中文 ZH
在 GitHub 上查看

符号同步策略

概述

Symbol Sync Strategy 在 StockSharp 平台中复刻 MetaTrader 工具 SymbolSyncEA 的行为。策略会监控主策略当前使用的品种，并把该证券同步到所有已注册的从属策略，使整个工作空间始终聚焦同一个标的。

核心思路

  • 启动时保存初始证券，作为后续恢复的备用值。
  • 维护一个可配置的同步列表，列表中的策略都会跟随主策略的证券。
  • 允许通过直接赋值 Security 或者提供证券标识两种方式触发切换。
  • 提供手动同步与恢复到初始证券的方法，最大程度地还原原始 EA 的功能。

参数

名称 说明 默认值
ChartLimit 允许同步的策略最大数量，用于防止意外的大规模变更。 10
SyncSecurityId 将要传播的证券标识，留空时自动使用当前策略的证券。 ""

公共方法

  • RegisterLinkedStrategy(Strategy strategy)：把策略加入同步列表，成功返回 true。
  • UnregisterLinkedStrategy(Strategy strategy)：从列表中移除指定策略。
  • ChangeSyncSecurity(Security security)：使用给定的 Security 实例并同步所有从属策略。
  • ChangeSyncSecurity(string securityId)：通过 SecurityProvider 查找标识并调用上一方法。
  • ResetToInitialSecurity()：恢复为启动时保存的证券。
  • SyncSymbols()：在不修改标识的情况下强制执行一次同步。

使用流程

  1. 创建 SymbolSyncStrategy，在启动前设置主策略的 Security 或 SyncSecurityId。
  2. 调用 RegisterLinkedStrategy 注册所有需要跟随的子策略（例如不同的时间周期、统计模块等）。
  3. 当需要切换主品种时，调用 ChangeSyncSecurity(Security) 或 ChangeSyncSecurity(string)。
  4. 如果外部组件可能修改过子策略，可调用 SyncSymbols() 手动强制同步。

与 MQL 版本的差异

  • 针对 StockSharp 的 Strategy 实例，而非 MetaTrader 的图表窗口。
  • 通过 SecurityProvider 查找证券标识。
  • 增加了防御性日志和同步数量上限。
  • 提供显式的重置与手动同步方法，便于自动化流程集成。

备注

  • 此策略不发送交易指令，定位为基础设施辅助组件。
  • 代码中的注释统一为英文，以符合项目规范。
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy that synchronizes the security of linked strategies whenever the main symbol changes.
/// </summary>
public class SymbolSyncStrategy : Strategy
{
	private readonly StrategyParam<int> _chartLimit;
	private readonly StrategyParam<string> _syncSecurityId;

	private readonly List<Strategy> _linkedStrategies = new();

	private Security _initialSecurity;

	public SymbolSyncStrategy()
	{
		_chartLimit = Param(nameof(ChartLimit), 10)
			.SetNotNegative()
			.SetDisplay("Chart limit", "Maximum number of linked strategies that can be synchronized.", "General")
			;

		_syncSecurityId = Param(nameof(SyncSecurityId), string.Empty)
			.SetDisplay("Sync security ID", "Identifier of the security propagated to linked strategies.", "General")
			;
	}

	/// <summary>
	/// Maximum number of linked strategies that can follow the symbol changes.
	/// </summary>
	public int ChartLimit
	{
		get => _chartLimit.Value;
		set => _chartLimit.Value = value;
	}

	/// <summary>
	/// Identifier of the security that must be mirrored by linked strategies.
	/// </summary>
	public string SyncSecurityId
	{
		get => _syncSecurityId.Value;
		set => _syncSecurityId.Value = value ?? string.Empty;
	}

	private SimpleMovingAverage _smaFast;
	private SimpleMovingAverage _smaSlow;
	private int _candleCount;
	private int _lastTradeCandle;

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		yield return (Security, TimeSpan.FromMinutes(5).TimeFrame());
	}

	protected override void OnReseted()
	{
		base.OnReseted();
		_linkedStrategies.Clear();
		_initialSecurity = default;
		_smaFast = default;
		_smaSlow = default;
		_candleCount = default;
		_lastTradeCandle = default;
		_syncSecurityId.Value = string.Empty;
	}

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

		_initialSecurity = Security;

		if (SyncSecurityId.IsEmpty() && Security != null)
			SyncSecurityId = Security.Id;

		_smaFast = new SimpleMovingAverage { Length = 10 };
		_smaSlow = new SimpleMovingAverage { Length = 30 };

		var subscription = SubscribeCandles(TimeSpan.FromMinutes(5).TimeFrame());
		subscription
			.Bind(_smaFast, _smaSlow, ProcessCandle)
			.Start();
	}

