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LBS 策略

LBS 策略 是 MetaTrader 5 顾问 "LBS (barabashkakvn's edition)" 的 StockSharp 版本。原始程序在指定的交易时段内监测前一根 K 线的高低点，并在突破时放置止损买入/卖出单。本移植使用 StockSharp 的高级 API（SubscribeCandles、SubscribeLevel1、BuyStop/SellStop 等）实现同样的交易逻辑和资金管理规则。

交易流程

  1. 策略订阅所选时间框 (CandleType) 的收盘蜡烛。
  2. 当蜡烛的收盘时间等于任意启用的交易小时 (Hour1、Hour2、Hour3) 时，会计算突破价格：
    • Buy Stop 下单价取蜡烛最高价与当前卖价加“冻结”缓冲区中的较大值。
    • Sell Stop 下单价取蜡烛最低价与当前买价减“冻结”缓冲区中的较小值。
    • 缓冲区模拟 MetaTrader 的 SYMBOL_TRADE_FREEZE_LEVEL 行为：取三倍点差，但不低于十个点。
  3. 当任一方向成交后，另一张挂单立即撤销，对应原版中的 DeleteAllPendingOrders。
  4. StopLossPips 定义初始止损；若启用 TrailingStopPips 与 TrailingStepPips，当浮动盈利超过两者之和时，止损会沿趋势移动。
  5. 仅在策略在线、没有持仓且有有效的 Level1 报价时才会发送订单。

资金管理

MoneyMode 参数对应原始顾问的“固定手数 / 风险百分比”开关：

  • FixedLot：VolumeOrRisk 视为固定下单手数。
  • RiskPercent：VolumeOrRisk 视为账户权益百分比。策略将风险金额除以入场价与止损价之间的距离（以价格步长计）来计算下单手数。使用该模式时必须启用止损，否则不会发送订单。

策略会按照交易品种的最小手数、步长和最大手数限制对计算结果进行归一化，避免被经纪商拒单。

参数列表

参数 默认值 说明
StopLossPips 50 固定止损距离（点）。设为 0 可关闭初始止损与追踪逻辑。
TrailingStopPips 5 追踪止损距离（点）。设为 0 可禁用追踪。
TrailingStepPips 15 移动止损前所需的额外盈利（点）。启用追踪时必须大于 0。
MoneyMode FixedLot 资金管理模式：固定手数或风险百分比。
VolumeOrRisk 1.0 在 FixedLot 模式下为手数，在 RiskPercent 模式下为风险百分比。
Hour1 10 第一个交易小时，设为 0 表示关闭。
Hour2 11 第二个交易小时，设为 0 表示关闭。
Hour3 12 第三个交易小时，设为 0 表示关闭。
CandleType 1 小时 计算突破所用的蜡烛时间框。请与 MetaTrader 图表保持一致。

实现细节

  • 通过蜡烛收盘时间来判断交易时段，对应 MetaTrader 中新柱形成时的 TimeCurrent()。
  • 冻结/止损缓冲不低于十个点，可避免因经纪商限制导致的下单失败。
  • 追踪止损在每个 Level1 价格变动时更新，以模拟原始 OnTick 回调的行为。
  • 风险百分比模式优先使用 Portfolio.CurrentValue，若不可用则回退到 Portfolio.BeginValue。

使用建议

  1. 选择目标品种和蜡烛时间框，使其与 MetaTrader 设置一致。
  2. 设定需要交易的小时段，输入 0 即可关闭对应时间窗。
  3. 若需按权益比例下单，将 MoneyMode 改为 RiskPercent，并确保 StopLossPips 为正数。
  4. 若使用固定手数，保持 MoneyMode = FixedLot，并把 VolumeOrRisk 设置为期望手数。
  5. 启动策略后，在下一次符合条件的交易小时会自动挂出双向突破单，并根据规则维护保护性止损。
using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.MatchingEngine;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

public enum LbsMoneyMode
{
	FixedLot,
	RiskPercent,
}

/// <summary>
/// Previous-candle breakout strategy with paired conditional stops and Level1 trailing.
/// </summary>
public class LbsStrategy : Strategy
{
	private readonly StrategyParam<int> _stopLossPips;
	private readonly StrategyParam<int> _trailingStopPips;
	private readonly StrategyParam<int> _trailingStepPips;
	private readonly StrategyParam<LbsMoneyMode> _moneyMode;
	private readonly StrategyParam<decimal> _volumeOrRisk;
	private readonly StrategyParam<int> _hour1;
	private readonly StrategyParam<int> _hour2;
	private readonly StrategyParam<int> _hour3;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _bid;
	private decimal? _ask;
	private Order _buyPending;
	private Order _sellPending;
	private Order _protectiveStop;
	private decimal _entryPrice;

