Previous Candle Breakdown 2

using System;
using System.Collections.Generic;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Previous candle breakdown strategy v2.
/// Trades breakout of previous candle high/low filtered by EMA crossover.
/// </summary>
public class PreviousCandleBreakdown2Strategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private decimal? _prevHigh;
	private decimal? _prevLow;
	private decimal? _prevFast;
	private decimal? _prevSlow;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }

	public PreviousCandleBreakdown2Strategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame()).SetDisplay("Candle Type", "Timeframe", "General");
		_fastPeriod = Param(nameof(FastPeriod), 10).SetGreaterThanZero().SetDisplay("Fast EMA", "Fast EMA period", "Indicators");
		_slowPeriod = Param(nameof(SlowPeriod), 30).SetGreaterThanZero().SetDisplay("Slow EMA", "Slow EMA period", "Indicators");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevHigh = null;
		_prevLow = null;
		_prevFast = null;
		_prevSlow = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevHigh = null; _prevLow = null; _prevFast = null; _prevSlow = null;
		var fast = new ExponentialMovingAverage { Length = FastPeriod };
		var slow = new ExponentialMovingAverage { Length = SlowPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(fast, slow, ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null) { DrawCandles(area, subscription); DrawIndicator(area, fast); DrawIndicator(area, slow); DrawOwnTrades(area); }
	}

	private void ProcessCandle(ICandleMessage candle, decimal fast, decimal slow)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevHigh = candle.HighPrice;
			_prevLow = candle.LowPrice;
			_prevFast = fast;
			_prevSlow = slow;
			return;
		}
		if (_prevHigh == null || _prevLow == null || _prevFast == null || _prevSlow == null)
		{
			_prevHigh = candle.HighPrice; _prevLow = candle.LowPrice; _prevFast = fast; _prevSlow = slow;
			return;
		}
		var close = candle.ClosePrice;
		var bullTrend = fast > slow;
		var bearTrend = fast < slow;
		if (bullTrend && close > _prevHigh.Value && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (bearTrend && close < _prevLow.Value && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}
		_prevHigh = candle.HighPrice; _prevLow = candle.LowPrice; _prevFast = fast; _prevSlow = slow;
	}
}

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 previous_candle_breakdown2_strategy(Strategy):
    def __init__(self):
        super(previous_candle_breakdown2_strategy, self).__init__()

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Timeframe", "General")
        self._fast_period = self.Param("FastPeriod", 10) \
            .SetDisplay("Fast EMA", "Fast EMA period", "Indicators")
        self._slow_period = self.Param("SlowPeriod", 30) \
            .SetDisplay("Slow EMA", "Slow EMA period", "Indicators")

        self._prev_high = None
        self._prev_low = None
        self._prev_fast = None
        self._prev_slow = None

    @property
    def CandleType(self):
        return self._candle_type.Value
    @property
    def FastPeriod(self):
        return self._fast_period.Value
    @property
    def SlowPeriod(self):
        return self._slow_period.Value

    def OnReseted(self):
        super(previous_candle_breakdown2_strategy, self).OnReseted()
        self._prev_high = None
        self._prev_low = None
        self._prev_fast = None
        self._prev_slow = None

    def OnStarted2(self, time):
        super(previous_candle_breakdown2_strategy, self).OnStarted2(time)
        self._prev_high = None
        self._prev_low = None
        self._prev_fast = None
        self._prev_slow = None

        fast = ExponentialMovingAverage()
        fast.Length = self.FastPeriod
        slow = ExponentialMovingAverage()
        slow.Length = self.SlowPeriod

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(fast, slow, self._on_process).Start()

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

    def _on_process(self, candle, fast_value, slow_value):
        if candle.State != CandleStates.Finished:
            return
        fv = float(fast_value)
        sv = float(slow_value)
        if not self.IsFormedAndOnlineAndAllowTrading():
            self._prev_high = float(candle.HighPrice)
            self._prev_low = float(candle.LowPrice)
            self._prev_fast = fv
            self._prev_slow = sv
            return
        if self._prev_high is None or self._prev_low is None or self._prev_fast is None or self._prev_slow is None:
            self._prev_high = float(candle.HighPrice)
            self._prev_low = float(candle.LowPrice)
            self._prev_fast = fv
            self._prev_slow = sv
            return
        close = float(candle.ClosePrice)
        bull_trend = fv > sv
        bear_trend = fv < sv
        if bull_trend and close > self._prev_high and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        elif bear_trend and close < self._prev_low and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
        self._prev_high = float(candle.HighPrice)
        self._prev_low = float(candle.LowPrice)
        self._prev_fast = fv
        self._prev_slow = sv

    def CreateClone(self):
        return previous_candle_breakdown2_strategy()