タイムゾーンピボット・オープンシステム戦略

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;

using StockSharp.Algo;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Implements the Exp_TimeZonePivotsOpenSystem MetaTrader strategy using StockSharp's high level API.
/// The strategy anchors a symmetric price channel to the daily opening price at a configurable hour
/// and reacts when closed candles break above or below that band.
/// </summary>
public class TimeZonePivotsOpenSystemStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _orderVolume;
	private readonly StrategyParam<int> _startHour;
	private readonly StrategyParam<decimal> _offsetPoints;
	private readonly StrategyParam<int> _signalBar;
	private readonly StrategyParam<decimal> _stopLossPoints;
	private readonly StrategyParam<decimal> _takeProfitPoints;
	private readonly StrategyParam<bool> _enableLongEntry;
	private readonly StrategyParam<bool> _enableShortEntry;
	private readonly StrategyParam<bool> _closeLongOnBearishBreak;
	private readonly StrategyParam<bool> _closeShortOnBullishBreak;

	private decimal _priceStep;
	private decimal _offsetDistance;
	private decimal? _anchorPrice;
	private DateTime? _anchorDate;
	private decimal _upperZone;
	private decimal _lowerZone;
	private TimeSpan _candleSpan;
	private DateTimeOffset? _nextLongTradeTime;
	private DateTimeOffset? _nextShortTradeTime;

	private readonly List<SignalRecord> _signalHistory = new();

	/// <summary>
	/// Initializes a new instance of the strategy.
	/// </summary>
	public TimeZonePivotsOpenSystemStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle type", "Timeframe that feeds the Time Zone Pivots logic.", "General");

		_orderVolume = Param(nameof(OrderVolume), 0.1m)
			.SetNotNegative()
			.SetDisplay("Order volume", "Volume used when opening a new position.", "Trading");

		_startHour = Param(nameof(StartHour), 0)
			.SetNotNegative()
			.SetDisplay("Start hour", "Hour (0-23) whose opening price anchors the bands.", "Indicator");

		_offsetPoints = Param(nameof(OffsetPoints), 250m)
			.SetNotNegative()
			.SetDisplay("Offset (points)", "Distance from the anchor price expressed in price steps.", "Indicator");

		_signalBar = Param(nameof(SignalBar), 2)
			.SetNotNegative()
			.SetDisplay("Signal bar", "Shift of the confirmation candle used to trigger trades.", "Signals");

		_stopLossPoints = Param(nameof(StopLossPoints), 1000m)
			.SetNotNegative()
			.SetDisplay("Stop loss (points)", "Protective stop distance in price steps.", "Risk");

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 2000m)
			.SetNotNegative()
			.SetDisplay("Take profit (points)", "Profit target distance in price steps.", "Risk");

		_enableLongEntry = Param(nameof(EnableLongEntry), true)
			.SetDisplay("Enable long entries", "Allow opening long positions after bullish breakouts.", "Signals");

		_enableShortEntry = Param(nameof(EnableShortEntry), true)
			.SetDisplay("Enable short entries", "Allow opening short positions after bearish breakouts.", "Signals");

		_closeLongOnBearishBreak = Param(nameof(CloseLongOnBearishBreak), true)
			.SetDisplay("Close longs on bearish break", "Exit long trades when price falls below the lower band.", "Risk");

		_closeShortOnBullishBreak = Param(nameof(CloseShortOnBullishBreak), true)
			.SetDisplay("Close shorts on bullish break", "Exit short trades when price rallies above the upper band.", "Risk");
	}

	/// <summary>
	/// Candle type that defines the working timeframe.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Volume sent with each new position.
	/// </summary>
	public decimal OrderVolume
	{
		get => _orderVolume.Value;
		set => _orderVolume.Value = value;
	}

	/// <summary>
	/// Hour of the day used to anchor the pivot bands.
	/// </summary>
	public int StartHour
	{
		get => ClampHour(_startHour.Value);
		set => _startHour.Value = ClampHour(value);
	}

	/// <summary>
	/// Offset from the anchor price expressed in price steps.
	/// </summary>
	public decimal OffsetPoints
	{
		get => _offsetPoints.Value;
		set => _offsetPoints.Value = value;
	}

	/// <summary>
	/// Number of closed candles between the current bar and the breakout confirmation bar.
	/// </summary>
	public int SignalBar
	{
		get => Math.Max(1, _signalBar.Value);
		set => _signalBar.Value = Math.Max(1, value);
	}

	/// <summary>
	/// Stop loss distance measured in price steps.
	/// </summary>
	public decimal StopLossPoints
	{
		get => _stopLossPoints.Value;
		set => _stopLossPoints.Value = value;
	}

	/// <summary>
	/// Take profit distance measured in price steps.
	/// </summary>
	public decimal TakeProfitPoints
	{
		get => _takeProfitPoints.Value;
		set => _takeProfitPoints.Value = value;
	}

