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Volatility HFT EA Strategy

This strategy ports the Volatility HFT EA MetaTrader 5 expert advisor into the StockSharp high-level API. It reproduces the original logic that buys when the closing price jumps well above a fast simple moving average and waits for a pullback to that average. Order generation, indicator management, and protective exits all follow the guidelines from AGENTS.md while keeping the behaviour of the MQL script.

How It Works

  1. Indicator setup – a single simple moving average (default length: 5) is calculated on the working timeframe specified by CandleType.
  2. New bar detection – processing happens only once a candle is finished (CandleStates.Finished), mirroring the IsNewBar checks in the EA.
  3. Warm-up requirement – the strategy waits for 60 completed candles before evaluating trades, matching the Bars < 60 guard used in MQL.
  4. Entry filter – a long setup appears when the latest close is at least MaDifferencePips above the SMA (difference converted to price using the instrument's pip size) and the SMA value is higher than it was two bars ago. The original EA used val[0] < -0.0015 and MA_Val1[0] > MA_Val1[2]; this port checks the same conditions without manually storing arrays.
  5. One position at a time – only long trades are supported because the sell branch was commented out in the source file. A new signal is ignored while a position is open.

Risk Management

  • Stop loss – optional protective stop expressed in pips. The code derives the pip size from Security.PriceStep, multiplying by 10 when the instrument has 3 or 5 decimal places, reproducing the _Digits scaling from MetaTrader.
  • Take profit – the exit target is anchored to the SMA value captured at entry, mirroring the mrequest.tp = MA_Val1[0]; call. The strategy closes the position when the candle's low touches the stored SMA level, emulating a limit order at the average.

Parameters

Parameter Description
OrderVolume Volume used for every market order.
FastMaLength Period of the fast simple moving average (default 5).
StopLossPips Stop-loss distance in pips; set to 0 to disable.
MaDifferencePips Minimum distance (in pips) between the close and the SMA required for a long entry.
CandleType Timeframe used for candle subscription and indicator calculations.

MinimumBars is a fixed internal constant equal to 60, reflecting the EA's requirement for sufficient history.

Usage

  1. Attach the strategy to a security and select the desired CandleType (for example, 1-minute bars for high-frequency behaviour).
  2. Adjust FastMaLength, MaDifferencePips, and StopLossPips to suit the instrument's volatility. Pip-based inputs are automatically converted using the detected pip size, so the same defaults work on 4- and 5-digit FX symbols.
  3. Configure OrderVolume to match your portfolio sizing rules. The strategy only submits market orders and will not pyramid positions.
  4. Start the strategy. It will subscribe to the chosen candles, build the SMA, wait for 60 warm-up bars, and then evaluate entries on every completed candle.
  5. Monitor trade management: exits are triggered either by the SMA touch or by the stop-loss price derived at entry.

Notes & Differences from the Original EA

  • The MQL version requested the minimum lot size via SymbolInfoDouble(Symbol(), SYMBOL_VOLUME_MIN); here the volume is exposed as a parameter to keep the strategy flexible across brokers and asset classes.
  • Sell conditions are omitted because they were commented out in Volatility_HFT_EA.mq5. The behaviour therefore matches the published script, which only executed the long branch.
  • Take profit handling uses candle lows to detect a touch of the moving average instead of registering a limit order, ensuring the same intent works reliably within the StockSharp workflow.
  • Manual array management (CopyRates, CopyBuffer, ArraySetAsSeries) is replaced by StockSharp indicator bindings. This reduces boilerplate while preserving the original thresholds and slope comparisons.
  • All computations remain candle-based; the strategy does not look back into indicator buffers with GetValue, staying compliant with the repository guidelines.
using System;
using System.Collections.Generic;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

using System.Globalization;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Mean-reversion expert advisor that buys volatility spikes when price stretches far above a fast moving average.
/// Converted from the MetaTrader 5 "Volatility HFT EA" script.
/// </summary>
public class VolatilityHftEaStrategy : Strategy
{
	private readonly StrategyParam<int> _minimumBars;

	private readonly StrategyParam<decimal> _orderVolume;
	private readonly StrategyParam<int> _fastMaLength;
	private readonly StrategyParam<decimal> _stopLossPips;
	private readonly StrategyParam<decimal> _maDifferencePips;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _fastMa = null!;

	private decimal _pipSize = 1m;
	private decimal? _previousSma;
	private decimal? _smaTwoBarsAgo;
	private int _processedCandles;
	private int _cooldownLeft;

	private decimal _entryPrice;
	private decimal? _stopLossPrice;
	private decimal? _takeProfitPrice;

	public VolatilityHftEaStrategy()
	{
		_minimumBars = Param(nameof(MinimumBars), 60)
			.SetGreaterThanZero()
			.SetDisplay("Minimum Bars", "Minimum completed candles before signal evaluation", "Signal");

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

		_fastMaLength = Param(nameof(FastMaLength), 5)
			.SetGreaterThanZero()
			.SetDisplay("Fast MA Length", "Period of the fast simple moving average", "Signal");

		_stopLossPips = Param(nameof(StopLossPips), 15m)
			.SetNotNegative()
			.SetDisplay("Stop Loss (pips)", "Protective stop distance expressed in pips", "Risk");

