フランクス 4 時間指値注文戦略

using System;
using System.Collections.Generic;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Franks 4H strategy - EMA crossover with momentum filter.
/// Buys on bullish EMA crossover with positive momentum.
/// Sells on bearish EMA crossover with negative momentum.
/// </summary>
public class Franks4HourLimitOrdersStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _momentumPeriod;
	private readonly StrategyParam<DataType> _candleType;

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

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

	public Franks4HourLimitOrdersStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 12)
			.SetDisplay("Fast EMA", "Fast EMA period", "Indicators");

		_slowPeriod = Param(nameof(SlowPeriod), 26)
			.SetDisplay("Slow EMA", "Slow EMA period", "Indicators");

		_momentumPeriod = Param(nameof(MomentumPeriod), 10)
			.SetDisplay("Momentum", "Momentum period", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities() => [(Security, CandleType)];
	protected override void OnReseted() { base.OnReseted(); _prevFast = 0m; _prevSlow = 0m; _hasPrev = false; }

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

		_hasPrev = false;

		var fast = new ExponentialMovingAverage { Length = FastPeriod };
		var slow = new ExponentialMovingAverage { Length = SlowPeriod };
		var momentum = new Momentum { Length = MomentumPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fast, slow, momentum, ProcessCandle)
			.Start();
	}

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

		if (!_hasPrev)
		{
			_prevFast = fast;
			_prevSlow = slow;
			_hasPrev = true;
			return;
		}

		var crossUp = _prevFast <= _prevSlow && fast > slow;
		var crossDown = _prevFast >= _prevSlow && fast < slow;

		if (crossUp && momentum > 0 && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		else if (crossDown && momentum < 0 && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevFast = fast;
		_prevSlow = slow;
	}
}

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, Momentum
from StockSharp.Algo.Strategies import Strategy


class franks4_hour_limit_orders_strategy(Strategy):
    def __init__(self):
        super(franks4_hour_limit_orders_strategy, self).__init__()
        self._fast_period = self.Param("FastPeriod", 12) \
            .SetDisplay("Fast EMA", "Fast EMA period", "Indicators")
        self._slow_period = self.Param("SlowPeriod", 26) \
            .SetDisplay("Slow EMA", "Slow EMA period", "Indicators")
        self._momentum_period = self.Param("MomentumPeriod", 10) \
            .SetDisplay("Momentum", "Momentum period", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candle timeframe", "General")
        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._has_prev = False

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

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

    @property
    def momentum_period(self):
        return self._momentum_period.Value

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

    def OnReseted(self):
        super(franks4_hour_limit_orders_strategy, self).OnReseted()
        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._has_prev = False

    def OnStarted2(self, time):
        super(franks4_hour_limit_orders_strategy, self).OnStarted2(time)
        self._has_prev = False
        fast = ExponentialMovingAverage()
        fast.Length = self.fast_period
        slow = ExponentialMovingAverage()
        slow.Length = self.slow_period
        momentum = Momentum()
        momentum.Length = self.momentum_period
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(fast, slow, momentum, self.process_candle).Start()

    def process_candle(self, candle, fast, slow, momentum):
        if candle.State != CandleStates.Finished:
            return
        fast_val = float(fast)
        slow_val = float(slow)
        mom_val = float(momentum)
        if not self._has_prev:
            self._prev_fast = fast_val
            self._prev_slow = slow_val
            self._has_prev = True
            return
        cross_up = self._prev_fast <= self._prev_slow and fast_val > slow_val
        cross_down = self._prev_fast >= self._prev_slow and fast_val < slow_val
        if cross_up and mom_val > 0 and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        elif cross_down and mom_val < 0 and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
        self._prev_fast = fast_val
        self._prev_slow = slow_val

    def CreateClone(self):
        return franks4_hour_limit_orders_strategy()