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Adaptive Renko Duplex Strategy

Overview

The Adaptive Renko Duplex Strategy is a StockSharp port of the original Exp_AdaptiveRenko_Duplex.mq5 expert advisor. The converted version keeps the idea of running two independent Adaptive Renko streams – one dedicated to bullish setups and another to bearish setups – while exposing the logic through the high-level API. Each stream builds Renko-style support and resistance rails whose brick height dynamically adapts to recent volatility. The strategy reacts to trend reversals detected inside these rails and can maintain asymmetric configurations for the long and short sides.

Unlike classical Renko trading systems, which operate on synthetic bricks, the duplex approach listens to standard candles and continuously recalculates the adaptive Renko buffers. Signals are only generated on fully completed candles to avoid repainting and to match StockSharp's event-driven model.

Market Data and Indicators

  • Candle subscriptions – two independent DataType parameters select the candle series that feed the long and short Renko streams. They may point to the same timeframe or to different ones.
  • Adaptive Renko reconstruction – each stream embeds the original indicator logic. A minimum brick size (expressed in points) is compared against K × volatility and whichever is larger defines the new brick height. The indicator keeps track of upper/lower envelopes plus colored trend levels (support in uptrends, resistance in downtrends).
  • Volatility sources – choose between an AverageTrueRange or a StandardDeviation indicator. Both operate on the candle series used by their respective stream and accept custom lookback lengths.

Trading Logic

  1. Long-side detection
    • The long stream builds adaptive bricks using the configured parameters.
    • When the uptrend line (RenkoTrend.Up) appears on the delayed bar defined by LongSignalBarOffset, the strategy issues a market buy order. The order size is Volume + |Position|, enabling immediate reversals from short to long.
    • If a downtrend line is detected after the configured delay and LongExitsEnabled is true, all long exposure is closed.
  2. Short-side detection
    • The short stream mirrors the logic: a RenkoTrend.Down signal produces a market sell, while a RenkoTrend.Up on the delayed bar exits shorts when ShortExitsEnabled is enabled.
  3. Signal delay – both sides respect their SignalBarOffset parameters, reproducing the one-bar shift used by the MetaTrader expert. Setting the offset to zero reacts on the most recent finished candle.
  4. Position sizing – the StockSharp version relies on the strategy Volume property. Always set it before starting the strategy.

Risk Management

  • Stop-loss / take-profit – distances are specified in points and multiplied by the instrument PriceStep to produce absolute prices. Stops are checked whenever a subscribed candle closes. Because StockSharp does not automatically create server-side protective orders, the exits are handled by market orders.
  • State tracking – the strategy stores the price at which the last long or short entry was executed (based on the candle close) so it can evaluate the distance to the stop or target.
  • Manual overrides – standard Stop or Protective modules can be attached on top by calling StartProtection() externally if account-level risk management is required.

Parameters

Parameter Default Description
LongCandleType 4-hour candles Candle series used to compute long signals.
ShortCandleType 4-hour candles Candle series used to compute short signals.
LongVolatilityMode ATR Volatility source (AverageTrueRange or StandardDeviation) for long bricks.
ShortVolatilityMode ATR Volatility source for short bricks.
LongVolatilityPeriod 10 Lookback period for the long volatility indicator.
ShortVolatilityPeriod 10 Lookback period for the short volatility indicator.
LongSensitivity 1.0 Multiplier applied to the volatility value before building long bricks.
ShortSensitivity 1.0 Multiplier applied to the volatility value before building short bricks.
LongPriceMode Close Price input (HighLow or Close) used to update the long Renko rails.
ShortPriceMode Close Price input used to update the short Renko rails.
LongMinimumBrickPoints 2 Minimum brick height for the long stream, measured in points.
ShortMinimumBrickPoints 2 Minimum brick height for the short stream.
LongSignalBarOffset 1 Delay (in bars) before confirming a long signal.
ShortSignalBarOffset 1 Delay (in bars) before confirming a short signal.
LongEntriesEnabled true Toggle to allow or block long entries.
LongExitsEnabled true Toggle to allow or block Renko-driven long exits.
ShortEntriesEnabled true Toggle to allow or block short entries.
ShortExitsEnabled true Toggle to allow or block Renko-driven short exits.
LongStopLossPoints 1000 Stop-loss distance for long positions (points × PriceStep).
LongTakeProfitPoints 2000 Take-profit distance for long positions.
ShortStopLossPoints 1000 Stop-loss distance for short positions.
ShortTakeProfitPoints 2000 Take-profit distance for short positions.

