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按账户货币的盈利或亏损平仓

该策略移植自 MetaTrader 专家顾问 Close_on_PROFIT_or_LOSS_inAccont_Currency。它持续监控所连接投资组合的当前权益值，一旦达到设定的盈利目标或跌破亏损底线，就会取消所有挂单并平掉全部持仓。实现基于 StockSharp 的高级 API：蜡烛订阅提供“心跳”，CancelActiveOrders() 撤销挂单，而 ClosePosition() 通过市价单完成平仓。

工作流程

  1. 每当心跳蜡烛收盘时，读取 Portfolio.CurrentValue。
  2. 若权益值大于或等于 Positive Closure，触发完整的退出流程。
  3. 若权益值小于或等于 Negative Closure，执行同样的流程以限制亏损。
  4. 在退出过程中，策略会撤销挂单、提交反向市价单并停止自身运行（对应原版中的 ExpertRemove()）。

注意： 阈值以账户货币表示。为了避免启动后立即触发，请将 Positive Closure 设置在当前权益之上，并将 Negative Closure 设置在其下方。

参数

名称 说明 默认值
PositiveClosureInAccountCurrency 当权益达到或超过该值时立即平仓。 0
NegativeClosureInAccountCurrency 当权益跌至该值或更低时立即平仓。 0
CandleType 提供心跳的蜡烛周期。若需更快响应，可选择更短的时间框。 1 分钟

说明

  • 启动时会调用 StartProtection()，以保持原策略的防护逻辑。
  • 策略仅处理自身管理的仓位和订单，请将其附加到需要保护的投资组合。
  • 未单独提供点差或滑点参数，因为 StockSharp 的市价单会根据连接器自动处理这些因素。
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;

using StockSharp.Algo.Candles;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Closes all positions when portfolio equity reaches configured profit or loss thresholds.
/// Pending orders are cancelled before liquidating the exposure.
/// </summary>
public class CloseOnProfitOrLossInAccountCurrencyStrategy : Strategy
{
	private readonly StrategyParam<decimal> _positiveClosure;
	private readonly StrategyParam<decimal> _negativeClosure;
	private readonly StrategyParam<DataType> _candleType;

	private bool _closeRequested;
	private SimpleMovingAverage _smaFast;
	private SimpleMovingAverage _smaSlow;

	/// <summary>
	/// Equity level in account currency that triggers closing all positions when exceeded.
	/// </summary>
	public decimal PositiveClosureInAccountCurrency
	{
		get => _positiveClosure.Value;
		set => _positiveClosure.Value = value;
	}

	/// <summary>
	/// Equity level in account currency that triggers closing all positions when reached on drawdown.
	/// </summary>
	public decimal NegativeClosureInAccountCurrency
	{
		get => _negativeClosure.Value;
		set => _negativeClosure.Value = value;
	}

	/// <summary>
	/// Candle type used as a heartbeat to evaluate portfolio equity.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="CloseOnProfitOrLossInAccountCurrencyStrategy"/> class.
	/// </summary>
	public CloseOnProfitOrLossInAccountCurrencyStrategy()
	{
		_positiveClosure = Param(nameof(PositiveClosureInAccountCurrency), 0m)
			.SetDisplay("Positive Closure", "Equity level that triggers full liquidation", "Risk");

		_negativeClosure = Param(nameof(NegativeClosureInAccountCurrency), 0m)
			.SetDisplay("Negative Closure", "Equity floor that forces liquidation", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Heartbeat Candle", "Candle type that triggers equity checks", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		if (Security == null)
			return Array.Empty<(Security, DataType)>();

		return new (Security, DataType)[] { (Security, CandleType) };
	}

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

		if (Portfolio == null)
			throw new InvalidOperationException("Portfolio cannot be null.");

		if (Security == null)
			throw new InvalidOperationException("Security must be set to subscribe for candles.");

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

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_smaFast, _smaSlow, ProcessCandleWithIndicators)
			.Start();
	}

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

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

	private void RequestCloseAll(string reason)
	{
		if (_closeRequested)
			return;

		_closeRequested = true;

		LogInfo(reason);

		// Cancel any pending orders to avoid unexpected executions during liquidation.
		CancelActiveOrders();

		foreach (var position in Positions.ToArray())
		{
			var value = GetPositionValue(position.Security, Portfolio) ?? 0m;

			if (value == 0m)
				continue;

			// Submit a market order opposite to the current exposure.
			ClosePosition(position.Security);
		}

		// Stop the strategy after sending exit orders, mirroring ExpertRemove behavior.
		Stop();
	}
}