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Gap Fill

Gap Fill strategy exploits price gaps between consecutive 15-minute candles. When a new candle opens above the previous candle's high by more than a configurable threshold, the strategy sells and places a buy limit at the prior high, aiming for the gap to close. When a candle opens below the previous low by more than the threshold, it buys and places a sell limit at the prior low. The threshold is calculated as MinGapSize price steps plus the current spread between best bid and ask.

Details

  • Entry Criteria: Gap between current open and previous high/low exceeds MinGapSize plus spread.
  • Long/Short: Both directions.
  • Exit Criteria: Limit order at the previous candle extreme.
  • Stops: No.
  • Default Values:
    • MinGapSize = 1
    • Volume = 0.1
    • CandleType = 15 minutes
  • Filters:
    • Category: Gap
    • Direction: Both
    • Indicators: None
    • Stops: No
    • Complexity: Basic
    • Timeframe: Intraday (15m)
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Gap fill strategy using Highest/Lowest channel breakout.
/// </summary>
public class GapFillStrategy : Strategy
{
	private readonly StrategyParam<int> _channelPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevHigh;
	private decimal _prevLow;
	private bool _hasPrev;

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

	public GapFillStrategy()
	{
		_channelPeriod = Param(nameof(ChannelPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("Channel Period", "Highest/Lowest period", "Parameters");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle type", "Data");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevHigh = 0;
		_prevLow = 0;
		_hasPrev = false;
	}

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

		var highest = new Highest { Length = ChannelPeriod };
		var lowest = new Lowest { Length = ChannelPeriod };

		SubscribeCandles(CandleType)
			.Bind(highest, lowest, ProcessCandle)
			.Start();
	}

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

		if (!_hasPrev)
		{
			_prevHigh = highVal;
			_prevLow = lowVal;
			_hasPrev = true;
			return;
		}

		if (candle.ClosePrice > _prevHigh && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (candle.ClosePrice < _prevLow && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevHigh = highVal;
		_prevLow = lowVal;
	}
}