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即时执行策略

该策略在启动后第一个完成的K线立即开仓，并通过简单的盈亏规则管理持仓。交易方向可通过参数选择。开仓后算法跟踪收益和损失，并可以通过移动止损保护利润。

该逻辑复现了原始MQL脚本的行为，脚本允许即时执行市价单并可设置止盈、止损和移动止损。

细节

  • 入场条件：在启动后的首个完成K线上按参数 Direction 指定方向开仓。
  • 多空方向：支持多头和空头。
  • 出场条件：
    • 达到止盈。
    • 达到止损。
    • 启动移动止损并被触发。
  • 止损：支持止盈、止损和移动止损。
  • 默认值：
    • TakeProfit = 70 价格单位。
    • StopLoss = 0（关闭）。
    • TrailingStart = 5 价格单位。
    • TrailingSize = 5 价格单位。
  • 过滤器：
    • 类别：工具型
    • 方向：双向
    • 指标：无
    • 止损：有
    • 复杂度：简单
    • 周期：任意
    • 季节性：无
    • 神经网络：无
    • 背离：无
    • 风险等级：中等
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 opens a position based on EMA direction and manages it with
/// take profit, stop loss and trailing stop rules.
/// </summary>
public class InstantExecutionStrategy : Strategy
{
	private readonly StrategyParam<decimal> _takeProfitPct;
	private readonly StrategyParam<decimal> _stopLossPct;
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevEma;

	public decimal TakeProfitPct
	{
		get => _takeProfitPct.Value;
		set => _takeProfitPct.Value = value;
	}

	public decimal StopLossPct
	{
		get => _stopLossPct.Value;
		set => _stopLossPct.Value = value;
	}

	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

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

	public InstantExecutionStrategy()
	{
		_takeProfitPct = Param(nameof(TakeProfitPct), 3m)
			.SetDisplay("Take Profit %", "Take profit percentage", "Risk");

		_stopLossPct = Param(nameof(StopLossPct), 2m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk");

		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "EMA trend filter period", "Indicator");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(8).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

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

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

		var ema = new ExponentialMovingAverage { Length = EmaPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(ema, (candle, emaValue) =>
		{
			if (candle.State != CandleStates.Finished)
				return;

			if (_prevEma.HasValue)
			{
				var rising = emaValue > _prevEma.Value;
				var falling = emaValue < _prevEma.Value;

				if (rising && candle.ClosePrice > emaValue && Position <= 0)
				{
					if (Position < 0) BuyMarket();
					BuyMarket();
				}
				else if (falling && candle.ClosePrice < emaValue && Position >= 0)
				{
					if (Position > 0) SellMarket();
					SellMarket();
				}
			}

			_prevEma = emaValue;
		}).Start();

		StartProtection(
			takeProfit: new Unit(TakeProfitPct, UnitTypes.Percent),
			stopLoss: new Unit(StopLossPct, UnitTypes.Percent),
			isStopTrailing: true,
			useMarketOrders: true);

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