Point conversion – the MQL version used the broker “point” definition. In StockSharp every distance is multiplied by Security.PriceStep (or Security.MinStep fallback) to convert points into absolute price increments. Adjust the defaults for the tick size of your instrument.

Usage Guidelines

  1. Configure the environment – assign Security, Portfolio, and Volume before starting the strategy. Make sure the data source can deliver all configured candle timeframes.
  2. Tailor both streams – you can keep the default symmetric setup or assign different timeframes/volatility modes to the long and short sides for asymmetric behavior.
  3. Monitor logs – the strategy emits LogInfo messages on every entry and exit, indicating the Renko level that triggered the action. Use these logs to validate that signals match expectations.
  4. Combine with external modules – additional filters (session control, equity protection, etc.) can be attached via StockSharp’s high-level APIs because the strategy exposes the signals in the main Strategy class.
  5. Backtesting considerations – when testing on historical data, prefer candle builders that can reconstruct the required timeframes so the adaptive Renko remains consistent.

Differences from the Original Expert Advisor

  • MetaTrader-specific features (magic numbers, money-management modes, deviation handling, push notifications) are intentionally omitted. Position sizing relies solely on the StockSharp Volume property.
  • The original EA placed server-side stop-loss and take-profit orders. The converted version checks the configured distances on every finished candle and closes via market orders.
  • Signals are evaluated strictly on completed candles to avoid partial-bar recalculations. This mirrors the IsNewBar check used in the MQL implementation.
  • The adaptive Renko reconstruction follows the published algorithm but is implemented in C# without creating additional indicator objects, which keeps the update path efficient while respecting StockSharp’s high-level API conventions.
  • Pair the duplex stream with higher-level regime filters (session schedules, volatility filters) to avoid trading in illiquid conditions.
  • Attach trailing-stop modules or equity-based protections via StartProtection() for account-level safeguards.
  • Log or plot the generated support/resistance rails to visually validate the strategy during discretionary review.
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;

using StockSharp.Algo.Candles;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Dual-stream adaptive Renko strategy converted from the Exp_AdaptiveRenko_Duplex MQL5 expert advisor.
/// Generates independent long and short signals by projecting the Adaptive Renko indicator onto configurable candle series.
/// </summary>
public class AdaptiveRenkoDuplexStrategy : Strategy
{
	private readonly StrategyParam<DataType> _longCandleType;
	private readonly StrategyParam<DataType> _shortCandleType;
	private readonly StrategyParam<AdaptiveRenkoVolatilityModes> _longVolatilityMode;
	private readonly StrategyParam<AdaptiveRenkoVolatilityModes> _shortVolatilityMode;
	private readonly StrategyParam<int> _longVolatilityPeriod;
	private readonly StrategyParam<int> _shortVolatilityPeriod;
	private readonly StrategyParam<decimal> _longSensitivity;
	private readonly StrategyParam<decimal> _shortSensitivity;
	private readonly StrategyParam<AdaptiveRenkoPriceModes> _longPriceMode;
	private readonly StrategyParam<AdaptiveRenkoPriceModes> _shortPriceMode;
	private readonly StrategyParam<decimal> _longMinimumBrickPoints;
	private readonly StrategyParam<decimal> _shortMinimumBrickPoints;
	private readonly StrategyParam<int> _longSignalBarOffset;
	private readonly StrategyParam<int> _shortSignalBarOffset;
	private readonly StrategyParam<bool> _longEntriesEnabled;
	private readonly StrategyParam<bool> _longExitsEnabled;
	private readonly StrategyParam<bool> _shortEntriesEnabled;
	private readonly StrategyParam<bool> _shortExitsEnabled;
	private readonly StrategyParam<decimal> _longStopLossPoints;
	private readonly StrategyParam<decimal> _longTakeProfitPoints;
	private readonly StrategyParam<decimal> _shortStopLossPoints;
	private readonly StrategyParam<decimal> _shortTakeProfitPoints;

