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Grid Rebalance Strategy

The Grid Rebalance Strategy is a high-level StockSharp port of the Mission Automate "Grid" expert advisor. The strategy alternates between long and short grid cycles and always keeps a ladder of limit orders in the active direction. Once the aggregate position reaches a common take-profit level the cycle is closed, all pending orders are removed, and the next cycle starts in the opposite direction.

How it works

  1. Cycle start – When there are no positions or pending orders, the strategy opens a market position in the direction defined by FirstTradeSide using StartVolume lots.
  2. Placing the grid – After every filled order in the active direction the algorithm places a new limit order at a distance of GridStepPoints (converted to price by the instrument PriceStep). The volume of the next order equals the volume of the latest filled order multiplied by LotMultiplier.
  3. Average-based take-profit – For every filled order the weighted average entry price is recalculated. The take-profit for the whole basket is set to the average price plus/minus TargetPoints (also converted via PriceStep). Candle highs and lows are used to model the broker-side trigger behaviour.
  4. Cycle completion – When the take-profit level is reached the strategy closes the entire position with a market order, cancels remaining pending orders, remembers the direction of the finished cycle and flips the direction for the next one.

Parameters

  • FirstTradeSide – direction of the first cycle (Buy or Sell). Every completed cycle automatically flips the direction.
  • StartVolume – lot size of the initial market order in each cycle.
  • LotMultiplier – multiplier applied to the most recent filled order volume when preparing the next grid level. Values greater than one create a martingale-like progression.
  • GridStepPoints – distance between grid levels expressed in points. The strategy multiplies it by Security.PriceStep to obtain the absolute price difference.
  • TargetPoints – take-profit distance from the weighted average entry price, measured in points.
  • CandleType – candle series used to monitor price extremes for triggering exits.

Risk management and behaviour

  • No explicit stop-loss is used; the grid keeps adding exposure while the market moves against the position.
  • Only one pending order is active at a time. When the order is filled the next level is immediately scheduled.
  • The cycle cannot start until both the position and the pending queue are empty and the instrument has a valid PriceStep.
  • The conversion keeps all calculations inside the strategy without touching global collections or indicator buffers, following the project rules.
  • Pending orders are cancelled whenever a cycle ends, preventing orphaned limits from previous cycles.

Notes

  • All point-based settings are converted to prices with Security.PriceStep. If the step is zero the strategy waits until the instrument provides it.
  • The implementation relies purely on the high-level API (SubscribeCandles, Bind, BuyMarket, SellMarket, BuyLimit, SellLimit) as required.
  • A Python version is intentionally not included in this task.
using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Grid Rebalance strategy: RSI + EMA crossover-based.
/// Buys when close crosses above EMA with RSI confirmation.
/// Sells when close crosses below EMA with RSI confirmation.
/// </summary>
public class GridRebalanceStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _emaPeriod;

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

	public int RsiPeriod
	{
		get => _rsiPeriod.Value;
		set => _rsiPeriod.Value = value;
	}

	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

	public GridRebalanceStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "RSI period", "Indicators");

		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "EMA period", "Indicators");
	}

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

		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var ema = new ExponentialMovingAverage { Length = EmaPeriod };

		decimal? prevClose = null;
		decimal? prevEma = null;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(rsi, ema, (candle, rsiVal, emaVal) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!IsFormedAndOnlineAndAllowTrading())
					return;

				var close = candle.ClosePrice;

				if (prevClose.HasValue && prevEma.HasValue)
				{
					var crossUp = prevClose.Value <= prevEma.Value && close > emaVal;
					var crossDown = prevClose.Value >= prevEma.Value && close < emaVal;

					if (crossUp && rsiVal < 55m && Position <= 0)
						BuyMarket();
					else if (crossDown && rsiVal > 45m && Position >= 0)
						SellMarket();
				}

				prevClose = close;
				prevEma = emaVal;
			})
			.Start();

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