Стратегия FX-CHAOS Scalp

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>
/// FX-CHAOS scalp strategy adapted to the StockSharp high-level API.
/// </summary>
public class FxChaosScalpStrategy : Strategy
{
	private readonly StrategyParam<decimal> _orderVolume;
	private readonly StrategyParam<decimal> _stopLossPoints;
	private readonly StrategyParam<decimal> _takeProfitPoints;
	private readonly StrategyParam<DataType> _tradingCandleType;
	private readonly StrategyParam<DataType> _dailyCandleType;

	private readonly StrategyParam<int> _zigZagWindowSize;

	private AwesomeOscillator _awesomeOscillator;
	private FractalZigZagTracker _hourlyTracker;
	private FractalZigZagTracker _dailyTracker;

	private decimal _previousHigh;
	private decimal _previousLow;
	private bool _hasPrevious;

	private decimal _entryPrice;
	private bool _hasEntry;

	public decimal OrderVolume
	{
		get => _orderVolume.Value;
		set => _orderVolume.Value = value;
	}

	public decimal StopLossPoints
	{
		get => _stopLossPoints.Value;
		set => _stopLossPoints.Value = value;
	}

	public decimal TakeProfitPoints
	{
		get => _takeProfitPoints.Value;
		set => _takeProfitPoints.Value = value;
	}

	public DataType TradingCandleType
	{
		get => _tradingCandleType.Value;
		set => _tradingCandleType.Value = value;
	}

	public DataType DailyCandleType
	{
		get => _dailyCandleType.Value;
		set => _dailyCandleType.Value = value;
	}

	public int ZigZagWindowSize
	{
		get => _zigZagWindowSize.Value;
		set
		{
			var sanitized = Math.Max(3, value);
			if ((sanitized & 1) == 0)
				sanitized += 1;

			_zigZagWindowSize.Value = sanitized;
		}
	}

	public FxChaosScalpStrategy()
	{
		_orderVolume = Param(nameof(OrderVolume), 0.1m)
			.SetGreaterThanZero()
			.SetDisplay("Volume", "Order volume in lots", "Trading");

		_stopLossPoints = Param(nameof(StopLossPoints), 50m)
			.SetDisplay("Stop Loss (pts)", "Stop loss distance in points", "Risk");

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 50m)
			.SetDisplay("Take Profit (pts)", "Take profit distance in points", "Risk");

		_tradingCandleType = Param(nameof(TradingCandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Trading Candle", "Primary trading timeframe", "General");

		_dailyCandleType = Param(nameof(DailyCandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Daily Candle", "Higher timeframe for ZigZag filter", "General");

		_zigZagWindowSize = Param(nameof(ZigZagWindowSize), 5)
			.SetRange(3, 20)
			.SetDisplay("ZigZag Window", "Candle count for ZigZag detection", "Indicators");

		_hourlyTracker = null;
		_dailyTracker = null;
	}

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

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

		Volume = OrderVolume;
		_hourlyTracker = null;
		_dailyTracker = null;
		_previousHigh = 0m;
		_previousLow = 0m;
		_hasPrevious = false;
		_entryPrice = 0m;
		_hasEntry = false;
	}

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

		Volume = OrderVolume;

		_awesomeOscillator = new AwesomeOscillator
		{
			ShortMa = { Length = 5 },
			LongMa = { Length = 34 }
		};
		_hourlyTracker = new FractalZigZagTracker(ZigZagWindowSize);
		_dailyTracker = new FractalZigZagTracker(ZigZagWindowSize);

		var dailySubscription = SubscribeCandles(DailyCandleType);
		dailySubscription.Bind(ProcessDailyCandle).Start();

		var tradingSubscription = SubscribeCandles(TradingCandleType);
		tradingSubscription.Bind(ProcessTradingCandleRaw).Start();

		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(1, UnitTypes.Percent)
		);