	private readonly AdaptiveRenkoProcessor _longProcessor = new();
	private readonly AdaptiveRenkoProcessor _shortProcessor = new();

	private decimal? _longEntryPrice;
	private decimal? _shortEntryPrice;

	public AdaptiveRenkoDuplexStrategy()
	{
		_longCandleType = Param(nameof(LongCandleType), TimeSpan.FromDays(1).TimeFrame())
			.SetDisplay("Long Candle Type", "Timeframe used to derive long-side signals", "Long Side");

		_shortCandleType = Param(nameof(ShortCandleType), TimeSpan.FromDays(1).TimeFrame())
			.SetDisplay("Short Candle Type", "Timeframe used to derive short-side signals", "Short Side");

		_longVolatilityMode = Param(nameof(LongVolatilityMode), AdaptiveRenkoVolatilityModes.AverageTrueRange)
			.SetDisplay("Long Volatility Source", "Volatility measure controlling long Renko brick size", "Long Side");

		_shortVolatilityMode = Param(nameof(ShortVolatilityMode), AdaptiveRenkoVolatilityModes.AverageTrueRange)
			.SetDisplay("Short Volatility Source", "Volatility measure controlling short Renko brick size", "Short Side");

		_longVolatilityPeriod = Param(nameof(LongVolatilityPeriod), 10)
			.SetRange(1, 500)
			.SetDisplay("Long Volatility Period", "Lookback period for the volatility calculation", "Long Side")
			;

		_shortVolatilityPeriod = Param(nameof(ShortVolatilityPeriod), 10)
			.SetRange(1, 500)
			.SetDisplay("Short Volatility Period", "Lookback period for the volatility calculation", "Short Side")
			;

		_longSensitivity = Param(nameof(LongSensitivity), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Long Sensitivity", "Multiplier applied to volatility for long bricks", "Long Side")
			;

		_shortSensitivity = Param(nameof(ShortSensitivity), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Short Sensitivity", "Multiplier applied to volatility for short bricks", "Short Side")
			;

		_longPriceMode = Param(nameof(LongPriceMode), AdaptiveRenkoPriceModes.Close)
			.SetDisplay("Long Price Mode", "Price source used when building long bricks", "Long Side");

		_shortPriceMode = Param(nameof(ShortPriceMode), AdaptiveRenkoPriceModes.Close)
			.SetDisplay("Short Price Mode", "Price source used when building short bricks", "Short Side");

		_longMinimumBrickPoints = Param(nameof(LongMinimumBrickPoints), 5m)
			.SetNotNegative()
			.SetDisplay("Long Minimum Brick", "Minimal brick height in points for long bricks", "Long Side");

		_shortMinimumBrickPoints = Param(nameof(ShortMinimumBrickPoints), 5m)
			.SetNotNegative()
			.SetDisplay("Short Minimum Brick", "Minimal brick height in points for short bricks", "Short Side");

		_longSignalBarOffset = Param(nameof(LongSignalBarOffset), 2)
			.SetRange(0, 10)
			.SetDisplay("Long Signal Offset", "Number of closed bars to delay long signals", "Long Side");

		_shortSignalBarOffset = Param(nameof(ShortSignalBarOffset), 2)
			.SetRange(0, 10)
			.SetDisplay("Short Signal Offset", "Number of closed bars to delay short signals", "Short Side");

