Estrategia BSS de Separación Triple EMA

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;

public class BssTripleEmaSeparationStrategy : Strategy
{
	public enum MaMethods
	{
		Simple,
		Exponential,
		Smoothed,
		LinearWeighted,
	}

	// Small epsilon used to compare decimal volumes without floating point noise.
	private readonly StrategyParam<decimal> _volumeTolerance;

	// User configurable parameters.
	private readonly StrategyParam<decimal> _orderVolume;
	private readonly StrategyParam<int> _maxPositions;
	private readonly StrategyParam<decimal> _minimumDistance;
	private readonly StrategyParam<int> _minimumPauseSeconds;
	private readonly StrategyParam<int> _firstMaPeriod;
	private readonly StrategyParam<int> _secondMaPeriod;
	private readonly StrategyParam<int> _thirdMaPeriod;
	private readonly StrategyParam<MaMethods> _firstMaMethod;
	private readonly StrategyParam<MaMethods> _secondMaMethod;
	private readonly StrategyParam<MaMethods> _thirdMaMethod;
	private readonly StrategyParam<DataType> _candleType;

	// Indicator instances created according to the selected parameters.
	private IIndicator _firstMa = null!;
	private IIndicator _secondMa = null!;
	private IIndicator _thirdMa = null!;

	// Timestamp of the last position entry used to enforce the pause between trades.
	private DateTimeOffset? _lastEntryTime;

	/// <summary>
	/// Tolerance used when comparing accumulated volume values.
	/// </summary>
	public decimal VolumeTolerance
	{
		get => _volumeTolerance.Value;
		set => _volumeTolerance.Value = value;
	}

	public decimal OrderVolume
	{
		get => _orderVolume.Value;
		set => _orderVolume.Value = value;
	}

	public int MaxPositions
	{
		get => _maxPositions.Value;
		set => _maxPositions.Value = value;
	}

	public decimal MinimumDistance
	{
		get => _minimumDistance.Value;
		set => _minimumDistance.Value = value;
	}

	public int MinimumPauseSeconds
	{
		get => _minimumPauseSeconds.Value;
		set => _minimumPauseSeconds.Value = value;
	}

	public int FirstMaPeriod
	{
		get => _firstMaPeriod.Value;
		set => _firstMaPeriod.Value = value;
	}

	public int SecondMaPeriod
	{
		get => _secondMaPeriod.Value;
		set => _secondMaPeriod.Value = value;
	}

	public int ThirdMaPeriod
	{
		get => _thirdMaPeriod.Value;
		set => _thirdMaPeriod.Value = value;
	}

	public MaMethods FirstMaMethod
	{
		get => _firstMaMethod.Value;
		set => _firstMaMethod.Value = value;
	}

	public MaMethods SecondMaMethod
	{
		get => _secondMaMethod.Value;
		set => _secondMaMethod.Value = value;
	}

	public MaMethods ThirdMaMethod
	{
		get => _thirdMaMethod.Value;
		set => _thirdMaMethod.Value = value;
	}

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

	public BssTripleEmaSeparationStrategy()
	{
		_volumeTolerance = Param(nameof(VolumeTolerance), 1e-8m)
			.SetGreaterThanZero()
			.SetDisplay("Volume Tolerance", "Tolerance when comparing volume values", "Risk");

		_orderVolume = Param(nameof(OrderVolume), 0.1m)
			.SetGreaterThanZero()
			.SetDisplay("Order Volume", "Volume used for each entry order", "Trading");

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

		_minimumDistance = Param(nameof(MinimumDistance), 50m)
			.SetGreaterThanZero()
			.SetDisplay("Minimum Distance", "Minimum price gap between moving averages", "Signals");

		_minimumPauseSeconds = Param(nameof(MinimumPauseSeconds), 600)
			.SetNotNegative()
			.SetDisplay("Minimum Pause (sec)", "Pause between new entries in seconds", "Risk");

		_firstMaPeriod = Param(nameof(FirstMaPeriod), 5)
			.SetGreaterThanZero()
			.SetDisplay("First MA Period", "Period for the fastest moving average", "Indicators");

