Fractals Minimum Distance

using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Fractals minimum distance breakout strategy converted from MetaTrader.
/// </summary>
public class FractalsMinimumDistanceStrategy : Strategy
{
	private readonly StrategyParam<int> _distancePips;
	private readonly StrategyParam<int> _signalBar;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevUpperFractal;
	private decimal? _prevLowerFractal;
	private decimal[] _highs = Array.Empty<decimal>();
	private decimal[] _lows = Array.Empty<decimal>();
	private int _bufferCount;
	private int _windowSize;
	private int _signalOffset;
	private decimal _pipSize;

	public int DistancePips
	{
		get => _distancePips.Value;
		set => _distancePips.Value = value;
	}

	public int SignalBar
	{
		get => _signalBar.Value;
		set => _signalBar.Value = value;
	}

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

	public FractalsMinimumDistanceStrategy()
	{
		_distancePips = Param(nameof(DistancePips), 15)
			.SetDisplay("Distance (pips)", "Minimum allowed gap between the last two fractals", "Risk")
			;

		_signalBar = Param(nameof(SignalBar), 3)
			.SetDisplay("Signal bar offset", "How many closed bars ago the fractal must appear", "General")
			;

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle type", "Primary candle series used for signals", "Data")
			;
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_prevUpperFractal = null;
		_prevLowerFractal = null;
		_highs = Array.Empty<decimal>();
		_lows = Array.Empty<decimal>();
		_bufferCount = 0;
		_windowSize = 0;
		_signalOffset = 0;
		_pipSize = 0m;
	}

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

		InitializeBuffers();
		_pipSize = CalculatePipSize();

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(ProcessCandle).Start();

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

	private void InitializeBuffers()
	{
		_signalOffset = Math.Max(2, SignalBar);
		_windowSize = Math.Max(_signalOffset + 3, 5);
		_highs = new decimal[_windowSize];
		_lows = new decimal[_windowSize];
		_bufferCount = 0;
	}

	private void ProcessCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished || _windowSize == 0)
			return;

		// Shift the rolling buffers to keep the configured number of historical bars.
		for (var i = 0; i < _windowSize - 1; i++)
		{
			_highs[i] = _highs[i + 1];
			_lows[i] = _lows[i + 1];
		}

		// Append the latest candle extremes.
		_highs[_windowSize - 1] = candle.HighPrice;
		_lows[_windowSize - 1] = candle.LowPrice;

		if (_bufferCount < _windowSize)
			_bufferCount++;

		if (_bufferCount < _windowSize)
			return;

		var centerIndex = _windowSize - 1 - _signalOffset;
		if (centerIndex < 2 || centerIndex > _windowSize - 3)
			return;

		var high = _highs[centerIndex];
		var low = _lows[centerIndex];

		var isUpperFractal =
			high > _highs[centerIndex - 1] &&
			high > _highs[centerIndex - 2] &&
			high > _highs[centerIndex + 1] &&
			high > _highs[centerIndex + 2];

		var isLowerFractal =
			low < _lows[centerIndex - 1] &&
			low < _lows[centerIndex - 2] &&
			low < _lows[centerIndex + 1] &&
			low < _lows[centerIndex + 2];

		var distanceThreshold = DistancePips * _pipSize;

		if (isUpperFractal)
		{
			_prevUpperFractal = high;

			// Close existing long exposure before reversing.
			if (Position > 0)
				SellMarket();

			// Enter a short position if the fractals are far enough apart.
			if (ShouldOpenTrade(distanceThreshold))
				SellMarket();
		}

		if (isLowerFractal)
		{
			_prevLowerFractal = low;

			// Close existing short exposure before reversing.
			if (Position < 0)
				BuyMarket();

			// Enter a long position if the fractals are far enough apart.
			if (ShouldOpenTrade(distanceThreshold))
				BuyMarket();
		}
	}

	private bool ShouldOpenTrade(decimal distanceThreshold)
	{
		if (Volume <= 0)
			return false;

		if (_prevUpperFractal is not decimal upper || _prevLowerFractal is not decimal lower)
			return false;

		var threshold = Math.Abs(distanceThreshold);
		return Math.Abs(upper - lower) >= threshold;
	}

	private decimal CalculatePipSize()
	{
		var priceStep = Security?.PriceStep;

		if (priceStep is not decimal step || step <= 0m)
			return 1m;

		var decimals = GetDecimalPlaces(step);

		if (decimals == 3 || decimals == 5)
			return step * 10m;

		return step;
	}

	private static int GetDecimalPlaces(decimal value)
	{
		var bits = decimal.GetBits(value);
		return (bits[3] >> 16) & 0xFF;
	}
}

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.Strategies import Strategy


class fractals_minimum_distance_strategy(Strategy):
    """Fractals minimum distance breakout strategy."""