	/// <summary>
	/// Enables long position entries after bullish breakouts.
	/// </summary>
	public bool EnableLongEntry
	{
		get => _enableLongEntry.Value;
		set => _enableLongEntry.Value = value;
	}

	/// <summary>
	/// Enables short position entries after bearish breakouts.
	/// </summary>
	public bool EnableShortEntry
	{
		get => _enableShortEntry.Value;
		set => _enableShortEntry.Value = value;
	}

	/// <summary>
	/// Enables closing long positions when bearish breakouts occur.
	/// </summary>
	public bool CloseLongOnBearishBreak
	{
		get => _closeLongOnBearishBreak.Value;
		set => _closeLongOnBearishBreak.Value = value;
	}

	/// <summary>
	/// Enables closing short positions when bullish breakouts occur.
	/// </summary>
	public bool CloseShortOnBullishBreak
	{
		get => _closeShortOnBullishBreak.Value;
		set => _closeShortOnBullishBreak.Value = value;
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_anchorPrice = null;
		_anchorDate = null;
		_priceStep = 0m;
		_upperZone = 0m;
		_lowerZone = 0m;
		_candleSpan = default;
		_offsetDistance = 0m;
		_signalHistory.Clear();
		_nextLongTradeTime = null;
		_nextShortTradeTime = null;
	}

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

		Volume = OrderVolume;

		_priceStep = Security?.PriceStep ?? 0m;
		if (_priceStep <= 0m)
		{
			_priceStep = 1m;
		}

		_candleSpan = CandleType.Arg is TimeSpan span && span > TimeSpan.Zero
			? span
			: TimeSpan.FromHours(1);

		_offsetDistance = OffsetPoints * _priceStep;

		var stopLossDistance = StopLossPoints * _priceStep;
		var takeProfitDistance = TakeProfitPoints * _priceStep;

		if (stopLossDistance > 0m || takeProfitDistance > 0m)
		{
			StartProtection(
				stopLoss: stopLossDistance > 0m ? new Unit(stopLossDistance, UnitTypes.Absolute) : null,
				takeProfit: takeProfitDistance > 0m ? new Unit(takeProfitDistance, UnitTypes.Absolute) : null,
				useMarketOrders: true);
		}

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

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawOwnTrades(area);
		}
	}

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

		_offsetDistance = OffsetPoints * _priceStep;
		Volume = OrderVolume;

		UpdateAnchor(candle);

		var signal = CalculateSignal(candle);
		RecordSignal(candle.OpenTime, signal);

		if (_signalHistory.Count <= SignalBar)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var confirmIndex = SignalBar;
		var currentIndex = SignalBar - 1;

		if (currentIndex < 0 || confirmIndex >= _signalHistory.Count)
			return;

		var currentSignal = _signalHistory[currentIndex];
		var confirmSignal = _signalHistory[confirmIndex];

		var bullishBreakout = confirmSignal.Signal <= 1;
		var bearishBreakout = confirmSignal.Signal >= 3;

		var position = Position;

		if (position > 0m && bearishBreakout && CloseLongOnBearishBreak)
		{
			SellMarket(position);
			position = Position;
		}

		if (position < 0m && bullishBreakout && CloseShortOnBullishBreak)
		{
			BuyMarket(Math.Abs(position));
			position = Position;
		}

		var volume = OrderVolume;
		if (volume <= 0m)
			return;

		var signalTime = confirmSignal.OpenTime + _candleSpan;
		var candleTime = candle.CloseTime != default ? candle.CloseTime : candle.OpenTime;

		if (EnableLongEntry && bullishBreakout && currentSignal.Signal > 1 && position == 0m)
		{
			if (!_nextLongTradeTime.HasValue || candleTime >= _nextLongTradeTime.Value)
			{
				BuyMarket(volume);
				_nextLongTradeTime = signalTime;
			}
		}

		if (EnableShortEntry && bearishBreakout && currentSignal.Signal < 3 && position == 0m)
		{
			if (!_nextShortTradeTime.HasValue || candleTime >= _nextShortTradeTime.Value)
			{
				SellMarket(volume);
				_nextShortTradeTime = signalTime;
			}
		}
	}

	private void UpdateAnchor(ICandleMessage candle)
	{
		var candleDate = candle.OpenTime.Date;
		var hour = candle.OpenTime.Hour;

		if (hour == StartHour && (_anchorDate == null || _anchorDate.Value != candleDate))
		{
			_anchorDate = candleDate;
			_anchorPrice = candle.OpenPrice;
		}

		if (_anchorPrice.HasValue)
		{
			_upperZone = _anchorPrice.Value + _offsetDistance;
			_lowerZone = _anchorPrice.Value - _offsetDistance;
		}
	}

