Estrategia Renko Level EA

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>
/// Strategy that mirrors the Renko Level Expert Advisor from MetaTrader.
/// Tracks level changes generated by a Renko style grid and flips positions accordingly.
/// </summary>
public class RenkoLevelEaStrategy : Strategy
{
	private readonly StrategyParam<int> _brickSize;
	private readonly StrategyParam<decimal> _orderVolume;
	private readonly StrategyParam<bool> _reverseSignals;
	private readonly StrategyParam<bool> _allowIncrease;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _upperLevel;
	private decimal _lowerLevel;
	private decimal? _previousUpperLevel;
	private bool _levelsInitialized;

	/// <summary>
	/// Renko brick size expressed in price steps.
	/// </summary>
	public int BrickSize
	{
		get => _brickSize.Value;
		set => _brickSize.Value = value;
	}

	/// <summary>
	/// Volume for each executed market order.
	/// </summary>
	public decimal OrderVolume
	{
		get => _orderVolume.Value;
		set => _orderVolume.Value = value;
	}

	/// <summary>
	/// When enabled, long and short signals are swapped.
	/// </summary>
	public bool ReverseSignals
	{
		get => _reverseSignals.Value;
		set => _reverseSignals.Value = value;
	}

	/// <summary>
	/// Allows adding to an existing position instead of waiting for a flat position.
	/// </summary>
	public bool AllowIncrease
	{
		get => _allowIncrease.Value;
		set => _allowIncrease.Value = value;
	}

	/// <summary>
	/// Candle type used to evaluate price movement.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes <see cref="RenkoLevelEaStrategy"/>.
	/// </summary>
	public RenkoLevelEaStrategy()
	{
		_brickSize = Param(nameof(BrickSize), 3000)
			.SetGreaterThanZero()
			.SetDisplay("Brick Size", "Renko block size in price steps", "Renko Levels")
			
			.SetOptimize(10, 100, 10);

		_orderVolume = Param(nameof(OrderVolume), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Order Volume", "Volume for market orders", "Trading");

		_reverseSignals = Param(nameof(ReverseSignals), false)
			.SetDisplay("Reverse Signals", "Invert long and short actions", "Trading");

		_allowIncrease = Param(nameof(AllowIncrease), false)
			.SetDisplay("Allow Increase", "Allow adding to existing positions", "Trading");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles for calculations", "Data");
	}

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

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

		// Reset previously calculated Renko levels.
		_upperLevel = 0m;
		_lowerLevel = 0m;
		_previousUpperLevel = null;
		_levelsInitialized = false;
	}

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

		// Subscribe to candle data that feeds the Renko level logic.
		var subscription = SubscribeCandles(CandleType);

		subscription
			.Bind(ProcessCandle)
			.Start();

		// Draw prices and trades if a chart is available.
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawOwnTrades(area);
		}

		// Enable built-in protection features.
		StartProtection(null, null);
	}

	private void ProcessCandle(ICandleMessage candle)
	{
		// Trade only on completed candles.
		if (candle.State != CandleStates.Finished)
			return;

		// Ensure the strategy is ready to place trades.
		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var priceStep = Security?.PriceStep ?? 1m;
		if (priceStep <= 0)
			priceStep = 1m;

		// Update Renko bounds with the latest closing price.
		if (!UpdateLevels(candle.ClosePrice, priceStep))
			return;

		// Skip the very first signal to mirror indicator warm-up.
		if (_previousUpperLevel == null)
		{
			_previousUpperLevel = _upperLevel;
			return;
		}

		// Proceed only if the Renko level actually changed.
		if (AreEqual(_previousUpperLevel.Value, _upperLevel, priceStep))
			return;

		var isUpMove = _upperLevel > _previousUpperLevel.Value;

		if (ReverseSignals)
			isUpMove = !isUpMove;

		if (isUpMove)
			HandleLongSignal();
		else
			HandleShortSignal();

		_previousUpperLevel = _upperLevel;
	}

	private bool UpdateLevels(decimal closePrice, decimal priceStep)
	{
		var stepCount = BrickSize;
		if (stepCount <= 0)
			return false;

		if (!_levelsInitialized)
		{
			CalculateBounds(closePrice, priceStep, stepCount, out var ceil, out var round, out var floor);
			_upperLevel = round;
			_lowerLevel = floor;
			_levelsInitialized = true;
			return true;
		}

		if (closePrice >= _lowerLevel && closePrice <= _upperLevel)
			return false;

		CalculateBounds(closePrice, priceStep, stepCount, out var newCeil, out var newRound, out var newFloor);

		if (closePrice < _lowerLevel)
		{
			if (AreEqual(newRound, _lowerLevel, priceStep))
				return false;

			_upperLevel = newCeil;
			_lowerLevel = newRound;
			return true;
		}

		if (closePrice > _upperLevel)
		{
			if (AreEqual(newRound, _upperLevel, priceStep))
				return false;

