Countertrend Strategy with Quoting

Overview

StairsCountertrendStrategy is a countertrend trading strategy that opens positions against an established trend of a specific length, using a quoting mechanism for more precise market entry.

Main Components

public class StairsCountertrendStrategy : Strategy
{
    private readonly StrategyParam<DataType> _candleDataType;
    private readonly StrategyParam<int> _length;
    private QuotingProcessor _quotingProcessor;

    private int _bullLength;
    private int _bearLength;
}

Strategy Parameters

The strategy allows customizing the following parameters:

• CandleDataType - candle type to work with (default 1-minute)
• Length - number of consecutive candles in one direction to identify a trend (default 5)

The Length parameter is available for optimization in the range from 2 to 10 with a step of 1.

Strategy Initialization

In the OnStarted method, counters are reset, candle subscription is created, and visualization is prepared:

protected override void OnStarted(DateTimeOffset time)
{
    // Reset counters at start
    _bullLength = 0;
    _bearLength = 0;

    // Create candle subscription
    var subscription = SubscribeCandles(CandleDataType);

    subscription
        .Bind(ProcessCandle)
        .Start();

    // Set up visualization on the chart
    var area = CreateChartArea();
    if (area != null)
    {
        DrawCandles(area, subscription);
        DrawOwnTrades(area);
    }

    base.OnStarted(time);
}

Processing Candles

The ProcessCandle method is called for each completed candle and implements the logic for trend detection and quoting processor management:

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

    // Identify bullish or bearish candle
    if (candle.OpenPrice < candle.ClosePrice)
    {
        _bullLength++;
        _bearLength = 0;

        this.AddInfoLog($"Bullish candle detected. Streak: {_bullLength}");
    }
    else if (candle.OpenPrice > candle.ClosePrice)
    {
        _bullLength = 0;
        _bearLength++;

        this.AddInfoLog($"Bearish candle detected. Streak: {_bearLength}");
    }

    // Stop existing processor when direction change is needed
    if (_quotingProcessor != null)
    {
        // Check if processor needs to be cleared (trend change or position)
        var shouldClearProcessor = false;

        // Need to sell if bullish trend and no short position
        if (_bullLength >= Length && Position >= 0)
            shouldClearProcessor = true;
        // Need to buy if bearish trend and no long position
        else if (_bearLength >= Length && Position <= 0)
            shouldClearProcessor = true;

        if (shouldClearProcessor)
        {
            _quotingProcessor?.Dispose();
            _quotingProcessor = null;
        }
    }

    // Create new quoting processor when needed
    if (_quotingProcessor == null && IsFormedAndOnlineAndAllowTrading())
    {
        if (_bullLength >= Length && Position >= 0)
        {
            // Bullish trend - open short position
            CreateQuotingProcessor(Sides.Sell);
            this.AddInfoLog($"Starting SELL quoting after {_bullLength} bullish candles");
        }
        else if (_bearLength >= Length && Position <= 0)
        {
            // Bearish trend - open long position
            CreateQuotingProcessor(Sides.Buy);
            this.AddInfoLog($"Starting BUY quoting after {_bearLength} bearish candles");
        }
    }
}

Creating Quoting Processor

The CreateQuotingProcessor method creates a quoting processor with the specified direction:

private void CreateQuotingProcessor(Sides side)
{
    // Create behavior for market quoting
    var behavior = new MarketQuotingBehavior(
        0, // No price offset
        new Unit(0.1m, UnitTypes.Percent), // Use 0.1% as minimum deviation
        MarketPriceTypes.Following // Follow market price
    );

    // Create quoting processor
    _quotingProcessor = new(
        behavior,
        Security,
        Portfolio,
        side,
        Volume, // Quoting volume
        Volume, // Maximum order volume
        TimeSpan.Zero, // No timeout
        this, // Strategy implements ISubscriptionProvider
        this, // Strategy implements IMarketRuleContainer
        this, // Strategy implements ITransactionProvider
        this, // Strategy implements ITimeProvider
        this, // Strategy implements IMarketDataProvider
        IsFormedAndOnlineAndAllowTrading, // Check trading permission
        true, // Use order book prices
        true // Use last trade price if order book is empty
    )
    {
        Parent = this
    };

    // Subscribe to processor events
    _quotingProcessor.OrderRegistered += order =>
        this.AddInfoLog($"Order {order.TransactionId} registered at price {order.Price}");

    _quotingProcessor.OrderFailed += fail =>
        this.AddInfoLog($"Order failed: {fail.Error.Message}");

    _quotingProcessor.OwnTrade += trade =>
        this.AddInfoLog($"Trade executed: {trade.Trade.Volume} at {trade.Trade.Price}");

    _quotingProcessor.Finished += isOk =>
    {
        _quotingProcessor?.Dispose();
        _quotingProcessor = null;
    };

    // Initialize processor
    _quotingProcessor.Start();
}

Trading Logic

• Sell signal: Length consecutive bullish candles (close price above open price) when there is no short position
• Buy signal: Length consecutive bearish candles (close price below open price) when there is no long position
• Quoting processor is used for market entry, following the market price

Features

• The strategy automatically determines instruments to work with via the GetWorkingSecurities() method
• The strategy only works with completed candles
• Quoting is used instead of market orders for more efficient market entry
• The strategy applies a countertrend approach, opening positions against the established trend
• Detailed logging of main events for debugging is implemented
• The quoting processor is automatically cleared when the trend direction changes or when targets are reached
• Candles and trades visualization on the chart is supported
• The sequence length parameter optimization is implemented for strategy configuration