Trend RDS

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>
/// Trend recognition strategy based on three consecutive candles.
/// </summary>
public class TrendRdsStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _stopLossPips;
	private readonly StrategyParam<int> _takeProfitPips;
	private readonly StrategyParam<int> _trailingStopPips;
	private readonly StrategyParam<int> _trailingStepPips;
	private readonly StrategyParam<decimal> _riskPercent;
	private readonly StrategyParam<TimeSpan> _startTime;
	private readonly StrategyParam<TimeSpan> _endTime;
	private readonly StrategyParam<bool> _reverse;

	private decimal _prevHigh1;
	private decimal _prevHigh2;
	private decimal _prevHigh3;
	private decimal _prevLow1;
	private decimal _prevLow2;
	private decimal _prevLow3;
	private int _historyCount;

	private decimal _entryPrice;
	private decimal _stopLossPrice;
	private decimal _takeProfitPrice;

	/// <summary>
	/// Type of candles to analyze.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Stop loss distance measured in pips.
	/// </summary>
	public int StopLossPips
	{
		get => _stopLossPips.Value;
		set => _stopLossPips.Value = value;
	}

	/// <summary>
	/// Take profit distance measured in pips.
	/// </summary>
	public int TakeProfitPips
	{
		get => _takeProfitPips.Value;
		set => _takeProfitPips.Value = value;
	}

	/// <summary>
	/// Trailing stop distance measured in pips.
	/// </summary>
	public int TrailingStopPips
	{
		get => _trailingStopPips.Value;
		set => _trailingStopPips.Value = value;
	}

	/// <summary>
	/// Trailing step measured in pips.
	/// </summary>
	public int TrailingStepPips
	{
		get => _trailingStepPips.Value;
		set => _trailingStepPips.Value = value;
	}

	/// <summary>
	/// Percent of account equity to risk per trade.
	/// </summary>
	public decimal RiskPercent
	{
		get => _riskPercent.Value;
		set => _riskPercent.Value = value;
	}

	/// <summary>
	/// Trading session start time (inclusive).
	/// </summary>
	public TimeSpan StartTime
	{
		get => _startTime.Value;
		set => _startTime.Value = value;
	}

	/// <summary>
	/// Trading session end time (exclusive).
	/// </summary>
	public TimeSpan EndTime
	{
		get => _endTime.Value;
		set => _endTime.Value = value;
	}

	/// <summary>
	/// Reverse the trade direction when enabled.
	/// </summary>
	public bool Reverse
	{
		get => _reverse.Value;
		set => _reverse.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="TrendRdsStrategy"/> class.
	/// </summary>
	public TrendRdsStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_stopLossPips = Param(nameof(StopLossPips), 30)
			.SetDisplay("Stop Loss (pips)", "Stop loss distance in pips", "Risk")
			;

		_takeProfitPips = Param(nameof(TakeProfitPips), 65)
			.SetDisplay("Take Profit (pips)", "Take profit distance in pips", "Risk")
			;

		_trailingStopPips = Param(nameof(TrailingStopPips), 0)
			.SetDisplay("Trailing Stop (pips)", "Trailing stop distance in pips", "Risk")
			;

		_trailingStepPips = Param(nameof(TrailingStepPips), 5)
			.SetDisplay("Trailing Step (pips)", "Trailing step increment", "Risk")
			;

		_riskPercent = Param(nameof(RiskPercent), 3m)
			.SetDisplay("Risk %", "Percent of equity to risk", "Risk")
			.SetRange(0m, 100m);

		_startTime = Param(nameof(StartTime), new TimeSpan(0, 0, 0))
			.SetDisplay("Session Start", "Trading session start time", "Session");

		_endTime = Param(nameof(EndTime), new TimeSpan(23, 59, 0))
			.SetDisplay("Session End", "Trading session end time", "Session");

		_reverse = Param(nameof(Reverse), false)
			.SetDisplay("Reverse", "Trade in the opposite direction", "General");
	}

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

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

		_prevHigh1 = 0m;
		_prevHigh2 = 0m;
		_prevHigh3 = 0m;
		_prevLow1 = 0m;
		_prevLow2 = 0m;
		_prevLow3 = 0m;
		_historyCount = 0;
		_entryPrice = 0m;
		_stopLossPrice = 0m;
		_takeProfitPrice = 0m;
	}

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

		if (TrailingStopPips > 0 && TrailingStepPips <= 0)
		{
			throw new InvalidOperationException("Trailing step must be greater than zero when trailing stop is enabled.");
		}

		if (StartTime >= EndTime)
		{
			throw new InvalidOperationException("Session start time must be earlier than end time.");
		}

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

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

	private void ProcessCandle(ICandleMessage candle)
	{
		// Skip unfinished candles to work on closed bars only.
		if (candle.State != CandleStates.Finished)
			return;

		var pip = GetPipSize();

