Стратегия Graal Fractal Channel

namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;
using System.Linq;

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

/// <summary>
/// Trades confirmed five-bar fractal signals with optional channel, Williams %R
/// and counter-stop filters. The indicator midpoint is not an entry signal.
/// </summary>
public class GraalFractalChannelStrategy : Strategy
{
    private readonly StrategyParam<decimal> _orderVolume;
    private readonly StrategyParam<decimal> _stopLossPips;
    private readonly StrategyParam<decimal> _takeProfitPips;
    private readonly StrategyParam<decimal> _offsetPips;
    private readonly StrategyParam<int> _channelPeriod;
    private readonly StrategyParam<bool> _useFractalChannel;
    private readonly StrategyParam<decimal> _depthPercent;
    private readonly StrategyParam<bool> _useHighLowChannel;
    private readonly StrategyParam<decimal> _orientationPercent;
    private readonly StrategyParam<bool> _allowFlatTrading;
    private readonly StrategyParam<decimal> _flatThresholdPips;
    private readonly StrategyParam<bool> _useWilliamsExit;
    private readonly StrategyParam<int> _williamsPeriod;
    private readonly StrategyParam<decimal> _williamsThreshold;
    private readonly StrategyParam<bool> _useCounterOrders;
    private readonly StrategyParam<bool> _singlePosition;
    private readonly StrategyParam<int> _signalAgeLimit;
    private readonly StrategyParam<DataType> _candleType;

    private readonly Queue<(decimal High, decimal Low)> _bars = new();
    private readonly Queue<decimal> _closes = new();
    private decimal? _upperFractal;
    private decimal? _lowerFractal;
    private Sides? _pendingSide;
    private int _pendingAge;
    private int _finishedBars;
    private Order _entryOrder;
    private Order _counterOrder;
    private bool _closing;

    public decimal OrderVolume { get => _orderVolume.Value; set => _orderVolume.Value = value; }
    public decimal StopLossPips { get => _stopLossPips.Value; set => _stopLossPips.Value = value; }
    public decimal TakeProfitPips { get => _takeProfitPips.Value; set => _takeProfitPips.Value = value; }
    public decimal OffsetPips { get => _offsetPips.Value; set => _offsetPips.Value = value; }
    public int ChannelPeriod { get => _channelPeriod.Value; set => _channelPeriod.Value = value; }
    public bool UseFractalChannel { get => _useFractalChannel.Value; set => _useFractalChannel.Value = value; }
    public decimal DepthPercent { get => _depthPercent.Value; set => _depthPercent.Value = value; }
    public bool UseHighLowChannel { get => _useHighLowChannel.Value; set => _useHighLowChannel.Value = value; }
    public decimal OrientationPercent { get => _orientationPercent.Value; set => _orientationPercent.Value = value; }
    public bool AllowFlatTrading { get => _allowFlatTrading.Value; set => _allowFlatTrading.Value = value; }
    public decimal FlatThresholdPips { get => _flatThresholdPips.Value; set => _flatThresholdPips.Value = value; }
    public bool UseWilliamsExit { get => _useWilliamsExit.Value; set => _useWilliamsExit.Value = value; }
    public int WilliamsPeriod { get => _williamsPeriod.Value; set => _williamsPeriod.Value = value; }
    public decimal WilliamsThreshold { get => _williamsThreshold.Value; set => _williamsThreshold.Value = value; }
    public bool UseCounterOrders { get => _useCounterOrders.Value; set => _useCounterOrders.Value = value; }
    public bool SinglePosition { get => _singlePosition.Value; set => _singlePosition.Value = value; }
    public int SignalAgeLimit { get => _signalAgeLimit.Value; set => _signalAgeLimit.Value = value; }
    public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

