Exemplo de estratégia de detecção de calendário econômico

namespace StockSharp.Samples.Strategies;

using System;
using Ecng.Common;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.Messages;

/// <summary>
/// Sample Detect Economic Calendar strategy: Parabolic SAR trend with EMA filter.
/// Buys when close above both SAR and EMA, sells when close below both.
/// </summary>
public class SampleDetectEconomicCalendarStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _emaPeriod;

	private decimal _prevClose;
	private decimal _prevSar;
	private decimal _prevEma;
	private bool _hasPrev;

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

	public SampleDetectEconomicCalendarStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(60).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_emaPeriod = Param(nameof(EmaPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "EMA filter period", "Indicators");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevClose = 0;
		_prevSar = 0;
		_prevEma = 0;
		_hasPrev = false;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevClose = 0;
		_prevSar = 0;
		_prevEma = 0;
		_hasPrev = false;
		var sar = new ParabolicSar { Acceleration = 0.01m, AccelerationMax = 0.1m };
		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(sar, ema, ProcessCandle).Start();
	}

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

		if (_hasPrev)
		{
			var aboveSar = candle.ClosePrice > sarValue;
			var belowSar = candle.ClosePrice < sarValue;
			var aboveEma = candle.ClosePrice > emaValue;
			var belowEma = candle.ClosePrice < emaValue;

			if (aboveSar && aboveEma && !(_prevClose > _prevSar && _prevClose > _prevEma) && Position <= 0)
				BuyMarket();
			else if (belowSar && belowEma && !(_prevClose < _prevSar && _prevClose < _prevEma) && Position >= 0)
				SellMarket();
		}

		_prevClose = candle.ClosePrice;
		_prevSar = sarValue;
		_prevEma = emaValue;
		_hasPrev = true;
	}
}

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 ParabolicSar, ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy

class sample_detect_economic_calendar_strategy(Strategy):
    def __init__(self):
        super(sample_detect_economic_calendar_strategy, self).__init__()

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(60)))
        self._ema_period = self.Param("EmaPeriod", 50)

        self._prev_close = 0.0
        self._prev_sar = 0.0
        self._prev_ema = 0.0
        self._has_prev = False

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

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

    @property
    def EmaPeriod(self):
        return self._ema_period.Value

    @EmaPeriod.setter
    def EmaPeriod(self, value):
        self._ema_period.Value = value

    def OnReseted(self):
        super(sample_detect_economic_calendar_strategy, self).OnReseted()
        self._prev_close = 0.0
        self._prev_sar = 0.0
        self._prev_ema = 0.0
        self._has_prev = False

    def OnStarted2(self, time):
        super(sample_detect_economic_calendar_strategy, self).OnStarted2(time)
        self._prev_close = 0.0
        self._prev_sar = 0.0
        self._prev_ema = 0.0
        self._has_prev = False

        sar = ParabolicSar()
        sar.Acceleration = 0.01
        sar.AccelerationMax = 0.1
        ema = ExponentialMovingAverage()
        ema.Length = self.EmaPeriod

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(sar, ema, self._process_candle).Start()

    def _process_candle(self, candle, sar_value, ema_value):
        if candle.State != CandleStates.Finished:
            return

        close = float(candle.ClosePrice)
        sar_val = float(sar_value)
        ema_val = float(ema_value)

        if self._has_prev:
            above_sar = close > sar_val
            below_sar = close < sar_val
            above_ema = close > ema_val
            below_ema = close < ema_val

            was_above_both = self._prev_close > self._prev_sar and self._prev_close > self._prev_ema
            was_below_both = self._prev_close < self._prev_sar and self._prev_close < self._prev_ema

            if above_sar and above_ema and not was_above_both and self.Position <= 0:
                self.BuyMarket()
            elif below_sar and below_ema and not was_below_both and self.Position >= 0:
                self.SellMarket()

        self._prev_close = close
        self._prev_sar = sar_val
        self._prev_ema = ema_val
        self._has_prev = True

    def CreateClone(self):
        return sample_detect_economic_calendar_strategy()