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

	private void ProcessDailyCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		// Update higher timeframe ZigZag filter.
		_dailyTracker.Update(candle);
	}

	private void ProcessTradingCandleRaw(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		// Track ZigZag swings for the trading timeframe.
		_hourlyTracker.Update(candle);

		var aoValue = _awesomeOscillator.Process(candle);

		if (!_hasPrevious)
		{
			UpdatePreviousLevels(candle);
			return;
		}

		if (aoValue.IsEmpty || !_awesomeOscillator.IsFormed)
		{
			UpdatePreviousLevels(candle);
			return;
		}

		var ao = aoValue.ToDecimal();
		var open = candle.OpenPrice;
		var close = candle.ClosePrice;

		// Evaluate breakout conditions relative to previous levels and AO.
		var longSignal = open < _previousHigh && close > _previousHigh && ao < 0m;
		var shortSignal = open > _previousLow && close < _previousLow && ao > 0m;

		if (longSignal && Position == 0)
		{
			BuyMarket();
			_entryPrice = close;
			_hasEntry = true;
		}
		else if (shortSignal && Position == 0)
		{
			SellMarket();
			_entryPrice = close;
			_hasEntry = true;
		}

		if (Position == 0)
		{
			_hasEntry = false;
			_entryPrice = 0m;
		}

		UpdatePreviousLevels(candle);
	}

	private void UpdatePreviousLevels(ICandleMessage candle)
	{
		_previousHigh = candle.HighPrice;
		_previousLow = candle.LowPrice;
		_hasPrevious = true;
	}

	private bool ManageRisk(ICandleMessage candle)
	{
		if (Position == 0)
		{
			_hasEntry = false;
			_entryPrice = 0m;
			return false;
		}

		if (!_hasEntry)
			return false;

		var step = GetPriceStep();

		if (Position > 0)
		{
			var stop = StopLossPoints > 0m ? _entryPrice - StopLossPoints * step : (decimal?)null;
			var take = TakeProfitPoints > 0m ? _entryPrice + TakeProfitPoints * step : (decimal?)null;

			if (stop is decimal stopPrice && candle.LowPrice <= stopPrice)
			{
				if (Position > 0) SellMarket(Position); else if (Position < 0) BuyMarket(Math.Abs(Position));
				_hasEntry = false;
				_entryPrice = 0m;
				return true;
			}

			if (take is decimal takePrice && candle.HighPrice >= takePrice)
			{
				if (Position > 0) SellMarket(Position); else if (Position < 0) BuyMarket(Math.Abs(Position));
				_hasEntry = false;
				_entryPrice = 0m;
				return true;
			}
		}
		else if (Position < 0)
		{
			var stop = StopLossPoints > 0m ? _entryPrice + StopLossPoints * step : (decimal?)null;
			var take = TakeProfitPoints > 0m ? _entryPrice - TakeProfitPoints * step : (decimal?)null;

			if (stop is decimal stopPrice && candle.HighPrice >= stopPrice)
			{
				if (Position > 0) SellMarket(Position); else if (Position < 0) BuyMarket(Math.Abs(Position));
				_hasEntry = false;
				_entryPrice = 0m;
				return true;
			}

			if (take is decimal takePrice && candle.LowPrice <= takePrice)
			{
				if (Position > 0) SellMarket(Position); else if (Position < 0) BuyMarket(Math.Abs(Position));
				_hasEntry = false;
				_entryPrice = 0m;
				return true;
			}
		}

		return false;
	}

	private decimal GetPriceStep()
	{
		var step = Security?.PriceStep;
		return step is decimal value && value > 0m ? value : 1m;
	}

	private sealed class FractalZigZagTracker
	{
		private readonly int _windowSize;
		private readonly CandleInfo[] _window;
		private int _count;
		private decimal? _lastValue;
		private int _direction;

		public FractalZigZagTracker(int windowSize)
		{
			if (windowSize < 3)
				windowSize = 3;

			if ((windowSize & 1) == 0)
				windowSize += 1;