	public int StopLossPips { get => _stopLossPips.Value; set => _stopLossPips.Value = value; }
	public int TrailingStopPips { get => _trailingStopPips.Value; set => _trailingStopPips.Value = value; }
	public int TrailingStepPips { get => _trailingStepPips.Value; set => _trailingStepPips.Value = value; }
	public LbsMoneyMode MoneyMode { get => _moneyMode.Value; set => _moneyMode.Value = value; }
	public decimal VolumeOrRisk { get => _volumeOrRisk.Value; set => _volumeOrRisk.Value = value; }
	public int Hour1 { get => _hour1.Value; set => _hour1.Value = value; }
	public int Hour2 { get => _hour2.Value; set => _hour2.Value = value; }
	public int Hour3 { get => _hour3.Value; set => _hour3.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public LbsStrategy()
	{
		_stopLossPips = Param(nameof(StopLossPips), 50).SetNotNegative();
		_trailingStopPips = Param(nameof(TrailingStopPips), 5).SetNotNegative();
		_trailingStepPips = Param(nameof(TrailingStepPips), 15).SetNotNegative();
		_moneyMode = Param(nameof(MoneyMode), LbsMoneyMode.FixedLot);
		_volumeOrRisk = Param(nameof(VolumeOrRisk), 1m).SetGreaterThanZero();
		_hour1 = Param(nameof(Hour1), 10).SetRange(0, 23);
		_hour2 = Param(nameof(Hour2), 11).SetRange(0, 23);
		_hour3 = Param(nameof(Hour3), 12).SetRange(0, 23);
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame());
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType), (Security, DataType.Level1)];

	protected override void OnReseted()
	{
		base.OnReseted();
		_bid = null;
		_ask = null;
		_buyPending = null;
		_sellPending = null;
		_protectiveStop = null;
		_entryPrice = 0m;
	}

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

		var quotes = new Subscription(DataType.Level1, Security);
		quotes.MarketData.BuildField = Level1Fields.BestAskPrice;
		SubscribeLevel1(quotes).Bind(ProcessLevel1).Start();
		SubscribeCandles(CandleType).Bind(ProcessCandle).Start();
	}

	private void ProcessCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished || Position != 0m)
			return;

		var barEnd = CandleType.Arg is TimeSpan timeFrame ? candle.OpenTime + timeFrame : candle.CloseTime;
		if (!IsTradingHour(barEnd.Hour) || _bid is not decimal bid || _ask is not decimal ask)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		CancelEntryStops();

		var point = GetPoint();
		var (buyPrice, sellPrice) = CalculateBreakoutLevels(
			candle.HighPrice, candle.LowPrice, bid, ask, point);

		var volume = CalculateVolume(point);
		if (volume <= 0m)
			return;

		_buyPending = CreateStopOrder(Sides.Buy, buyPrice, volume, "LBS buy breakout");
		_sellPending = CreateStopOrder(Sides.Sell, sellPrice, volume, "LBS sell breakout");

		RegisterOrder(_buyPending);
		RegisterOrder(_sellPending);
	}

	private void ProcessLevel1(Level1ChangeMessage message)
	{
		if (message.TryGetDecimal(Level1Fields.BestBidPrice) is decimal bid && bid > 0m)
			_bid = bid;
		if (message.TryGetDecimal(Level1Fields.BestAskPrice) is decimal ask && ask > 0m)
			_ask = ask;

		if (Position == 0m || _protectiveStop is null || TrailingStopPips <= 0 || TrailingStepPips <= 0)
			return;

		var point = GetPoint();
		var trail = TrailingStopPips * point;
		var step = TrailingStepPips * point;

		if (Position > 0m && _bid is decimal longPrice)
		{
			if (longPrice - _entryPrice < trail + step)
				return;

			var candidate = longPrice - trail;
			var current = GetActivation(_protectiveStop);
			if (candidate >= current + step)
				ReplaceProtectiveStop(Sides.Sell, candidate);
		}
		else if (Position < 0m && _ask is decimal shortPrice)
		{
			if (_entryPrice - shortPrice < trail + step)
				return;

			var candidate = shortPrice + trail;
			var current = GetActivation(_protectiveStop);
			if (candidate <= current - step)
				ReplaceProtectiveStop(Sides.Buy, candidate);
		}
	}

	protected override void OnOwnTradeReceived(MyTrade trade)
	{
		base.OnOwnTradeReceived(trade);

		if (trade?.Order is null || trade.Trade is null)
			return;

		if (IsSameOrder(trade.Order, _buyPending) || IsSameOrder(trade.Order, _sellPending))
		{
			var filledSide = trade.Order.Side;
			_entryPrice = trade.Trade.Price;

			if (filledSide == Sides.Buy)
				CancelIfActive(_sellPending);
			else
				CancelIfActive(_buyPending);