		_firstMaMethod = Param(nameof(FirstMaMethod), MaMethods.Exponential)
			.SetDisplay("First MA Method", "Smoothing method for the fastest moving average", "Indicators");

		_secondMaPeriod = Param(nameof(SecondMaPeriod), 25)
			.SetGreaterThanZero()
			.SetDisplay("Second MA Period", "Period for the medium moving average", "Indicators");

		_secondMaMethod = Param(nameof(SecondMaMethod), MaMethods.Exponential)
			.SetDisplay("Second MA Method", "Smoothing method for the medium moving average", "Indicators");

		_thirdMaPeriod = Param(nameof(ThirdMaPeriod), 125)
			.SetGreaterThanZero()
			.SetDisplay("Third MA Period", "Period for the slowest moving average", "Indicators");

		_thirdMaMethod = Param(nameof(ThirdMaMethod), MaMethods.Exponential)
			.SetDisplay("Third MA Method", "Smoothing method for the slowest moving average", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe used for calculations", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();

		_lastEntryTime = null;
	}

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

		if (FirstMaPeriod >= SecondMaPeriod)
			throw new InvalidOperationException("First MA period must be less than second MA period.");

		if (SecondMaPeriod >= ThirdMaPeriod)
			throw new InvalidOperationException("Second MA period must be less than third MA period.");

		_firstMa = CreateMovingAverage(FirstMaMethod, FirstMaPeriod);
		_secondMa = CreateMovingAverage(SecondMaMethod, SecondMaPeriod);
		_thirdMa = CreateMovingAverage(ThirdMaMethod, ThirdMaPeriod);

		_lastEntryTime = null;

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(_firstMa, _secondMa, _thirdMa, ProcessCandle).Start();

	}

	private static IIndicator CreateMovingAverage(MaMethods method, int period)
	{
		return method switch
		{
			MaMethods.Simple => new SimpleMovingAverage { Length = period },
			MaMethods.Smoothed => new SmoothedMovingAverage { Length = period },
			MaMethods.LinearWeighted => new WeightedMovingAverage { Length = period },
			_ => new ExponentialMovingAverage { Length = period },
		};
	}

	private void ProcessCandle(ICandleMessage candle, decimal firstValue, decimal secondValue, decimal thirdValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_firstMa.IsFormed || !_secondMa.IsFormed || !_thirdMa.IsFormed)
			return;

		var minDistance = MinimumDistance;

		var longSpreadOk = thirdValue - secondValue >= minDistance && secondValue - firstValue >= minDistance;
		var shortSpreadOk = firstValue - secondValue >= minDistance && secondValue - thirdValue >= minDistance;

		if (!longSpreadOk && !shortSpreadOk)
			return;

		var time = candle.OpenTime;

		if (longSpreadOk)
		{
			if (TryCloseOppositePositions(true))
				return;

			if (CanEnterPosition(time, true))
			{
				BuyMarket(OrderVolume);
				_lastEntryTime = time;
			}

			return;
		}

		if (shortSpreadOk)
		{
			if (TryCloseOppositePositions(false))
				return;

			if (CanEnterPosition(time, false))
			{
				SellMarket(OrderVolume);
				_lastEntryTime = time;
			}
		}
	}

	private bool CanEnterPosition(DateTimeOffset time, bool isLong)
	{
		// Trading is allowed only when the strategy is ready, the pause elapsed, and exposure stays within bounds.

		if (!IsPauseElapsed(time))
			return false;

		var targetPosition = Position + (isLong ? OrderVolume : -OrderVolume);
		var maxExposure = MaxPositions * OrderVolume;

		return Math.Abs(targetPosition) <= maxExposure + VolumeTolerance;
	}

	private bool IsPauseElapsed(DateTimeOffset time)
	{
		var pauseSeconds = MinimumPauseSeconds;

		if (pauseSeconds <= 0)
			return true;

		if (_lastEntryTime is null)
			return true;

		return time - _lastEntryTime.Value >= TimeSpan.FromSeconds(pauseSeconds);
	}

	private bool TryCloseOppositePositions(bool isLong)
	{
		// Close active trades in the opposite direction before opening a new position.
		if (isLong)
		{
			if (Position < -VolumeTolerance)
			{
				BuyMarket(Math.Abs(Position));
				return true;
			}
		}
		else
		{
			if (Position > VolumeTolerance)
			{
				SellMarket(Position);
				return true;
			}
		}