		_longEntriesEnabled = Param(nameof(LongEntriesEnabled), true)
			.SetDisplay("Enable Long Entries", "Allow long-side market entries", "Long Side");

		_longExitsEnabled = Param(nameof(LongExitsEnabled), true)
			.SetDisplay("Enable Long Exits", "Allow long-side exits triggered by Renko", "Long Side");

		_shortEntriesEnabled = Param(nameof(ShortEntriesEnabled), true)
			.SetDisplay("Enable Short Entries", "Allow short-side market entries", "Short Side");

		_shortExitsEnabled = Param(nameof(ShortExitsEnabled), true)
			.SetDisplay("Enable Short Exits", "Allow short-side exits triggered by Renko", "Short Side");

		_longStopLossPoints = Param(nameof(LongStopLossPoints), 1000m)
			.SetNotNegative()
			.SetDisplay("Long Stop Loss", "Protective stop distance in points for long trades", "Risk");

		_longTakeProfitPoints = Param(nameof(LongTakeProfitPoints), 2000m)
			.SetNotNegative()
			.SetDisplay("Long Take Profit", "Profit target distance in points for long trades", "Risk");

		_shortStopLossPoints = Param(nameof(ShortStopLossPoints), 1000m)
			.SetNotNegative()
			.SetDisplay("Short Stop Loss", "Protective stop distance in points for short trades", "Risk");

		_shortTakeProfitPoints = Param(nameof(ShortTakeProfitPoints), 2000m)
			.SetNotNegative()
			.SetDisplay("Short Take Profit", "Profit target distance in points for short trades", "Risk");
	}

	/// <summary>
	/// Candle stream used to compute long-side Renko structures.
	/// </summary>
	public DataType LongCandleType
	{
		get => _longCandleType.Value;
		set => _longCandleType.Value = value;
	}

	/// <summary>
	/// Candle stream used to compute short-side Renko structures.
	/// </summary>
	public DataType ShortCandleType
	{
		get => _shortCandleType.Value;
		set => _shortCandleType.Value = value;
	}

	/// <summary>
	/// Volatility mode for the long Renko stream.
	/// </summary>
	public AdaptiveRenkoVolatilityModes LongVolatilityMode
	{
		get => _longVolatilityMode.Value;
		set => _longVolatilityMode.Value = value;
	}

	/// <summary>
	/// Volatility mode for the short Renko stream.
	/// </summary>
	public AdaptiveRenkoVolatilityModes ShortVolatilityMode
	{
		get => _shortVolatilityMode.Value;
		set => _shortVolatilityMode.Value = value;
	}

	/// <summary>
	/// Lookback period for the long-side volatility indicator.
	/// </summary>
	public int LongVolatilityPeriod
	{
		get => _longVolatilityPeriod.Value;
		set => _longVolatilityPeriod.Value = value;
	}

	/// <summary>
	/// Lookback period for the short-side volatility indicator.
	/// </summary>
	public int ShortVolatilityPeriod
	{
		get => _shortVolatilityPeriod.Value;
		set => _shortVolatilityPeriod.Value = value;
	}

	/// <summary>
	/// Volatility multiplier that scales long-side bricks.
	/// </summary>
	public decimal LongSensitivity
	{
		get => _longSensitivity.Value;
		set => _longSensitivity.Value = value;
	}

	/// <summary>
	/// Volatility multiplier that scales short-side bricks.
	/// </summary>
	public decimal ShortSensitivity
	{
		get => _shortSensitivity.Value;
		set => _shortSensitivity.Value = value;
	}

	/// <summary>
	/// Price source used while building long bricks.
	/// </summary>
	public AdaptiveRenkoPriceModes LongPriceMode
	{
		get => _longPriceMode.Value;
		set => _longPriceMode.Value = value;
	}

	/// <summary>
	/// Price source used while building short bricks.
	/// </summary>
	public AdaptiveRenkoPriceModes ShortPriceMode
	{
		get => _shortPriceMode.Value;
		set => _shortPriceMode.Value = value;
	}

