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Symr 新K线策略

Symr 新K线策略 演示如何通过单一订阅检测多个时间框架的新K线开始。策略监控基础时间框架，并计算更大周期（5m、15m、30m、1h、4h、1d、20m、55m）的起点。每个检测到的K线都会写入日志。

细节

  • 入场条件：无，策略不进行交易。
  • 出场条件：无。
  • 方向：不适用。
  • 止损：不使用。

参数

名称 默认值 描述
CandleType TimeSpan.FromMinutes(1).TimeFrame() 用于检测新K线的基础时间框架。

备注

  • 保存每个预设周期的最后开盘时间。
  • 当基础周期前进时，检查更大周期是否翻转并记录。
  • 适合作为多时间框架事件处理的模板。
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>
/// Strategy that detects new bar openings and trades breakouts.
/// Enters when price breaks the high/low of the previous bar with EMA confirmation.
/// </summary>
public class SymrNewBarStrategy : Strategy
{
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevHigh;
	private decimal _prevLow;
	private bool _hasPrev;

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

	public SymrNewBarStrategy()
	{
		_emaLength = Param(nameof(EmaLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA period for trend filter", "Indicators");

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

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevHigh = 0;
		_prevLow = 0;
		_hasPrev = false;
	}

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

		var ema = new ExponentialMovingAverage { Length = EmaLength };

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

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

		var close = candle.ClosePrice;

		if (!_hasPrev)
		{
			_prevHigh = candle.HighPrice;
			_prevLow = candle.LowPrice;
			_hasPrev = true;
			return;
		}

		// Breakout above previous high with EMA confirmation
		if (close > _prevHigh && close > emaVal && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// Breakout below previous low with EMA confirmation
		else if (close < _prevLow && close < emaVal && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevHigh = candle.HighPrice;
		_prevLow = candle.LowPrice;
	}
}