    public GraalFractalChannelStrategy()
    {
        _orderVolume = Param(nameof(OrderVolume), 0.1m).SetGreaterThanZero().SetDisplay("Volume", "Entry volume", "Trading");
        _stopLossPips = Param(nameof(StopLossPips), 500m).SetNotNegative().SetDisplay("Stop Loss", "Pip distance", "Protection");
        _takeProfitPips = Param(nameof(TakeProfitPips), 500m).SetNotNegative().SetDisplay("Take Profit", "Pip distance", "Protection");
        _offsetPips = Param(nameof(OffsetPips), 5m).SetNotNegative().SetDisplay("Offset", "Counter stop offset in pips", "Protection");
        _channelPeriod = Param(nameof(ChannelPeriod), 14).SetGreaterThanZero().SetDisplay("Channel Period", "Completed closes", "Indicators");
        _useFractalChannel = Param(nameof(UseFractalChannel), false);
        _depthPercent = Param(nameof(DepthPercent), 25m);
        _useHighLowChannel = Param(nameof(UseHighLowChannel), false);
        _orientationPercent = Param(nameof(OrientationPercent), 20m);
        _allowFlatTrading = Param(nameof(AllowFlatTrading), true);
        _flatThresholdPips = Param(nameof(FlatThresholdPips), 20m);
        _useWilliamsExit = Param(nameof(UseWilliamsExit), false);
        _williamsPeriod = Param(nameof(WilliamsPeriod), 14).SetGreaterThanZero();
        _williamsThreshold = Param(nameof(WilliamsThreshold), 30m);
        _useCounterOrders = Param(nameof(UseCounterOrders), false);
        _singlePosition = Param(nameof(SinglePosition), false);
        _signalAgeLimit = Param(nameof(SignalAgeLimit), 3).SetNotNegative();
        _candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame());
    }

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

    protected override void OnReseted()
    {
        base.OnReseted();
        _bars.Clear();
        _closes.Clear();
        _upperFractal = null;
        _lowerFractal = null;
        _pendingSide = null;
        _pendingAge = 0;
        _finishedBars = 0;
        _entryOrder = null;
        _counterOrder = null;
        _closing = false;
    }

    protected override void OnStarted2(DateTime time)
    {
        base.OnStarted2(time);
        _bars.Clear();
        _closes.Clear();
        _upperFractal = null;
        _lowerFractal = null;
        _pendingSide = null;
        _pendingAge = 0;
        _finishedBars = 0;
        _entryOrder = null;
        _counterOrder = null;
        _closing = false;
        Volume = OrderVolume;

        var pip = PipSize();
        StartProtection(
            takeProfit: TakeProfitPips > 0m ? new Unit(TakeProfitPips * pip, UnitTypes.Absolute) : new Unit(),
            stopLoss: StopLossPips > 0m ? new Unit(StopLossPips * pip, UnitTypes.Absolute) : new Unit(),
            useMarketOrders: true, isLocalStop: true);

        var williams = new WilliamsR { Length = WilliamsPeriod };
        SubscribeCandles(CandleType).Bind(williams, ProcessCandle).Start();
    }

    private decimal PipSize()
    {
        var step = Security?.PriceStep ?? 0m;
        if (step <= 0m)
            throw new InvalidOperationException("Graal Fractal Channel requires a positive instrument price step.");
        return Security?.Decimals is 3 or 5 ? step * 10m : step;
    }

    private decimal NormalizeVolume(decimal volume)
    {
        if (Security?.VolumeStep is decimal step && step > 0m)
            volume = decimal.Floor(volume / step) * step;
        if (Security?.MinVolume is decimal min && min > 0m)
            volume = Math.Max(volume, min);
        if (Security?.MaxVolume is decimal max && max > 0m)
            volume = Math.Min(volume, max);
        return volume;
    }

    private static bool Pending(Order order) => order is not null &&
        order.State is not (OrderStates.Done or OrderStates.Failed);

    private void CancelCounter()
    {
        if (_counterOrder is not null && _counterOrder.State == OrderStates.Active)
            CancelOrder(_counterOrder);
        _counterOrder = null;
    }

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

        _finishedBars++;
        if (_pendingSide.HasValue && ++_pendingAge > SignalAgeLimit)
            _pendingSide = null;

