Estrategia de Relleno de Brechas

using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Gap fill strategy using Highest/Lowest channel breakout.
/// </summary>
public class GapFillStrategy : Strategy
{
	private readonly StrategyParam<int> _channelPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevHigh;
	private decimal _prevLow;
	private bool _hasPrev;

	public int ChannelPeriod { get => _channelPeriod.Value; set => _channelPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public GapFillStrategy()
	{
		_channelPeriod = Param(nameof(ChannelPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("Channel Period", "Highest/Lowest period", "Parameters");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle type", "Data");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevHigh = 0;
		_prevLow = 0;
		_hasPrev = false;
	}

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

		var highest = new Highest { Length = ChannelPeriod };
		var lowest = new Lowest { Length = ChannelPeriod };

		SubscribeCandles(CandleType)
			.Bind(highest, lowest, ProcessCandle)
			.Start();
	}

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

		if (!_hasPrev)
		{
			_prevHigh = highVal;
			_prevLow = lowVal;
			_hasPrev = true;
			return;
		}

		if (candle.ClosePrice > _prevHigh && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (candle.ClosePrice < _prevLow && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevHigh = highVal;
		_prevLow = lowVal;
	}
}

import clr

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

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


class gap_fill_strategy(Strategy):
    def __init__(self):
        super(gap_fill_strategy, self).__init__()
        self._channel_period = self.Param("ChannelPeriod", 12) \
            .SetDisplay("Channel Period", "Highest/Lowest period", "Parameters")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candle type", "Data")
        self._prev_high = 0.0
        self._prev_low = 0.0
        self._has_prev = False

    @property
    def channel_period(self):
        return self._channel_period.Value

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

    def OnReseted(self):
        super(gap_fill_strategy, self).OnReseted()
        self._prev_high = 0.0
        self._prev_low = 0.0
        self._has_prev = False

    def OnStarted2(self, time):
        super(gap_fill_strategy, self).OnStarted2(time)
        highest = Highest()
        highest.Length = self.channel_period
        lowest = Lowest()
        lowest.Length = self.channel_period
        self.SubscribeCandles(self.candle_type) \
            .Bind(highest, lowest, self.process_candle) \
            .Start()

    def process_candle(self, candle, high_val, low_val):
        if candle.State != CandleStates.Finished:
            return
        high_val = float(high_val)
        low_val = float(low_val)
        if not self._has_prev:
            self._prev_high = high_val
            self._prev_low = low_val
            self._has_prev = True
            return
        if float(candle.ClosePrice) > self._prev_high and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        elif float(candle.ClosePrice) < self._prev_low and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
        self._prev_high = high_val
        self._prev_low = low_val

    def CreateClone(self):
        return gap_fill_strategy()