	/// <summary>
	/// Minimal brick height for the long Renko stream (expressed in points).
	/// </summary>
	public decimal LongMinimumBrickPoints
	{
		get => _longMinimumBrickPoints.Value;
		set => _longMinimumBrickPoints.Value = value;
	}

	/// <summary>
	/// Minimal brick height for the short Renko stream (expressed in points).
	/// </summary>
	public decimal ShortMinimumBrickPoints
	{
		get => _shortMinimumBrickPoints.Value;
		set => _shortMinimumBrickPoints.Value = value;
	}

	/// <summary>
	/// Number of closed bars to wait before using a long-side signal.
	/// </summary>
	public int LongSignalBarOffset
	{
		get => _longSignalBarOffset.Value;
		set => _longSignalBarOffset.Value = value;
	}

	/// <summary>
	/// Number of closed bars to wait before using a short-side signal.
	/// </summary>
	public int ShortSignalBarOffset
	{
		get => _shortSignalBarOffset.Value;
		set => _shortSignalBarOffset.Value = value;
	}

	/// <summary>
	/// Enables long-side entries.
	/// </summary>
	public bool LongEntriesEnabled
	{
		get => _longEntriesEnabled.Value;
		set => _longEntriesEnabled.Value = value;
	}

	/// <summary>
	/// Enables Renko-driven exits for long positions.
	/// </summary>
	public bool LongExitsEnabled
	{
		get => _longExitsEnabled.Value;
		set => _longExitsEnabled.Value = value;
	}

	/// <summary>
	/// Enables short-side entries.
	/// </summary>
	public bool ShortEntriesEnabled
	{
		get => _shortEntriesEnabled.Value;
		set => _shortEntriesEnabled.Value = value;
	}

	/// <summary>
	/// Enables Renko-driven exits for short positions.
	/// </summary>
	public bool ShortExitsEnabled
	{
		get => _shortExitsEnabled.Value;
		set => _shortExitsEnabled.Value = value;
	}

	/// <summary>
	/// Stop-loss distance for long positions expressed in indicator points.
	/// </summary>
	public decimal LongStopLossPoints
	{
		get => _longStopLossPoints.Value;
		set => _longStopLossPoints.Value = value;
	}

	/// <summary>
	/// Take-profit distance for long positions expressed in indicator points.
	/// </summary>
	public decimal LongTakeProfitPoints
	{
		get => _longTakeProfitPoints.Value;
		set => _longTakeProfitPoints.Value = value;
	}

	/// <summary>
	/// Stop-loss distance for short positions expressed in indicator points.
	/// </summary>
	public decimal ShortStopLossPoints
	{
		get => _shortStopLossPoints.Value;
		set => _shortStopLossPoints.Value = value;
	}

	/// <summary>
	/// Take-profit distance for short positions expressed in indicator points.
	/// </summary>
	public decimal ShortTakeProfitPoints
	{
		get => _shortTakeProfitPoints.Value;
		set => _shortTakeProfitPoints.Value = value;
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		if (Security == null)
			yield break;

		yield return (Security, LongCandleType);

		if (ShortCandleType != LongCandleType)
			yield return (Security, ShortCandleType);
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_longProcessor.Reset();
		_shortProcessor.Reset();
		_longEntryPrice = null;
		_shortEntryPrice = null;
	}

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

		_longProcessor.Reset();
		_shortProcessor.Reset();
		_longEntryPrice = null;
		_shortEntryPrice = null;

		var longIndicator = CreateVolatilityIndicator(LongVolatilityMode, LongVolatilityPeriod);
		var longSubscription = SubscribeCandles(LongCandleType);
		longSubscription.BindEx(longIndicator, ProcessLongCandle);

		var shortIndicator = CreateVolatilityIndicator(ShortVolatilityMode, ShortVolatilityPeriod);

		if (ShortCandleType == LongCandleType)
		{
			longSubscription.BindEx(shortIndicator, ProcessShortCandle);
			longSubscription.Start();
		}
		else
		{
			longSubscription.Start();
			var shortSubscription = SubscribeCandles(ShortCandleType);
			shortSubscription.BindEx(shortIndicator, ProcessShortCandle);
			shortSubscription.Start();
		}
	}

