マルチヘッジスケジューラー戦略

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>
/// Hedging scheduler strategy that opens positions during a configurable time window
/// and closes when equity targets are reached or a separate exit window arrives.
/// Simplified to single-security from the original multi-symbol version.
/// </summary>
public class MultiHedgingSchedulerStrategy : Strategy
{
	private readonly StrategyParam<Sides> _tradeDirection;
	private readonly StrategyParam<TimeSpan> _tradeStartTime;
	private readonly StrategyParam<TimeSpan> _tradeDuration;
	private readonly StrategyParam<bool> _enableTimeClose;
	private readonly StrategyParam<TimeSpan> _closeTime;
	private readonly StrategyParam<bool> _enableEquityClose;
	private readonly StrategyParam<decimal> _profitPercent;
	private readonly StrategyParam<decimal> _lossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _initialBalance;
	private bool _positionOpened;

	/// <summary>
	/// Trading direction used when opening positions.
	/// </summary>
	public Sides TradeDirection
	{
		get => _tradeDirection.Value;
		set => _tradeDirection.Value = value;
	}

	/// <summary>
	/// Time of day when the trading window starts.
	/// </summary>
	public TimeSpan TradeStartTime
	{
		get => _tradeStartTime.Value;
		set => _tradeStartTime.Value = value;
	}

	/// <summary>
	/// Duration of the trading and optional closing windows.
	/// </summary>
	public TimeSpan TradeDuration
	{
		get => _tradeDuration.Value;
		set => _tradeDuration.Value = value;
	}

	/// <summary>
	/// Enables the separate time based close window.
	/// </summary>
	public bool UseTimeClose
	{
		get => _enableTimeClose.Value;
		set => _enableTimeClose.Value = value;
	}

	/// <summary>
	/// Time of day when the closing window starts.
	/// </summary>
	public TimeSpan CloseTime
	{
		get => _closeTime.Value;
		set => _closeTime.Value = value;
	}

	/// <summary>
	/// Enables closing when equity reaches profit or loss thresholds.
	/// </summary>
	public bool CloseByEquityPercent
	{
		get => _enableEquityClose.Value;
		set => _enableEquityClose.Value = value;
	}

	/// <summary>
	/// Percentage profit target based on starting balance.
	/// </summary>
	public decimal PercentProfit
	{
		get => _profitPercent.Value;
		set => _profitPercent.Value = value;
	}

	/// <summary>
	/// Percentage loss threshold based on starting balance.
	/// </summary>
	public decimal PercentLoss
	{
		get => _lossPercent.Value;
		set => _lossPercent.Value = value;
	}

	/// <summary>
	/// Candle series driving the scheduling logic.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes the strategy.
	/// </summary>
	public MultiHedgingSchedulerStrategy()
	{
		_tradeDirection = Param(nameof(TradeDirection), Sides.Buy)
			.SetDisplay("Trade Direction", "Direction used for opening positions", "General");

		_tradeStartTime = Param(nameof(TradeStartTime), new TimeSpan(10, 0, 0))
			.SetDisplay("Trade Start", "Time of day to begin opening positions", "Scheduling");

		_tradeDuration = Param(nameof(TradeDuration), TimeSpan.FromMinutes(5))
			.SetDisplay("Window Length", "Duration of trading and closing windows", "Scheduling");

		_enableTimeClose = Param(nameof(UseTimeClose), true)
			.SetDisplay("Use Close Window", "Enable time based portfolio closing", "Scheduling");

		_closeTime = Param(nameof(CloseTime), new TimeSpan(17, 0, 0))
			.SetDisplay("Close Start", "Time of day to start the close window", "Scheduling");

		_enableEquityClose = Param(nameof(CloseByEquityPercent), true)
			.SetDisplay("Use Equity Targets", "Enable equity based exit", "Risk Management");

		_profitPercent = Param(nameof(PercentProfit), 1m)
			.SetDisplay("Profit %", "Equity percentage gain to close all positions", "Risk Management");

