Strategies

Overview

The Strategy class is the base class for creating trading strategies in StockSharp. It provides a complete set of tools for subscribing to market data, managing orders and positions, calculating statistics, and generating reports.

Key capabilities of the Strategy class:

• Subscribing to candles, order books, ticks, and other market data
• Placing, modifying, and canceling orders
• Target position management
• PnL, commission, and statistics calculation
• Risk management
• Timer and rule system
• Alerts
• Report generation

Documentation Sections

• Target Position Management -- declarative position size management via SetTargetPosition
• Trading Modes -- restricting trading activity via StrategyTradingModes
• Alert System -- sending notifications (popup, sound, log, Telegram)
• Timer System -- periodic action execution
• Risk Management -- risk management rules
• High-Level Subscriptions -- simplified market data subscriptions
• Strategy Reports -- generating trade result reports
• Advanced Features -- order comments, schedules, risk-free rate, indicator source

Minimal Strategy

public class MyStrategy : Strategy
{
    private readonly StrategyParam<DataType> _candleType;

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

    public MyStrategy()
    {
        _candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame());
    }

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

        var subscription = SubscribeCandles(CandleType);

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

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

        // Trading logic
    }
}

Strategy Lifecycle

1. Creation -- constructor, declaring parameters via Param<T>.
2. Configuration -- setting Security, Portfolio, Connector, and parameters.
3. Start -- calling Start(), transition to ProcessStates.Started state, invocation of OnStarted2(DateTime).
4. Running -- processing market data, placing orders.
5. Stop -- calling Stop(), transition through ProcessStates.Stopping to ProcessStates.Stopped, invocation of OnStopped().