English
View on GitHub

Multi Pair Closer Strategy

Overview

The Multi Pair Closer Strategy mirrors the original MetaTrader script that supervises a basket of currency pairs and liquidates every open position once the combined floating profit hits a target or the accumulated loss breaches a safety threshold. The conversion leverages StockSharp's high-level API to track profits, enforce a minimum holding time, and close positions across several securities in one action.

Logic

  1. Resolve the watched instruments from the comma-separated WatchedSymbols parameter. If the list is empty, the main Security is used.
  2. Subscribe to the selected candle type (default: 1-minute time frame) for each instrument. Every finished candle triggers a profit evaluation.
  3. For each instrument the strategy stores:
    • The last computed profit (Positions[i].PnL).
    • The timestamp when a position first became non-zero to respect the MinAgeSeconds requirement.
  4. After each update the net profit across all watched symbols is calculated:
    • If ProfitTarget is reached, all positions older than the minimum age are flattened using BuyMarket / SellMarket orders.
    • If the net profit drops below -MaxLoss, the same liquidation logic is applied as a protective stop.
  5. Detailed logs summarise the profit per instrument and the current basket result after every evaluation.

Parameters

Parameter Description Default
WatchedSymbols Comma-separated list of security identifiers to supervise. When empty the strategy falls back to the assigned Security. "GBPUSD,USDCAD,USDCHF,USDSEK"
ProfitTarget Net profit (in portfolio currency) required to trigger a global close of all watched positions. 60
MaxLoss Maximum acceptable loss (in portfolio currency) before the strategy force-closes the basket. 60
Slippage Compatibility parameter that reflects the allowed slippage from the original script. Market orders are used for exits, so the value is informational. 10
MinAgeSeconds Minimum lifetime of a position before the strategy is allowed to close it. 60
CandleType Candle type used for periodic supervision (default: 1-minute candles). 1 minute

Notes

  • The strategy relies on Positions[i].PnL provided by StockSharp to measure floating profit. It does not pull trade history or compute prices manually.
  • Positions opened before the strategy starts inherit the start time as their first seen timestamp. They will be closed only after the MinAgeSeconds interval elapses from strategy start.
  • Exits are executed with market orders to maximise the probability of immediate liquidation. Slippage is logged for parity with the MQL version but is not applied to price calculations.
  • Logging output replicates the MetaTrader "Comment" window by printing each symbol's profit followed by the overall basket total.

Requirements

  • Assign a valid SecurityProvider or ensure the requested identifiers are available through the connector.
  • Provide sufficient volume configuration per security so that market orders can flatten the position completely.
using System;
using System.Collections.Generic;
using System.Globalization;
using System.Linq;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Supervises the account positions of a basket of instruments and closes them when their combined floating
/// profit, as the connector reports it, reaches the profit target or drops below the loss limit.
/// This utility never opens positions.
/// </summary>
public class MultiPairCloserStrategy : Strategy
{
	private const string _profitTargetReason = "reached the profit target";
	private const string _maxLossReason = "fell below the loss limit";

	private readonly StrategyParam<string> _watchedSymbols;
	private readonly StrategyParam<decimal> _profitTarget;
	private readonly StrategyParam<decimal> _maxLoss;
	private readonly StrategyParam<int> _slippage;
	private readonly StrategyParam<int> _minAgeSeconds;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<Security> _watched = [];
	private readonly Dictionary<string, DateTime?> _firstSeen = new(StringComparer.OrdinalIgnoreCase);
	private readonly Dictionary<string, Order> _exitOrders = new(StringComparer.OrdinalIgnoreCase);
	private IConnector _positionSource;
	private DateTime? _startTime;

	/// <summary>
	/// Comma-separated identifiers of the securities to supervise. Empty means the assigned <see cref="Strategy.Security"/>.
	/// </summary>
	public string WatchedSymbols
	{
		get => _watchedSymbols.Value;
		set => _watchedSymbols.Value = value;
	}