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

		ManageLongRisk(candle);

		if (!volatilityValue.IsFinal)
			return;

		var step = GetPriceStep();
		var volatility = volatilityValue.ToDecimal();
		var snapshot = _longProcessor.Process(candle, volatility, LongSensitivity, LongMinimumBrickPoints, LongPriceMode, LongSignalBarOffset, step);

		if (snapshot == null)
			return;

		var signal = _longProcessor.GetSnapshot(LongSignalBarOffset);
		if (signal == null)
			return;

		if (LongExitsEnabled && Position > 0 && signal.Value.Trend == RenkoTrends.Down)
		{
			TryCloseLong("Adaptive Renko bearish reversal", candle);
		}

		if (LongEntriesEnabled && signal.Value.Trend == RenkoTrends.Up)
		{
			TryOpenLong(candle, signal.Value);
		}
	}

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

		ManageShortRisk(candle);

		if (!volatilityValue.IsFinal)
			return;

		var step = GetPriceStep();
		var volatility = volatilityValue.ToDecimal();
		var snapshot = _shortProcessor.Process(candle, volatility, ShortSensitivity, ShortMinimumBrickPoints, ShortPriceMode, ShortSignalBarOffset, step);

		if (snapshot == null)
			return;

		var signal = _shortProcessor.GetSnapshot(ShortSignalBarOffset);
		if (signal == null)
			return;

		if (ShortExitsEnabled && Position < 0 && signal.Value.Trend == RenkoTrends.Up)
		{
			TryCloseShort("Adaptive Renko bullish reversal", candle);
		}

		if (ShortEntriesEnabled && signal.Value.Trend == RenkoTrends.Down)
		{
			TryOpenShort(candle, signal.Value);
		}
	}

	private void ManageLongRisk(ICandleMessage candle)
	{
		if (Position <= 0)
		{
			_longEntryPrice = null;
			return;
		}

		if (_longEntryPrice == null)
			_longEntryPrice = candle.ClosePrice;

		var step = GetPriceStep();

		if (LongStopLossPoints > 0m)
		{
			var stopDistance = LongStopLossPoints * step;
			if (stopDistance > 0m && candle.LowPrice <= _longEntryPrice.Value - stopDistance)
			{
				TryCloseLong("Long stop loss reached", candle);
				return;
			}
		}

		if (LongTakeProfitPoints > 0m)
		{
			var targetDistance = LongTakeProfitPoints * step;
			if (targetDistance > 0m && candle.HighPrice >= _longEntryPrice.Value + targetDistance)
			{
				TryCloseLong("Long take profit reached", candle);
			}
		}
	}

	private void ManageShortRisk(ICandleMessage candle)
	{
		if (Position >= 0)
		{
			_shortEntryPrice = null;
			return;
		}

		if (_shortEntryPrice == null)
			_shortEntryPrice = candle.ClosePrice;

		var step = GetPriceStep();

		if (ShortStopLossPoints > 0m)
		{
			var stopDistance = ShortStopLossPoints * step;
			if (stopDistance > 0m && candle.HighPrice >= _shortEntryPrice.Value + stopDistance)
			{
				TryCloseShort("Short stop loss reached", candle);
				return;
			}
		}

		if (ShortTakeProfitPoints > 0m)
		{
			var targetDistance = ShortTakeProfitPoints * step;
			if (targetDistance > 0m && candle.LowPrice <= _shortEntryPrice.Value - targetDistance)
			{
				TryCloseShort("Short take profit reached", candle);
			}
		}
	}

	private void TryOpenLong(ICandleMessage candle, RenkoSnapshot signal)
	{
		if (Position > 0)
			return;

		var volume = Volume + Math.Abs(Position);
		if (volume <= 0m)
		{
			LogWarning("Volume must be positive to open a long position.");
			return;
		}

