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定时器策略

定时器策略按照固定的时间间隔重新计算突破价格，当价格突破这些动态阈值时入场。突破水平由平均真实波幅（ATR）和可选的附加点差确定，用于捕捉双向的短期突破。

每隔 WaitSeconds 秒，策略设置：

  • 买入水平：close + pipDistance + ATR
  • 卖出水平：close - pipDistance - ATR

如果下一根完成的K线收盘价超出其中一个水平，就按对应方向发送市价单。仓位通过可配置的止盈、止损和跟踪止损进行保护。

可选的交易时间过滤器允许仅在指定的时间段内交易。

参数

  • WaitSeconds – 重新计算水平的时间间隔（秒）。
  • PipDistance – 与当前价格的额外距离（点）。
  • AtrPeriod – ATR 指标周期。
  • TakeProfit – 止盈距离（点）。
  • StopLoss – 止损距离（点）。
  • TrailingStop – 跟踪止损距离（点）。
  • TradeVolume – 下单数量。
  • CandleType – 用于计算的K线类型。
  • UseTradingHours – 是否启用交易时间过滤。
  • StartTime – 交易开始时间。
  • StopTime – 交易结束时间。

工作流程

  1. 订阅K线并计算 ATR。
  2. 对每根完成的K线：
    • 当时间间隔到达时重新计算买卖水平。
    • 如果启用时间过滤，则检查当前时间是否在允许范围内。
    • 价格突破水平时发送相应方向的市价单。
  3. 止盈、止损和跟踪止损由策略框架自动管理。

特点

  • 支持做多和做空。
  • 适用于任何品种和时间周期。
  • 基于ATR的水平能够适应市场波动性。
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>
/// Timer ATR breakout strategy.
/// </summary>
public class TimerStrategy : Strategy
{
	private readonly StrategyParam<int> _waitSeconds;
	private readonly StrategyParam<decimal> _pipDistance;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<decimal> _trailingStop;
	private readonly StrategyParam<decimal> _tradeVolume;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<bool> _useTradingHours;
	private readonly StrategyParam<TimeSpan> _startTime;
	private readonly StrategyParam<TimeSpan> _stopTime;

	private readonly List<Order> _pendingOrders = [];

	private DateTimeOffset? _lastLevelTime;
	private decimal? _buyLevel;
	private decimal? _sellLevel;
	private decimal? _trailExtreme;

	public int WaitSeconds { get => _waitSeconds.Value; set => _waitSeconds.Value = value; }
	public decimal PipDistance { get => _pipDistance.Value; set => _pipDistance.Value = value; }
	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public decimal TakeProfit { get => _takeProfit.Value; set => _takeProfit.Value = value; }
	public decimal StopLoss { get => _stopLoss.Value; set => _stopLoss.Value = value; }
	public decimal TrailingStop { get => _trailingStop.Value; set => _trailingStop.Value = value; }
	public decimal TradeVolume { get => _tradeVolume.Value; set => _tradeVolume.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public bool UseTradingHours { get => _useTradingHours.Value; set => _useTradingHours.Value = value; }
	public TimeSpan StartTime { get => _startTime.Value; set => _startTime.Value = value; }
	public TimeSpan StopTime { get => _stopTime.Value; set => _stopTime.Value = value; }

	public TimerStrategy()
	{
		_waitSeconds = Param(nameof(WaitSeconds), 60).SetGreaterThanZero();
		_pipDistance = Param(nameof(PipDistance), 10m).SetNotNegative();
		_atrPeriod = Param(nameof(AtrPeriod), 14).SetGreaterThanZero();
		_takeProfit = Param(nameof(TakeProfit), 100m).SetNotNegative();
		_stopLoss = Param(nameof(StopLoss), 50m).SetNotNegative();
		_trailingStop = Param(nameof(TrailingStop), 0m).SetNotNegative();
		_tradeVolume = Param(nameof(TradeVolume), 1m).SetGreaterThanZero();
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame());
		_useTradingHours = Param(nameof(UseTradingHours), false);
		_startTime = Param(nameof(StartTime), TimeSpan.Zero);
		_stopTime = Param(nameof(StopTime), new TimeSpan(23, 59, 59));

