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OpenPendingorderAfterPositionGetStopLoss

概览

OpenPendingorderAfterPositionGetStopLoss 策略将同名的 MetaTrader 5 专家顾问移植到 StockSharp 的高级 API。策略在所选时间框架的每根收盘 K 线上计算 Stochastic 指标的 %K 斜率：当 %K 向下倾斜时，在市场价下方放置 sell stop；当 %K 向上倾斜时，在市场价上方放置 buy stop。每当挂单成交，都会立即生成对应的止损和止盈保护单。如果仓位因为止损而关闭，策略会立刻重新挂出相同方向的待触发订单，从而维持原有的突破网格结构。

交易逻辑

  • 订阅所选时间框架的收盘蜡烛并计算经典的随机指标（KPeriod、DPeriod、Slowing）。
  • 将当前 %K 值与两根蜡烛之前的值比较：
    • %K(current) < %K(two bars ago) → 在最佳买价下方提交 sell stop。
    • %K(current) > %K(two bars ago) → 在最佳卖价上方提交 buy stop。
  • 挂单价格在实时点差的基础上再加上 MinStopDistancePoints 指定的缓冲，与原始 MQL 策略保持一致。
  • 挂单成交后，策略会发送止损 stop 单和可选的止盈 limit 单。
  • 当止损触发并关闭仓位时，会立即根据最新行情重新放置相同方向的挂单。
  • 当止盈成交或策略停止时，所有保护性订单都会被自动撤销。

参数

名称 说明
OrderVolume 每个挂单的交易量（手数）。
StopLossPoints 止损距离（以最小价格变动为单位），0 表示不使用。
TakeProfitPoints 止盈距离（以最小价格变动为单位），0 表示不使用。
MinStopDistancePoints 挂单距离当前价格的最小缓冲（点数），会与点差一起计算。
MaxPositions 每个方向允许的最大持仓数量（净额账户通常为 0 或 1）。
KPeriod 计算 %K 时使用的历史柱数。
DPeriod %D 平滑线的周期。
Slowing 对 %K 施加的额外平滑系数。
PendingExpiry 挂单的有效期，到期后会在下一根蜡烛上取消。
CandleType 用于指标计算的蜡烛类型（时间框架）。

实现细节

  • 订单管理完全依赖 BuyStop、SellStop、SellLimit、BuyLimit 等高级方法，满足 AGENTS.md 中的要求。
  • 指标值直接在 SubscribeCandles().BindEx(...) 回调中消费，没有使用任何 GetValue 调用。
  • 通过 OnOwnTradeReceived 事件安装和撤销保护性订单，从而复现原始 EA 中 OnTradeTransaction 的逻辑。
  • 代码中的注释全部为英文，缩进使用制表符，完全符合仓库的编码规范。
namespace StockSharp.Samples.Strategies;

using System;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.Messages;

/// <summary>
/// Trades based on the slope of the Stochastic %K line.
/// Buys when %K is rising, sells when %K is falling.
/// Uses take-profit and stop-loss protection.
/// </summary>
public class OpenPendingorderAfterPositionGetStopLossStrategy : Strategy
{
	private readonly StrategyParam<int> _kPeriod;
	private readonly StrategyParam<int> _dPeriod;
	private readonly StrategyParam<int> _slowing;
	private readonly StrategyParam<decimal> _stopLossPct;
	private readonly StrategyParam<decimal> _takeProfitPct;
	private readonly StrategyParam<int> _signalCooldownCandles;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _lastK;
	private decimal? _prevK;
	private decimal _entryPrice;
	private int _candlesSinceTrade;

	public int KPeriod
	{
		get => _kPeriod.Value;
		set => _kPeriod.Value = value;
	}

	public int DPeriod
	{
		get => _dPeriod.Value;
		set => _dPeriod.Value = value;
	}

	public int Slowing
	{
		get => _slowing.Value;
		set => _slowing.Value = value;
	}

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

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

	public int SignalCooldownCandles
	{
		get => _signalCooldownCandles.Value;
		set => _signalCooldownCandles.Value = value;
	}

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

	public OpenPendingorderAfterPositionGetStopLossStrategy()
	{
		_kPeriod = Param(nameof(KPeriod), 22)
			.SetDisplay("%K Period", "Number of bars for %K", "Indicators");

		_dPeriod = Param(nameof(DPeriod), 7)
			.SetDisplay("%D Period", "Smoothing period for %K", "Indicators");

		_slowing = Param(nameof(Slowing), 2)
			.SetDisplay("Slowing", "Additional smoothing factor", "Indicators");

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

		_takeProfitPct = Param(nameof(TakeProfitPct), 3m)
			.SetDisplay("Take Profit %", "Take-profit as percentage of entry price", "Risk");

		_signalCooldownCandles = Param(nameof(SignalCooldownCandles), 4)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown", "Bars to wait between entries", "Trading");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(60).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for indicator", "General");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_lastK = null;
		_prevK = null;
		_entryPrice = 0;
		_candlesSinceTrade = SignalCooldownCandles;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_lastK = null;
		_prevK = null;
		_entryPrice = 0;
		_candlesSinceTrade = SignalCooldownCandles;

		var rsi = new RelativeStrengthIndex { Length = KPeriod };

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

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

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

		var close = candle.ClosePrice;

		if (_candlesSinceTrade < SignalCooldownCandles)
			_candlesSinceTrade++;

		// Check stop-loss / take-profit on existing position
		if (Position != 0 && _entryPrice > 0)
		{
			if (Position > 0)
			{
				var pnlPct = (close - _entryPrice) / _entryPrice * 100m;
				if (pnlPct <= -StopLossPct || pnlPct >= TakeProfitPct)
				{
					SellMarket();
					_entryPrice = 0;
					_prevK = currentK;
					_lastK = currentK;
					return;
				}
			}
			else if (Position < 0)
			{
				var pnlPct = (_entryPrice - close) / _entryPrice * 100m;
				if (pnlPct <= -StopLossPct || pnlPct >= TakeProfitPct)
				{
					BuyMarket();
					_entryPrice = 0;
					_prevK = currentK;
					_lastK = currentK;
					return;
				}
			}
		}

		// Need at least 2 values to determine signal transition.
		if (_lastK is not decimal prevK)
		{
			_lastK = currentK;
			return;
		}

		_prevK = _lastK;
		_lastK = currentK;

		var crossedUp = prevK <= 45m && currentK > 45m;
		var crossedDown = prevK >= 55m && currentK < 55m;

		if (crossedUp && Position <= 0 && _candlesSinceTrade >= SignalCooldownCandles)
		{
			BuyMarket();
			_entryPrice = close;
			_candlesSinceTrade = 0;
		}
		else if (crossedDown && Position >= 0 && _candlesSinceTrade >= SignalCooldownCandles)
		{
			SellMarket();
			_entryPrice = close;
			_candlesSinceTrade = 0;
		}
	}
}