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

        self._distance_pips = self.Param("DistancePips", 15) \
            .SetDisplay("Distance (pips)", "Minimum allowed gap between fractals", "Risk")
        self._signal_bar = self.Param("SignalBar", 3) \
            .SetDisplay("Signal bar offset", "How many closed bars ago the fractal must appear", "General")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle type", "Primary candle series used for signals", "Data")

        self._prev_upper = None
        self._prev_lower = None
        self._highs = []
        self._lows = []
        self._buffer_count = 0
        self._window_size = 0
        self._signal_offset = 0
        self._pip_size = 0.0

    @property
    def DistancePips(self):
        return self._distance_pips.Value
    @property
    def SignalBar(self):
        return self._signal_bar.Value
    @property
    def CandleType(self):
        return self._candle_type.Value

    def _calc_pip_size(self):
        sec = self.Security
        if sec is None or sec.PriceStep is None or float(sec.PriceStep) <= 0:
            return 1.0
        step = float(sec.PriceStep)
        # count decimals
        digits = 0
        temp = step
        while temp > 0 and temp < 1 and digits < 10:
            temp *= 10
            digits += 1
        if digits == 3 or digits == 5:
            return step * 10.0
        return step

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

        self._signal_offset = max(2, self.SignalBar)
        self._window_size = max(self._signal_offset + 3, 5)
        self._highs = [0.0] * self._window_size
        self._lows = [0.0] * self._window_size
        self._buffer_count = 0
        self._pip_size = self._calc_pip_size()

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(self.process_candle).Start()

        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawOwnTrades(area)

    def process_candle(self, candle):
        if candle.State != CandleStates.Finished or self._window_size == 0:
            return

        ws = self._window_size
        for i in range(ws - 1):
            self._highs[i] = self._highs[i + 1]
            self._lows[i] = self._lows[i + 1]

        self._highs[ws - 1] = float(candle.HighPrice)
        self._lows[ws - 1] = float(candle.LowPrice)

        if self._buffer_count < ws:
            self._buffer_count += 1
        if self._buffer_count < ws:
            return

        ci = ws - 1 - self._signal_offset
        if ci < 2 or ci > ws - 3:
            return

        high = self._highs[ci]
        low = self._lows[ci]

        is_upper = (high > self._highs[ci - 1] and high > self._highs[ci - 2] and
                    high > self._highs[ci + 1] and high > self._highs[ci + 2])

        is_lower = (low < self._lows[ci - 1] and low < self._lows[ci - 2] and
                    low < self._lows[ci + 1] and low < self._lows[ci + 2])

        dist_threshold = self.DistancePips * self._pip_size

        if is_upper:
            self._prev_upper = high
            if self.Position > 0:
                self.SellMarket()
            if self._should_open(dist_threshold):
                self.SellMarket()

        if is_lower:
            self._prev_lower = low
            if self.Position < 0:
                self.BuyMarket()
            if self._should_open(dist_threshold):
                self.BuyMarket()

    def _should_open(self, threshold):
        if self.Volume <= 0:
            return False
        if self._prev_upper is None or self._prev_lower is None:
            return False
        return abs(self._prev_upper - self._prev_lower) >= abs(threshold)

    def OnReseted(self):
        super(fractals_minimum_distance_strategy, self).OnReseted()
        self._prev_upper = None
        self._prev_lower = None
        self._highs = []
        self._lows = []
        self._buffer_count = 0
        self._window_size = 0
        self._signal_offset = 0
        self._pip_size = 0.0

    def CreateClone(self):
        return fractals_minimum_distance_strategy()