        _bars.Enqueue((candle.HighPrice, candle.LowPrice));
        if (_bars.Count > 5)
            _bars.Dequeue();
        _closes.Enqueue(candle.ClosePrice);
        if (_closes.Count > ChannelPeriod)
            _closes.Dequeue();

        if (_bars.Count == 5)
        {
            var bars = _bars.ToArray();
            var upper = bars.Where((_, i) => i != 2).All(b => bars[2].High > b.High);
            var lower = bars.Where((_, i) => i != 2).All(b => bars[2].Low < b.Low);
            if (upper) _upperFractal = bars[2].High;
            if (lower) _lowerFractal = bars[2].Low;
            // A bar can be both a high and a low fractal: it is not a directional signal.
            if (upper != lower)
            {
                _pendingSide = upper ? Sides.Sell : Sides.Buy;
                _pendingAge = 0;
            }
            else if (upper)
                _pendingSide = null;
        }

        if (!UseCounterOrders || Position == 0m)
            CancelCounter();

        if (_closing)
        {
            if (Position != 0m)
                return;
            _closing = false;
        }

        if (UseWilliamsExit && _finishedBars >= WilliamsPeriod &&
            (Position > 0m && williams > -WilliamsThreshold ||
             Position < 0m && williams < -100m + WilliamsThreshold))
        {
            CancelCounter();
            _pendingSide = null;
            _closing = true;
            ClosePosition();
            return;
        }

        if (!_pendingSide.HasValue || Pending(_entryOrder) || !PassesFilters(candle.ClosePrice, _pendingSide.Value))
            return;

        var side = _pendingSide.Value;
        if (SinglePosition && (side == Sides.Buy ? Position > 0m : Position < 0m))
            return;

        var volume = NormalizeVolume(OrderVolume);
        if (volume <= 0m)
            return;

        // Reverse the existing net position in one order, rather than submitting
        // two uncoordinated default-volume orders.
        if (side == Sides.Buy && Position < 0m || side == Sides.Sell && Position > 0m)
            volume += Math.Abs(Position);

        CancelCounter();
        _entryOrder = new Order
        {
            Security = Security,
            Portfolio = Portfolio,
            Type = OrderTypes.Market,
            Side = side,
            Volume = volume,
            Comment = "Graal fractal entry",
        };
        RegisterOrder(_entryOrder);
        _pendingSide = null;
    }

    private bool PassesFilters(decimal close, Sides side)
    {
        if (_closes.Count < ChannelPeriod)
            return false;

        var highest = _closes.Max();
        var lowest = _closes.Min();
        var width = highest - lowest;
        if (!AllowFlatTrading && width < FlatThresholdPips * PipSize())
            return false;

        if (UseFractalChannel)
        {
            if (_upperFractal is not decimal high || _lowerFractal is not decimal low || high <= low)
                return false;
            var inner = (high - low) * DepthPercent / 100m;
            if (close < low + inner || close > high - inner)
                return false;
        }

        if (UseHighLowChannel)
        {
            if (width <= 0m)
                return false;
            var allowed = width * OrientationPercent / 100m;
            if (side == Sides.Buy && close < highest - allowed ||
                side == Sides.Sell && close > lowest + allowed)
                return false;
        }
        return true;
    }

    protected override void OnOwnTradeReceived(MyTrade trade)
    {
        base.OnOwnTradeReceived(trade);

        if (Position == 0m || !UseCounterOrders)
        {
            CancelCounter();
            return;
        }

        if (trade?.Order != _entryOrder || trade.Trade is null)
            return;

        CancelCounter();
        var side = Position > 0m ? Sides.Sell : Sides.Buy;
        var level = side == Sides.Sell ? _lowerFractal - OffsetPips * PipSize()
                                       : _upperFractal + OffsetPips * PipSize();
        if (level is not decimal price || price <= 0m)
            return;

        _counterOrder = new Order
        {
            Security = Security,
            Portfolio = Portfolio,
            Type = OrderTypes.Conditional,
            Side = side,
            Volume = Math.Abs(Position),
            Condition = new StopOrderCondition { ActivationPrice = Security.ShrinkPrice(price, ShrinkRules.Auto) },
            Comment = "Graal counter stop",
        };
        RegisterOrder(_counterOrder);
    }
}

import clr
import math

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

from System import TimeSpan, Decimal
from StockSharp.Messages import (
    DataType, CandleStates, Sides, OrderStates, OrderTypes,
    Unit, UnitTypes, ShrinkRules,
)
from StockSharp.Algo import TraderHelper
from StockSharp.Algo.Indicators import WilliamsR
from StockSharp.Algo.Strategies import Strategy
from StockSharp.BusinessEntities import Order
from StockSharp.MatchingEngine import StopOrderCondition


class graal_fractal_channel_strategy(Strategy):
    """Confirmed five-bar fractals, optional channel filters and Williams exits."""

