security() Revisited

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>
/// Multi-timeframe strategy using higher timeframe close as a filter for entries.
/// </summary>
public class SecurityRevisitedStrategy : Strategy
{
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevDiff;

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

	public SecurityRevisitedStrategy()
	{
		_emaLength = Param(nameof(EmaLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA period", "General");

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

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

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

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

		var ema = new ExponentialMovingAverage { Length = EmaLength };

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(ema, ProcessCandle).Start();

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

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

		var diff = candle.ClosePrice - emaValue;
		var crossUp = _prevDiff <= 0 && diff > 0;
		var crossDown = _prevDiff >= 0 && diff < 0;
		_prevDiff = diff;

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

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 security_revisited_strategy(Strategy):
    def __init__(self):
        super(security_revisited_strategy, self).__init__()
        self._ema_length = self.Param("EmaLength", 20) \
            .SetDisplay("EMA Length", "EMA period", "General")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candle Type", "General")
        self._prev_diff = 0.0

    @property
    def ema_length(self):
        return self._ema_length.Value

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

    def OnReseted(self):
        super(security_revisited_strategy, self).OnReseted()
        self._prev_diff = 0.0

    def OnStarted2(self, time):
        super(security_revisited_strategy, self).OnStarted2(time)
        ema = ExponentialMovingAverage()
        ema.Length = self.ema_length
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(ema, self.on_process).Start()
        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawIndicator(area, ema)
            self.DrawOwnTrades(area)

    def on_process(self, candle, ema_value):
        if candle.State != CandleStates.Finished:
            return
        diff = candle.ClosePrice - ema_value
        cross_up = self._prev_diff <= 0 and diff > 0
        cross_down = self._prev_diff >= 0 and diff < 0
        self._prev_diff = diff
        if cross_up and self.Position <= 0:
            self.BuyMarket()
        elif cross_down and self.Position >= 0:
            self.SellMarket()

    def CreateClone(self):
        return security_revisited_strategy()