		BuyMarket(volume);
		_longEntryPrice = candle.ClosePrice;
		_shortEntryPrice = null;
		LogInfo($"Long entry triggered. Trend level: {signal.Support?.ToString("F5") ?? "n/a"}.");
	}

	private void TryOpenShort(ICandleMessage candle, RenkoSnapshot signal)
	{
		if (Position < 0)
			return;

		var volume = Volume + Math.Abs(Position);
		if (volume <= 0m)
		{
			LogWarning("Volume must be positive to open a short position.");
			return;
		}

		SellMarket(volume);
		_shortEntryPrice = candle.ClosePrice;
		_longEntryPrice = null;
		LogInfo($"Short entry triggered. Trend level: {signal.Resistance?.ToString("F5") ?? "n/a"}.");
	}

	private void TryCloseLong(string reason, ICandleMessage candle)
	{
		if (Position <= 0)
		{
			_longEntryPrice = null;
			return;
		}

		SellMarket(Math.Abs(Position));
		_longEntryPrice = null;
		LogInfo($"Long exit: {reason} at {candle.ClosePrice:F5}.");
	}

	private void TryCloseShort(string reason, ICandleMessage candle)
	{
		if (Position >= 0)
		{
			_shortEntryPrice = null;
			return;
		}

		BuyMarket(Math.Abs(Position));
		_shortEntryPrice = null;
		LogInfo($"Short exit: {reason} at {candle.ClosePrice:F5}.");
	}

	private static IIndicator CreateVolatilityIndicator(AdaptiveRenkoVolatilityModes mode, int period)
	{
		return mode switch
		{
			AdaptiveRenkoVolatilityModes.AverageTrueRange => new AverageTrueRange { Length = period },
			AdaptiveRenkoVolatilityModes.StandardDeviation => new StandardDeviation { Length = period },
			_ => throw new ArgumentOutOfRangeException(nameof(mode), mode, "Unsupported volatility mode"),
		};
	}

	private decimal GetPriceStep()
	{
		var security = Security;
		if (security == null)
			return 1m;

		if (security.PriceStep != null && security.PriceStep.Value > 0m)
			return security.PriceStep.Value;

		return 1m;
	}

	private enum RenkoTrends
	{
		None = 0,
		Up = 1,
		Down = -1
	}

	private readonly struct RenkoSnapshot
	{
		public RenkoSnapshot(DateTimeOffset time, RenkoTrends trend, decimal? support, decimal? resistance)
		{
			Time = time;
			Trend = trend;
			Support = support;
			Resistance = resistance;
		}

		public DateTimeOffset Time { get; }

		public RenkoTrends Trend { get; }

		public decimal? Support { get; }

		public decimal? Resistance { get; }
	}

	private sealed class AdaptiveRenkoProcessor : IEquatable<AdaptiveRenkoProcessor>
	{
		private readonly List<RenkoSnapshot> _history = new();
		private bool _initialized;
		private decimal _up;
		private decimal _down;
		private decimal _brick;
		private RenkoTrends _trend;

		public RenkoSnapshot? Process(ICandleMessage candle, decimal volatility, decimal sensitivity, decimal minimumBrickPoints, AdaptiveRenkoPriceModes priceMode, int signalOffset, decimal step)
		{
			var (high, low) = priceMode == AdaptiveRenkoPriceModes.Close
				? (candle.ClosePrice, candle.ClosePrice)
				: (candle.HighPrice, candle.LowPrice);

			var minBrick = Math.Max(minimumBrickPoints * step, 0m);

			if (!_initialized)
			{
				var range = Math.Max(high - low, 0m);
				var initialBrick = Math.Max(sensitivity * range, minBrick);