			_buyPending = null;
			_sellPending = null;

			if (StopLossPips > 0 && Position != 0m)
			{
				var point = GetPoint();
				var stop = filledSide == Sides.Buy
					? _entryPrice - StopLossPips * point
					: _entryPrice + StopLossPips * point;

				ReplaceProtectiveStop(filledSide.Invert(), stop);
			}

			return;
		}

		if (IsSameOrder(trade.Order, _protectiveStop) && Position == 0m)
		{
			_protectiveStop = null;
			_entryPrice = 0m;
		}
	}

	private bool IsTradingHour(int hour)
		=> (Hour1 != 0 && hour == Hour1) ||
		   (Hour2 != 0 && hour == Hour2) ||
		   (Hour3 != 0 && hour == Hour3);

	private decimal CalculateVolume(decimal point)
	{
		if (MoneyMode == LbsMoneyMode.FixedLot)
			return NormalizeVolume(VolumeOrRisk);

		if (StopLossPips <= 0)
			return 0m;

		var balance = Portfolio?.CurrentValue ?? Portfolio?.BeginValue ?? 0m;
		if (balance <= 0m)
			return 0m;

		var riskMoney = balance * VolumeOrRisk / 100m;
		var stepPrice = Security?.StepPrice ?? 0m;
		var lossPerUnit = stepPrice > 0m
			? StopLossPips * stepPrice
			: StopLossPips * point * (Security?.Multiplier ?? 1m);

		return lossPerUnit > 0m ? NormalizeVolume(riskMoney / lossPerUnit) : 0m;
	}

	private Order CreateStopOrder(Sides side, decimal activationPrice, decimal volume, string comment)
		=> new()
		{
			Security = Security,
			Portfolio = Portfolio,
			Type = OrderTypes.Conditional,
			Condition = new StopOrderCondition { ActivationPrice = Security.ShrinkPrice(activationPrice, ShrinkRules.Auto) },
			Side = side,
			Volume = volume,
			Comment = comment,
		};

	private void ReplaceProtectiveStop(Sides side, decimal activationPrice)
	{
		var old = _protectiveStop;
		var volume = Math.Abs(Position);
		if (volume <= 0m)
			return;

		var replacement = CreateStopOrder(side, activationPrice, volume, "LBS protective stop");

		if (old is { State: OrderStates.Active })
			ReRegisterOrder(old, replacement);
		else
			RegisterOrder(replacement);

		_protectiveStop = replacement;
	}

	private void CancelEntryStops()
	{
		CancelIfActive(_buyPending);
		CancelIfActive(_sellPending);
		_buyPending = null;
		_sellPending = null;
	}

	private void CancelIfActive(Order order)
	{
		if (order is { State: OrderStates.Active })
			CancelOrder(order);
	}

	private static bool IsSameOrder(Order left, Order right)
		=> left is not null && right is not null &&
		   (ReferenceEquals(left, right) || left.TransactionId == right.TransactionId);

	private static decimal GetActivation(Order order)
		=> order?.Condition is StopOrderCondition stop ? stop.ActivationPrice ?? 0m : 0m;

	private decimal NormalizeVolume(decimal volume)
	{
		if (Security?.MaxVolume is decimal max && max > 0m)
			volume = Math.Min(volume, max);
		if (Security?.MinVolume is decimal min && min > 0m)
			volume = Math.Max(volume, min);
		if (Security?.VolumeStep is decimal step && step > 0m)
			volume = Math.Floor(volume / step) * step;

		return volume;
	}

	private decimal GetPoint()
	{
		var point = Security?.PriceStep ?? 0m;
		return point > 0m ? point : 0.0001m;
	}

	internal static (decimal buy, decimal sell) CalculateBreakoutLevels(
		decimal candleHigh,
		decimal candleLow,
		decimal bid,
		decimal ask,
		decimal priceStep)
	{
		var spread = Math.Max(0m, ask - bid);
		var buffer = Math.Max(3m * spread, 10m * priceStep);
		return (Math.Max(candleHigh, ask + buffer), Math.Min(candleLow, bid - buffer));
	}
}