Macd Volume Strategy

using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy combining MACD crossover with trend confirmation.
/// Enters on MACD line crossing Signal line.
/// </summary>
public class MacdVolumeStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private int _cooldown;

	/// <summary>
	/// Candle type for strategy calculation.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Cooldown bars between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Strategy constructor.
	/// </summary>
	public MacdVolumeStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_cooldownBars = Param(nameof(CooldownBars), 100)
			.SetDisplay("Cooldown Bars", "Bars between trades", "General")
			.SetRange(5, 500);
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_cooldown = 0;
	}

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

		var macd = new MovingAverageConvergenceDivergenceSignal();

		var subscription = SubscribeCandles(CandleType);

		subscription
			.BindEx(macd, ProcessCandle)
			.Start();

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

			var macdArea = CreateChartArea();
			if (macdArea != null)
				DrawIndicator(macdArea, macd);
		}
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (macdValue is not MovingAverageConvergenceDivergenceSignalValue macdTyped)
			return;

		if (macdTyped.Macd is not decimal macdLine || macdTyped.Signal is not decimal signalLine)
			return;

		if (_cooldown > 0)
		{
			_cooldown--;
			return;
		}

		// Entry: MACD bullish
		if (macdLine > signalLine && Position == 0)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
		// Entry: MACD bearish
		else if (macdLine < signalLine && Position == 0)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}

		// Exit on MACD crossover against position
		if (Position > 0 && macdLine < signalLine)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		else if (Position < 0 && macdLine > signalLine)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
	}
}

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 MovingAverageConvergenceDivergenceSignal
from StockSharp.Algo.Strategies import Strategy
from datatype_extensions import *


class macd_volume_strategy(Strategy):
    """
    Strategy combining MACD crossover with trend confirmation.
    Enters on MACD line crossing Signal line.
    """

    def __init__(self):
        super(macd_volume_strategy, self).__init__()

        self._candle_type = self.Param("CandleType", tf(5)) \
            .SetDisplay("Candle Type", "Type of candles to use", "General")

        self._cooldown_bars = self.Param("CooldownBars", 100) \
            .SetDisplay("Cooldown Bars", "Bars between trades", "General") \
            .SetRange(5, 500)

        self._cooldown = 0

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

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

    @property
    def cooldown_bars(self):
        return self._cooldown_bars.Value

    def OnStarted2(self, time):
        super(macd_volume_strategy, self).OnStarted2(time)

        self._cooldown = 0

        macd = MovingAverageConvergenceDivergenceSignal()

        subscription = self.SubscribeCandles(self.candle_type)
        subscription.BindEx(macd, self.ProcessCandle).Start()

        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawOwnTrades(area)

            macd_area = self.CreateChartArea()
            if macd_area is not None:
                self.DrawIndicator(macd_area, macd)

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

        if macd_value.Macd is None or macd_value.Signal is None:
            return

        macd_line = float(macd_value.Macd)
        signal_line = float(macd_value.Signal)

        if self._cooldown > 0:
            self._cooldown -= 1
            return

        # Entry: MACD bullish
        if macd_line > signal_line and self.Position == 0:
            self.BuyMarket()
            self._cooldown = self.cooldown_bars
        # Entry: MACD bearish
        elif macd_line < signal_line and self.Position == 0:
            self.SellMarket()
            self._cooldown = self.cooldown_bars

        # Exit on MACD crossover against position
        if self.Position > 0 and macd_line < signal_line:
            self.SellMarket()
            self._cooldown = self.cooldown_bars
        elif self.Position < 0 and macd_line > signal_line:
            self.BuyMarket()
            self._cooldown = self.cooldown_bars

    def OnReseted(self):
        super(macd_volume_strategy, self).OnReseted()
        self._cooldown = 0

    def CreateClone(self):
        return macd_volume_strategy()