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News Hour Trade Strategy

The News Hour Trade strategy places pending buy and sell stop orders around scheduled high impact news events. Orders are offset from the current price by a fixed number of steps and include stop-loss, take-profit and optional trailing stop management.

Idea

  1. At the configured start hour and minute the strategy prepares for an upcoming news release.
  2. A buy stop and a sell stop order are placed PriceGap steps above and below the current price.
  3. When one order triggers, the opposite pending order is cancelled automatically.
  4. The open position is protected with fixed stop-loss and take-profit levels. If TrailStop is enabled the stop level follows the price when it moves in favor of the position.
  5. Only one trade per day is allowed.

Parameters

  • StartHour / StartMinute – time to start trading.
  • DelaySeconds – pause before orders are placed (currently informational).
  • Volume – order size in lots.
  • StopLoss – distance to stop-loss in price steps.
  • TakeProfit – distance to take-profit in steps.
  • PriceGap – offset from current price for pending orders.
  • Expiration – pending order lifetime in seconds (0 means no expiration).
  • TrailStop – enable trailing stop.
  • TrailingStop – distance from current price for trailing stop.
  • TrailingGap – minimum gap before updating trailing stop.
  • BuyTrade / SellTrade – enable buy or sell side orders.
  • CandleType – timeframe used for time tracking.

Notes

The strategy is intended for the M5 timeframe but can be applied to any instrument with low spreads. Use with caution around major news events.

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>
/// NewsHourTrade strategy places breakout trades around scheduled news events.
/// At the configured hour/minute, it tracks price and enters on breakout above/below with SL/TP.
/// </summary>
public class NewsHourTradeStrategy : Strategy
{
	private readonly StrategyParam<int> _startHour;
	private readonly StrategyParam<int> _startMinute;
	private readonly StrategyParam<int> _stopLoss;
	private readonly StrategyParam<int> _takeProfit;
	private readonly StrategyParam<int> _priceGap;
	private readonly StrategyParam<int> _tradeIntervalDays;
	private readonly StrategyParam<bool> _buyTrade;
	private readonly StrategyParam<bool> _sellTrade;
	private readonly StrategyParam<DataType> _candleType;

	private DateTime _lastTradeDay;
	private decimal _tickSize;
	private bool _setupConsumed;
	private bool _exitSubmitted;
	private decimal _entryPrice;
	private decimal _stopPrice;
	private decimal _takePrice;
	private static readonly object _sync = new();

	public int StartHour { get => _startHour.Value; set => _startHour.Value = value; }
	public int StartMinute { get => _startMinute.Value; set => _startMinute.Value = value; }
	public int StopLoss { get => _stopLoss.Value; set => _stopLoss.Value = value; }
	public int TakeProfit { get => _takeProfit.Value; set => _takeProfit.Value = value; }
	public int PriceGap { get => _priceGap.Value; set => _priceGap.Value = value; }
	public int TradeIntervalDays { get => _tradeIntervalDays.Value; set => _tradeIntervalDays.Value = value; }
	public bool BuyTrade { get => _buyTrade.Value; set => _buyTrade.Value = value; }
	public bool SellTrade { get => _sellTrade.Value; set => _sellTrade.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public NewsHourTradeStrategy()
	{
		_startHour = Param(nameof(StartHour), 0).SetDisplay("Start Hour", "Hour to start", "Parameters");
		_startMinute = Param(nameof(StartMinute), 0).SetDisplay("Start Minute", "Minute to start", "Parameters");
		_stopLoss = Param(nameof(StopLoss), 500).SetDisplay("Stop Loss", "Stop distance in steps", "Risk");
		_takeProfit = Param(nameof(TakeProfit), 1000).SetDisplay("Take Profit", "Take profit distance in steps", "Risk");
		_priceGap = Param(nameof(PriceGap), 10).SetDisplay("Price Gap", "Price offset in steps", "Parameters");
		_tradeIntervalDays = Param(nameof(TradeIntervalDays), 365).SetGreaterThanZero().SetDisplay("Trade Interval Days", "Minimum number of calendar days between setups", "Parameters");
		_buyTrade = Param(nameof(BuyTrade), true).SetDisplay("Buy Trade", "Enable buys", "Parameters");
		_sellTrade = Param(nameof(SellTrade), true).SetDisplay("Sell Trade", "Enable sells", "Parameters");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame()).SetDisplay("Candle Type", "Working timeframe", "Parameters");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_lastTradeDay = default;
		_tickSize = 0m;
		_setupConsumed = false;
		_exitSubmitted = false;
		_entryPrice = 0m;
		_stopPrice = 0m;
		_takePrice = 0m;
	}

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

		_tickSize = Security.PriceStep ?? 1m;

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

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

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

			var date = candle.OpenTime.Date;

			// At news time, record reference price and start watching for breakout.
			var enoughDaysPassed = _lastTradeDay == default || (date - _lastTradeDay).TotalDays >= TradeIntervalDays;
			if (!_setupConsumed && enoughDaysPassed && candle.OpenTime.Hour == StartHour && candle.OpenTime.Minute >= StartMinute && Position == 0)
			{
				_lastTradeDay = date;
				_setupConsumed = true;
				_exitSubmitted = false;

				var longBias = candle.ClosePrice >= candle.OpenPrice;
				var openLong = BuyTrade && (!SellTrade || longBias);
				var openShort = SellTrade && (!BuyTrade || !longBias);

				if (openLong)
				{
					BuyMarket();
					_entryPrice = candle.ClosePrice;
					_stopPrice = _entryPrice - StopLoss * _tickSize;
					_takePrice = _entryPrice + TakeProfit * _tickSize;
				}
				else if (openShort)
				{
					SellMarket();
					_entryPrice = candle.ClosePrice;
					_stopPrice = _entryPrice + StopLoss * _tickSize;
					_takePrice = _entryPrice - TakeProfit * _tickSize;
				}

				return;
			}

			// Manage the single open position with one market exit order.
			if (Position > 0)
			{
				if (!_exitSubmitted && (candle.LowPrice <= _stopPrice || candle.HighPrice >= _takePrice))
				{
					SellMarket(Position);
					_exitSubmitted = true;
				}
			}
			else if (Position < 0)
			{
				if (!_exitSubmitted && (candle.HighPrice >= _stopPrice || candle.LowPrice <= _takePrice))
				{
					BuyMarket(-Position);
					_exitSubmitted = true;
				}
			}
		}
	}

	/// <inheritdoc />
	protected override void OnPositionReceived(Position position)
	{
		base.OnPositionReceived(position);

		lock (_sync)
		{
			if (Position == 0m)
			{
				_exitSubmitted = false;
			}
		}
	}
}