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Negative Spread Strategy

Negative Spread 策略利用一种罕见情况：最优卖价低于最优买价，从而出现负点差。 当发现这种错误定价时，策略立即按市价卖出，以捕获该异常价差。 空单成交后，在下一次订单簿更新时买入平仓，使市场回到正常状态。

该系统仅监听订单簿事件，不依赖任何K线或指标。 策略提供可选的止损和止盈参数，按照合约的最小价格步长换算为点数。

细节

  • 入场条件：最优卖价 < 最优买价 且无持仓。
  • 多/空方向：仅做空。
  • 离场条件：开仓后立即平仓。
  • 止损：可选的止损和止盈，以点数表示。
  • 默认参数：
    • Volume = 1
    • TakeProfitPips = 5000
    • StopLossPips = 5000
  • 筛选：
    • 类别：套利
    • 方向：做空
    • 指标：无
    • 止损：可选
    • 复杂度：基础
    • 时间框架：逐笔
    • 季节性：无
    • 神经网络：无
    • 背离：无
    • 风险等级：高
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 price dislocations using Bollinger Bands
/// and trades mean reversion when price extends beyond bands.
/// </summary>
public class NegativeSpreadStrategy : Strategy
{
	private readonly StrategyParam<int> _bbPeriod;
	private readonly StrategyParam<decimal> _bbWidth;
	private readonly StrategyParam<DataType> _candleType;

	public int BbPeriod { get => _bbPeriod.Value; set => _bbPeriod.Value = value; }
	public decimal BbWidth { get => _bbWidth.Value; set => _bbWidth.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public NegativeSpreadStrategy()
	{
		_bbPeriod = Param(nameof(BbPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("BB Period", "Bollinger Bands period", "Indicators");

		_bbWidth = Param(nameof(BbWidth), 1.5m)
			.SetDisplay("BB Width", "Bollinger Bands deviation", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

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

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

		var bb = new BollingerBands { Length = BbPeriod, Width = BbWidth };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(bb, ProcessCandle)
			.Start();

		StartProtection(
			takeProfit: new Unit(1, UnitTypes.Percent),
			stopLoss: new Unit(0.5m, UnitTypes.Percent)
		);

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

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

		if (!bbValue.IsFormed)
			return;

		var bb = (BollingerBandsValue)bbValue;
		if (bb.UpBand is not decimal upper || bb.LowBand is not decimal lower)
			return;

		var close = candle.ClosePrice;

		// Mean reversion: sell when above upper band, buy when below lower band
		if (close > upper && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}
		else if (close < lower && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
	}
}