    def __init__(self):
        super(graal_fractal_channel_strategy, self).__init__()
        self._order_volume = self.Param("OrderVolume", 0.1).SetGreaterThanZero()
        self._stop_loss_pips = self.Param("StopLossPips", 500.0).SetNotNegative()
        self._take_profit_pips = self.Param("TakeProfitPips", 500.0).SetNotNegative()
        self._offset_pips = self.Param("OffsetPips", 5.0).SetNotNegative()
        self._channel_period = self.Param("ChannelPeriod", 14).SetGreaterThanZero()
        self._use_fractal_channel = self.Param("UseFractalChannel", False)
        self._depth_percent = self.Param("DepthPercent", 25.0)
        self._use_high_low_channel = self.Param("UseHighLowChannel", False)
        self._orientation_percent = self.Param("OrientationPercent", 20.0)
        self._allow_flat_trading = self.Param("AllowFlatTrading", True)
        self._flat_threshold_pips = self.Param("FlatThresholdPips", 20.0)
        self._use_williams_exit = self.Param("UseWilliamsExit", False)
        self._williams_period = self.Param("WilliamsPeriod", 14).SetGreaterThanZero()
        self._williams_threshold = self.Param("WilliamsThreshold", 30.0)
        self._use_counter_orders = self.Param("UseCounterOrders", False)
        self._single_position = self.Param("SinglePosition", False)
        self._signal_age_limit = self.Param("SignalAgeLimit", 3).SetNotNegative()
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(1)))
        self._clear_state()

    @property
    def order_volume(self): return self._order_volume.Value

    @property
    def channel_period(self): return self._channel_period.Value

    @property
    def williams_period(self): return self._williams_period.Value

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

    def _clear_state(self):
        self._bars = []
        self._closes = []
        self._upper_fractal = None
        self._lower_fractal = None
        self._pending_side = None
        self._pending_age = 0
        self._finished_bars = 0
        self._entry_order = None
        self._counter_order = None
        self._closing = False

    def GetWorkingSecurities(self):
        return [(self.Security, self.candle_type)]

    def OnReseted(self):
        super(graal_fractal_channel_strategy, self).OnReseted()
        self._clear_state()

    def _pip_size(self):
        step = float(self.Security.PriceStep or 0)
        if step <= 0:
            raise ValueError("Graal Fractal Channel requires a positive instrument price step")
        return step * (10.0 if self.Security.Decimals in (3, 5) else 1.0)

    def _normalized_volume(self, size):
        size = float(size)
        step = float(self.Security.VolumeStep or 0)
        if step > 0:
            size = math.floor(size / step) * step
        minimum = float(self.Security.MinVolume or 0)
        maximum = float(self.Security.MaxVolume or 0)
        if minimum > 0:
            size = max(size, minimum)
        if maximum > 0:
            size = min(size, maximum)
        return max(size, 0.0)

    @staticmethod
    def _pending(order):
        return order is not None and order.State not in (OrderStates.Done, OrderStates.Failed)

    def _cancel_counter(self):
        if self._counter_order is not None and self._counter_order.State == OrderStates.Active:
            self.CancelOrder(self._counter_order)
        self._counter_order = None

    def OnStarted2(self, time):
        super(graal_fractal_channel_strategy, self).OnStarted2(time)
        self._clear_state()
        self.Volume = Decimal(self.order_volume)
        pip = self._pip_size()
        take = float(self._take_profit_pips.Value)
        stop = float(self._stop_loss_pips.Value)
        self.StartProtection(
            Unit(Decimal(take * pip), UnitTypes.Absolute) if take > 0 else Unit(),
            Unit(Decimal(stop * pip), UnitTypes.Absolute) if stop > 0 else Unit(),
            useMarketOrders=True, isLocalStop=True,
        )
        wpr = WilliamsR()
        wpr.Length = self.williams_period
        self.SubscribeCandles(self.candle_type).Bind(wpr, self._process_candle).Start()

    def _passes_filters(self, close, side):
        if len(self._closes) < self.channel_period:
            return False
        highest = max(self._closes)
        lowest = min(self._closes)
        width = highest - lowest
        if not self._allow_flat_trading.Value and width < float(self._flat_threshold_pips.Value) * self._pip_size():
            return False
        if self._use_fractal_channel.Value:
            high = self._upper_fractal
            low = self._lower_fractal
            if high is None or low is None or high <= low:
                return False
            inner = (high - low) * float(self._depth_percent.Value) / 100.0
            if close < low + inner or close > high - inner:
                return False
        if self._use_high_low_channel.Value:
            if width <= 0:
                return False
            allowed = width * float(self._orientation_percent.Value) / 100.0
            if side == Sides.Buy and close < highest - allowed:
                return False
            if side == Sides.Sell and close > lowest + allowed:
                return False
        return True