				_up = high;
				_down = low;
				_brick = initialBrick > 0m ? initialBrick : minBrick;
				_trend = RenkoTrends.None;
				_initialized = true;

				var initialSnapshot = new RenkoSnapshot(GetCandleTime(candle), RenkoTrends.None, null, null);
				AppendSnapshot(initialSnapshot, signalOffset);
				return initialSnapshot;
			}

			var up = _up;
			var down = _down;
			var brick = _brick > 0m ? _brick : minBrick;
			var trend = _trend;

			var adjustedBrick = Math.Max(sensitivity * Math.Abs(volatility), minBrick);
			if (adjustedBrick <= 0m)
				adjustedBrick = minBrick;

			if (brick <= 0m)
				brick = adjustedBrick > 0m ? adjustedBrick : minBrick;

			if (high > up + brick)
			{
				if (brick > 0m)
				{
					var diff = high - up;
					var bricks = Math.Floor(diff / brick);
					if (bricks < 1m)
						bricks = 1m;
					up += bricks * brick;
				}
				else
				{
					up = high;
				}

				brick = adjustedBrick;
				down = up - brick;
			}

			if (low < down - brick)
			{
				if (brick > 0m)
				{
					var diff = down - low;
					var bricks = Math.Floor(diff / brick);
					if (bricks < 1m)
						bricks = 1m;
					down -= bricks * brick;
				}
				else
				{
					down = low;
				}

				brick = adjustedBrick;
				up = down + brick;
			}

			if (_up < up)
				trend = RenkoTrends.Up;

			if (_down > down)
				trend = RenkoTrends.Down;

			_up = up;
			_down = down;
			_brick = brick;
			_trend = trend;

			var support = trend == RenkoTrends.Up ? down - brick : (decimal?)null;
			var resistance = trend == RenkoTrends.Down ? up + brick : (decimal?)null;

			var snapshot = new RenkoSnapshot(GetCandleTime(candle), trend, support, resistance);
			AppendSnapshot(snapshot, signalOffset);
			return snapshot;
		}

		public RenkoSnapshot? GetSnapshot(int shift)
		{
			if (shift < 0)
				shift = 0;

			var index = _history.Count - 1 - shift;
			if (index < 0)
				return null;

			return _history[index];
		}

		public void Reset()
		{
			_history.Clear();
			_initialized = false;
			_up = 0m;
			_down = 0m;
			_brick = 0m;
			_trend = RenkoTrends.None;
		}

		public bool Equals(AdaptiveRenkoProcessor other)
		{
			if (ReferenceEquals(null, other))
				return false;

			if (ReferenceEquals(this, other))
				return true;

			if (_initialized != other._initialized ||
				_up != other._up ||
				_down != other._down ||
				_brick != other._brick ||
				_trend != other._trend ||
				_history.Count != other._history.Count)
				return false;

			for (var i = 0; i < _history.Count; i++)
			{
				if (!_history[i].Equals(other._history[i]))
					return false;
			}

			return true;
		}

		public override bool Equals(object obj)
			=> obj is AdaptiveRenkoProcessor other && Equals(other);

		public override int GetHashCode()
		{
			var hash = HashCode.Combine(_initialized, _up, _down, _brick, _trend, _history.Count);

			foreach (var item in _history)
				hash = HashCode.Combine(hash, item);

			return hash;
		}

		private void AppendSnapshot(RenkoSnapshot snapshot, int signalOffset)
		{
			_history.Add(snapshot);
			var maxHistory = Math.Max(signalOffset + 3, 8);
			var overflow = _history.Count - maxHistory;
			if (overflow > 0)
				_history.RemoveRange(0, overflow);
		}

		private static DateTimeOffset GetCandleTime(ICandleMessage candle)
		{
			if (candle.CloseTime != default)
				return candle.CloseTime;

			return candle.ServerTime;
		}
	}

	public enum AdaptiveRenkoVolatilityModes
	{
		AverageTrueRange,
		StandardDeviation
	}

	public enum AdaptiveRenkoPriceModes
	{
		HighLow,
		Close
	}
}