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時間

タイミングユーティリティを示す戦略。高値が始値を指定ティック数上回る状態が指定期間続くと買いを入れます。

詳細

  • エントリー条件: 高値から始値を引いた値が、指定秒数の間しきい値を上回り続けるとき。
  • ロング/ショート: ロングのみ。
  • エグジット条件: 条件が成立しなくなったとき。
  • ストップ: なし。
  • デフォルト値:
    • TicksFromOpen = 0
    • SecondsCondition = 20
    • ResetOnNewBar = true
    • CandleType = TimeSpan.FromMinutes(1)
  • フィルター:
    • カテゴリ: ブレイクアウト
    • 方向: ロングのみ
    • インジケーター: 価格
    • ストップ: なし
    • 複雑さ: 基本
    • 時間軸: イントラデイ (1m)
    • 季節性: いいえ
    • ニューラルネットワーク: いいえ
    • ダイバージェンス: いいえ
    • リスクレベル: 中
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Timed intrabar high-above-open strategy.
/// </summary>
public class TimeStrategy : Strategy
{
	private readonly StrategyParam<int> _ticksFromOpen;
	private readonly StrategyParam<int> _secondsCondition;
	private readonly StrategyParam<bool> _resetOnNewBar;
	private readonly StrategyParam<DataType> _candleType;

	private DateTime? _barStart;
	private decimal _barOpen;
	private decimal _barHigh;
	private DateTime? _conditionSince;

	public int TicksFromOpen { get => _ticksFromOpen.Value; set => _ticksFromOpen.Value = value; }
	public int SecondsCondition { get => _secondsCondition.Value; set => _secondsCondition.Value = value; }
	public bool ResetOnNewBar { get => _resetOnNewBar.Value; set => _resetOnNewBar.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public TimeStrategy()
	{
		_ticksFromOpen = Param(nameof(TicksFromOpen), 0).SetNotNegative();
		_secondsCondition = Param(nameof(SecondsCondition), 20).SetNotNegative();
		_resetOnNewBar = Param(nameof(ResetOnNewBar), true);
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame());
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, DataType.Level1)];

	protected override void OnReseted()
	{
		base.OnReseted();
		_barStart = null;
		_barOpen = 0m;
		_barHigh = 0m;
		_conditionSince = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		var quotes = new Subscription(DataType.Level1, Security);
		// The archive carries bid/ask updates without LastTradePrice.
		quotes.MarketData.BuildField = Level1Fields.BestAskPrice;
		SubscribeLevel1(quotes).Bind(ProcessLevel1).Start();
	}

	private void ProcessLevel1(Level1ChangeMessage message)
	{
		var price =
			message.TryGetDecimal(Level1Fields.LastTradePrice) ??
			message.TryGetDecimal(Level1Fields.BestAskPrice) ??
			message.TryGetDecimal(Level1Fields.BestBidPrice);

		if (price is not decimal currentPrice || currentPrice <= 0m)
			return;

		var timeFrame = CandleType.Arg is TimeSpan tf && tf > TimeSpan.Zero
			? tf
			: TimeSpan.FromMinutes(1);

		var currentBarStart = Align(message.ServerTime, timeFrame);
		if (_barStart != currentBarStart)
		{
			_barStart = currentBarStart;
			_barOpen = currentPrice;
			_barHigh = currentPrice;

			if (ResetOnNewBar)
				_conditionSince = null;
		}
		else
			_barHigh = Math.Max(_barHigh, currentPrice);

		var point = Security?.PriceStep ?? 0m;
		if (point <= 0m)
			point = 0.0001m;

		var condition = IsPriceConditionMet(_barOpen, _barHigh, point, TicksFromOpen);

		if (!condition)
		{
			_conditionSince = null;

			if (Position > 0m)
				SellMarket(Math.Abs(Position));

			return;
		}

		_conditionSince ??= message.ServerTime;

		if (Position == 0m &&
			message.ServerTime - _conditionSince.Value >= TimeSpan.FromSeconds(SecondsCondition))
			BuyMarket();
	}

	internal static bool IsPriceConditionMet(
		decimal open,
		decimal high,
		decimal priceStep,
		int ticksFromOpen)
		=> high - open > ticksFromOpen * priceStep;

	private static DateTime Align(DateTime time, TimeSpan frame)
	{
		var ticks = time.TimeOfDay.Ticks / frame.Ticks * frame.Ticks;
		return time.Date + TimeSpan.FromTicks(ticks);
	}
}