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Spreader Strategy

Overview

The Spreader Strategy is a pair-trading approach inspired by the original MetaTrader expert advisor "Spreader". The strategy monitors two positively correlated instruments and seeks to profit from short-term divergences while maintaining a market-neutral profile. Once the combined position reaches the desired money target the strategy closes both legs and waits for the next setup.

The algorithm is designed for one-minute candles by default, mirroring the behaviour of the original EA, but the timeframe can be adjusted when the strategy is loaded into Designer, Shell, or the API runner.

Trading Logic

  1. Data preparation

    • Subscribes to candles for the primary security (the one assigned to the strategy) and the secondary security.
    • Stores the latest 2 * ShiftLength + 1 close values for each instrument. The default shift length is 30 bars.
    • Only reacts to completed candles and requires both instruments to produce a bar with the same opening time.

  2. Trend filter

    • Computes the price changes between the current close and the close ShiftLength bars ago, as well as the change between the middle and oldest samples for both instruments.
    • If the two changes for either instrument have the same sign the strategy interprets it as a persistent trend and skips the trade.

  3. Correlation check

    • Ensures the sign of the latest change on both instruments is identical. If the sign differs the correlation is considered negative and no spread is opened.

  4. Volatility alignment

    • Calculates the absolute magnitude of the recent swings (a for the primary leg, b for the secondary leg) and uses their ratio to scale the hedge volume. Ratios outside the [0.3, 3] range are rejected because they indicate unstable behaviour.

  5. Entry

    • Chooses the direction of the primary leg by comparing the normalized swings: if the primary move is stronger the strategy buys the primary instrument and sells the secondary leg, otherwise it sells the primary leg and buys the secondary.
    • Orders are sent with market execution and volumes are normalised to respect lot step, minimum, and maximum limits of each security.

  6. Position management

    • If only the secondary leg is open (for example due to connectivity issues) the strategy opens the missing primary leg in the opposite direction to restore the hedge.
    • If only the primary leg remains it is closed immediately to avoid directional exposure.
    • When both legs are present the strategy monitors the combined floating profit and closes both positions once the configured money target is reached.

  7. Safety checks

    • Trading is disabled when the contract size (multiplier) of the two securities differs, since the original EA assumes equal contract specifications.
    • All trading requests are ignored until the strategy is connected, synchronized, and allowed to trade by the hosting environment (IsFormedAndOnlineAndAllowTrading).

Parameters

Parameter Description
SecondSecurity Instrument that forms the hedge leg of the spread. This parameter is required.
PrimaryVolume Base order volume for the primary instrument. The secondary volume is scaled using the swing ratio.
TargetProfit Absolute profit, expressed in the account currency, after which both legs are closed.
ShiftLength Number of bars used when comparing recent swings. The strategy uses 2 * ShiftLength + 1 candles from each instrument.
CandleType Candle series used for analysis. Defaults to 1-minute time frame.

Tips

  • The strategy works best on instruments with stable positive correlation and similar volatility profiles (for example, highly related currency pairs or index futures).
  • Contract specifications should be aligned (tick size, lot step, margin), otherwise volume normalisation may reduce order sizes significantly.
  • Because the strategy relies on candle data, ensure both instruments receive synchronized bar updates from the data provider.

Requirements

  • Two liquid instruments with positive correlation.
  • Access to market data and trading permissions for both instruments through StockSharp connectors.
  • Portfolio assigned to the strategy instance.
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;

public class SpreaderStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _stopLossPoints;
	private readonly StrategyParam<int> _takeProfitPoints;

	private ExponentialMovingAverage _fast;
	private ExponentialMovingAverage _slow;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _entryPrice;
	private int _cooldown;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public int StopLossPoints { get => _stopLossPoints.Value; set => _stopLossPoints.Value = value; }
	public int TakeProfitPoints { get => _takeProfitPoints.Value; set => _takeProfitPoints.Value = value; }

	public SpreaderStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 14).SetGreaterThanZero().SetDisplay("Fast Period", "Fast EMA period", "Indicator");
		_slowPeriod = Param(nameof(SlowPeriod), 50).SetGreaterThanZero().SetDisplay("Slow Period", "Slow EMA period", "Indicator");
		_stopLossPoints = Param(nameof(StopLossPoints), 200).SetNotNegative().SetDisplay("Stop Loss", "Stop-loss in price steps", "Risk");
		_takeProfitPoints = Param(nameof(TakeProfitPoints), 400).SetNotNegative().SetDisplay("Take Profit", "Take-profit in price steps", "Risk");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_fast = null; _slow = null;
		_prevFast = 0; _prevSlow = 0; _entryPrice = 0; _cooldown = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_fast = new ExponentialMovingAverage { Length = FastPeriod };
		_slow = new ExponentialMovingAverage { Length = SlowPeriod };
		var subscription = SubscribeCandles(TimeSpan.FromMinutes(5).TimeFrame());
		subscription.Bind(_fast, _slow, ProcessCandle);
		subscription.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal fastValue, decimal slowValue)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!_fast.IsFormed || !_slow.IsFormed) { _prevFast = fastValue; _prevSlow = slowValue; return; }
		if (_cooldown > 0) { _cooldown--; _prevFast = fastValue; _prevSlow = slowValue; return; }

		var close = candle.ClosePrice;
		var step = Security?.PriceStep ?? 1m;

		if (Position > 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close <= _entryPrice - StopLossPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
			if (TakeProfitPoints > 0 && close >= _entryPrice + TakeProfitPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
		}
		else if (Position < 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close >= _entryPrice + StopLossPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
			if (TakeProfitPoints > 0 && close <= _entryPrice - TakeProfitPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
		}

		if (_prevFast <= _prevSlow && fastValue > slowValue && Position <= 0)
		{ if (Position < 0) BuyMarket(); BuyMarket(); _entryPrice = close; _cooldown = 100; }
		else if (_prevFast >= _prevSlow && fastValue < slowValue && Position >= 0)
		{ if (Position > 0) SellMarket(); SellMarket(); _entryPrice = close; _cooldown = 100; }

		_prevFast = fastValue; _prevSlow = slowValue;
	}
}