Стратегия XRVI Crossover

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>
/// XRVI crossover strategy.
/// Buys when RVI Average crosses above Signal, sells when it crosses below.
/// </summary>
public class XrviCrossoverStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevAvg;
	private decimal? _prevSig;

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

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevAvg = null;
		_prevSig = null;
	}

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

		var rvi = new RelativeVigorIndex();

		SubscribeCandles(CandleType)
			.BindEx(rvi, ProcessCandle)
			.Start();
	}

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

		var value = (IRelativeVigorIndexValue)rviValue;
		if (value.Average is not decimal avg || value.Signal is not decimal sig)
			return;

		if (_prevAvg is not null && _prevSig is not null)
		{
			var crossUp = _prevAvg <= _prevSig && avg > sig;
			var crossDown = _prevAvg >= _prevSig && avg < sig;

			if (crossUp && Position <= 0)
			{
				if (Position < 0) BuyMarket();
				BuyMarket();
			}
			else if (crossDown && Position >= 0)
			{
				if (Position > 0) SellMarket();
				SellMarket();
			}
		}

		_prevAvg = avg;
		_prevSig = sig;
	}
}

import clr

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

from System import TimeSpan, Math
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Indicators import RelativeVigorIndex
from StockSharp.Algo.Strategies import Strategy


class xrvi_crossover_strategy(Strategy):

    def __init__(self):
        super(xrvi_crossover_strategy, self).__init__()

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Type of candles", "General")

        self._prev_avg = None
        self._prev_sig = None

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

    @CandleType.setter
    def CandleType(self, value):
        self._candle_type.Value = value

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

        rvi = RelativeVigorIndex()

        self.SubscribeCandles(self.CandleType) \
            .BindEx(rvi, self.ProcessCandle) \
            .Start()

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

        avg_raw = rvi_value.Average
        sig_raw = rvi_value.Signal
        if avg_raw is None or sig_raw is None:
            return

        avg = float(avg_raw)
        sig = float(sig_raw)

        if self._prev_avg is not None and self._prev_sig is not None:
            cross_up = self._prev_avg <= self._prev_sig and avg > sig
            cross_down = self._prev_avg >= self._prev_sig and avg < sig

            if cross_up and self.Position <= 0:
                if self.Position < 0:
                    self.BuyMarket()
                self.BuyMarket()
            elif cross_down and self.Position >= 0:
                if self.Position > 0:
                    self.SellMarket()
                self.SellMarket()

        self._prev_avg = avg
        self._prev_sig = sig

    def OnReseted(self):
        super(xrvi_crossover_strategy, self).OnReseted()
        self._prev_avg = None
        self._prev_sig = None

    def CreateClone(self):
        return xrvi_crossover_strategy()