		// Handle protective exits even outside of the session window.
		if (HandleActivePositionExits(candle))
		{
			UpdateHistory(candle);
			return;
		}

		var candleTime = candle.OpenTime.TimeOfDay;
		var inSession = candleTime >= StartTime && candleTime < EndTime;

		if (inSession && _historyCount >= 3)
		{
			var higherLows = _prevLow1 > _prevLow2 && _prevLow2 > _prevLow3;
			var lowerHighs = _prevHigh1 < _prevHigh2 && _prevHigh2 < _prevHigh3;
			var conflict = higherLows && lowerHighs;

			var longSignal = false;
			var shortSignal = false;

			if (!conflict)
			{
				if (higherLows)
				{
					if (Reverse)
						shortSignal = true;
					else
						longSignal = true;
				}

				if (lowerHighs)
				{
					if (Reverse)
						longSignal = true;
					else
						shortSignal = true;
				}
			}

			if (longSignal && Position <= 0)
			{
				EnterLong(candle, pip);
			}
			else if (shortSignal && Position >= 0)
			{
				EnterShort(candle, pip);
			}

			// Update trailing logic after potential entries.
			ApplyTrailing(candle, pip);
		}

		UpdateHistory(candle);
	}

	private void EnterLong(ICandleMessage candle, decimal pip)
	{
		var stopOffset = StopLossPips > 0 ? StopLossPips * pip : 0m;
		var takeOffset = TakeProfitPips > 0 ? TakeProfitPips * pip : 0m;

		var volume = CalculateVolume(stopOffset);
		if (Position < 0)
		{
			volume += Math.Abs(Position);
		}

		BuyMarket(volume);

		_entryPrice = candle.ClosePrice;
		_stopLossPrice = stopOffset > 0m ? _entryPrice - stopOffset : 0m;
		_takeProfitPrice = takeOffset > 0m ? _entryPrice + takeOffset : 0m;
	}

	private void EnterShort(ICandleMessage candle, decimal pip)
	{
		var stopOffset = StopLossPips > 0 ? StopLossPips * pip : 0m;
		var takeOffset = TakeProfitPips > 0 ? TakeProfitPips * pip : 0m;

		var volume = CalculateVolume(stopOffset);
		if (Position > 0)
		{
			volume += Math.Abs(Position);
		}

		SellMarket(volume);

		_entryPrice = candle.ClosePrice;
		_stopLossPrice = stopOffset > 0m ? _entryPrice + stopOffset : 0m;
		_takeProfitPrice = takeOffset > 0m ? _entryPrice - takeOffset : 0m;
	}

	private void ApplyTrailing(ICandleMessage candle, decimal pip)
	{
		if (TrailingStopPips <= 0)
			return;

		var trailingStop = TrailingStopPips * pip;
		var trailingStep = TrailingStepPips * pip;

		if (trailingStop <= 0m || trailingStep <= 0m || _entryPrice == 0m)
			return;

		var price = candle.ClosePrice;

		if (Position > 0)
		{
			var profit = price - _entryPrice;
			if (profit > trailingStop + trailingStep)
			{
				var threshold = price - (trailingStop + trailingStep);
				if (_stopLossPrice == 0m || _stopLossPrice < threshold)
				{
					_stopLossPrice = price - trailingStop;
				}
			}
		}
		else if (Position < 0)
		{
			var profit = _entryPrice - price;
			if (profit > trailingStop + trailingStep)
			{
				var threshold = price + (trailingStop + trailingStep);
				if (_stopLossPrice == 0m || _stopLossPrice > threshold)
				{
					_stopLossPrice = price + trailingStop;
				}
			}
		}
	}

	private bool HandleActivePositionExits(ICandleMessage candle)
	{
		var positionVolume = Math.Abs(Position);
		if (positionVolume == 0m)
			return false;

		if (Position > 0)
		{
			if (_stopLossPrice > 0m && candle.LowPrice <= _stopLossPrice)
			{
				SellMarket(positionVolume);
				ResetPositionState();
				return true;
			}

			if (_takeProfitPrice > 0m && candle.HighPrice >= _takeProfitPrice)
			{
				SellMarket(positionVolume);
				ResetPositionState();
				return true;
			}
		}
		else
		{
			if (_stopLossPrice > 0m && candle.HighPrice >= _stopLossPrice)
			{
				BuyMarket(positionVolume);
				ResetPositionState();
				return true;
			}

			if (_takeProfitPrice > 0m && candle.LowPrice <= _takeProfitPrice)
			{
				BuyMarket(positionVolume);
				ResetPositionState();
				return true;
			}
		}

		return false;
	}

	private decimal CalculateVolume(decimal stopOffset)
	{
		var baseVolume = Volume > 0m ? Volume : 1m;
		var equity = Portfolio?.CurrentValue ?? 0m;

		if (stopOffset <= 0m || equity <= 0m)
			return baseVolume;

		var step = Security?.PriceStep ?? 0m;
		var stepPrice = GetSecurityValue<decimal?>(Level1Fields.StepPrice) ?? 1m;

		if (step <= 0m)
			return baseVolume;

		var stepsToStop = stopOffset / step;
		if (stepsToStop <= 0m)
			return baseVolume;

		var riskAmount = equity * RiskPercent / 100m;
		if (riskAmount <= 0m)
			return baseVolume;

		var riskPerUnit = stepsToStop * stepPrice;
		if (riskPerUnit <= 0m)
			return baseVolume;

		var quantity = riskAmount / riskPerUnit;
		if (quantity <= 0m)
			return baseVolume;

		return Math.Max(quantity, baseVolume);
	}

	private void UpdateHistory(ICandleMessage candle)
	{
		_prevHigh3 = _prevHigh2;
		_prevHigh2 = _prevHigh1;
		_prevHigh1 = candle.HighPrice;

