Стратегия Daily STP Entry Frame (StockSharp)

using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Daily breakout strategy that enters on price crossing previous session extremes.
/// Converted from "Daily STP Entry Frame" MetaTrader expert.
/// Uses market orders when price breaks above previous high or below previous low.
/// </summary>
public class DailyStpEntryFrameStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLossPoints;
	private readonly StrategyParam<decimal> _takeProfitPoints;

	private decimal _pipSize;
	private decimal _stopLossOffset;
	private decimal _takeProfitOffset;

	private decimal? _previousDayHigh;
	private decimal? _previousDayLow;
	private decimal _currentDayHigh;
	private decimal _currentDayLow;
	private DateTime? _currentTradingDay;
	private bool _tradedToday;

	private decimal _entryPrice;
	private decimal? _longStop;
	private decimal? _longTake;
	private decimal? _shortStop;
	private decimal? _shortTake;

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

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

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

	public DailyStpEntryFrameStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Time-frame for monitoring", "General");

		_stopLossPoints = Param(nameof(StopLossPoints), 80m)
			.SetNotNegative()
			.SetDisplay("Stop-Loss (points)", "Stop-loss distance", "Risk");

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 200m)
			.SetNotNegative()
			.SetDisplay("Take-Profit (points)", "Take-profit distance", "Risk");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_pipSize = 0m;
		_stopLossOffset = 0m;
		_takeProfitOffset = 0m;
		_previousDayHigh = null;
		_previousDayLow = null;
		_currentDayHigh = 0m;
		_currentDayLow = 0m;
		_currentTradingDay = null;
		_tradedToday = false;
		_entryPrice = 0m;
		_longStop = null;
		_longTake = null;
		_shortStop = null;
		_shortTake = null;
	}

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

		_pipSize = Security?.PriceStep ?? 0.01m;
		if (_pipSize <= 0) _pipSize = 0.01m;

		_stopLossOffset = StopLossPoints * _pipSize;
		_takeProfitOffset = TakeProfitPoints * _pipSize;

		_previousDayHigh = null;
		_previousDayLow = null;
		_currentTradingDay = null;
		_tradedToday = false;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ProcessCandle)
			.Start();
	}

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

		var date = candle.OpenTime.Date;

		// Track daily high/low
		if (_currentTradingDay != date)
		{
			// Save previous day's range
			if (_currentTradingDay != null)
			{
				_previousDayHigh = _currentDayHigh;
				_previousDayLow = _currentDayLow;
			}

			_currentTradingDay = date;
			_currentDayHigh = candle.HighPrice;
			_currentDayLow = candle.LowPrice;
			_tradedToday = false;
		}
		else
		{
			_currentDayHigh = Math.Max(_currentDayHigh, candle.HighPrice);
			_currentDayLow = Math.Min(_currentDayLow, candle.LowPrice);
		}

		// Manage existing position
		ManagePosition(candle);

		// Check for breakout entries
		if (_previousDayHigh is null || _previousDayLow is null)
			return;

		if (_tradedToday || Position != 0)
			return;

		var close = candle.ClosePrice;

		// Breakout above previous day high => buy
		if (close > _previousDayHigh.Value)
		{
			_entryPrice = close;
			_longStop = _stopLossOffset > 0 ? close - _stopLossOffset : null;
			_longTake = _takeProfitOffset > 0 ? close + _takeProfitOffset : null;
			_shortStop = null;
			_shortTake = null;
			BuyMarket();
			_tradedToday = true;
		}
		// Breakout below previous day low => sell
		else if (close < _previousDayLow.Value)
		{
			_entryPrice = close;
			_shortStop = _stopLossOffset > 0 ? close + _stopLossOffset : null;
			_shortTake = _takeProfitOffset > 0 ? close - _takeProfitOffset : null;
			_longStop = null;
			_longTake = null;
			SellMarket();
			_tradedToday = true;
		}
	}

	private void ManagePosition(ICandleMessage candle)
	{
		if (Position > 0)
		{
			if (_longStop is decimal stop && candle.LowPrice <= stop)
			{
				SellMarket();
				_longStop = null;
				_longTake = null;
				return;
			}
			if (_longTake is decimal take && candle.HighPrice >= take)
			{
				SellMarket();
				_longStop = null;
				_longTake = null;
			}
		}
		else if (Position < 0)
		{
			if (_shortStop is decimal stop && candle.HighPrice >= stop)
			{
				BuyMarket();
				_shortStop = null;
				_shortTake = null;
				return;
			}
			if (_shortTake is decimal take && candle.LowPrice <= take)
			{
				BuyMarket();
				_shortStop = null;
				_shortTake = null;
			}
		}
	}
}