		_lossPercent = Param(nameof(PercentLoss), 55m)
			.SetDisplay("Loss %", "Equity percentage loss to close all positions", "Risk Management");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Candle series driving the scheduler", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_initialBalance = 0m;
		_positionOpened = false;
	}

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

		_initialBalance = Portfolio?.CurrentValue ?? 0m;

		SubscribeCandles(CandleType)
			.Bind(ProcessCandle)
			.Start();
	}

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

		if (!IsFormed)
			return;

		var timeOfDay = candle.OpenTime.TimeOfDay;

		if (CloseByEquityPercent && TryHandleEquityTargets())
			return;

		if (UseTimeClose && IsWithinWindow(timeOfDay, CloseTime, TradeDuration))
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			else if (Position < 0)
				BuyMarket(Math.Abs(Position));

			_positionOpened = false;
			return;
		}

		var direction = TradeDirection;

		if (!IsWithinWindow(timeOfDay, TradeStartTime, TradeDuration))
			return;

		if (_positionOpened)
			return;

		var volume = Volume;
		if (volume <= 0m)
			volume = 1m;

		if (direction == Sides.Buy && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(volume);
			_positionOpened = true;
		}
		else if (direction == Sides.Sell && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Position);
			SellMarket(volume);
			_positionOpened = true;
		}
	}

	private bool TryHandleEquityTargets()
	{
		if (_initialBalance <= 0m)
			return false;

		var equity = Portfolio?.CurrentValue;
		if (equity == null)
			return false;

		var profitLevel = _initialBalance * (1m + PercentProfit / 100m);
		var lossLevel = _initialBalance * (1m - PercentLoss / 100m);

		if (equity.Value >= profitLevel || equity.Value <= lossLevel)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			else if (Position < 0)
				BuyMarket(Math.Abs(Position));

			_positionOpened = false;
			return true;
		}

		return false;
	}

	private static bool IsWithinWindow(TimeSpan current, TimeSpan start, TimeSpan length)
	{
		if (length <= TimeSpan.Zero)
			return current == start;

		var end = start + length;

		if (end < TimeSpan.FromDays(1))
			return current >= start && current < end;

		var overflow = end - TimeSpan.FromDays(1);
		return current >= start || current < overflow;
	}
}

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, Unit, UnitTypes
from StockSharp.Algo.Strategies import Strategy

SIDE_BUY = 0
SIDE_SELL = 1


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

        self._trade_direction = self.Param("TradeDirection", SIDE_BUY)
        self._trade_start_hour = self.Param("TradeStartHour", 10)
        self._trade_start_minute = self.Param("TradeStartMinute", 0)
        self._trade_duration_minutes = self.Param("TradeDurationMinutes", 5)
        self._enable_time_close = self.Param("UseTimeClose", True)
        self._close_hour = self.Param("CloseHour", 17)
        self._close_minute = self.Param("CloseMinute", 0)
        self._enable_equity_close = self.Param("CloseByEquityPercent", True)
        self._profit_percent = self.Param("PercentProfit", 1.0)
        self._loss_percent = self.Param("PercentLoss", 55.0)
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(1)))

        self._initial_balance = 0.0
        self._position_opened = False

    @property
    def TradeDirection(self):
        return self._trade_direction.Value

    @TradeDirection.setter
    def TradeDirection(self, value):
        self._trade_direction.Value = value

    @property
    def TradeStartHour(self):
        return self._trade_start_hour.Value

    @TradeStartHour.setter
    def TradeStartHour(self, value):
        self._trade_start_hour.Value = value

    @property
    def TradeStartMinute(self):
        return self._trade_start_minute.Value

    @TradeStartMinute.setter
    def TradeStartMinute(self, value):
        self._trade_start_minute.Value = value

    @property
    def TradeDurationMinutes(self):
        return self._trade_duration_minutes.Value

