Стратегия внешнего бара

using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

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

	private decimal _prevHigh;
	private decimal _prevLow;
	private bool _hasPrev;

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevHigh = 0;
		_prevLow = 0;
		_hasPrev = false;
	}

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

		_prevHigh = 0;
		_prevLow = 0;
		_hasPrev = false;

		var sma = new SimpleMovingAverage { Length = 20 };
		var lastSignal = DateTimeOffset.MinValue;
		var cooldown = TimeSpan.FromMinutes(360);

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

				if (!sma.IsFormed)
					return;

				if (!_hasPrev)
				{
					_prevHigh = candle.HighPrice;
					_prevLow = candle.LowPrice;
					_hasPrev = true;
					return;
				}

				var isOutsideBar = candle.HighPrice > _prevHigh && candle.LowPrice < _prevLow;

				if (isOutsideBar && candle.OpenTime - lastSignal >= cooldown)
				{
					var isBullish = candle.ClosePrice > candle.OpenPrice;

					if (isBullish && candle.ClosePrice > smaVal && Position <= 0)
					{
						BuyMarket();
						lastSignal = candle.OpenTime;
					}
					else if (!isBullish && candle.ClosePrice < smaVal && Position >= 0)
					{
						SellMarket();
						lastSignal = candle.OpenTime;
					}
				}

				_prevHigh = candle.HighPrice;
				_prevLow = candle.LowPrice;
			})
			.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
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Indicators import SimpleMovingAverage
from StockSharp.Algo.Strategies import Strategy


class outside_bar_strategy(Strategy):
    def __init__(self):
        super(outside_bar_strategy, self).__init__()
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5)))
        self._prev_high = 0.0
        self._prev_low = 0.0
        self._has_prev = False
        self._last_signal_ticks = 0

    @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(outside_bar_strategy, self).OnReseted()
        self._prev_high = 0.0
        self._prev_low = 0.0
        self._has_prev = False
        self._last_signal_ticks = 0

    def OnStarted2(self, time):
        super(outside_bar_strategy, self).OnStarted2(time)
        self._prev_high = 0.0
        self._prev_low = 0.0
        self._has_prev = False
        self._last_signal_ticks = 0
        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)
        high = float(candle.HighPrice)
        low = float(candle.LowPrice)
        close = float(candle.ClosePrice)
        opn = float(candle.OpenPrice)
        if not self._has_prev:
            self._prev_high = high
            self._prev_low = low
            self._has_prev = True
            return
        is_outside_bar = high > self._prev_high and low < self._prev_low
        cooldown_ticks = TimeSpan.FromMinutes(360).Ticks
        current_ticks = candle.OpenTime.Ticks
        if is_outside_bar and current_ticks - self._last_signal_ticks >= cooldown_ticks:
            is_bullish = close > opn
            if is_bullish and close > sv and self.Position <= 0:
                self.BuyMarket()
                self._last_signal_ticks = current_ticks
            elif not is_bullish and close < sv and self.Position >= 0:
                self.SellMarket()
                self._last_signal_ticks = current_ticks
        self._prev_high = high
        self._prev_low = low

    def CreateClone(self):
        return outside_bar_strategy()