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

		_candleCount++;

		if (_candleCount - _lastTradeCandle < 200)
			return;

		if (fast > slow && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
			_lastTradeCandle = _candleCount;
		}
		else if (fast < slow && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
			_lastTradeCandle = _candleCount;
		}
	}

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

		_initialSecurity = null;
	}

	/// <summary>
	/// Registers an additional strategy that must mirror the current security.
	/// </summary>
	/// <param name="strategy">Strategy that will receive symbol updates.</param>
	/// <returns><c>true</c> when the strategy is registered; otherwise <c>false</c>.</returns>
	public bool RegisterLinkedStrategy(Strategy strategy)
	{
		if (strategy == null)
			throw new ArgumentNullException(nameof(strategy));

		if (_linkedStrategies.Contains(strategy))
			return false;

		var limit = Math.Max(ChartLimit, 0);
		if (_linkedStrategies.Count >= limit)
		{
			LogWarning($"Chart limit of {limit} reached. Strategy '{strategy.Name}' cannot be synchronized.");
			return false;
		}

		_linkedStrategies.Add(strategy);
		ApplySymbol(strategy);
		return true;
	}

	/// <summary>
	/// Removes a strategy from the synchronization list.
	/// </summary>
	/// <param name="strategy">Strategy previously added with <see cref="RegisterLinkedStrategy"/>.</param>
	/// <returns><c>true</c> when the strategy was removed.</returns>
	public bool UnregisterLinkedStrategy(Strategy strategy)
	{
		if (strategy == null)
			throw new ArgumentNullException(nameof(strategy));

		return _linkedStrategies.Remove(strategy);
	}

	/// <summary>
	/// Restores the initial security captured when the strategy started.
	/// </summary>
	public void ResetToInitialSecurity()
	{
		if (_initialSecurity == null)
			return;

		ChangeSyncSecurity(_initialSecurity);
	}

	/// <summary>
	/// Changes the synchronization security using a resolved <see cref="Security"/> instance.
	/// </summary>
	/// <param name="security">Security that should be mirrored by linked strategies.</param>
	/// <returns><c>true</c> when the identifier changed.</returns>
	public bool ChangeSyncSecurity(Security security)
	{
		if (security == null)
			throw new ArgumentNullException(nameof(security));

		if (Security != security)
			Security = security;

		if (SyncSecurityId.EqualsIgnoreCase(security.Id))
		{
			SyncSymbols();
			return false;
		}

		SyncSecurityId = security.Id;
		SyncSymbols();
		return true;
	}

	/// <summary>
	/// Changes the synchronization security by resolving the identifier through <see cref="Strategy.Connector"/>.
	/// </summary>
	/// <param name="securityId">Identifier of the security to use for synchronization.</param>
	/// <returns><c>true</c> when the identifier resolved to a new security.</returns>
	public bool ChangeSyncSecurity(string securityId)
	{
		if (securityId.IsEmpty())
			throw new ArgumentNullException(nameof(securityId));

		if (Connector != null)
		{
			var resolved = Connector.LookupById(securityId);
			if (resolved != null)
				return ChangeSyncSecurity(resolved);

			LogWarning($"Security '{securityId}' not found by the security provider.");
		}

		SyncSecurityId = securityId;
		SyncSymbols();
		return false;
	}

	/// <summary>
	/// Synchronizes the security across every registered strategy.
	/// </summary>
	/// <returns><c>true</c> when a security was resolved and propagated.</returns>
	public bool SyncSymbols()
	{
		var security = ResolveSecurity();
		if (security == null)
		{
			LogWarning("No synchronization security resolved. Linked strategies keep their current assignments.");
			return false;
		}

		if (Security != security)
			Security = security;

		foreach (var strategy in _linkedStrategies)
			ApplySymbol(strategy);

		return true;
	}

	private void ApplySymbol(Strategy strategy)
	{
		if (strategy == null)
			return;

		var security = ResolveSecurity();
		if (security == null)
			return;

		if (strategy.Security == security)
			return;

		strategy.Security = security;
	}

	private Security ResolveSecurity()
	{
		if (Security != null && (SyncSecurityId.IsEmpty() || SyncSecurityId.EqualsIgnoreCase(Security.Id)))
			return Security;

		if (!SyncSecurityId.IsEmpty() && Connector != null)
		{
			var resolved = Connector.LookupById(SyncSecurityId);
			if (resolved != null)
				return resolved;
		}

		return Security;
	}
}