	private int CalculateSignal(ICandleMessage candle)
	{
		if (!_anchorPrice.HasValue)
			return 2;

		var close = candle.ClosePrice;
		var open = candle.OpenPrice;

		if (close > _upperZone)
			return close >= open ? 0 : 1;

		if (close < _lowerZone)
			return close <= open ? 4 : 3;

		return 2;
	}

	private void RecordSignal(DateTimeOffset time, int signal)
	{
		_signalHistory.Insert(0, new SignalRecord(signal, time));

		var maxCapacity = Math.Max(SignalBar + 2, 4);
		if (_signalHistory.Count > maxCapacity)
		{
			_signalHistory.RemoveRange(maxCapacity, _signalHistory.Count - maxCapacity);
		}
	}

	private static int ClampHour(int hour)
	{
		if (hour < 0)
			return 0;

		if (hour > 23)
			return 23;

		return hour;
	}

	private sealed class SignalRecord
	{
		public SignalRecord(int signal, DateTimeOffset openTime)
		{
			Signal = signal;
			OpenTime = openTime;
		}

		public int Signal { get; }

		public DateTimeOffset OpenTime { get; }
	}
}

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, Decimal
from StockSharp.Messages import DataType, CandleStates, UnitTypes, Unit
from StockSharp.Algo.Strategies import Strategy


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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle type", "Timeframe that feeds the Time Zone Pivots logic.", "General")
        self._order_volume = self.Param("OrderVolume", Decimal(0.1)) \
            .SetNotNegative() \
            .SetDisplay("Order volume", "Volume used when opening a new position.", "Trading")
        self._start_hour = self.Param("StartHour", 0) \
            .SetNotNegative() \
            .SetDisplay("Start hour", "Hour (0-23) whose opening price anchors the bands.", "Indicator")
        self._offset_points = self.Param("OffsetPoints", Decimal(250)) \
            .SetNotNegative() \
            .SetDisplay("Offset (points)", "Distance from the anchor price expressed in price steps.", "Indicator")
        self._signal_bar = self.Param("SignalBar", 2) \
            .SetNotNegative() \
            .SetDisplay("Signal bar", "Shift of the confirmation candle used to trigger trades.", "Signals")
        self._stop_loss_points = self.Param("StopLossPoints", Decimal(1000)) \
            .SetNotNegative() \
            .SetDisplay("Stop loss (points)", "Protective stop distance in price steps.", "Risk")
        self._take_profit_points = self.Param("TakeProfitPoints", Decimal(2000)) \
            .SetNotNegative() \
            .SetDisplay("Take profit (points)", "Profit target distance in price steps.", "Risk")
        self._enable_long_entry = self.Param("EnableLongEntry", True) \
            .SetDisplay("Enable long entries", "Allow opening long positions after bullish breakouts.", "Signals")
        self._enable_short_entry = self.Param("EnableShortEntry", True) \
            .SetDisplay("Enable short entries", "Allow opening short positions after bearish breakouts.", "Signals")
        self._close_long_on_bearish_break = self.Param("CloseLongOnBearishBreak", True) \
            .SetDisplay("Close longs on bearish break", "Exit long trades when price falls below lower band.", "Risk")
        self._close_short_on_bullish_break = self.Param("CloseShortOnBullishBreak", True) \
            .SetDisplay("Close shorts on bullish break", "Exit short trades when price rallies above upper band.", "Risk")

        self._price_step = Decimal(0)
        self._offset_distance = Decimal(0)
        self._anchor_price = None
        self._anchor_date = None
        self._upper_zone = Decimal(0)
        self._lower_zone = Decimal(0)
        self._candle_span = TimeSpan.Zero
        self._next_long_trade_time = None
        self._next_short_trade_time = None
        self._signal_history = []

    @property
    def CandleType(self):
        return self._candle_type.Value
    @property
    def OrderVolume(self):
        return self._order_volume.Value
    @property
    def StartHour(self):
        h = self._start_hour.Value
        if h < 0:
            return 0
        if h > 23:
            return 23
        return h
    @property
    def OffsetPoints(self):
        return self._offset_points.Value
    @property
    def SignalBar(self):
        return max(1, self._signal_bar.Value)
    @property
    def StopLossPoints(self):
        return self._stop_loss_points.Value
    @property
    def TakeProfitPoints(self):
        return self._take_profit_points.Value
    @property
    def EnableLongEntry(self):
        return self._enable_long_entry.Value
    @property
    def EnableShortEntry(self):
        return self._enable_short_entry.Value
    @property
    def CloseLongOnBearishBreak(self):
        return self._close_long_on_bearish_break.Value
    @property
    def CloseShortOnBullishBreak(self):
        return self._close_short_on_bullish_break.Value

