Стратегия NY Breakout

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 NyBreakoutStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;

	private decimal _dayHigh;
	private decimal _dayLow;
	private DateTime _currentDay;
	private bool _rangeSet;
	private bool _tradedToday;

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_dayHigh = 0m;
		_dayLow = 0m;
		_currentDay = default;
		_rangeSet = false;
		_tradedToday = false;
	}

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

		_dayHigh = 0m;
		_dayLow = 0m;
		_currentDay = default;
		_rangeSet = false;
		_tradedToday = false;

		var sma = new SimpleMovingAverage { Length = 20 };

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

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

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

		var day = candle.OpenTime.Date;

		// New day: close positions, capture first candle range
		if (day != _currentDay)
		{
			_currentDay = day;
			if (Position > 0) SellMarket();
			else if (Position < 0) BuyMarket();
			_dayHigh = candle.HighPrice;
			_dayLow = candle.LowPrice;
			_rangeSet = true;
			_tradedToday = false;
			return;
		}

		if (!_rangeSet || _tradedToday)
			return;

		var range = _dayHigh - _dayLow;
		if (range <= 0)
			return;

		// Entry: breakout above range high
		if (Position <= 0 && candle.ClosePrice > _dayHigh)
		{
			BuyMarket();
			_tradedToday = true;
		}
		else if (Position >= 0 && candle.ClosePrice < _dayLow)
		{
			SellMarket();
			_tradedToday = 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 SimpleMovingAverage
from StockSharp.Algo.Strategies import Strategy


class ny_breakout_strategy(Strategy):
    def __init__(self):
        super(ny_breakout_strategy, self).__init__()
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5)))
        self._day_high = 0.0
        self._day_low = 0.0
        self._current_day = None
        self._range_set = False
        self._traded_today = False

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

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

    def OnReseted(self):
        super(ny_breakout_strategy, self).OnReseted()
        self._day_high = 0.0
        self._day_low = 0.0
        self._current_day = None
        self._range_set = False
        self._traded_today = False

    def OnStarted2(self, time):
        super(ny_breakout_strategy, self).OnStarted2(time)
        self._day_high = 0.0
        self._day_low = 0.0
        self._current_day = None
        self._range_set = False
        self._traded_today = False
        self._sma = SimpleMovingAverage()
        self._sma.Length = 20
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(self._sma, self.OnProcess).Start()

    def OnProcess(self, candle, sma_val):
        if candle.State != CandleStates.Finished:
            return
        day = candle.OpenTime.Date
        close = float(candle.ClosePrice)
        high = float(candle.HighPrice)
        low = float(candle.LowPrice)
        if self._current_day is None or day != self._current_day:
            self._current_day = day
            if self.Position > 0:
                self.SellMarket()
            elif self.Position < 0:
                self.BuyMarket()
            self._day_high = high
            self._day_low = low
            self._range_set = True
            self._traded_today = False
            return
        if not self._range_set or self._traded_today:
            return
        rng = self._day_high - self._day_low
        if rng <= 0:
            return
        if self.Position <= 0 and close > self._day_high:
            self.BuyMarket()
            self._traded_today = True
        elif self.Position >= 0 and close < self._day_low:
            self.SellMarket()
            self._traded_today = True

    def CreateClone(self):
        return ny_breakout_strategy()