Стратегия Time Trader

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>
/// Time-based trader using EMA trend for directional entries.
/// </summary>
public class TimeTraderStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevEma;
	private bool _hasPrev;

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

	public TimeTraderStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "EMA 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 OnReseted()
	{
		base.OnReseted();
		_prevEma = 0;
		_hasPrev = false;
	}

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

		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		SubscribeCandles(CandleType).Bind(ema, ProcessCandle).Start();
	}

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

		if (!_hasPrev)
		{
			_prevEma = emaVal;
			_hasPrev = true;
			return;
		}

		var close = candle.ClosePrice;

		// EMA rising and price above EMA -> buy
		if (emaVal > _prevEma && close > emaVal && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		// EMA falling and price below EMA -> sell
		else if (emaVal < _prevEma && close < emaVal && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevEma = emaVal;
	}
}

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 time_trader_strategy(Strategy):
    def __init__(self):
        super(time_trader_strategy, self).__init__()
        self._ema_period = self.Param("EmaPeriod", 20) \
            .SetDisplay("EMA Period", "EMA period", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Type of candles", "General")
        self._prev_ema = 0.0
        self._has_prev = False

    @property
    def ema_period(self):
        return self._ema_period.Value

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

    def OnReseted(self):
        super(time_trader_strategy, self).OnReseted()
        self._prev_ema = 0.0
        self._has_prev = False

    def OnStarted2(self, time):
        super(time_trader_strategy, self).OnStarted2(time)
        ema = ExponentialMovingAverage()
        ema.Length = self.ema_period
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(ema, self.on_process).Start()
        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawOwnTrades(area)

    def on_process(self, candle, ema_val):
        if candle.State != CandleStates.Finished:
            return
        if not self._has_prev:
            self._prev_ema = ema_val
            self._has_prev = True
            return
        close = candle.ClosePrice
        # EMA rising and price above EMA -> buy
        if ema_val > self._prev_ema and close > ema_val and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        # EMA falling and price below EMA -> sell
        elif ema_val < self._prev_ema and close < ema_val and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
        self._prev_ema = ema_val

    def CreateClone(self):
        return time_trader_strategy()