    @TradeDurationMinutes.setter
    def TradeDurationMinutes(self, value):
        self._trade_duration_minutes.Value = value

    @property
    def UseTimeClose(self):
        return self._enable_time_close.Value

    @UseTimeClose.setter
    def UseTimeClose(self, value):
        self._enable_time_close.Value = value

    @property
    def CloseHour(self):
        return self._close_hour.Value

    @CloseHour.setter
    def CloseHour(self, value):
        self._close_hour.Value = value

    @property
    def CloseMinute(self):
        return self._close_minute.Value

    @CloseMinute.setter
    def CloseMinute(self, value):
        self._close_minute.Value = value

    @property
    def CloseByEquityPercent(self):
        return self._enable_equity_close.Value

    @CloseByEquityPercent.setter
    def CloseByEquityPercent(self, value):
        self._enable_equity_close.Value = value

    @property
    def PercentProfit(self):
        return self._profit_percent.Value

    @PercentProfit.setter
    def PercentProfit(self, value):
        self._profit_percent.Value = value

    @property
    def PercentLoss(self):
        return self._loss_percent.Value

    @PercentLoss.setter
    def PercentLoss(self, value):
        self._loss_percent.Value = value

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

    @CandleType.setter
    def CandleType(self, value):
        self._candle_type.Value = value

    def _is_within_window(self, current_minutes, start_hour, start_minute, duration_minutes):
        start_total = start_hour * 60 + start_minute
        end_total = start_total + duration_minutes

        if end_total < 1440:
            return current_minutes >= start_total and current_minutes < end_total
        else:
            overflow = end_total - 1440
            return current_minutes >= start_total or current_minutes < overflow

    def OnStarted2(self, time):
        super(multi_hedging_scheduler_strategy, self).OnStarted2(time)

        self._initial_balance = 0.0
        self._position_opened = False

        self.SubscribeCandles(self.CandleType).Bind(self.ProcessCandle).Start()

        self.StartProtection(
            Unit(2000.0, UnitTypes.Absolute),
            Unit(1000.0, UnitTypes.Absolute))

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

        if self._initial_balance == 0.0 and self.Portfolio is not None and self.Portfolio.CurrentValue is not None:
            self._initial_balance = float(self.Portfolio.CurrentValue)

        open_time = candle.OpenTime
        hour = open_time.Hour
        minute = open_time.Minute
        current_minutes = hour * 60 + minute
        duration = int(self.TradeDurationMinutes)

        if self.CloseByEquityPercent and self._try_handle_equity_targets():
            return

        if self.UseTimeClose and self._is_within_window(current_minutes, int(self.CloseHour), int(self.CloseMinute), duration):
            if self.Position > 0:
                self.SellMarket()
            elif self.Position < 0:
                self.BuyMarket()
            self._position_opened = False
            return

        if not self._is_within_window(current_minutes, int(self.TradeStartHour), int(self.TradeStartMinute), duration):
            return

        if self._position_opened:
            return

        direction = int(self.TradeDirection)

        if direction == SIDE_BUY and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
            self._position_opened = True
        elif direction == SIDE_SELL and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
            self._position_opened = True

    def _try_handle_equity_targets(self):
        if self._initial_balance <= 0.0:
            return False

        if self.Portfolio is None or self.Portfolio.CurrentValue is None:
            return False

        equity = float(self.Portfolio.CurrentValue)
        profit_level = self._initial_balance * (1.0 + float(self.PercentProfit) / 100.0)
        loss_level = self._initial_balance * (1.0 - float(self.PercentLoss) / 100.0)

        if equity >= profit_level or equity <= loss_level:
            if self.Position > 0:
                self.SellMarket()
            elif self.Position < 0:
                self.BuyMarket()
            self._position_opened = False
            return True

        return False

    def OnReseted(self):
        super(multi_hedging_scheduler_strategy, self).OnReseted()
        self._initial_balance = 0.0
        self._position_opened = False

    def CreateClone(self):
        return multi_hedging_scheduler_strategy()