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

        self._finished_bars += 1
        if self._pending_side is not None:
            self._pending_age += 1
            if self._pending_age > self._signal_age_limit.Value:
                self._pending_side = None

        self._bars.append((float(candle.HighPrice), float(candle.LowPrice)))
        if len(self._bars) > 5:
            self._bars.pop(0)
        close = float(candle.ClosePrice)
        self._closes.append(close)
        if len(self._closes) > self.channel_period:
            self._closes.pop(0)

        if len(self._bars) == 5:
            center = self._bars[2]
            upper = all(center[0] > bar[0] for i, bar in enumerate(self._bars) if i != 2)
            lower = all(center[1] < bar[1] for i, bar in enumerate(self._bars) if i != 2)
            if upper:
                self._upper_fractal = center[0]
            if lower:
                self._lower_fractal = center[1]
            if upper != lower:
                self._pending_side = Sides.Sell if upper else Sides.Buy
                self._pending_age = 0
            elif upper:
                self._pending_side = None

        if not self._use_counter_orders.Value or self.Position == 0:
            self._cancel_counter()

        if self._closing:
            if self.Position != 0:
                return
            self._closing = False

        if self._use_williams_exit.Value and self._finished_bars >= self.williams_period:
            wpr = float(wpr_value)
            threshold = float(self._williams_threshold.Value)
            if (self.Position > 0 and wpr > -threshold or
                    self.Position < 0 and wpr < -100.0 + threshold):
                self._cancel_counter()
                self._pending_side = None
                self._closing = True
                self.ClosePosition()
                return

        if self._pending_side is None or self._pending(self._entry_order):
            return
        side = self._pending_side
        if not self._passes_filters(close, side):
            return
        if self._single_position.Value and (
                side == Sides.Buy and self.Position > 0 or
                side == Sides.Sell and self.Position < 0):
            return
        volume = self._normalized_volume(self.order_volume)
        if volume <= 0:
            return
        if side == Sides.Buy and self.Position < 0 or side == Sides.Sell and self.Position > 0:
            volume += abs(float(self.Position))

        self._cancel_counter()
        order = Order()
        order.Security = self.Security
        order.Portfolio = self.Portfolio
        order.Type = OrderTypes.Market
        order.Side = side
        order.Volume = Decimal(volume)
        order.Comment = "Graal fractal entry"
        self._entry_order = order
        self.RegisterOrder(order)
        self._pending_side = None

    def OnOwnTradeReceived(self, trade):
        super(graal_fractal_channel_strategy, self).OnOwnTradeReceived(trade)
        if self.Position == 0 or not self._use_counter_orders.Value:
            self._cancel_counter()
            return
        if trade is None or trade.Order != self._entry_order or trade.Trade is None:
            return

        self._cancel_counter()
        side = Sides.Sell if self.Position > 0 else Sides.Buy
        if side == Sides.Sell and self._lower_fractal is None:
            return
        if side == Sides.Buy and self._upper_fractal is None:
            return
        offset = float(self._offset_pips.Value) * self._pip_size()
        price = (self._lower_fractal - offset if side == Sides.Sell
                 else self._upper_fractal + offset)
        if price <= 0:
            return
        order = Order()
        order.Security = self.Security
        order.Portfolio = self.Portfolio
        order.Type = OrderTypes.Conditional
        order.Side = side
        order.Volume = Decimal(abs(float(self.Position)))
        condition = StopOrderCondition()
        condition.ActivationPrice = TraderHelper.ShrinkPrice(self.Security, Decimal(price), ShrinkRules.Auto)
        order.Condition = condition
        order.Comment = "Graal counter stop"
        self._counter_order = order
        self.RegisterOrder(order)

    def CreateClone(self):
        return graal_fractal_channel_strategy()