Averaging By Signal Strategy

namespace StockSharp.Samples.Strategies;

using System;
using Ecng.Common;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.Messages;

/// <summary>
/// Averaging By Signal strategy: WMA crossover with averaging logic.
/// Buys when fast WMA crosses above slow WMA, sells on cross below.
/// </summary>
public class AveragingBySignalStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;

	private decimal _prevFast;
	private decimal _prevSlow;
	private bool _hasPrev;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }

	public AveragingBySignalStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(60).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_fastPeriod = Param(nameof(FastPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("Fast WMA", "Fast WMA period", "Indicators");
		_slowPeriod = Param(nameof(SlowPeriod), 30)
			.SetGreaterThanZero()
			.SetDisplay("Slow WMA", "Slow WMA period", "Indicators");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevFast = 0;
		_prevSlow = 0;
		_hasPrev = false;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevFast = 0;
		_prevSlow = 0;
		_hasPrev = false;
		var fast = new ExponentialMovingAverage { Length = FastPeriod };
		var slow = new ExponentialMovingAverage { Length = SlowPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(fast, slow, ProcessCandle).Start();
	}

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

		if (_hasPrev)
		{
			if (_prevFast <= _prevSlow && fastValue > slowValue && Position <= 0)
				BuyMarket();
			else if (_prevFast >= _prevSlow && fastValue < slowValue && Position >= 0)
				SellMarket();
		}
		else
		{
			if (fastValue > slowValue && Position <= 0)
				BuyMarket();
			else if (fastValue < slowValue && Position >= 0)
				SellMarket();
		}

		_prevFast = fastValue;
		_prevSlow = slowValue;
		_hasPrev = true;
	}
}

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 ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(60)))
        self._fast_period = self.Param("FastPeriod", 10)
        self._slow_period = self.Param("SlowPeriod", 30)

        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._has_prev = False

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

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

    @property
    def FastPeriod(self):
        return self._fast_period.Value

    @FastPeriod.setter
    def FastPeriod(self, value):
        self._fast_period.Value = value

    @property
    def SlowPeriod(self):
        return self._slow_period.Value

    @SlowPeriod.setter
    def SlowPeriod(self, value):
        self._slow_period.Value = value

    def OnReseted(self):
        super(averaging_by_signal_strategy, self).OnReseted()
        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._has_prev = False

    def OnStarted2(self, time):
        super(averaging_by_signal_strategy, self).OnStarted2(time)
        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._has_prev = False

        fast = ExponentialMovingAverage()
        fast.Length = self.FastPeriod
        slow = ExponentialMovingAverage()
        slow.Length = self.SlowPeriod

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(fast, slow, self._process_candle).Start()

    def _process_candle(self, candle, fast_value, slow_value):
        if candle.State != CandleStates.Finished:
            return

        fast_val = float(fast_value)
        slow_val = float(slow_value)

        if self._has_prev:
            if self._prev_fast <= self._prev_slow and fast_val > slow_val and self.Position <= 0:
                self.BuyMarket()
            elif self._prev_fast >= self._prev_slow and fast_val < slow_val and self.Position >= 0:
                self.SellMarket()
        else:
            if fast_val > slow_val and self.Position <= 0:
                self.BuyMarket()
            elif fast_val < slow_val and self.Position >= 0:
                self.SellMarket()

        self._prev_fast = fast_val
        self._prev_slow = slow_val
        self._has_prev = True

    def CreateClone(self):
        return averaging_by_signal_strategy()