		_maDifferencePips = Param(nameof(MaDifferencePips), 15m)
			.SetGreaterThanZero()
			.SetDisplay("MA Difference (pips)", "Minimum distance between price and the moving average", "Signal");

		_cooldownBars = Param(nameof(CooldownBars), 24)
			.SetNotNegative()
			.SetDisplay("Cooldown Bars", "Bars to wait after entry or exit", "Signal");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Primary timeframe used for signal detection", "General");
	}

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

	public int FastMaLength
	{
		get => _fastMaLength.Value;
		set => _fastMaLength.Value = value;
	}

	public decimal StopLossPips
	{
		get => _stopLossPips.Value;
		set => _stopLossPips.Value = value;
	}

	public decimal MaDifferencePips
	{
		get => _maDifferencePips.Value;
		set => _maDifferencePips.Value = value;
	}

	public int MinimumBars
	{
		get => _minimumBars.Value;
		set => _minimumBars.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_fastMa = null!;
		_previousSma = null;
		_smaTwoBarsAgo = null;
		_processedCandles = 0;
		_cooldownLeft = 0;
		ResetPositionState();
	}

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

		_pipSize = CalculatePipSize();
		Volume = OrderVolume;

		_fastMa = new SMA
		{
			Length = FastMaLength
		};

		_previousSma = null;
		_smaTwoBarsAgo = null;
		_processedCandles = 0;
		_cooldownLeft = 0;
		ResetPositionState();

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

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

		ManageActivePosition(candle);

		if (_cooldownLeft > 0)
			_cooldownLeft--;

		if (!_fastMa.IsFormed)
		{
			UpdateSmaHistory(smaValue);
			_processedCandles++;
			return;
		}

		if (_processedCandles < MinimumBars)
		{
			UpdateSmaHistory(smaValue);
			_processedCandles++;
			return;
		}

		var threshold = Math.Max(MaDifferencePips, 10m) * _pipSize;

		if (_smaTwoBarsAgo.HasValue && _cooldownLeft == 0)
		{
			var distance = candle.ClosePrice - smaValue;
			var isBreakout = distance >= threshold;
			var isSlopePositive = _previousSma.HasValue && _previousSma.Value > _smaTwoBarsAgo.Value && smaValue > _previousSma.Value;
			var isBullishBar = candle.ClosePrice > candle.OpenPrice;

			if (isBreakout && isSlopePositive && isBullishBar && Position == 0)
			{
				EnterLong(candle, smaValue);
			}
		}

		UpdateSmaHistory(smaValue);
		_processedCandles++;
	}

	private void EnterLong(ICandleMessage candle, decimal smaValue)
	{
		// Strategy holds only one long position at a time.
		if (Position != 0)
			return;

		Volume = OrderVolume;
		BuyMarket();
		_cooldownLeft = CooldownBars;

		_entryPrice = candle.ClosePrice;

		var stopDistance = StopLossPips * _pipSize;
		_stopLossPrice = stopDistance > 0m ? _entryPrice - stopDistance : null;
		_takeProfitPrice = smaValue;
	}

	private void ManageActivePosition(ICandleMessage candle)
	{
		if (Position == 0)
		{
			ResetPositionState();
			return;
		}

		var exitVolume = Math.Abs(Position);

		if (Position > 0)
		{
			if (_takeProfitPrice.HasValue && candle.LowPrice <= _takeProfitPrice.Value)
			{
				SellMarket(exitVolume);
				_cooldownLeft = CooldownBars;
				ResetPositionState();
				return;
			}

			if (_stopLossPrice.HasValue && candle.LowPrice <= _stopLossPrice.Value)
			{
				SellMarket(exitVolume);
				_cooldownLeft = CooldownBars;
				ResetPositionState();
			}
		}
		else if (Position < 0)
		{
			if (_takeProfitPrice.HasValue && candle.HighPrice >= _takeProfitPrice.Value)
			{
				BuyMarket(exitVolume);
				_cooldownLeft = CooldownBars;
				ResetPositionState();
				return;
			}

			if (_stopLossPrice.HasValue && candle.HighPrice >= _stopLossPrice.Value)
			{
				BuyMarket(exitVolume);
				_cooldownLeft = CooldownBars;
				ResetPositionState();
			}
		}
	}

	private void ResetPositionState()
	{
		_entryPrice = 0m;
		_stopLossPrice = null;
		_takeProfitPrice = null;
	}

	private void UpdateSmaHistory(decimal smaValue)
	{
		_smaTwoBarsAgo = _previousSma;
		_previousSma = smaValue;
	}

	private decimal CalculatePipSize()
	{
		var step = Security?.PriceStep ?? 1m;

		if (step <= 0m)
			return 1m;

		var decimals = GetDecimalPlaces(step);

		return decimals is 3 or 5
			? step * 10m
			: step;
	}

	private static int GetDecimalPlaces(decimal value)
	{
		var text = Math.Abs(value).ToString(CultureInfo.InvariantCulture);
		var separatorIndex = text.IndexOf('.');

		return separatorIndex < 0 ? 0 : text.Length - separatorIndex - 1;
	}
}