Стратегия Pairs Strategy

using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Buys when the reference asset closes above its open and the current symbol forms a down bar.
/// Closes the position when price closes above the previous candle's high.
/// </summary>
public class PairsStrategy : Strategy
{
	private readonly StrategyParam<Security> _referenceSecurity;
	private readonly StrategyParam<DataType> _candleType;

	private bool _referenceUp;
	private decimal _previousHigh;

	/// <summary>
	/// Reference security used for comparison.
	/// </summary>
	public Security ReferenceSecurity
	{
		get => _referenceSecurity.Value;
		set => _referenceSecurity.Value = value;
	}

	/// <summary>
	/// Candle type used for calculations.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="PairsStrategy"/>.
	/// </summary>
	public PairsStrategy()
	{
		_referenceSecurity = Param<Security>(nameof(ReferenceSecurity))
			.SetDisplay("Reference Security", "Security used for pair comparison", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType), (ReferenceSecurity, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_referenceUp = false;
		_previousHigh = 0m;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		if (ReferenceSecurity == null)
			throw new InvalidOperationException("ReferenceSecurity must be specified.");

		base.OnStarted2(time);

		SubscribeCandles(CandleType, true, ReferenceSecurity)
			.Bind(ProcessReference)
			.Start();

		SubscribeCandles(CandleType)
			.Bind(ProcessMain)
			.Start();

		StartProtection(null, null);
	}

	private void ProcessReference(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		_referenceUp = candle.ClosePrice > candle.OpenPrice;
	}

	private void ProcessMain(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (Position <= 0 && _referenceUp && candle.ClosePrice < candle.OpenPrice && IsFormedAndOnlineAndAllowTrading())
			BuyMarket();

		if (Position > 0 && candle.ClosePrice > _previousHigh && IsFormedAndOnlineAndAllowTrading())
			SellMarket();

		_previousHigh = candle.HighPrice;
	}
}

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")

from System import TimeSpan, InvalidOperationException
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Strategies import Strategy


class pairs_strategy(Strategy):
    def __init__(self):
        super(pairs_strategy, self).__init__()

        self._reference_security = self.Param("ReferenceSecurity", None) \
            .SetDisplay("Reference Security", "Security used for pair comparison", "General")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(1))) \
            .SetDisplay("Candle Type", "Type of candles to use", "General")

        self._reference_up = False
        self._previous_high = 0.0

    @property
    def reference_security(self):
        return self._reference_security.Value

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

    def OnReseted(self):
        super(pairs_strategy, self).OnReseted()
        self._reference_up = False
        self._previous_high = 0.0

    def OnStarted2(self, time):
        super(pairs_strategy, self).OnStarted2(time)

        if self.reference_security is None:
            raise InvalidOperationException("ReferenceSecurity must be specified.")

        self.StartProtection(None, None)

        self.SubscribeCandles(self.candle_type, True, self.reference_security) \
            .Bind(self._process_reference).Start()

        self.SubscribeCandles(self.candle_type) \
            .Bind(self._process_main).Start()

    def _process_reference(self, candle):
        if candle.State != CandleStates.Finished:
            return
        self._reference_up = float(candle.ClosePrice) > float(candle.OpenPrice)

    def _process_main(self, candle):
        if candle.State != CandleStates.Finished:
            return

        close = float(candle.ClosePrice)
        opn = float(candle.OpenPrice)

        if self.Position <= 0 and self._reference_up and close < opn and self.IsFormedAndOnlineAndAllowTrading():
            self.BuyMarket()

        if self.Position > 0 and close > self._previous_high and self.IsFormedAndOnlineAndAllowTrading():
            self.SellMarket()

        self._previous_high = float(candle.HighPrice)

    def CreateClone(self):
        return pairs_strategy()