Стратегия ORB 15m – Первый 15‑минутный пробой (Long/Short)

using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

public class Orb15mFirst15minBreakoutStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;

	private decimal _orHigh;
	private decimal _orLow;
	private bool _tradeTakenToday;
	private bool _wasInOr;
	private DateTime _currentDay;
	private bool _orEstablished;

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

	public Orb15mFirst15minBreakoutStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame());
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_orHigh = 0;
		_orLow = 0;
		_tradeTakenToday = false;
		_wasInOr = false;
		_currentDay = default;
		_orEstablished = false;
	}

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

		_orHigh = 0;
		_orLow = 0;
		_tradeTakenToday = false;
		_wasInOr = false;
		_currentDay = default;
		_orEstablished = false;

		var sma = new SimpleMovingAverage { Length = 20 };
		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(sma, (candle, smaVal) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!sma.IsFormed)
					return;

				var day = candle.OpenTime.Date;
				if (_currentDay != day)
				{
					_currentDay = day;
					_orHigh = 0;
					_orLow = 0;
					_tradeTakenToday = false;
					_orEstablished = false;
				}

				var hour = candle.OpenTime.TimeOfDay.TotalHours;
				var inOr = hour < 1;

				if (inOr)
				{
					_orHigh = _orHigh > 0 ? Math.Max(_orHigh, candle.HighPrice) : candle.HighPrice;
					_orLow = _orLow > 0 ? Math.Min(_orLow, candle.LowPrice) : candle.LowPrice;
				}

				if (_wasInOr && !inOr && _orHigh > 0 && _orLow > 0 && _orHigh - _orLow > 0)
					_orEstablished = true;

				if (!_tradeTakenToday && _orEstablished && !inOr)
				{
					if (candle.ClosePrice > _orHigh && candle.ClosePrice > smaVal && Position <= 0)
					{
						BuyMarket();
						_tradeTakenToday = true;
					}
					else if (candle.ClosePrice < _orLow && candle.ClosePrice < smaVal && Position >= 0)
					{
						SellMarket();
						_tradeTakenToday = true;
					}
				}

				_wasInOr = inOr;
			})
			.Start();

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

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.Indicators import SimpleMovingAverage
from StockSharp.Algo.Strategies import Strategy


class orb_15m_first_15min_breakout_strategy(Strategy):
    def __init__(self):
        super(orb_15m_first_15min_breakout_strategy, self).__init__()
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5)))
        self._or_high = 0.0
        self._or_low = 0.0
        self._trade_taken_today = False
        self._was_in_or = False
        self._current_day = None
        self._or_established = 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(orb_15m_first_15min_breakout_strategy, self).OnReseted()
        self._or_high = 0.0
        self._or_low = 0.0
        self._trade_taken_today = False
        self._was_in_or = False
        self._current_day = None
        self._or_established = False

    def OnStarted2(self, time):
        super(orb_15m_first_15min_breakout_strategy, self).OnStarted2(time)
        self._or_high = 0.0
        self._or_low = 0.0
        self._trade_taken_today = False
        self._was_in_or = False
        self._current_day = None
        self._or_established = 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
        if not self._sma.IsFormed:
            return
        sv = float(sma_val)
        close = float(candle.ClosePrice)
        high = float(candle.HighPrice)
        low = float(candle.LowPrice)
        day = candle.OpenTime.Date
        if self._current_day is None or self._current_day != day:
            self._current_day = day
            self._or_high = 0.0
            self._or_low = 0.0
            self._trade_taken_today = False
            self._or_established = False
        hour = candle.OpenTime.TimeOfDay.TotalHours
        in_or = hour < 1
        if in_or:
            self._or_high = max(self._or_high, high) if self._or_high > 0 else high
            self._or_low = min(self._or_low, low) if self._or_low > 0 else low
        if self._was_in_or and not in_or and self._or_high > 0 and self._or_low > 0 and self._or_high - self._or_low > 0:
            self._or_established = True
        if not self._trade_taken_today and self._or_established and not in_or:
            if close > self._or_high and close > sv and self.Position <= 0:
                self.BuyMarket()
                self._trade_taken_today = True
            elif close < self._or_low and close < sv and self.Position >= 0:
                self.SellMarket()
                self._trade_taken_today = True
        self._was_in_or = in_or

    def CreateClone(self):
        return orb_15m_first_15min_breakout_strategy()