    def OnReseted(self):
        super(time_zone_pivots_open_system_strategy, self).OnReseted()
        self._anchor_price = None
        self._anchor_date = None
        self._upper_zone = Decimal(0)
        self._lower_zone = Decimal(0)
        self._signal_history = []
        self._next_long_trade_time = None
        self._next_short_trade_time = None

    def OnStarted2(self, time):
        super(time_zone_pivots_open_system_strategy, self).OnStarted2(time)
        self.Volume = self.OrderVolume

        sec = self.Security
        self._price_step = sec.PriceStep if sec is not None and sec.PriceStep is not None else Decimal(0)
        if self._price_step <= Decimal(0):
            self._price_step = Decimal(1)

        arg = self.CandleType.Arg
        if isinstance(arg, TimeSpan) and arg > TimeSpan.Zero:
            self._candle_span = arg
        else:
            self._candle_span = TimeSpan.FromHours(1)

        self._offset_distance = self.OffsetPoints * self._price_step

        stop_loss_distance = self.StopLossPoints * self._price_step
        take_profit_distance = self.TakeProfitPoints * self._price_step

        if stop_loss_distance > Decimal(0) or take_profit_distance > Decimal(0):
            sl_unit = Unit(stop_loss_distance, UnitTypes.Absolute) if stop_loss_distance > Decimal(0) else Unit()
            tp_unit = Unit(take_profit_distance, UnitTypes.Absolute) if take_profit_distance > Decimal(0) else Unit()
            self.StartProtection(tp_unit, sl_unit, False, None, None, True, False)

        self._anchor_price = None
        self._anchor_date = None
        self._upper_zone = Decimal(0)
        self._lower_zone = Decimal(0)
        self._signal_history = []
        self._next_long_trade_time = None
        self._next_short_trade_time = None

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(self._on_process).Start()
        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawOwnTrades(area)

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

        self._offset_distance = self.OffsetPoints * self._price_step
        self.Volume = self.OrderVolume

        self._update_anchor(candle)
        signal = self._calculate_signal(candle)
        self._record_signal(candle.OpenTime, signal)

        if len(self._signal_history) <= self.SignalBar:
            return

        if not self.IsFormedAndOnlineAndAllowTrading():
            return

        confirm_index = self.SignalBar
        current_index = self.SignalBar - 1

        if current_index < 0 or confirm_index >= len(self._signal_history):
            return

        current_signal = self._signal_history[current_index][0]
        confirm_signal = self._signal_history[confirm_index][0]
        confirm_time = self._signal_history[confirm_index][1]

        bullish_breakout = confirm_signal <= 1
        bearish_breakout = confirm_signal >= 3

        position = self.Position

        if position > Decimal(0) and bearish_breakout and self.CloseLongOnBearishBreak:
            self.SellMarket(position)
            position = self.Position

        if position < Decimal(0) and bullish_breakout and self.CloseShortOnBullishBreak:
            self.BuyMarket(Math.Abs(position))
            position = self.Position

        volume = self.OrderVolume
        if volume <= Decimal(0):
            return

        signal_time = confirm_time + self._candle_span
        candle_time = candle.CloseTime if candle.CloseTime != type(candle.CloseTime)() else candle.OpenTime

        if self.EnableLongEntry and bullish_breakout and current_signal > 1 and position == Decimal(0):
            if self._next_long_trade_time is None or candle_time >= self._next_long_trade_time:
                self.BuyMarket(volume)
                self._next_long_trade_time = signal_time

        if self.EnableShortEntry and bearish_breakout and current_signal < 3 and position == Decimal(0):
            if self._next_short_trade_time is None or candle_time >= self._next_short_trade_time:
                self.SellMarket(volume)
                self._next_short_trade_time = signal_time

    def _update_anchor(self, candle):
        candle_date = candle.OpenTime.Date
        hour = candle.OpenTime.Hour

        if hour == self.StartHour and (self._anchor_date is None or self._anchor_date != candle_date):
            self._anchor_date = candle_date
            self._anchor_price = candle.OpenPrice

        if self._anchor_price is not None:
            self._upper_zone = self._anchor_price + self._offset_distance
            self._lower_zone = self._anchor_price - self._offset_distance

    def _calculate_signal(self, candle):
        if self._anchor_price is None:
            return 2

        close = candle.ClosePrice
        open_p = candle.OpenPrice

        if close > self._upper_zone:
            return 0 if close >= open_p else 1
        if close < self._lower_zone:
            return 4 if close <= open_p else 3
        return 2

    def _record_signal(self, open_time, signal):
        self._signal_history.insert(0, (signal, open_time))
        max_cap = max(self.SignalBar + 2, 4)
        if len(self._signal_history) > max_cap:
            del self._signal_history[max_cap:]

    def CreateClone(self):
        return time_zone_pivots_open_system_strategy()