シンボル同期戦略

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>
/// Strategy that synchronizes the security of linked strategies whenever the main symbol changes.
/// </summary>
public class SymbolSyncStrategy : Strategy
{
	private readonly StrategyParam<int> _chartLimit;
	private readonly StrategyParam<string> _syncSecurityId;

	private readonly List<Strategy> _linkedStrategies = new();

	private Security _initialSecurity;

	public SymbolSyncStrategy()
	{
		_chartLimit = Param(nameof(ChartLimit), 10)
			.SetNotNegative()
			.SetDisplay("Chart limit", "Maximum number of linked strategies that can be synchronized.", "General")
			;

		_syncSecurityId = Param(nameof(SyncSecurityId), string.Empty)
			.SetDisplay("Sync security ID", "Identifier of the security propagated to linked strategies.", "General")
			;
	}

	/// <summary>
	/// Maximum number of linked strategies that can follow the symbol changes.
	/// </summary>
	public int ChartLimit
	{
		get => _chartLimit.Value;
		set => _chartLimit.Value = value;
	}

	/// <summary>
	/// Identifier of the security that must be mirrored by linked strategies.
	/// </summary>
	public string SyncSecurityId
	{
		get => _syncSecurityId.Value;
		set => _syncSecurityId.Value = value ?? string.Empty;
	}

	private SimpleMovingAverage _smaFast;
	private SimpleMovingAverage _smaSlow;
	private int _candleCount;
	private int _lastTradeCandle;

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		yield return (Security, TimeSpan.FromMinutes(5).TimeFrame());
	}

	protected override void OnReseted()
	{
		base.OnReseted();
		_linkedStrategies.Clear();
		_initialSecurity = default;
		_smaFast = default;
		_smaSlow = default;
		_candleCount = default;
		_lastTradeCandle = default;
		_syncSecurityId.Value = string.Empty;
	}

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

		_initialSecurity = Security;

		if (SyncSecurityId.IsEmpty() && Security != null)
			SyncSecurityId = Security.Id;

		_smaFast = new SimpleMovingAverage { Length = 10 };
		_smaSlow = new SimpleMovingAverage { Length = 30 };

		var subscription = SubscribeCandles(TimeSpan.FromMinutes(5).TimeFrame());
		subscription
			.Bind(_smaFast, _smaSlow, ProcessCandle)
			.Start();
	}

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

		_candleCount++;

		if (_candleCount - _lastTradeCandle < 200)
			return;

		if (fast > slow && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
			_lastTradeCandle = _candleCount;
		}
		else if (fast < slow && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
			_lastTradeCandle = _candleCount;
		}
	}

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

		_initialSecurity = null;
	}

	/// <summary>
	/// Registers an additional strategy that must mirror the current security.
	/// </summary>
	/// <param name="strategy">Strategy that will receive symbol updates.</param>
	/// <returns><c>true</c> when the strategy is registered; otherwise <c>false</c>.</returns>
	public bool RegisterLinkedStrategy(Strategy strategy)
	{
		if (strategy == null)
			throw new ArgumentNullException(nameof(strategy));

		if (_linkedStrategies.Contains(strategy))
			return false;

		var limit = Math.Max(ChartLimit, 0);
		if (_linkedStrategies.Count >= limit)
		{
			LogWarning($"Chart limit of {limit} reached. Strategy '{strategy.Name}' cannot be synchronized.");
			return false;
		}

		_linkedStrategies.Add(strategy);
		ApplySymbol(strategy);
		return true;
	}

	/// <summary>
	/// Removes a strategy from the synchronization list.
	/// </summary>
	/// <param name="strategy">Strategy previously added with <see cref="RegisterLinkedStrategy"/>.</param>
	/// <returns><c>true</c> when the strategy was removed.</returns>
	public bool UnregisterLinkedStrategy(Strategy strategy)
	{
		if (strategy == null)
			throw new ArgumentNullException(nameof(strategy));

		return _linkedStrategies.Remove(strategy);
	}

	/// <summary>
	/// Restores the initial security captured when the strategy started.
	/// </summary>
	public void ResetToInitialSecurity()
	{
		if (_initialSecurity == null)
			return;

		ChangeSyncSecurity(_initialSecurity);
	}

	/// <summary>
	/// Changes the synchronization security using a resolved <see cref="Security"/> instance.
	/// </summary>
	/// <param name="security">Security that should be mirrored by linked strategies.</param>
	/// <returns><c>true</c> when the identifier changed.</returns>
	public bool ChangeSyncSecurity(Security security)
	{
		if (security == null)
			throw new ArgumentNullException(nameof(security));

		if (Security != security)
			Security = security;

		if (SyncSecurityId.EqualsIgnoreCase(security.Id))
		{
			SyncSymbols();
			return false;
		}

		SyncSecurityId = security.Id;
		SyncSymbols();
		return true;
	}

	/// <summary>
	/// Changes the synchronization security by resolving the identifier through <see cref="Strategy.Connector"/>.
	/// </summary>
	/// <param name="securityId">Identifier of the security to use for synchronization.</param>
	/// <returns><c>true</c> when the identifier resolved to a new security.</returns>
	public bool ChangeSyncSecurity(string securityId)
	{
		if (securityId.IsEmpty())
			throw new ArgumentNullException(nameof(securityId));

		if (Connector != null)
		{
			var resolved = Connector.LookupById(securityId);
			if (resolved != null)
				return ChangeSyncSecurity(resolved);

			LogWarning($"Security '{securityId}' not found by the security provider.");
		}

		SyncSecurityId = securityId;
		SyncSymbols();
		return false;
	}

	/// <summary>
	/// Synchronizes the security across every registered strategy.
	/// </summary>
	/// <returns><c>true</c> when a security was resolved and propagated.</returns>
	public bool SyncSymbols()
	{
		var security = ResolveSecurity();
		if (security == null)
		{
			LogWarning("No synchronization security resolved. Linked strategies keep their current assignments.");
			return false;
		}

		if (Security != security)
			Security = security;

		foreach (var strategy in _linkedStrategies)
			ApplySymbol(strategy);

		return true;
	}

	private void ApplySymbol(Strategy strategy)
	{
		if (strategy == null)
			return;

		var security = ResolveSecurity();
		if (security == null)
			return;

		if (strategy.Security == security)
			return;

		strategy.Security = security;
	}

	private Security ResolveSecurity()
	{
		if (Security != null && (SyncSecurityId.IsEmpty() || SyncSecurityId.EqualsIgnoreCase(Security.Id)))
			return Security;

		if (!SyncSecurityId.IsEmpty() && Connector != null)
		{
			var resolved = Connector.LookupById(SyncSecurityId);
			if (resolved != null)
				return resolved;
		}

		return Security;
	}
}

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

class symbol_sync_strategy(Strategy):
    """Fast/slow SMA crossover (10/30) on 5-min candles."""
    def __init__(self):
        super(symbol_sync_strategy, self).__init__()
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))).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 OnStarted2(self, time):
        super(symbol_sync_strategy, self).OnStarted2(time)

        fast = SimpleMovingAverage()
        fast.Length = 10
        slow = SimpleMovingAverage()
        slow.Length = 30

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

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

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

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

    def CreateClone(self):
        return symbol_sync_strategy()