Renko 策略

using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Native Renko brick reversal strategy.
/// </summary>
public class RenkoStrategy : Strategy
{
	private readonly StrategyParam<decimal> _boxSize;
	private readonly StrategyParam<DataType> _priceSource;
	private int _previousDirection;

	public decimal BoxSize { get => _boxSize.Value; set => _boxSize.Value = value; }
	public DataType PriceSource { get => _priceSource.Value; set => _priceSource.Value = value; }
	public DataType CandleType => new Unit(BoxSize).Renko();

	public RenkoStrategy()
	{
		_boxSize = Param(nameof(BoxSize), 10m)
			.SetGreaterThanZero()
			.SetDisplay("Box Size", "Renko brick size.", "Renko");
		_priceSource = Param(nameof(PriceSource), DataType.Level1)
			.SetDisplay("Price Source", "Level1 best bid or trade ticks used to build Renko bricks.", "Renko");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_previousDirection = 0;
	}

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

		if (PriceSource != DataType.Level1 && PriceSource != DataType.Ticks)
			throw new ArgumentOutOfRangeException(nameof(PriceSource));
		var subscription = new Subscription(CandleType, Security);
		subscription.MarketData.BuildMode = MarketDataBuildModes.Build;
		subscription.MarketData.BuildFrom = PriceSource;
		if (PriceSource == DataType.Level1)
			subscription.MarketData.BuildField = Level1Fields.BestBidPrice;
		SubscribeCandles(subscription)
			.Bind(ProcessCandle)
			.Start();
	}

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

		var currentDirection = candle.ClosePrice > candle.OpenPrice
			? 1
			: candle.ClosePrice < candle.OpenPrice ? -1 : 0;

		if (currentDirection == 0)
			return;

		var signal = GetSignal(_previousDirection, currentDirection);

		if (signal > 0 && Position <= 0m)
			BuyMarket(Volume + Math.Abs(Position));
		else if (signal < 0 && Position >= 0m)
			SellMarket(Volume + Math.Abs(Position));

		_previousDirection = currentDirection;
	}

	internal static int GetSignal(int previousDirection, int currentDirection)
	{
		if (previousDirection < 0 && currentDirection > 0)
			return 1;

		if (previousDirection > 0 && currentDirection < 0)
			return -1;

		return 0;
	}
}

import clr

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

from System import Math
from StockSharp.Messages import DataType, RenkoCandleMessage, Unit, CandleStates, MarketDataBuildModes, Level1Fields
from StockSharp.BusinessEntities import Subscription
from StockSharp.Algo.Strategies import Strategy


class renko_strategy(Strategy):
    def __init__(self):
        super(renko_strategy, self).__init__()
        self._box_size = self.Param("BoxSize", 10.0) \
            .SetGreaterThanZero() \
            .SetDisplay("Box Size", "Renko brick size.", "Renko")
        self._price_source = self.Param("PriceSource", DataType.Level1) \
            .SetDisplay("Price Source", "Level1 best bid or trade ticks used to build Renko bricks.", "Renko")
        self._previous_direction = 0

    def _candle_type(self):
        return DataType.Create(clr.GetClrType(RenkoCandleMessage), Unit(float(self._box_size.Value)))

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

    def OnReseted(self):
        super(renko_strategy, self).OnReseted()
        self._previous_direction = 0

    def OnStarted2(self, time):
        super(renko_strategy, self).OnStarted2(time)
        source = self._price_source.Value
        if source != DataType.Level1 and source != DataType.Ticks:
            raise ValueError("PriceSource must be Level1 or Ticks")
        subscription = Subscription(self._candle_type(), self.Security)
        subscription.MarketData.BuildMode = MarketDataBuildModes.Build
        subscription.MarketData.BuildFrom = source
        if source == DataType.Level1:
            subscription.MarketData.BuildField = Level1Fields.BestBidPrice
        self.SubscribeCandles(subscription).Bind(self._process_candle).Start()

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

        open_price = float(candle.OpenPrice)
        close_price = float(candle.ClosePrice)
        current_direction = 1 if close_price > open_price else (-1 if close_price < open_price else 0)

        if current_direction == 0:
            return

        signal = self.get_signal(self._previous_direction, current_direction)

        if signal > 0 and self.Position <= 0:
            self.BuyMarket(self.Volume + Math.Abs(self.Position))
        elif signal < 0 and self.Position >= 0:
            self.SellMarket(self.Volume + Math.Abs(self.Position))

        self._previous_direction = current_direction

    @staticmethod
    def get_signal(previous_direction, current_direction):
        if previous_direction < 0 and current_direction > 0:
            return 1
        if previous_direction > 0 and current_direction < 0:
            return -1
        return 0

    def CreateClone(self):
        return renko_strategy()