		_prevLow3 = _prevLow2;
		_prevLow2 = _prevLow1;
		_prevLow1 = candle.LowPrice;

		if (_historyCount < 3)
		{
			_historyCount++;
		}
	}

	private void ResetPositionState()
	{
		_entryPrice = 0m;
		_stopLossPrice = 0m;
		_takeProfitPrice = 0m;
	}

	private decimal GetPipSize()
	{
		var step = Security?.PriceStep ?? 0m;
		if (step <= 0m)
			return 1m;

		var pip = step;
		var decimals = GetScale(step);

		if (decimals == 3 || decimals == 5)
		{
			pip *= 10m;
		}

		return pip;
	}

	private static int GetScale(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
from datatype_extensions import *
from indicator_extensions import *

class trend_rds_strategy(Strategy):
    """Trend recognition via three consecutive candle highs/lows with SL/TP management."""
    def __init__(self):
        super(trend_rds_strategy, self).__init__()
        self._sl_points = self.Param("StopLossPoints", 30).SetDisplay("Stop Loss", "Stop loss distance", "Risk")
        self._tp_points = self.Param("TakeProfitPoints", 65).SetDisplay("Take Profit", "Take profit distance", "Risk")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))).SetDisplay("Candle Type", "Timeframe", "General")

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

    def OnReseted(self):
        super(trend_rds_strategy, self).OnReseted()
        self._prev_high1 = 0
        self._prev_high2 = 0
        self._prev_high3 = 0
        self._prev_low1 = 0
        self._prev_low2 = 0
        self._prev_low3 = 0
        self._history_count = 0
        self._entry_price = 0
        self._stop_price = 0
        self._take_price = 0

    def OnStarted2(self, time):
        super(trend_rds_strategy, self).OnStarted2(time)
        self._prev_high1 = 0
        self._prev_high2 = 0
        self._prev_high3 = 0
        self._prev_low1 = 0
        self._prev_low2 = 0
        self._prev_low3 = 0
        self._history_count = 0
        self._entry_price = 0
        self._stop_price = 0
        self._take_price = 0

        sub = self.SubscribeCandles(self.CandleType)
        sub.Bind(self.OnProcess).Start()

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

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

        close = float(candle.ClosePrice)
        high = float(candle.HighPrice)
        low = float(candle.LowPrice)
        sl = self._sl_points.Value
        tp = self._tp_points.Value

        # Handle exits
        if self.Position > 0:
            if self._stop_price > 0 and low <= self._stop_price:
                self.SellMarket()
                self._entry_price = 0
                self._stop_price = 0
                self._take_price = 0
                self._update_history(candle)
                return
            if self._take_price > 0 and high >= self._take_price:
                self.SellMarket()
                self._entry_price = 0
                self._stop_price = 0
                self._take_price = 0
                self._update_history(candle)
                return
        elif self.Position < 0:
            if self._stop_price > 0 and high >= self._stop_price:
                self.BuyMarket()
                self._entry_price = 0
                self._stop_price = 0
                self._take_price = 0
                self._update_history(candle)
                return
            if self._take_price > 0 and low <= self._take_price:
                self.BuyMarket()
                self._entry_price = 0
                self._stop_price = 0
                self._take_price = 0
                self._update_history(candle)
                return

        if self._history_count >= 3:
            higher_lows = self._prev_low1 > self._prev_low2 and self._prev_low2 > self._prev_low3
            lower_highs = self._prev_high1 < self._prev_high2 and self._prev_high2 < self._prev_high3
            conflict = higher_lows and lower_highs

            if not conflict:
                if higher_lows and self.Position <= 0:
                    if self.Position < 0:
                        self.BuyMarket()
                    self.BuyMarket()
                    self._entry_price = close
                    self._stop_price = close - sl if sl > 0 else 0
                    self._take_price = close + tp if tp > 0 else 0
                elif lower_highs and self.Position >= 0:
                    if self.Position > 0:
                        self.SellMarket()
                    self.SellMarket()
                    self._entry_price = close
                    self._stop_price = close + sl if sl > 0 else 0
                    self._take_price = close - tp if tp > 0 else 0

        self._update_history(candle)

    def _update_history(self, candle):
        self._prev_high3 = self._prev_high2
        self._prev_high2 = self._prev_high1
        self._prev_high1 = float(candle.HighPrice)
        self._prev_low3 = self._prev_low2
        self._prev_low2 = self._prev_low1
        self._prev_low1 = float(candle.LowPrice)
        if self._history_count < 3:
            self._history_count += 1

    def CreateClone(self):
        return trend_rds_strategy()