		OrderRegistering += _pendingOrders.Add;
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_lastLevelTime = null;
		_buyLevel = null;
		_sellLevel = null;
		_trailExtreme = null;
		_pendingOrders.Clear();
	}

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

		var point = Security?.PriceStep ?? 1m;
		if (point <= 0m)
			point = 1m;

		var take = TakeProfit > 0m ? new Unit(TakeProfit * point, UnitTypes.Absolute) : null;
		var stop = StopLoss > 0m ? new Unit(StopLoss * point, UnitTypes.Absolute) : null;

		if (take is not null || stop is not null)
			StartProtection(take, stop, useMarketOrders: true);

		var atr = new AverageTrueRange { Length = AtrPeriod };
		SubscribeCandles(CandleType)
			.Bind(atr, (candle, atrValue) =>
			{
				if (candle.State != CandleStates.Finished || !atr.IsFormed || atrValue <= 0m)
					return;

				ProcessCandle(candle, atrValue);
			})
			.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal atr)
	{
		var now = candle.CloseTime;

		var point = Security?.PriceStep ?? 1m;
		if (point <= 0m)
			point = 1m;

		var position = ApplyTrailingStop(candle, GetExpectedPosition(), point);

		if (IsTradingTime(now.TimeOfDay))
		{
			if (_buyLevel is decimal buy && candle.ClosePrice >= buy && position <= 0m)
			{
				BuyMarket(TradeVolume + Math.Abs(position));
				_trailExtreme = candle.ClosePrice;
			}
			else if (_sellLevel is decimal sell && candle.ClosePrice <= sell && position >= 0m)
			{
				SellMarket(TradeVolume + Math.Abs(position));
				_trailExtreme = candle.ClosePrice;
			}
		}

		if (_lastLevelTime is null || now - _lastLevelTime.Value >= TimeSpan.FromSeconds(WaitSeconds))
		{
			(_buyLevel, _sellLevel) = CalculateLevels(candle.ClosePrice, PipDistance, point, atr);
			_lastLevelTime = now;
		}
	}

	/// <summary>
	/// Position once the orders still in flight are filled. Protection registers its exit before the
	/// candle handler runs, so the handler must not close or size against the position that exit closes.
	/// </summary>
	private decimal GetExpectedPosition()
	{
		_pendingOrders.RemoveAll(order => order.State is OrderStates.Done or OrderStates.Failed);

		var position = Position;

		foreach (var order in _pendingOrders)
			position += order.Side == Sides.Buy ? order.Balance : -order.Balance;

		return position;
	}

	private decimal ApplyTrailingStop(ICandleMessage candle, decimal position, decimal point)
	{
		if (position == 0m)
		{
			_trailExtreme = null;
			return position;
		}

		if (TrailingStop <= 0m || _trailExtreme is not decimal extreme)
			return position;

		var trail = TrailingStop * point;

		// Earlier candles set the extreme: within this candle the order of high and low is unknown.
		if (position > 0m)
		{
			if (candle.LowPrice <= extreme - trail)
			{
				SellMarket(position);
				_trailExtreme = null;
				return 0m;
			}

			_trailExtreme = Math.Max(extreme, candle.HighPrice);
		}
		else
		{
			if (candle.HighPrice >= extreme + trail)
			{
				BuyMarket(-position);
				_trailExtreme = null;
				return 0m;
			}

			_trailExtreme = Math.Min(extreme, candle.LowPrice);
		}

		return position;
	}

	private bool IsTradingTime(TimeSpan time)
	{
		if (!UseTradingHours)
			return true;

		return StartTime <= StopTime
			? time >= StartTime && time <= StopTime
			: time >= StartTime || time <= StopTime;
	}

	internal static (decimal buy, decimal sell) CalculateLevels(
		decimal close,
		decimal pipDistancePoints,
		decimal priceStep,
		decimal atr)
	{
		var distance = pipDistancePoints * priceStep + atr;
		return (close + distance, close - distance);
	}
}