Стратегия Fxscalper

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>
/// Bollinger Band breakout scalping strategy.
/// </summary>
public class FxscalperStrategy : Strategy
{
	private readonly StrategyParam<int> _bollingerPeriod;
	private readonly StrategyParam<decimal> _bollingerDeviation;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _entryPrice;

	public int BollingerPeriod { get => _bollingerPeriod.Value; set => _bollingerPeriod.Value = value; }
	public decimal BollingerDeviation { get => _bollingerDeviation.Value; set => _bollingerDeviation.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public FxscalperStrategy()
	{
		_bollingerPeriod = Param(nameof(BollingerPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("BB Period", "Bollinger Bands length", "Indicators");

		_bollingerDeviation = Param(nameof(BollingerDeviation), 2m)
			.SetGreaterThanZero()
			.SetDisplay("BB Width", "Bollinger Bands width", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle Type", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_entryPrice = 0;
	}

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

		var bollinger = new BollingerBands { Length = BollingerPeriod, Width = BollingerDeviation };

		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(bollinger, ProcessCandle).Start();

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

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

		var bb = (BollingerBandsValue)bbValue;
		if (bb.UpBand is not decimal upper ||
			bb.LowBand is not decimal lower ||
			bb.MovingAverage is not decimal middle)
			return;

		if (candle.ClosePrice > upper && Position <= 0)
		{
			BuyMarket();
			_entryPrice = candle.ClosePrice;
		}
		else if (candle.ClosePrice < lower && Position >= 0)
		{
			SellMarket();
			_entryPrice = candle.ClosePrice;
		}

		// Mean reversion exit: close when price returns to middle band
		if (Position > 0 && candle.ClosePrice <= middle)
			SellMarket();
		else if (Position < 0 && candle.ClosePrice >= middle)
			BuyMarket();
	}
}

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 BollingerBands
from StockSharp.Algo.Strategies import Strategy


class fxscalper_strategy(Strategy):
    def __init__(self):
        super(fxscalper_strategy, self).__init__()
        self._bollinger_period = self.Param("BollingerPeriod", 20) \
            .SetDisplay("BB Period", "Bollinger Bands length", "Indicators")
        self._bollinger_deviation = self.Param("BollingerDeviation", 2.0) \
            .SetDisplay("BB Width", "Bollinger Bands width", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candle Type", "General")
        self._entry_price = 0.0

    @property
    def bollinger_period(self):
        return self._bollinger_period.Value

    @property
    def bollinger_deviation(self):
        return self._bollinger_deviation.Value

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

    def OnReseted(self):
        super(fxscalper_strategy, self).OnReseted()
        self._entry_price = 0.0

    def OnStarted2(self, time):
        super(fxscalper_strategy, self).OnStarted2(time)
        bollinger = BollingerBands()
        bollinger.Length = self.bollinger_period
        bollinger.Width = self.bollinger_deviation
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.BindEx(bollinger, self.on_process).Start()
        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawIndicator(area, bollinger)
            self.DrawOwnTrades(area)

    def on_process(self, candle, value):
        if candle.State != CandleStates.Finished:
            return
        upper = float(value.UpBand)
        lower = float(value.LowBand)
        middle = float(value.MovingAverage)
        if upper == 0 or lower == 0:
            return
        close = float(candle.ClosePrice)
        if close > upper and self.Position <= 0:
            self.BuyMarket()
            self._entry_price = close
        elif close < lower and self.Position >= 0:
            self.SellMarket()
            self._entry_price = close
        if self.Position > 0 and close <= middle:
            self.SellMarket()
        elif self.Position < 0 and close >= middle:
            self.BuyMarket()

    def CreateClone(self):
        return fxscalper_strategy()