数独 UI 戦略

using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Sudoku UI strategy: SMA mean reversion.
/// Buys when close < SMA - offset. Sells when close > SMA + offset.
/// </summary>
public class SudokuUiStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _smaPeriod;

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

	public int SmaPeriod
	{
		get => _smaPeriod.Value;
		set => _smaPeriod.Value = value;
	}

	public SudokuUiStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");

		_smaPeriod = Param(nameof(SmaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("SMA Period", "SMA period", "Indicators");
	}

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

		var sma = new SimpleMovingAverage { Length = SmaPeriod };

		decimal? prevClose = null;
		decimal? prevSma = null;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(sma, (candle, smaVal) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!IsFormedAndOnlineAndAllowTrading())
					return;

				var close = candle.ClosePrice;

				if (prevClose.HasValue && prevSma.HasValue)
				{
					var crossBelow = prevClose.Value >= prevSma.Value && close < smaVal;
					var crossAbove = prevClose.Value <= prevSma.Value && close > smaVal;

					if (crossBelow && Position <= 0)
						BuyMarket();
					else if (crossAbove && Position >= 0)
						SellMarket();
				}

				prevClose = close;
				prevSma = smaVal;
			})
			.Start();

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

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")

from System import TimeSpan
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Indicators import SimpleMovingAverage
from StockSharp.Algo.Strategies import Strategy
from datatype_extensions import *
from indicator_extensions import *

class sudoku_ui_strategy(Strategy):
    """SMA mean reversion: buy when close crosses below SMA, sell when crosses above."""
    def __init__(self):
        super(sudoku_ui_strategy, self).__init__()
        self._sma_period = self.Param("SmaPeriod", 20).SetGreaterThanZero().SetDisplay("SMA Period", "SMA period", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(30))).SetDisplay("Candle Type", "Candle timeframe", "General")

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

    def OnReseted(self):
        super(sudoku_ui_strategy, self).OnReseted()
        self._prev_close = 0
        self._prev_sma = 0

    def OnStarted2(self, time):
        super(sudoku_ui_strategy, self).OnStarted2(time)
        self._prev_close = 0
        self._prev_sma = 0

        sma = SimpleMovingAverage()
        sma.Length = self._sma_period.Value

        sub = self.SubscribeCandles(self.CandleType)
        sub.Bind(sma, self.OnProcess).Start()

        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, sub)
            self.DrawIndicator(area, sma)
            self.DrawOwnTrades(area)

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

        close = float(candle.ClosePrice)

        if self._prev_close > 0 and self._prev_sma > 0:
            cross_below = self._prev_close >= self._prev_sma and close < sma_val
            cross_above = self._prev_close <= self._prev_sma and close > sma_val

            if cross_below and self.Position <= 0:
                self.BuyMarket()
            elif cross_above and self.Position >= 0:
                self.SellMarket()

        self._prev_close = close
        self._prev_sma = sma_val

    def CreateClone(self):
        return sudoku_ui_strategy()