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TPSL Insert 策略

该策略是 MetaTrader 4 脚本 TPSL-Insert.mq4 的 StockSharp 版本。它不会产生任何买卖信号，仅用于给现有持仓自动添加止盈和止损。

工作原理

  1. 启动时读取参数 TakeProfitPips 和 StopLossPips。
  2. 根据合约的 PriceStep 将点数转换为价格。
  3. 调用 StartProtection 下达保护性委托。
    • 如果已有持仓，则立即挂出止盈和止损。
    • 策略之后开仓的交易同样会自动受到保护。

在手动或其他系统开仓后，需要快速添加风险控制时，该策略非常方便。

参数

名称 说明 默认值
TakeProfitPips 止盈点数。 35
StopLossPips 止损点数。 100

备注

  • 策略不订阅市场数据，也不包含进出场逻辑。
  • StartProtection 会自动管理保护性订单的挂出与撤销。
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>
/// EMA crossover strategy with take-profit and stop-loss protection.
/// </summary>
public class TpslInsertStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevDiff;

	public int FastLength { get => _fastLength.Value; set => _fastLength.Value = value; }
	public int SlowLength { get => _slowLength.Value; set => _slowLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public TpslInsertStrategy()
	{
		_fastLength = Param(nameof(FastLength), 8)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA", "Fast EMA period", "General");

		_slowLength = Param(nameof(SlowLength), 21)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA", "Slow EMA period", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle Type", "General");
	}

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

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

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var emaFast = new ExponentialMovingAverage { Length = FastLength };
		var emaSlow = new ExponentialMovingAverage { Length = SlowLength };

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(emaFast, emaSlow, ProcessCandle).Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, emaFast);
			DrawIndicator(area, emaSlow);
			DrawOwnTrades(area);
		}
	}

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

		var diff = fast - slow;
		var crossUp = _prevDiff <= 0 && diff > 0;
		var crossDown = _prevDiff >= 0 && diff < 0;
		_prevDiff = diff;

		if (crossUp && Position <= 0)
			BuyMarket();
		else if (crossDown && Position >= 0)
			SellMarket();
	}
}