		return false;
	}

}

import clr

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

from StockSharp.Algo.Indicators import ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy
from StockSharp.Messages import DataType, CandleStates
from System import TimeSpan, Math


class bss_triple_ema_separation_strategy(Strategy):
    def __init__(self):
        super(bss_triple_ema_separation_strategy, self).__init__()

        self._volume_tolerance = self.Param("VolumeTolerance", 1e-8)
        self._order_volume = self.Param("OrderVolume", 0.1)
        self._max_positions = self.Param("MaxPositions", 2)
        self._minimum_distance = self.Param("MinimumDistance", 50.0)
        self._minimum_pause_seconds = self.Param("MinimumPauseSeconds", 600)
        self._first_ma_period = self.Param("FirstMaPeriod", 5)
        self._second_ma_period = self.Param("SecondMaPeriod", 25)
        self._third_ma_period = self.Param("ThirdMaPeriod", 125)
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4)))

        self._first_ma = None
        self._second_ma = None
        self._third_ma = None
        self._last_entry_time = None

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

    def OnStarted2(self, time):
        super(bss_triple_ema_separation_strategy, self).OnStarted2(time)

        self._first_ma = ExponentialMovingAverage()
        self._first_ma.Length = self._first_ma_period.Value
        self._second_ma = ExponentialMovingAverage()
        self._second_ma.Length = self._second_ma_period.Value
        self._third_ma = ExponentialMovingAverage()
        self._third_ma.Length = self._third_ma_period.Value

        self._last_entry_time = None

        sub = self.SubscribeCandles(self.CandleType)
        sub.Bind(self._first_ma, self._second_ma, self._third_ma, self._process_candle).Start()

    def _process_candle(self, candle, first_value, second_value, third_value):
        if candle.State != CandleStates.Finished:
            return

        if not self._first_ma.IsFormed or not self._second_ma.IsFormed or not self._third_ma.IsFormed:
            return

        fv = float(first_value)
        sv = float(second_value)
        tv = float(third_value)
        min_distance = self._minimum_distance.Value

        long_spread_ok = tv - sv >= min_distance and sv - fv >= min_distance
        short_spread_ok = fv - sv >= min_distance and sv - tv >= min_distance

        if not long_spread_ok and not short_spread_ok:
            return

        time = candle.OpenTime

        if long_spread_ok:
            if self._try_close_opposite_positions(True):
                return
            if self._can_enter_position(time, True):
                self.BuyMarket(self._order_volume.Value)
                self._last_entry_time = time
            return

        if short_spread_ok:
            if self._try_close_opposite_positions(False):
                return
            if self._can_enter_position(time, False):
                self.SellMarket(self._order_volume.Value)
                self._last_entry_time = time

    def _can_enter_position(self, time, is_long):
        if not self._is_pause_elapsed(time):
            return False

        vol = self._order_volume.Value
        target_position = self.Position + (vol if is_long else -vol)
        max_exposure = self._max_positions.Value * vol

        return abs(target_position) <= max_exposure + self._volume_tolerance.Value

    def _is_pause_elapsed(self, time):
        pause_seconds = self._minimum_pause_seconds.Value
        if pause_seconds <= 0:
            return True
        if self._last_entry_time is None:
            return True
        return (time - self._last_entry_time) >= TimeSpan.FromSeconds(pause_seconds)

    def _try_close_opposite_positions(self, is_long):
        tol = self._volume_tolerance.Value
        if is_long:
            if self.Position < -tol:
                self.BuyMarket(abs(self.Position))
                return True
        else:
            if self.Position > tol:
                self.SellMarket(self.Position)
                return True
        return False

    def OnReseted(self):
        super(bss_triple_ema_separation_strategy, self).OnReseted()
        self._first_ma = None
        self._second_ma = None
        self._third_ma = None
        self._last_entry_time = None

    def CreateClone(self):
        return bss_triple_ema_separation_strategy()