Стратегия статистического арбитража спреда

using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Statistical arbitrage spread strategy using EMA crossover.
/// </summary>
public class StatisticalArbitrageSpreadStrategy : Strategy
{
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<DataType> _candleType;

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

	public StatisticalArbitrageSpreadStrategy()
	{
		_slowLength = Param(nameof(SlowLength), 40)
			.SetGreaterThanZero()
			.SetDisplay("Slow Length", "Slow EMA period", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle type", "General");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType)];

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		var fast = new ExponentialMovingAverage { Length = 14 };
		var slow = new ExponentialMovingAverage { Length = SlowLength };
		var prevF = 0m; var prevS = 0m; var init = false;
		var lastSignal = DateTimeOffset.MinValue;
		var cooldown = TimeSpan.FromMinutes(360);
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(fast, slow, (candle, f, s) =>
		{
			if (candle.State != CandleStates.Finished) return;
			if (!fast.IsFormed || !slow.IsFormed) return;
			if (!init) { prevF = f; prevS = s; init = true; return; }
			if (candle.OpenTime - lastSignal >= cooldown)
			{
				if (prevF <= prevS && f > s && Position <= 0) { BuyMarket(); lastSignal = candle.OpenTime; }
				else if (prevF >= prevS && f < s && Position >= 0) { SellMarket(); lastSignal = candle.OpenTime; }
			}
			prevF = f; prevS = s;
		}).Start();
		var area = CreateChartArea();
		if (area != null) { DrawCandles(area, subscription); DrawIndicator(area, fast); DrawIndicator(area, slow); 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 ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy


class statistical_arbitrage_spread_strategy(Strategy):
    def __init__(self):
        super(statistical_arbitrage_spread_strategy, self).__init__()
        self._slow_length = self.Param("SlowLength", 40) \
            .SetGreaterThanZero() \
            .SetDisplay("Slow Length", "Slow EMA period", "General")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))) \
            .SetDisplay("Candle Type", "Candle type", "General")
        self._prev_f = 0.0
        self._prev_s = 0.0
        self._init = False
        self._last_signal_ticks = 0

    @property
    def slow_length(self):
        return self._slow_length.Value

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

    def OnReseted(self):
        super(statistical_arbitrage_spread_strategy, self).OnReseted()
        self._prev_f = 0.0
        self._prev_s = 0.0
        self._init = False
        self._last_signal_ticks = 0

    def OnStarted2(self, time):
        super(statistical_arbitrage_spread_strategy, self).OnStarted2(time)
        self._fast = ExponentialMovingAverage()
        self._fast.Length = 14
        self._slow = ExponentialMovingAverage()
        self._slow.Length = self.slow_length
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(self._fast, self._slow, self.on_candle).Start()
        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawIndicator(area, self._fast)
            self.DrawIndicator(area, self._slow)
            self.DrawOwnTrades(area)

    def on_candle(self, candle, f, s):
        if candle.State != CandleStates.Finished:
            return
        if not self._fast.IsFormed or not self._slow.IsFormed:
            return
        f = float(f)
        s = float(s)
        if not self._init:
            self._prev_f = f
            self._prev_s = s
            self._init = True
            return
        cooldown_ticks = TimeSpan.FromMinutes(360).Ticks
        current_ticks = candle.OpenTime.Ticks
        if current_ticks - self._last_signal_ticks >= cooldown_ticks:
            if self._prev_f <= self._prev_s and f > s and self.Position <= 0:
                self.BuyMarket()
                self._last_signal_ticks = current_ticks
            elif self._prev_f >= self._prev_s and f < s and self.Position >= 0:
                self.SellMarket()
                self._last_signal_ticks = current_ticks
        self._prev_f = f
        self._prev_s = s

    def CreateClone(self):
        return statistical_arbitrage_spread_strategy()