			_windowSize = windowSize;
			_window = new CandleInfo[_windowSize];
		}

		public decimal? LastValue => _lastValue;

		public void Reset()
		{
			Array.Clear(_window, 0, _window.Length);
			_count = 0;
			_lastValue = null;
			_direction = 0;
		}

		public decimal? Update(ICandleMessage candle)
		{
			if (_count < _windowSize)
			{
				_window[_count++] = new CandleInfo(candle.HighPrice, candle.LowPrice);
				if (_count < _windowSize)
					return _lastValue;

				Evaluate();
				return _lastValue;
			}

			for (var i = 0; i < _windowSize - 1; i++)
				_window[i] = _window[i + 1];

			_window[_windowSize - 1] = new CandleInfo(candle.HighPrice, candle.LowPrice);

			Evaluate();
			return _lastValue;
		}

		private void Evaluate()
		{
			if (_count < _windowSize)
				return;

			var centerIndex = _windowSize / 2;
			var center = _window[centerIndex];

			var isUp = true;
			var isDown = true;

			for (var i = 0; i < _windowSize; i++)
			{
				if (i == centerIndex)
					continue;

				var candle = _window[i];

				if (i < centerIndex)
				{
					if (center.High <= candle.High)
						isUp = false;

					if (center.Low >= candle.Low)
						isDown = false;
				}
				else
				{
					if (center.High < candle.High)
						isUp = false;

					if (center.Low > candle.Low)
						isDown = false;
				}

				if (!isUp && !isDown)
					break;
			}

			if (isUp)
			{
				if (_direction == 1)
				{
					if (_lastValue == null || center.High > _lastValue.Value)
						_lastValue = center.High;
				}
				else
				{
					_lastValue = center.High;
					_direction = 1;
				}
			}
			else if (isDown)
			{
				if (_direction == -1)
				{
					if (_lastValue == null || center.Low < _lastValue.Value)
						_lastValue = center.Low;
				}
				else
				{
					_lastValue = center.Low;
					_direction = -1;
				}
			}
		}

		private readonly struct CandleInfo
		{
			public CandleInfo(decimal high, decimal low)
			{
				High = high;
				Low = low;
			}

			public decimal High { get; }

			public decimal Low { get; }
		}
	}
}

import clr

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

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


class fx_chaos_scalp_strategy(Strategy):
    def __init__(self):
        super(fx_chaos_scalp_strategy, self).__init__()

        self._stop_loss_points = self.Param("StopLossPoints", 50.0)
        self._take_profit_points = self.Param("TakeProfitPoints", 50.0)
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5)))
        self._zig_zag_window_size = self.Param("ZigZagWindowSize", 5)

        self._ao = None
        self._previous_high = 0.0
        self._previous_low = 0.0
        self._has_previous = False
        self._entry_price = 0.0
        self._has_entry = False

        self._zz_window = []
        self._zz_last_value = None
        self._zz_direction = 0

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

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

        self._ao = AwesomeOscillator()
        self._ao.ShortMa.Length = 5
        self._ao.LongMa.Length = 34

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

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

        self._update_zigzag(candle)

        civ = CandleIndicatorValue(self._ao, candle)
        civ.IsFinal = True
        ao_result = self._ao.Process(civ)

        if not self._has_previous:
            self._update_previous_levels(candle)
            return

        if ao_result.IsEmpty or not self._ao.IsFormed:
            self._update_previous_levels(candle)
            return

        ao = float(ao_result.Value)
        open_price = float(candle.OpenPrice)
        close_price = float(candle.ClosePrice)

        long_signal = open_price < self._previous_high and close_price > self._previous_high and ao < 0.0
        short_signal = open_price > self._previous_low and close_price < self._previous_low and ao > 0.0

