VPM (Все сообщения пользователя)

-- Global settings
local CLASS_CODE = "SPBFUT"         -- Код класса инструмента
local SEC_CODE = "CRM5"             -- Код инструмента
local TRADE_ACCOUNT = "" -- Счет
local LOTS = 1                      -- Количество лотов

-- Инициализация данных
local dailyTrend = "none"
local entryPrice = 0
local sl = 0
local tp = 0

-- Функция получения свечей
function getCandles(ds, count)
    local candles = {}
    local size = ds:Size()
    --message( 'size = ' .. size)
    for i = 0, count do
        if size >= 1 then
            candles[i] = {
                high = ds:H(size - i) or 0,
                low = ds:L(size - i) or 0,
                open = ds:O(size - i) or 0,
                close = ds:C(size - i) or 0
            }
        end
    end
    return candles
end

-- Расчет ATR
function calculateATR(ds, period)
    local sumTR = 0
    local size = ds:Size()
    
    for i = 1, period do
        local prevClose = ds:C(size - i + 1) or 0
        local high = ds:H(size - i) or 0
        local low = ds:L(size - i) or 0
        
        local TR = math.max(
            high - low,
            math.abs(high - prevClose),
            math.abs(low - prevClose)
        )
        sumTR = sumTR + TR
    end
    return sumTR / period
end

-- Функция определения тренда на D1
function getDailyTrend()

    local ds_D1 = CreateDataSource(CLASS_CODE, SEC_CODE, INTERVAL_D1)

    local dailyCandles = getCandles(ds_D1, 4)
   local atr = calculateATR(ds_D1, 4)

    local o0 = dailyCandles[0].open or ds_D1:O(ds_D1:Size()) or 0
   --message('o0 = ' .. tostring(o0) .. '; dailyCandles[0].open = ' .. tostring(dailyCandles[0].open) )

    local HH = math.max(
        dailyCandles[1].high, 
        dailyCandles[2].high, 
        dailyCandles[3].high
    )
    local LL = math.min(
        dailyCandles[1].low, 
        dailyCandles[2].low, 
        dailyCandles[3].low
    )
    local trend = "range"
    if o0 > HH then trend = "uptrend"
    elseif o0 < LL then trend = "downtrend"
    else trend = "range" 
   end

   local daily = {['trend'] = trend, 
                  ['hh'] = HH, 
               ['ll'] = LL, 
               ['o'] = o0, 
               ['atr'] = atr,
               ['targetB'] = atr + o0,
               ['targetS'] = o0 - atr
               }
   return daily
end

-- Проверка структуры на H1
function checkH1Structure(trend)
    local ds_H1 = CreateDataSource(CLASS_CODE, SEC_CODE, INTERVAL_H1)
    local h1Candles = getCandles(ds_H1, 5)
   local atr = calculateATR(ds_H1, 14)
    local currentClose = ds_H1:C(ds_H1:Size()) or 0
    
    if trend == "uptrend" then
        return h1Candles[1].high > h1Candles[2].high and
               h1Candles[2].low < h1Candles[3].low and
               currentClose > h1Candles[1].high
    elseif trend == "downtrend" then
        return h1Candles[1].low < h1Candles[2].low and
               h1Candles[2].high > h1Candles[3].high and
               currentClose < h1Candles[1].low
    end
    return false
end

-- Поиск точки входа на M1
function checkM1Entry(trend)
    local ds_M1 = CreateDataSource(CLASS_CODE, SEC_CODE, INTERVAL_M1)
    local m1Candles = getCandles(ds_M1, 20)
    local atr = calculateATR(ds_M1, 14)
    local currentClose = ds_M1:C(ds_M1:Size()) or 0
    
    if trend == "uptrend" then
        if currentClose > m1Candles[0].high then
            entryPrice = currentClose
            sl = entryPrice - atr
            tp = entryPrice + 2*atr
            return true
        end
    elseif trend == "downtrend" then
        if currentClose < m1Candles[0].low then
            entryPrice = currentClose
            sl = entryPrice + atr
            tp = entryPrice - 2*atr
            return true
        end
    end
    return false
end

-- Отправка ордера
function placeOrder(direction)
    local transaction = {
        ACTION = "NEW_ORDER",
        CLASSCODE = CLASS_CODE,
        SECCODE = SEC_CODE,
        ACCOUNT = TRADE_ACCOUNT,
        OPERATION = direction == "uptrend" and "B" or "S",
        PRICE = entryPrice,
        QUANTITY = tostring(LOTS),
        STOPPRICE = tostring(sl),
        EXPIRY = "GTC"
    }
    
    local res = SendTransaction(transaction)
    if res then
        message("Order placed: "..direction..
                " | Price: "..entryPrice..
                " | SL: "..sl..
                " | TP: "..tp)
    else
        message("Error placing order!")
    end
end
local is_run
function OnInit()
    --strategy = Strategy:new(config)
    --strategy:start()
    is_run = true
   message('Стратегия 3ТФ инициализирована')
end
function OnStop()
    --strategy:stop()
    is_run = false
   message('Стратегия 3ТФ остановлена')
end
function OnTransReply(r)
    --strategy:handle_transaction_reply(r)
end
function OnTrade(t)
    --strategy:handle_trade(t)
end
function OnOrder(o)
    --strategy:handle_order(o)
end
-- Основной обработчик
function main()
    message('Стратегия 3ТФ запущена')
    local daily = getDailyTrend()
    message( 'Стратегия 3ТФ dailyTrend = ' .. tostring(daily.trend) 
         ..'; HH = '.. tostring(daily.hh) 
         ..'; LL = '.. tostring(daily.ll)
         ..'; o0 = '.. tostring(daily.o) 
         ..'; atr = '.. tostring(daily.atr)
         ..'; targetB = '.. tostring(daily.targetB)
         ..'; targetS = '.. tostring(daily.targetS)
         )
    daily.trend = "uptrend"