	/// <summary>
	/// Combined floating profit, in portfolio currency, that closes every watched position.
	/// </summary>
	public decimal ProfitTarget
	{
		get => _profitTarget.Value;
		set => _profitTarget.Value = value;
	}

	/// <summary>
	/// Maximum acceptable combined floating loss, in portfolio currency, before the basket is force-closed.
	/// </summary>
	public decimal MaxLoss
	{
		get => _maxLoss.Value;
		set => _maxLoss.Value = value;
	}

	/// <summary>
	/// Slippage allowed by the original script. Exits are market orders, so the value is only logged.
	/// </summary>
	public int Slippage
	{
		get => _slippage.Value;
		set => _slippage.Value = value;
	}

	/// <summary>
	/// Minimum lifetime of a position, in seconds, before the strategy may close it.
	/// </summary>
	public int MinAgeSeconds
	{
		get => _minAgeSeconds.Value;
		set => _minAgeSeconds.Value = value;
	}

	/// <summary>
	/// Candle type whose finished candles trigger the profit evaluation.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="MultiPairCloserStrategy"/>.
	/// </summary>
	public MultiPairCloserStrategy()
	{
		_watchedSymbols = Param(nameof(WatchedSymbols), "GBPUSD,USDCAD,USDCHF,USDSEK")
			.SetDisplay("Watched Symbols", "Comma-separated security identifiers to supervise; empty means the assigned security", "Basket");

		_profitTarget = Param(nameof(ProfitTarget), 60m)
			.SetNotNegative()
			.SetDisplay("Profit Target", "Combined floating profit in portfolio currency that closes every watched position", "Risk");

		_maxLoss = Param(nameof(MaxLoss), 60m)
			.SetNotNegative()
			.SetDisplay("Max Loss", "Maximum acceptable combined floating loss in portfolio currency before the basket is force-closed", "Risk");

		_slippage = Param(nameof(Slippage), 10)
			.SetNotNegative()
			.SetDisplay("Slippage", "Slippage allowed by the original script; exits are market orders, so it is only logged", "Execution");

		_minAgeSeconds = Param(nameof(MinAgeSeconds), 60)
			.SetNotNegative()
			.SetDisplay("Min Age (s)", "Minimum lifetime of a position before the strategy may close it", "Execution");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Every finished candle of this type triggers a profit evaluation", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> ResolveWatched(false).Select(security => (security, CandleType));

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

		DetachPositionSource();
		_watched.Clear();
		_firstSeen.Clear();
		_exitOrders.Clear();
		_startTime = null;
	}

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

		_watched.Clear();
		_watched.AddRange(ResolveWatched(true));
		_firstSeen.Clear();
		_exitOrders.Clear();

		// The start is taken on the market clock, which a backtest sets only once the replay begins.
		_startTime = GetMarketTime();

		foreach (var security in _watched)
		{
			if (GetReportedPosition(security).volume != 0m)
				_firstSeen[security.Id] = _startTime;
		}

		_positionSource = Connector;
		_positionSource.PositionChanged += OnReportedPositionChanged;

		foreach (var security in _watched)
		{
			SubscribeCandles(CandleType, security: security)
				.Bind(ProcessCandle)
				.Start();
		}
	}

	/// <inheritdoc />
	protected override void OnStopped()
	{
		DetachPositionSource();

		base.OnStopped();
	}

	private void DetachPositionSource()
	{
		if (_positionSource is null)
			return;

