Стратегия «Сборщик статистики спреда»

namespace StockSharp.Samples.Strategies;

using System;
using Ecng.Common;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.Messages;

/// <summary>
/// Spread Data Collector strategy: RSI mean reversion.
/// Buys when RSI crosses below oversold, sells when RSI crosses above overbought.
/// </summary>
public class SpreadDataCollectorStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _oversold;
	private readonly StrategyParam<decimal> _overbought;

	private decimal _prevRsi;
	private bool _hasPrev;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public decimal Oversold { get => _oversold.Value; set => _oversold.Value = value; }
	public decimal Overbought { get => _overbought.Value; set => _overbought.Value = value; }

	public SpreadDataCollectorStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "RSI period", "Indicators");
		_oversold = Param(nameof(Oversold), 30m)
			.SetDisplay("Oversold", "RSI oversold level", "Levels");
		_overbought = Param(nameof(Overbought), 70m)
			.SetDisplay("Overbought", "RSI overbought level", "Levels");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRsi = 0;
		_hasPrev = false;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_hasPrev = false;
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(rsi, ProcessCandle).Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal rsiValue)
	{
		if (candle.State != CandleStates.Finished) return;

		if (_hasPrev)
		{
			if (_prevRsi >= Oversold && rsiValue < Oversold && Position <= 0)
				BuyMarket();
			else if (_prevRsi <= Overbought && rsiValue > Overbought && Position >= 0)
				SellMarket();
		}

		_prevRsi = rsiValue;
		_hasPrev = true;
	}
}

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 RelativeStrengthIndex
from StockSharp.Algo.Strategies import Strategy

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5)))
        self._rsi_period = self.Param("RsiPeriod", 14)
        self._oversold = self.Param("Oversold", 30.0)
        self._overbought = self.Param("Overbought", 70.0)

        self._prev_rsi = 0.0
        self._has_prev = False

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

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

    @property
    def RsiPeriod(self):
        return self._rsi_period.Value

    @RsiPeriod.setter
    def RsiPeriod(self, value):
        self._rsi_period.Value = value

    @property
    def Oversold(self):
        return self._oversold.Value

    @Oversold.setter
    def Oversold(self, value):
        self._oversold.Value = value

    @property
    def Overbought(self):
        return self._overbought.Value

    @Overbought.setter
    def Overbought(self, value):
        self._overbought.Value = value

    def OnReseted(self):
        super(spread_data_collector_strategy, self).OnReseted()
        self._prev_rsi = 0.0
        self._has_prev = False

    def OnStarted2(self, time):
        super(spread_data_collector_strategy, self).OnStarted2(time)
        self._has_prev = False

        rsi = RelativeStrengthIndex()
        rsi.Length = self.RsiPeriod

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(rsi, self._process_candle).Start()

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

        rsi_val = float(rsi_value)

        if self._has_prev:
            if self._prev_rsi >= self.Oversold and rsi_val < self.Oversold and self.Position <= 0:
                self.BuyMarket()
            elif self._prev_rsi <= self.Overbought and rsi_val > self.Overbought and self.Position >= 0:
                self.SellMarket()

        self._prev_rsi = rsi_val
        self._has_prev = True

    def CreateClone(self):
        return spread_data_collector_strategy()