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.Strategies import Strategy

class daily_stp_entry_frame_strategy(Strategy):
    def __init__(self):
        super(daily_stp_entry_frame_strategy, self).__init__()
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))) \
            .SetDisplay("Candle Type", "Time-frame for monitoring", "General")
        self._stop_loss_points = self.Param("StopLossPoints", 80.0) \
            .SetDisplay("Stop-Loss (points)", "Stop-loss distance", "Risk")
        self._take_profit_points = self.Param("TakeProfitPoints", 200.0) \
            .SetDisplay("Take-Profit (points)", "Take-profit distance", "Risk")
        self._prev_day_high = None
        self._prev_day_low = None
        self._cur_day_high = 0.0
        self._cur_day_low = 0.0
        self._current_day = None
        self._traded_today = False
        self._entry_price = 0.0
        self._long_stop = None
        self._long_take = None
        self._short_stop = None
        self._short_take = None

    @property
    def CandleType(self):
        return self._candle_type.Value
    @property
    def StopLossPoints(self):
        return float(self._stop_loss_points.Value)
    @property
    def TakeProfitPoints(self):
        return float(self._take_profit_points.Value)

    def OnStarted2(self, time):
        super(daily_stp_entry_frame_strategy, self).OnStarted2(time)
        self._pip_size = 0.01
        sec = self.Security
        if sec is not None:
            ps = sec.PriceStep
            if ps is not None and float(ps) > 0:
                self._pip_size = float(ps)
        self._sl_offset = self.StopLossPoints * self._pip_size
        self._tp_offset = self.TakeProfitPoints * self._pip_size
        self._prev_day_high = None
        self._prev_day_low = None
        self._current_day = None
        self._traded_today = False
        self._entry_price = 0.0
        self._long_stop = None
        self._long_take = None
        self._short_stop = None
        self._short_take = None
        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(self.ProcessCandle).Start()

    def ProcessCandle(self, candle):
        if candle.State != CandleStates.Finished:
            return
        dt = candle.OpenTime
        day = dt.Date
        high = float(candle.HighPrice)
        low = float(candle.LowPrice)
        close = float(candle.ClosePrice)
        if self._current_day is None or self._current_day != day:
            if self._current_day is not None:
                self._prev_day_high = self._cur_day_high
                self._prev_day_low = self._cur_day_low
            self._current_day = day
            self._cur_day_high = high
            self._cur_day_low = low
            self._traded_today = False
        else:
            if high > self._cur_day_high:
                self._cur_day_high = high
            if low < self._cur_day_low:
                self._cur_day_low = low
        # manage position
        if self.Position > 0:
            if self._long_stop is not None and low <= self._long_stop:
                self.SellMarket()
                self._long_stop = None
                self._long_take = None
                return
            if self._long_take is not None and high >= self._long_take:
                self.SellMarket()
                self._long_stop = None
                self._long_take = None
                return
        elif self.Position < 0:
            if self._short_stop is not None and high >= self._short_stop:
                self.BuyMarket()
                self._short_stop = None
                self._short_take = None
                return
            if self._short_take is not None and low <= self._short_take:
                self.BuyMarket()
                self._short_stop = None
                self._short_take = None
                return
        # entries
        if self._prev_day_high is None or self._prev_day_low is None:
            return
        if self._traded_today or self.Position != 0:
            return
        if close > self._prev_day_high:
            self._entry_price = close
            self._long_stop = close - self._sl_offset if self._sl_offset > 0 else None
            self._long_take = close + self._tp_offset if self._tp_offset > 0 else None
            self._short_stop = None
            self._short_take = None
            self.BuyMarket()
            self._traded_today = True
        elif close < self._prev_day_low:
            self._entry_price = close
            self._short_stop = close + self._sl_offset if self._sl_offset > 0 else None
            self._short_take = close - self._tp_offset if self._tp_offset > 0 else None
            self._long_stop = None
            self._long_take = None
            self.SellMarket()
            self._traded_today = True

    def OnReseted(self):
        super(daily_stp_entry_frame_strategy, self).OnReseted()
        self._prev_day_high = None
        self._prev_day_low = None
        self._cur_day_high = 0.0
        self._cur_day_low = 0.0
        self._current_day = None
        self._traded_today = False
        self._entry_price = 0.0
        self._long_stop = None
        self._long_take = None
        self._short_stop = None
        self._short_take = None

    def CreateClone(self):
        return daily_stp_entry_frame_strategy()