		_positionSource.PositionChanged -= OnReportedPositionChanged;
		_positionSource = null;
	}

	private List<Security> ResolveWatched(bool strict)
	{
		var ids = (WatchedSymbols ?? string.Empty)
			.Split(',', StringSplitOptions.RemoveEmptyEntries | StringSplitOptions.TrimEntries)
			.Distinct(StringComparer.OrdinalIgnoreCase)
			.ToArray();

		var securities = new List<Security>();

		if (ids.Length == 0)
		{
			if (Security is not null)
				securities.Add(Security);
			else if (strict)
				throw new InvalidOperationException("WatchedSymbols is empty and no Security is assigned.");

			return securities;
		}

		if (Connector is null)
			return securities;

		foreach (var id in ids)
		{
			var security = this.LookupById(id);

			if (security is not null)
				securities.Add(security);
			else if (strict)
				throw new InvalidOperationException($"Security '{id}' is not available through the connector.");
		}

		return securities;
	}

	private void OnReportedPositionChanged(Position position)
	{
		var security = FindWatched(position);

		if (security is null)
			return;

		if (GetReportedPosition(security).volume == 0m)
			_firstSeen.Remove(security.Id);
		else if (!_firstSeen.ContainsKey(security.Id))
			_firstSeen[security.Id] = GetMarketTime() ?? _startTime;
	}

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

		EvaluateBasket();
	}

	private void EvaluateBasket()
	{
		var now = CurrentTime;
		_startTime ??= now;

		var summary = new List<string>(_watched.Count + 1);
		var open = new List<(Security security, decimal volume)>();
		decimal? total = 0m;

		foreach (var security in _watched)
		{
			var (volume, profit) = GetReportedPosition(security);

			if (volume == 0m)
			{
				summary.Add($"{security.Id}: {Format(0m)}");
				continue;
			}

			open.Add((security, volume));
			total += profit;
			summary.Add($"{security.Id}: {(profit is decimal value ? Format(value) : "n/a")}");
		}

		summary.Add($"Basket: {(total is decimal sum ? Format(sum) : "n/a")}");
		LogInfo(string.Join("; ", summary));

		// A position without a reported floating profit leaves the basket result unknown, so nothing is decided.
		if (open.Count == 0 || total is not decimal basket)
			return;

		string reason;

		if (basket >= ProfitTarget)
			reason = _profitTargetReason;
		else if (basket < -MaxLoss)
			reason = _maxLossReason;
		else
			return;

		foreach (var (security, volume) in open)
		{
			if (_exitOrders.TryGetValue(security.Id, out var pending) && !pending.State.IsFinal())
				continue;

			var firstSeen = (_firstSeen.TryGetValue(security.Id, out var seen) ? seen : null) ?? _startTime.Value;

			if ((now - firstSeen).TotalSeconds < MinAgeSeconds)
				continue;

			var quantity = Math.Abs(volume);
			LogInfo($"Closing {security.Id}: basket {Format(basket)} {reason}, {(volume > 0m ? "sell" : "buy")} {Format(quantity)} at market (slippage {Slippage}).");

			_exitOrders[security.Id] = volume > 0m
				? SellMarket(quantity, security)
				: BuyMarket(quantity, security);
		}
	}

	private Security FindWatched(Position position)
		=> IsAccountPosition(position)
			? _watched.FirstOrDefault(security => security.Id.EqualsIgnoreCase(position.Security.Id))
			: null;

	// Floating profit is summed as the connector reports it; one missing value makes the whole sum unknown.
	private (decimal volume, decimal? profit) GetReportedPosition(Security security)
	{
		var volume = 0m;
		decimal? profit = 0m;

		foreach (var position in Connector.Positions)
		{
			if (!IsAccountPosition(position) || !position.Security.Id.EqualsIgnoreCase(security.Id))
				continue;

			if (position.CurrentValue is not decimal value || value == 0m)
				continue;

			volume += value;
			profit += position.UnrealizedPnL;
		}

		return (volume, profit);
	}

	// Rows a connector keeps per strategy repeat part of the account row, so only account rows are read.
	private bool IsAccountPosition(Position position)
		=> position.Security is not null
			&& position.StrategyId.IsEmpty()
			&& Portfolio is not null
			&& position.PortfolioName.EqualsIgnoreCase(Portfolio.Name);

	private DateTime? GetMarketTime()
	{
		var now = CurrentTime;
		return now == default ? null : now;
	}

	private static string Format(decimal value)
		=> value.ToString(CultureInfo.InvariantCulture);
}