			_lowerLevel = newFloor;
			_upperLevel = newRound;
			return true;
		}

		return false;
	}

	private void CalculateBounds(decimal price, decimal priceStep, int stepCount, out decimal priceCeil, out decimal priceRound, out decimal priceFloor)
	{
		var normalizedStep = (decimal)stepCount;

		var ratio = price / priceStep / normalizedStep;
		var rounded = Math.Round(ratio, MidpointRounding.AwayFromZero);

		priceRound = (decimal)rounded * normalizedStep * priceStep;

		var ceilRatio = (priceRound + normalizedStep / 2m * priceStep) / priceStep / normalizedStep;
		var ceilCount = Math.Ceiling((double)ceilRatio);
		priceCeil = (decimal)ceilCount * normalizedStep * priceStep;

		var floorRatio = (priceRound - normalizedStep / 2m * priceStep) / priceStep / normalizedStep;
		var floorCount = Math.Floor((double)floorRatio);
		priceFloor = (decimal)floorCount * normalizedStep * priceStep;
	}

	private bool AreEqual(decimal left, decimal right, decimal priceStep)
	{
		var tolerance = priceStep / 2m;
		return Math.Abs(left - right) <= tolerance;
	}

	private void HandleLongSignal()
	{
		// Close the short side before flipping to long.
		if (Position < 0)
			ClosePosition();

		// Respect the increase toggle to avoid stacking positions unintentionally.
		if (!AllowIncrease && Position > 0)
			return;

		BuyMarket(OrderVolume);
	}

	private void HandleShortSignal()
	{
		// Close the long side before flipping to short.
		if (Position > 0)
			ClosePosition();

		// Respect the increase toggle for short accumulation.
		if (!AllowIncrease && Position < 0)
			return;

		SellMarket(OrderVolume);
	}
}

import clr

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

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


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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Type of candles for calculations", "Data")
        self._brick_size = self.Param("BrickSize", 3000) \
            .SetDisplay("Brick Size", "Renko block size in price steps", "Renko Levels")
        self._reverse_signals = self.Param("ReverseSignals", False) \
            .SetDisplay("Reverse Signals", "Invert long and short actions", "Trading")

        self._upper_level = 0.0
        self._lower_level = 0.0
        self._previous_upper = None
        self._levels_initialized = False

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

    @property
    def BrickSize(self):
        return self._brick_size.Value

    @property
    def ReverseSignals(self):
        return self._reverse_signals.Value

    def OnReseted(self):
        super(renko_level_ea_strategy, self).OnReseted()
        self._upper_level = 0.0
        self._lower_level = 0.0
        self._previous_upper = None
        self._levels_initialized = False

    def OnStarted2(self, time):
        super(renko_level_ea_strategy, self).OnStarted2(time)
        self._upper_level = 0.0
        self._lower_level = 0.0
        self._previous_upper = None
        self._levels_initialized = False

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(self._on_process).Start()

        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawOwnTrades(area)

    def _on_process(self, candle):
        if candle.State != CandleStates.Finished:
            return

        sec = self.Security
        price_step = float(sec.PriceStep) if sec is not None and sec.PriceStep is not None else 1.0
        if price_step <= 0:
            price_step = 1.0

        close = float(candle.ClosePrice)

        if not self._update_levels(close, price_step):
            return

        if self._previous_upper is None:
            self._previous_upper = self._upper_level
            return

        tolerance = price_step / 2.0
        if abs(self._previous_upper - self._upper_level) <= tolerance:
            return

        is_up_move = self._upper_level > self._previous_upper

        if self.ReverseSignals:
            is_up_move = not is_up_move

        if is_up_move:
            if self.Position < 0:
                self.BuyMarket()
            if self.Position <= 0:
                self.BuyMarket()
        else:
            if self.Position > 0:
                self.SellMarket()
            if self.Position >= 0:
                self.SellMarket()

        self._previous_upper = self._upper_level

    def _update_levels(self, close, price_step):
        step_count = self.BrickSize
        if step_count <= 0:
            return False

        if not self._levels_initialized:
            _, rnd, floor = self._calculate_bounds(close, price_step, step_count)
            self._upper_level = rnd
            self._lower_level = floor
            self._levels_initialized = True
            return True

        if self._lower_level <= close <= self._upper_level:
            return False

        new_ceil, new_round, new_floor = self._calculate_bounds(close, price_step, step_count)
        tolerance = price_step / 2.0

        if close < self._lower_level:
            if abs(new_round - self._lower_level) <= tolerance:
                return False
            self._upper_level = new_ceil
            self._lower_level = new_round
            return True

        if close > self._upper_level:
            if abs(new_round - self._upper_level) <= tolerance:
                return False
            self._lower_level = new_floor
            self._upper_level = new_round
            return True

        return False

    def _calculate_bounds(self, price, price_step, step_count):
        import math
        normalized_step = float(step_count)
        ratio = price / price_step / normalized_step
        # Use away-from-zero rounding to match C# Math.Round(MidpointRounding.AwayFromZero)
        if ratio >= 0:
            rounded = math.floor(ratio + 0.5)
        else:
            rounded = math.ceil(ratio - 0.5)
        price_round = rounded * normalized_step * price_step

        ceil_ratio = (price_round + normalized_step / 2.0 * price_step) / price_step / normalized_step
        ceil_count = math.ceil(ceil_ratio)
        price_ceil = ceil_count * normalized_step * price_step

        floor_ratio = (price_round - normalized_step / 2.0 * price_step) / price_step / normalized_step
        floor_count = math.floor(floor_ratio)
        price_floor = floor_count * normalized_step * price_step

        return (price_ceil, price_round, price_floor)

    def CreateClone(self):
        return renko_level_ea_strategy()