Estratégia do Volume Trader V2

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;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Volume Trader V2 strategy converted from the MetaTrader expert Volume_trader_v2_www_forex-instruments_info.mq4.
/// Follows the original logic by comparing the volume of the last two finished candles and trading only during configured hours.
/// </summary>
public class VolumeTraderV2Strategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _startHour;
	private readonly StrategyParam<int> _endHour;
	private readonly StrategyParam<decimal> _tradeVolume;

	private decimal? _previousVolume;
	private decimal? _twoBarsAgoVolume;

	/// <summary>
	/// Initializes a new instance of the <see cref="VolumeTraderV2Strategy"/> class.
	/// </summary>
	public VolumeTraderV2Strategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromDays(1).TimeFrame())
		.SetDisplay("Candle Type", "Time frame used to request candles", "Data");

		_startHour = Param(nameof(StartHour), 0)
		.SetDisplay("Start Hour", "First hour (inclusive) when trading is allowed", "Trading")
		.SetRange(0, 23);

		_endHour = Param(nameof(EndHour), 23)
		.SetDisplay("End Hour", "Last hour (inclusive) when trading is allowed", "Trading")
		.SetRange(0, 23);

		_tradeVolume = Param(nameof(TradeVolume), 0.1m)
		.SetDisplay("Trade Volume", "Order volume replicated from the original EA", "Trading")
		.SetGreaterThanZero();

		Volume = TradeVolume;
	}

	/// <summary>
	/// Candle type used for the strategy calculations.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// First trading hour (inclusive).
	/// </summary>
	public int StartHour
	{
		get => _startHour.Value;
		set => _startHour.Value = value;
	}

	/// <summary>
	/// Last trading hour (inclusive).
	/// </summary>
	public int EndHour
	{
		get => _endHour.Value;
		set => _endHour.Value = value;
	}

	/// <summary>
	/// Default order volume for market operations.
	/// </summary>
	public decimal TradeVolume
	{
		get => _tradeVolume.Value;
		set
		{
			_tradeVolume.Value = value;
			Volume = value;
		}
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		// Drop cached volume values so the warm-up sequence matches the EA behavior after a reset.
		_previousVolume = null;
		_twoBarsAgoVolume = null;
	}

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

		// Subscribe to candles and process them with the same granularity as the original indicator buffers.
		var subscription = SubscribeCandles(CandleType);
		subscription
		.Bind(ProcessCandle)
		.Start();

		StartProtection(null, null);
	}

	private void ProcessCandle(ICandleMessage candle)
	{
		// Only act on finished candles to replicate the bar-by-bar logic.
		if (candle.State != CandleStates.Finished)
		return;

		var currentVolume = candle.TotalVolume;

		// Collect the first two candles before generating signals.
		if (_previousVolume is null)
		{
			_previousVolume = currentVolume;
			return;
		}

		if (_twoBarsAgoVolume is null)
		{
			_twoBarsAgoVolume = _previousVolume;
			_previousVolume = currentVolume;
			return;
		}

		var volume1 = _previousVolume.Value;
		var volume2 = _twoBarsAgoVolume.Value;

		var hour = candle.OpenTime.Hour;
		var hourValid = hour >= StartHour && hour <= EndHour;

		var shouldGoLong = hourValid && volume1 < volume2;
		var shouldGoShort = hourValid && volume1 > volume2;

		var comment = !hourValid
			? "Trading paused"
			: shouldGoLong
			? "Up trend"
			: shouldGoShort
			? "Down trend"
			: "No trend...";

		if (!shouldGoLong && !shouldGoShort)
		{
			// Exit the market when no direction is active (equal volume or outside trading hours).
			ClosePosition();
		}
		else if (shouldGoLong)
		{
			// Flatten any short position before opening a new long trade.
			if (Position < 0)
			BuyMarket();

			if (Position <= 0)
			BuyMarket();
		}
		else if (shouldGoShort)
		{
			// Flatten any long position before opening a new short trade.
			if (Position > 0)
			SellMarket();

			if (Position >= 0)
			SellMarket();
		}

		// Shift the cached volumes to emulate Volume[1] and Volume[2] from MetaTrader.
		_twoBarsAgoVolume = _previousVolume;
		_previousVolume = currentVolume;
	}

	private void ClosePosition()
	{
		// Mirror the EA behavior by leaving the market whenever the signal is neutral.
		if (Position > 0)
		{
			SellMarket();
		}
		else if (Position < 0)
		{
			BuyMarket();
		}
	}
}

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")

from System import TimeSpan, Math
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Strategies import Strategy


class volume_trader_v2_strategy(Strategy):
    """Volume Trader V2: compares volume of the last two finished candles and trades
    only during configured hours. Goes long when previous volume < two-bars-ago volume,
    short when previous volume > two-bars-ago volume."""

    def __init__(self):
        super(volume_trader_v2_strategy, self).__init__()

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromDays(1))) \
            .SetDisplay("Candle Type", "Time frame used to request candles", "Data")
        self._start_hour = self.Param("StartHour", 0) \
            .SetDisplay("Start Hour", "First hour (inclusive) when trading is allowed", "Trading")
        self._end_hour = self.Param("EndHour", 23) \
            .SetDisplay("End Hour", "Last hour (inclusive) when trading is allowed", "Trading")
        self._trade_volume = self.Param("TradeVolume", 0.1) \
            .SetGreaterThanZero() \
            .SetDisplay("Trade Volume", "Order volume replicated from the original EA", "Trading")

        self._previous_volume = None
        self._two_bars_ago_volume = None

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

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

    @property
    def StartHour(self):
        return self._start_hour.Value

    @property
    def EndHour(self):
        return self._end_hour.Value

    @property
    def TradeVolume(self):
        return self._trade_volume.Value

    def OnReseted(self):
        super(volume_trader_v2_strategy, self).OnReseted()
        self._previous_volume = None
        self._two_bars_ago_volume = None

    def OnStarted2(self, time):
        super(volume_trader_v2_strategy, self).OnStarted2(time)

        self.Volume = float(self.TradeVolume)

        self.StartProtection(None, None)

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(self._process_candle).Start()

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

        current_volume = candle.TotalVolume

        if self._previous_volume is None:
            self._previous_volume = current_volume
            return

        if self._two_bars_ago_volume is None:
            self._two_bars_ago_volume = self._previous_volume
            self._previous_volume = current_volume
            return

        volume1 = self._previous_volume
        volume2 = self._two_bars_ago_volume

        hour = candle.OpenTime.Hour
        hour_valid = hour >= self.StartHour and hour <= self.EndHour

        should_go_long = hour_valid and volume1 < volume2
        should_go_short = hour_valid and volume1 > volume2

        if not should_go_long and not should_go_short:
            # Exit position when no direction is active
            if self.Position > 0:
                self.SellMarket()
            elif self.Position < 0:
                self.BuyMarket()
        elif should_go_long:
            if self.Position < 0:
                self.BuyMarket()
            if self.Position <= 0:
                self.BuyMarket()
        elif should_go_short:
            if self.Position > 0:
                self.SellMarket()
            if self.Position >= 0:
                self.SellMarket()

        self._two_bars_ago_volume = self._previous_volume
        self._previous_volume = current_volume

    def CreateClone(self):
        return volume_trader_v2_strategy()