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Sprut Pending Order Grid Strategy

Overview

The Sprut Pending Order Grid Strategy reproduces the MetaTrader 5 expert advisor Sprut (barabashkakvn's edition) inside StockSharp's high-level strategy framework. It builds a configurable grid of buy and sell pending orders around the current market price and manages every order's lifetime, volume scaling, and post-fill protection using StockSharp's helper methods (BuyStop, SellStop, BuyLimit, SellLimit).

The converted version keeps the original expert advisor philosophy:

  • place the very first order for each enabled direction at either a manual price or at an automatic offset measured in pips from the best quote;
  • extend the grid step-by-step using independent spacing for stop and limit orders;
  • scale order volumes using a multiplier that mirrors the MT5 implementation;
  • arm each filled order with its own stop-loss and take-profit, expressed as pip offsets from the entry price;
  • enforce global profit and loss checkpoints that immediately liquidate positions and remove any remaining pending orders when hit;
  • optionally expire pending orders after a specified number of minutes.

How the strategy works

  1. Market data – the strategy subscribes to order book updates to track the best bid/ask and to candles (default 1 minute) to run periodic maintenance. No indicators are required.
  2. Grid initialization – when there is no open position and no active grid order, the strategy computes the initial price for each of the four possible order types:
    • Buy Stop: best ask + DeltaFirstBuyStop (unless FirstBuyStop is non-zero).
    • Buy Limit: best bid − DeltaFirstBuyLimit (unless FirstBuyLimit is non-zero).
    • Sell Stop: best bid − DeltaFirstSellStop (unless FirstSellStop is non-zero).
    • Sell Limit: best ask + DeltaFirstSellLimit (unless FirstSellLimit is non-zero). Each offset is converted from pips using the security PriceStep (fallback: 0.0001).
  3. Order stacking – for each enabled direction the strategy creates CountOrders entries separated by StepStop or StepLimit (also in pips). Volumes follow the original formula: order #0 uses the base volume, while order #N uses baseVolume * N * coefficient whenever the coefficient is greater than 1. Volumes are adjusted to respect Security.VolumeStep, Security.MinVolume, and Security.MaxVolume.
  4. Expiration – if ExpirationMinutes is positive, the strategy timestamps every pending order and cancels it automatically after the deadline.
  5. Protection after fill – when StockSharp reports that an entry order is done, the strategy registers the matching stop-loss and take-profit orders (StopLoss and TakeProfit in pips). A zero distance disables the respective protection leg.
  6. Profit checkpoint – realised plus unrealised PnL are recalculated whenever new data arrives. If ProfitClose is positive and reached, or LossClose (typically negative) is breached, the strategy requests a full liquidation: market-closes the position, cancels all grid orders, and cancels remaining protection orders. Trading resumes automatically after everything is flat again.
  7. Continuous maintenance – every update cleans finished orders, removes expired items, attempts to place a fresh grid when conditions allow, and avoids rearming while a liquidation is in progress.

Parameters

Name Description Default
CountOrders Number of orders per enabled direction. 5
FirstBuyStop, FirstBuyLimit, FirstSellStop, FirstSellLimit Optional absolute prices for the first order in each direction (0 = use automatic offset). 0
DeltaFirstBuyStop, DeltaFirstBuyLimit, DeltaFirstSellStop, DeltaFirstSellLimit Pip offsets applied to the best bid/ask when automatic pricing is used. 15
UseBuyStop, UseBuyLimit, UseSellStop, UseSellLimit Enable or disable each grid direction. false
StepStop, StepLimit Distance between consecutive stop or limit orders (pips). 50
VolumeStop, VolumeLimit Base volume for the first stop/limit order. 0.01
CoefficientStop, CoefficientLimit Multiplier applied to additional orders (>1 keeps the MT5 scaling behaviour). 1.6
ProfitClose Total PnL threshold that triggers liquidation (monetary units). 10
LossClose Total PnL floor that triggers liquidation (monetary units, typically negative). -100
ExpirationMinutes Pending-order lifetime in minutes (0 = good-till-cancel). 60
StopLoss, TakeProfit Pip distances for protective stop/take orders created after a fill (0 disables). 50 / 0
CandleType Candle series used for periodic maintenance. 1 minute candles

Usage notes

  • Enable at least one of the four boolean switches (UseBuyStop, UseBuyLimit, UseSellStop, UseSellLimit) to allow the grid to be created.
  • The pip conversion relies on the security PriceStep. Instruments with exotic tick sizes may require adjusting the offsets for equivalent behaviour.
  • ProfitClose/LossClose compare the sum of realised PnL (Strategy.PnL) and the unrealised PnL computed from the latest best bid/ask; make sure the step price metadata is filled for the traded instrument.
  • Protective stop and take orders are independent StockSharp orders; if you manually close a position outside the strategy, the remaining protection orders are cancelled when the net position returns to zero.
  • The CandleType parameter only controls how often maintenance runs; order placement still reacts immediately to order-book updates.

Differences from the MT5 expert advisor

  • Position accounting is netted: StockSharp keeps a single net position per security similar to the MT5 netting regime.
  • Instead of MT5's built-in stop-loss/take-profit fields on pending orders, StockSharp protection orders are created only after an entry order is executed.
  • Volume normalisation uses Security.VolumeStep, MinVolume, and MaxVolume; verify these values when trading CFDs or crypto exchanges.
  • The strategy does not expose a separate close all button—the liquidation routine is fully automatic through the PnL thresholds, matching the original expert logic where ProfitClose/LossClose toggled a full shutdown.

Getting started

  1. Assign the strategy to a connector that supplies at least order book data and candlesticks for the chosen CandleType.
  2. Configure the four directional switches and volume parameters to match your risk profile.
  3. Define stop-loss/take-profit distances when protective orders are required (set to zero to disable).
  4. Adjust ProfitClose/LossClose to values consistent with your account currency.
  5. Start the strategy; it will wait for the first order book snapshot before building the grid.

Python version – not provided. Only the C# implementation is included, as requested.

using System;
using System.Collections.Generic;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Sprut Pending Order Grid strategy. Uses Highest/Lowest midline crossover (period 14).
/// </summary>
public class SprutPendingOrderGridStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _period;
	private decimal? _prevMid;

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

	public SprutPendingOrderGridStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame()).SetDisplay("Candle Type", "Timeframe", "General");
		_period = Param(nameof(Period), 14).SetGreaterThanZero().SetDisplay("Channel Period", "Highest/Lowest lookback", "Indicators");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevMid = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevMid = null;
		var highest = new Highest { Length = Period };
		var lowest = new Lowest { Length = Period };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(highest, lowest, ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null) { DrawCandles(area, subscription); DrawOwnTrades(area); }
	}

	private void ProcessCandle(ICandleMessage candle, decimal high, decimal low)
	{
		if (candle.State != CandleStates.Finished) return;
		var mid = (high + low) / 2m;
		var close = candle.ClosePrice;
		if (!IsFormedAndOnlineAndAllowTrading()) { _prevMid = mid; return; }
		if (_prevMid == null) { _prevMid = mid; return; }
		if (close > mid && close > _prevMid.Value && Position <= 0) { if (Position < 0) BuyMarket(); BuyMarket(); }
		else if (close < mid && close < _prevMid.Value && Position >= 0) { if (Position > 0) SellMarket(); SellMarket(); }
		_prevMid = mid;
	}
}