Стратегия VirtPO TestBed Scalp

namespace StockSharp.Samples.Strategies;

using System;

using Ecng.Common;

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

/// <summary>
/// Virtual Pending Order Scalp strategy: ATR-based breakout scalper.
/// Buys when price breaks above recent high + ATR offset. Sells on break below low - ATR.
/// </summary>
public class VirtPoTestBedScalpStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _atrPeriod;

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

	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	public VirtPoTestBedScalpStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "ATR period for breakout offset", "Indicators");
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var atr = new AverageTrueRange { Length = AtrPeriod };

		decimal? prevHigh = null;
		decimal? prevLow = null;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(atr, (candle, atrVal) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!IsFormedAndOnlineAndAllowTrading())
					return;

				var close = candle.ClosePrice;

				if (prevHigh.HasValue && prevLow.HasValue)
				{
					if (close > prevHigh.Value + atrVal * 0.5m && Position <= 0)
						BuyMarket();
					else if (close < prevLow.Value - atrVal * 0.5m && Position >= 0)
						SellMarket();
				}

				prevHigh = candle.HighPrice;
				prevLow = candle.LowPrice;
			})
			.Start();

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

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 AverageTrueRange
from StockSharp.Algo.Strategies import Strategy


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

        self._atr_period = self.Param("AtrPeriod", 14) \
            .SetDisplay("ATR Period", "ATR period for breakout offset", "Indicators")

        self._atr = None
        self._prev_high = None
        self._prev_low = None

    @property
    def atr_period(self):
        return self._atr_period.Value

    def OnReseted(self):
        super(virt_po_test_bed_scalp_strategy, self).OnReseted()
        self._atr = None
        self._prev_high = None
        self._prev_low = None

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

        self._atr = AverageTrueRange()
        self._atr.Length = self.atr_period

        subscription = self.SubscribeCandles(DataType.TimeFrame(TimeSpan.FromHours(1)))
        subscription.Bind(self._atr, self._process_candle)
        subscription.Start()

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

        if not self._atr.IsFormed:
            return

        close = float(candle.ClosePrice)
        atr_val = float(atr_value)

        if self._prev_high is not None and self._prev_low is not None:
            if close > self._prev_high + atr_val * 0.5 and self.Position <= 0:
                self.BuyMarket()
            elif close < self._prev_low - atr_val * 0.5 and self.Position >= 0:
                self.SellMarket()

        self._prev_high = float(candle.HighPrice)
        self._prev_low = float(candle.LowPrice)

    def CreateClone(self):
        return virt_po_test_bed_scalp_strategy()