MACD Liquidity Tracker

using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

public class MacdLiquidityTrackerStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private ExponentialMovingAverage _emaFast;
	private ExponentialMovingAverage _emaSlow;
	private decimal _prevMacd;
	private bool _initialized;
	private int _barsFromSignal;

	public int FastLength { get => _fastLength.Value; set => _fastLength.Value = value; }
	public int SlowLength { get => _slowLength.Value; set => _slowLength.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MacdLiquidityTrackerStrategy()
	{
		_fastLength = Param(nameof(FastLength), 12).SetDisplay("Fast", "Fast EMA", "MACD");
		_slowLength = Param(nameof(SlowLength), 26).SetDisplay("Slow", "Slow EMA", "MACD");
		_cooldownBars = Param(nameof(CooldownBars), 10).SetDisplay("Cooldown", "Bars between signals", "Risk");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candles", "General");
	}

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

		_emaFast = null;
		_emaSlow = null;
		_prevMacd = 0m;
		_initialized = false;
		_barsFromSignal = int.MaxValue;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevMacd = 0;
		_initialized = false;
		_barsFromSignal = int.MaxValue;

		_emaFast = new ExponentialMovingAverage { Length = FastLength };
		_emaSlow = new ExponentialMovingAverage { Length = SlowLength };

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(_emaFast, _emaSlow, ProcessCandle).Start();

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

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

		if (fast == 0 || slow == 0)
			return;

		var isFastAbove = fast > slow;

		if (!_initialized) { _prevMacd = isFastAbove ? 1m : -1m; _initialized = true; _barsFromSignal = 0; return; }
		if (_barsFromSignal < 10000) _barsFromSignal++;

		var prevAbove = _prevMacd > 0;
		var crossUp = isFastAbove && !prevAbove;
		var crossDown = !isFastAbove && prevAbove;
		var canSignal = _barsFromSignal >= CooldownBars;

		if (canSignal && crossUp && Position <= 0)
		{
			BuyMarket();
			_barsFromSignal = 0;
		}
		else if (canSignal && crossDown && Position >= 0)
		{
			SellMarket();
			_barsFromSignal = 0;
		}

		_prevMacd = isFastAbove ? 1m : -1m;
	}
}

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 ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy

class macd_liquidity_tracker_strategy(Strategy):
    """
    MACD Liquidity Tracker: fast/slow EMA crossover with cooldown.
    """

    def __init__(self):
        super(macd_liquidity_tracker_strategy, self).__init__()
        self._fast_length = self.Param("FastLength", 12).SetDisplay("Fast", "Fast EMA", "MACD")
        self._slow_length = self.Param("SlowLength", 26).SetDisplay("Slow", "Slow EMA", "MACD")
        self._cooldown_bars = self.Param("CooldownBars", 10).SetDisplay("Cooldown", "Bars between signals", "Risk")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))).SetDisplay("Candle Type", "Candles", "General")

        self._prev_above = False
        self._is_init = False
        self._bars_from_signal = 9999

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

    def OnReseted(self):
        super(macd_liquidity_tracker_strategy, self).OnReseted()
        self._prev_above = False
        self._is_init = False
        self._bars_from_signal = 9999

    def OnStarted2(self, time):
        super(macd_liquidity_tracker_strategy, self).OnStarted2(time)
        fast = ExponentialMovingAverage()
        fast.Length = self._fast_length.Value
        slow = ExponentialMovingAverage()
        slow.Length = self._slow_length.Value
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(fast, slow, self._process_candle).Start()
        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawIndicator(area, fast)
            self.DrawIndicator(area, slow)
            self.DrawOwnTrades(area)

    def _process_candle(self, candle, fast_val, slow_val):
        if candle.State != CandleStates.Finished:
            return
        fast = float(fast_val)
        slow = float(slow_val)
        if fast == 0 or slow == 0:
            return
        is_above = fast > slow
        if not self._is_init:
            self._prev_above = is_above
            self._is_init = True
            self._bars_from_signal = 0
            return
        self._bars_from_signal += 1
        cross_up = is_above and not self._prev_above
        cross_down = not is_above and self._prev_above
        can_signal = self._bars_from_signal >= self._cooldown_bars.Value
        if can_signal and cross_up and self.Position <= 0:
            self.BuyMarket()
            self._bars_from_signal = 0
        elif can_signal and cross_down and self.Position >= 0:
            self.SellMarket()
            self._bars_from_signal = 0
        self._prev_above = is_above

    def CreateClone(self):
        return macd_liquidity_tracker_strategy()