var volume = BaseVolume > 0m ? BaseVolume : CalculateRiskVolume(stopDistance);
		if (volume <= 0m)
			return 0m;

		volume *= multiplier;

		var step = Security?.VolumeStep ?? 0m;
		if (step > 0m)
			volume = Math.Floor(volume / step) * step;

		var min = Security?.MinVolume ?? 0m;
		if (min > 0m && volume < min)
			return 0m;

		var max = Security?.MaxVolume;
		if (max.HasValue && volume > max.Value)
			volume = max.Value;

		if (volume > MaxVolume)
			return 0m;

		return volume;
	}

	private decimal CalculateRiskVolume(decimal stopDistance)
	{
		if (stopDistance <= 0m)
			return 0m;

		var portfolioValue = Portfolio?.CurrentValue;
		if (!portfolioValue.HasValue || portfolioValue.Value <= 0m)
			return 0m;

		var priceStep = Security?.PriceStep ?? 1m;
		var stepPrice = GetSecurityValue<decimal?>(Level1Fields.StepPrice) ?? priceStep;
		if (priceStep == 0m || stepPrice == 0m)
			return 0m;

		var steps = stopDistance / priceStep;
		if (steps <= 0m)
			return 0m;

		var lossPerUnit = steps * stepPrice;
		if (lossPerUnit <= 0m)
			return 0m;

		var riskAmount = portfolioValue.Value * (RiskPercent / 100m);
		return riskAmount / lossPerUnit;
	}

	private decimal GetIntervalDistance(int openPositions)
	{
		var distance = IntervalPips > 0 ? IntervalPips * _pipSize : 0m;
		if (distance <= 0m)
			return 0m;

		if (openPositions > 0)
			{
			var multiplier = Pow(IntervalCoefficient, openPositions);
			distance *= multiplier;
		}

		return distance;
	}

	private static decimal Pow(decimal value, int exponent)
	{
		var result = 1m;
		for (var i = 0; i < exponent; i++)
			result *= value;
		return result;
	}

	/// <inheritdoc />
	protected override void OnOwnTradeReceived(MyTrade trade)
	{
		base.OnOwnTradeReceived(trade);

		if (trade.Order == null)
			return;

		var volume = trade.Trade.Volume;
		var price = trade.Trade.Price;

		if (trade.Order.Side == Sides.Buy)
			{
			if (_pendingBuyEntry != null)
				{
				ProcessPendingEntry(_pendingBuyEntry, volume, price, _longEntries, true);
				if (_pendingBuyEntry.FilledVolume >= _pendingBuyEntry.Volume - 0.0000001m)
					{
					_lastLongEntryPrice = _pendingBuyEntry.Entry?.EntryPrice ?? _lastLongEntryPrice;
					_pendingBuyEntry = null;
				}
			}
			else
				{
				ProcessClose(_shortEntries, volume, false);
			}
		}
		else if (trade.Order.Side == Sides.Sell)
			{
			if (_pendingSellEntry != null)
				{
				ProcessPendingEntry(_pendingSellEntry, volume, price, _shortEntries, false);
				if (_pendingSellEntry.FilledVolume >= _pendingSellEntry.Volume - 0.0000001m)
					{
					_lastShortEntryPrice = _pendingSellEntry.Entry?.EntryPrice ?? _lastShortEntryPrice;
					_pendingSellEntry = null;
				}
			}
			else
				{
				ProcessClose(_longEntries, volume, true);
			}
		}
	}

	private void ProcessPendingEntry(PendingEntry pending, decimal volume, decimal price, List<PositionEntry> entries, bool isLong)
	{
		var entry = pending.Entry;
		if (entry == null)
			{
			entry = new PositionEntry(pending.Side, volume)
			{
				EntryPrice = price,
				TrailingDistance = pending.TrailingDistance,
				TrailingStep = pending.TrailingStep
			};
			entries.Add(entry);
			pending.Entry = entry;
		}
		else
			{
			var totalVolume = entry.Volume + volume;
			entry.EntryPrice = (entry.EntryPrice * entry.Volume + price * volume) / totalVolume;
			entry.Volume = totalVolume;
		}

		pending.FilledVolume += volume;

		if (isLong)
			{
			entry.StopLoss = pending.StopLossDistance > 0m ? entry.EntryPrice - pending.StopLossDistance : null;
			entry.TakeProfit = pending.TakeProfitDistance > 0m ? entry.EntryPrice + pending.TakeProfitDistance : null;
		}
		else
			{
			entry.StopLoss = pending.StopLossDistance > 0m ? entry.EntryPrice + pending.StopLossDistance : null;
			entry.TakeProfit = pending.TakeProfitDistance > 0m ? entry.EntryPrice - pending.TakeProfitDistance : null;
		}

		entry.TrailingStop = null;
	}

	private void ProcessClose(List<PositionEntry> entries, decimal volume, bool closingLong)
	{
		var remaining = volume;

		foreach (var entry in entries)
			{
			if (remaining <= 0m)
				break;

			if (entry.PendingCloseVolume <= 0m)
				continue;

			var closeVolume = Math.Min(entry.PendingCloseVolume, remaining);
			entry.PendingCloseVolume -= closeVolume;
			entry.Volume -= closeVolume;
			remaining -= closeVolume;

			if (entry.PendingCloseVolume <= 0m)
				entry.PendingCloseVolume = 0m;
		}

		for (var i = entries.Count - 1; i >= 0; i--)
			{
			var entry = entries[i];
			if (entry.Volume <= 0m)
				{
				entries.RemoveAt(i);
			}
		}

		if (closingLong)
			_lastLongEntryPrice = _longEntries.Count > 0 ? _longEntries[^1].EntryPrice : 0m;
		else
			_lastShortEntryPrice = _shortEntries.Count > 0 ? _shortEntries[^1].EntryPrice : 0m;
	}
}