Advanced Strategy Features

Overview

The Strategy class provides a number of additional properties for fine-tuning behavior: automatic order commenting, trading schedule, risk-free rate for statistics, data source for indicators, and historical period management.

CommentMode -- Order Comments

The CommentMode property controls automatic population of the Order.Comment field for all orders submitted by the strategy. This allows identifying which strategy created an order, which is especially useful when running multiple strategies on the same account simultaneously.

StrategyCommentModes Enumeration

Example

public class CommentStrategy : Strategy
{
    protected override void OnStarted2(DateTime time)
    {
        base.OnStarted2(time);

        // All orders will be tagged with the strategy name
        CommentMode = StrategyCommentModes.Name;

        // Or with the identifier for exact binding
        // CommentMode = StrategyCommentModes.Id;
    }
}

With the Name value and a strategy name of "SMA Crossover", every order will receive the comment "SMA Crossover", allowing you to filter this strategy's orders in the trade journal.

WorkingTime -- Working Schedule

The WorkingTime property sets the schedule during which the strategy is active. Outside of the specified time intervals, the strategy can automatically restrict its activity.

public class ScheduledStrategy : Strategy
{
    protected override void OnStarted2(DateTime time)
    {
        base.OnStarted2(time);

        // Configure working time
        WorkingTime = new WorkingTime
        {
            Periods = new List<WorkingTimePeriod>
            {
                new WorkingTimePeriod
                {
                    Till = DateTime.MaxValue,
                    Times = new List<Range<TimeSpan>>
                    {
                        // Trade from 10:00 to 18:00
                        new Range<TimeSpan>(
                            TimeSpan.FromHours(10),
                            TimeSpan.FromHours(18))
                    }
                }
            }
        };
    }
}

The TotalWorkingTime property (read-only) shows the total working time of the strategy since it started. It is automatically calculated on strategy stop and restart.

RiskFreeRate -- Risk-Free Rate

The RiskFreeRate property sets the annual risk-free rate used in statistical calculations -- primarily the Sharpe ratio and the Sortino ratio.

var strategy = new MyStrategy();

// Risk-free rate of 5% per annum
strategy.RiskFreeRate = 0.05m;

The value is automatically passed to all statistic parameters implementing IRiskFreeRateStatisticParameter when the strategy's statistics manager is initialized.

IndicatorSource -- Indicator Data Source

The IndicatorSource property sets the default value for the IIndicator.Source property for all strategy indicators that do not have an explicitly specified source. It defines which Level1Fields field to use as indicator input data.

var strategy = new MyStrategy();

// All indicators will use the last trade price by default
strategy.IndicatorSource = Level1Fields.LastTradePrice;

// Or the average price
// strategy.IndicatorSource = Level1Fields.AveragePrice;

If the property is null (the default value), indicators use their own data source.

HistoryCalculated -- Computed Historical Period

The virtual property HistoryCalculated allows a strategy to programmatically determine the required historical data period for indicator warm-up. It returns TimeSpan? -- the duration of the historical period, or null if no period is specified.

public class SmaCrossStrategy : Strategy
{
    private readonly StrategyParam<int> _longPeriod;

    public int LongPeriod
    {
        get => _longPeriod.Value;
        set => _longPeriod.Value = value;
    }

    public SmaCrossStrategy()
    {
        _longPeriod = Param(nameof(LongPeriod), 50);
    }

    // Automatic calculation of the required historical period
    protected override TimeSpan? HistoryCalculated
        => TimeSpan.FromDays(LongPeriod * 2);
}

HistoryCalculated is the code-computed version of the HistorySize property. The difference is that HistorySize is set by the user as a strategy parameter, while HistoryCalculated is computed programmatically based on strategy parameters (for example, indicator periods).

Example: Strategy with All Advanced Settings

public class AdvancedStrategy : Strategy
{
    private readonly StrategyParam<DataType> _candleType;
    private readonly StrategyParam<int> _smaPeriod;

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

    public int SmaPeriod
    {
        get => _smaPeriod.Value;
        set => _smaPeriod.Value = value;
    }

    public AdvancedStrategy()
    {
        _candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame());
        _smaPeriod = Param(nameof(SmaPeriod), 20);
    }

    // Automatic historical period calculation
    protected override TimeSpan? HistoryCalculated
        => TimeSpan.FromDays(SmaPeriod * 2);

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

        // Order comments -- strategy name
        CommentMode = StrategyCommentModes.Name;

        // Risk-free rate for Sharpe calculation
        RiskFreeRate = 0.05m;

        // Data source for indicators
        IndicatorSource = Level1Fields.LastTradePrice;

        var subscription = SubscribeCandles(CandleType);

        subscription
            .Bind(ProcessCandle)
            .Start();
    }

    private void ProcessCandle(ICandleMessage candle)
    {
        if (!IsFormedAndOnlineAndAllowTrading())
            return;

        // Trading logic...
    }
}

In this example, the strategy uses all the described features: it automatically comments orders, sets the risk-free rate for statistics, establishes the data source for indicators, and calculates the required historical period.