    while is_run do

      if daily.trend ~= "range" then
        if  checkH1Structure(daily.trend) then
            if checkM1Entry(daily.trend) then
                placeOrder(daily.trend)
            end
        end
      end
        sleep(1000)
    end
end

local function circular_buffer(tbl, max_size, index, value)
    local pos = (index - 1) % max_size + 1
    tbl[pos] = value
    return tbl[pos]
end

return function(I, FSettings, ds)
    local I = I or 1
    local ds = ds or nil
    local FSettings = FSettings or {}
    local P = FSettings.period or 9
    local v_t = FSettings.v_t or 'C'

    -- Текущая цена
    local p0 = Value(I, v_t, ds) or 0

    -- Инициализация на первом баре
    if I == 1 then
        Ema, iFich, Cu, Cd = {}, {}, {}, {}
    end

    -- Используем кольцевой буфер
    local ema1 = circular_buffer(Ema, P * 2, I - 1, p0)
    local ema0 = p0 * k + (1 - k) * ema1
    circular_buffer(Ema, P * 2, I, ema0)

    -- Остальная логика
    ...
end

-- Возвращаемые значения
        return Lead[I] or 0, SSF[I] or 0
    end, Lead, SSF
end

local fAlgo, Lead, SSF = Cached.Roofing_Filter(FSettings, ds)

function Cached.Roofing_Filter()
    -- Локальные таблицы для хранения данных между вызовами
    local Price, HP, SSF, Lead = {}, {}, {}, {}
    local alpha1, a1, b1, c2, c3, c1 = 0, 0, 0, 0, 0, 0
    local I1 = 0  -- Индекс предыдущего бара

    -- Функция для ограничения размера таблицы
    local function limit_table_size(tbl, max_size)
        while #tbl > max_size do
            table.remove(tbl, 1)
        end
    end

    return function(I, FSettings, ds)
        -- Параметры
        local I = I or 1
        local ds = ds or nil
        local FSettings = FSettings or {}
        local v_t = FSettings.v_t or 'C'
        local P = FSettings.period or 48
        local N = FSettings.N or 10
        local x = FSettings.x or nil

        -- Текущая цена
        local p0 = x or Value(I, v_t, ds) or 0

        -- Проверка смены бара
        local newbar = I > I1
        if newbar then
            -- Обновление индекса бара
            I1 = I

            -- Инициализация на первом баре
            if I == 1 then
                Price, HP, SSF, Lead = {}, {}, {}, {}
                Price[I], HP[I], SSF[I], Lead[I] = p0, 0, 0, 0
                local fi = (0.707 * 2 * math.pi / P)
                alpha1 = (math.cos(fi) + math.sin(fi) - 1) / math.cos(fi)
                a1 = math.exp(-1.41421356 * math.pi / N)
                b1 = 2 * a1 * math.cos(1.41421356 * math.pi / N)
                c2, c3, c1 = b1, -a1 * a1, 1 - c2 - c3
            else
                -- Обновление цены
                Price[I] = p0

                -- Разница цен для выделения высокочастотных компонентов
                local p1 = Price[I - 1] or p0
                local p2 = Price[I - 2] or p1
                local noise = p0 - 2 * p1 + p2

                -- Расчет HP-фильтра
                local hp1 = HP[I - 1] or 0
                local hp2 = HP[I - 2] or hp1
                local hp = (1 - alpha1 / 2) * (1 - alpha1 / 2) * noise + 2 * (1 - alpha1) * hp1 - (1 - alpha1) * (1 - alpha1) * hp2
                HP[I] = hp

                -- Расчет SuperSmoother
                local ssf1 = SSF[I - 1] or 0
                local ssf2 = SSF[I - 2] or ssf1
                local ssf = c1 * (hp + hp1) * 0.5 + c2 * ssf1 + c3 * ssf2
                SSF[I] = ssf

                -- Расчет опережающего сигнала (Lead)
                local lead1 = Lead[I - 1] or 0
                local lead = 2 * ssf - 1 * ssf2
                Lead[I] = lead
            end

            -- Ограничение размера таблиц
            limit_table_size(Price, 3)  -- Храним только последние 3 бара
            limit_table_size(HP, 3)
            limit_table_size(SSF, 3)
            limit_table_size(Lead, 3)
        end

        -- Возвращаемые значения
        return Lead[I] or 0, SSF[I] or 0
    end
end

Пример простого модуля: Модуль для математических расчетов
local MathUtils = {}
function MathUtils.add(a, b)
    return a + b
end
function MathUtils.multiply(a, b)
    return a * b
end
return MathUtils

Как можно использовать в других скриптах:
local MathUtils = require "MathUtils"
local result = MathUtils.add(5, 3)
print(result)  -- Вывод: 8

Пример класса для торговой системы:
local TradingSystem = {}
TradingSystem.__index = TradingSystem
function TradingSystem.new(params)
    local self = setmetatable({}, TradingSystem)
    self.length = params.length or 20
    self.frac = params.frac or 5
    self.pt_stop = params.pt_stop or 3
    self.price = {}
    self.smooth = {}
    self.coef = {}
    self.distance2 = {}
    self.market_position = 0
    self.entry_price = 0
    return self
end
function TradingSystem:process_bar(index, high, low, open_price)
    -- Логика обработки бара
end

-- Использование
local params = { length = 20, frac = 5, pt_stop = 3 }
local system = TradingSystem.new(params)