AI Grid Strategy

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>
/// Grid-style mean reversion strategy.
/// Buys dips relative to SMA, sells rallies, using ATR-based grid spacing.
/// </summary>
public class AiGridStrategy : Strategy
{
	private readonly StrategyParam<int> _maLength;
	private readonly StrategyParam<DataType> _candleType;

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

	public AiGridStrategy()
	{
		_maLength = Param(nameof(MaLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("MA Length", "SMA period", "Indicators");

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

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

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var sma = new SimpleMovingAverage { Length = MaLength };
		var atr = new StandardDeviation { Length = 14 };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(sma, atr, ProcessCandle)
			.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal smaVal, decimal atrVal)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (atrVal <= 0)
			return;

		var close = candle.ClosePrice;
		var deviation = close - smaVal;

		// Grid buy: price dropped by more than 1 ATR below SMA
		if (deviation < -atrVal && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// Grid sell: price rose by more than 1 ATR above SMA
		else if (deviation > atrVal && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}
		// Take profit at mean
		else if (Position > 0 && close > smaVal)
		{
			SellMarket();
		}
		else if (Position < 0 && close < smaVal)
		{
			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 SimpleMovingAverage, StandardDeviation
from StockSharp.Algo.Strategies import Strategy


class ai_grid_strategy(Strategy):
    def __init__(self):
        super(ai_grid_strategy, self).__init__()
        self._ma_length = self.Param("MaLength", 20) \
            .SetDisplay("MA Length", "SMA period", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Type of candles", "General")

    @property
    def ma_length(self):
        return self._ma_length.Value

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

    def OnStarted2(self, time):
        super(ai_grid_strategy, self).OnStarted2(time)
        sma = SimpleMovingAverage()
        sma.Length = self.ma_length
        atr = StandardDeviation()
        atr.Length = 14
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(sma, atr, self.on_process).Start()
        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawOwnTrades(area)

    def on_process(self, candle, sma_val, atr_val):
        if candle.State != CandleStates.Finished:
            return
        if atr_val <= 0:
            return
        close = candle.ClosePrice
        deviation = close - sma_val
        # Grid buy: price dropped by more than 1 ATR below SMA
        if deviation < -atr_val and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        # Grid sell: price rose by more than 1 ATR above SMA
        elif deviation > atr_val and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
        # Take profit at mean
        elif self.Position > 0 and close > sma_val:
            self.SellMarket()
        elif self.Position < 0 and close < sma_val:
            self.BuyMarket()

    def CreateClone(self):
        return ai_grid_strategy()