        if long_signal and self.Position == 0:
            self.BuyMarket()
            self._entry_price = close_price
            self._has_entry = True
        elif short_signal and self.Position == 0:
            self.SellMarket()
            self._entry_price = close_price
            self._has_entry = True

        if self.Position != 0 and self._has_entry:
            if self._manage_risk(candle):
                pass

        if self.Position == 0:
            self._has_entry = False
            self._entry_price = 0.0

        self._update_previous_levels(candle)

    def _manage_risk(self, candle):
        if self.Position == 0:
            self._has_entry = False
            self._entry_price = 0.0
            return False

        if not self._has_entry:
            return False

        step = self._get_price_step()

        if self.Position > 0:
            stop = self._entry_price - self._stop_loss_points.Value * step if self._stop_loss_points.Value > 0 else None
            take = self._entry_price + self._take_profit_points.Value * step if self._take_profit_points.Value > 0 else None

            if stop is not None and float(candle.LowPrice) <= stop:
                self.SellMarket(self.Position)
                self._has_entry = False
                self._entry_price = 0.0
                return True
            if take is not None and float(candle.HighPrice) >= take:
                self.SellMarket(self.Position)
                self._has_entry = False
                self._entry_price = 0.0
                return True
        elif self.Position < 0:
            stop = self._entry_price + self._stop_loss_points.Value * step if self._stop_loss_points.Value > 0 else None
            take = self._entry_price - self._take_profit_points.Value * step if self._take_profit_points.Value > 0 else None

            if stop is not None and float(candle.HighPrice) >= stop:
                self.BuyMarket(abs(self.Position))
                self._has_entry = False
                self._entry_price = 0.0
                return True
            if take is not None and float(candle.LowPrice) <= take:
                self.BuyMarket(abs(self.Position))
                self._has_entry = False
                self._entry_price = 0.0
                return True

        return False

    def _update_zigzag(self, candle):
        ws = self._zig_zag_window_size.Value
        if ws < 3:
            ws = 3
        if ws % 2 == 0:
            ws += 1

        self._zz_window.append((float(candle.HighPrice), float(candle.LowPrice)))
        if len(self._zz_window) > ws:
            self._zz_window = self._zz_window[len(self._zz_window) - ws:]

        if len(self._zz_window) < ws:
            return

        center = ws // 2
        ch, cl = self._zz_window[center]
        is_up = True
        is_down = True

        for i in range(ws):
            if i == center:
                continue
            h, l = self._zz_window[i]
            if i < center:
                if ch <= h:
                    is_up = False
                if cl >= l:
                    is_down = False
            else:
                if ch < h:
                    is_up = False
                if cl > l:
                    is_down = False
            if not is_up and not is_down:
                break

        if is_up:
            if self._zz_direction == 1:
                if self._zz_last_value is None or ch > self._zz_last_value:
                    self._zz_last_value = ch
            else:
                self._zz_last_value = ch
                self._zz_direction = 1
        elif is_down:
            if self._zz_direction == -1:
                if self._zz_last_value is None or cl < self._zz_last_value:
                    self._zz_last_value = cl
            else:
                self._zz_last_value = cl
                self._zz_direction = -1

    def _update_previous_levels(self, candle):
        self._previous_high = float(candle.HighPrice)
        self._previous_low = float(candle.LowPrice)
        self._has_previous = True

    def _get_price_step(self):
        step = float(self.Security.PriceStep) if self.Security is not None and self.Security.PriceStep is not None else 1.0
        return step if step > 0 else 1.0

    def OnReseted(self):
        super(fx_chaos_scalp_strategy, self).OnReseted()
        self._ao = None
        self._previous_high = 0.0
        self._previous_low = 0.0
        self._has_previous = False
        self._entry_price = 0.0
        self._has_entry = False
        self._zz_window = []
        self._zz_last_value = None
        self._zz_direction = 0

    def CreateClone(self):
        return fx_chaos_scalp_strategy()