Грааль !!!

namespace SampleHistoryTesting
{
	using Ecng.Common;
    using System.Collections.Generic;
    using System.Linq;
	using StockSharp.Algo;
	using StockSharp.Algo.Candles;
	using StockSharp.Algo.Indicators;
	using StockSharp.Algo.Indicators.Trend;
	using StockSharp.Algo.Strategies;
	using StockSharp.Algo.Testing;
	using StockSharp.Logging;
	using StockSharp.BusinessEntities;
    using StockSharp.Messages;

	class SmaStrategy : Strategy
	{
		private readonly CandleSeries _series;
		private bool _isShortLessThenLong;

		public SmaStrategy(CandleSeries series, SimpleMovingAverage longSma, SimpleMovingAverage shortSma)
		{
			_series = series;

			LongSma = longSma;
			ShortSma = shortSma;
		}

		public SimpleMovingAverage LongSma { get; private set; }
		public SimpleMovingAverage ShortSma { get; private set; }

		protected override void OnStarted()
		{

            this.Security.Trader.NewMyTrades += trades => NewMyTrades(trades);

            this.Trader.MarketTimeChanged += t => ProcessDepth();

			// запоминаем текущее положение относительно друг друга
			_isShortLessThenLong = ShortSma.GetCurrentValue() < LongSma.GetCurrentValue();

			base.OnStarted();
		}

        private void NewMyTrades(IEnumerable<MyTrade> trades)           
        {


            foreach (var tr in trades)
            {
                if (tr.Order.GetTrades().Sum(x => x.Trade.Volume) > tr.Order.Volume)
                {
                    var Trtrades = this.Trader.MyTrades;
                    var stp = 0;
                }
            }
        }

        Order buy_order = null;
        Order sell_order = null;

        private void ProcessDepth()
        {
            var Volume = 1;
            if (this.Position <= 0)
            {
                if (buy_order != null)
                {
                    if (buy_order.State == OrderStates.Done || buy_order.State == OrderStates.Failed)
                    {
                        buy_order = this.CreateOrder(OrderDirections.Buy, Security.BestBid.Price, Volume);
                        RegisterOrder(buy_order);
                    }
                    else
                        if (buy_order.Price != Security.BestBid.Price)
                        {
                            this.CancelOrder(buy_order);
                            buy_order = this.CreateOrder(OrderDirections.Buy, Security.BestBid.Price, Volume);
                            RegisterOrder(buy_order);
                        }
                }
                else
                {
                    buy_order = this.CreateOrder(OrderDirections.Buy, Security.BestBid.Price, Volume);
                    RegisterOrder(buy_order);
                }
            }
            else
            {
                if (buy_order != null)
                {
                    this.CancelOrder(buy_order);
                    buy_order = null;
                }
            }

            if (this.Position >= 0)
            {
                if (sell_order != null)
                {
                    if (sell_order.State == OrderStates.Done || sell_order.State == OrderStates.Failed)
                    {
                        sell_order = this.CreateOrder(OrderDirections.Sell, Security.BestAsk.Price, Volume);
                        RegisterOrder(sell_order);
                    }
                    else
                        if (sell_order.Price != Security.BestAsk.Price)
                        {
                            this.CancelOrder(sell_order);
                            sell_order = this.CreateOrder(OrderDirections.Sell, Security.BestAsk.Price, Volume);
                            RegisterOrder(sell_order);
                        }
                }
                else
                {
                    sell_order = this.CreateOrder(OrderDirections.Sell, Security.BestAsk.Price, Volume);
                    RegisterOrder(sell_order);
                }

            }
            else
            {
                if (sell_order != null)
                {
                    this.CancelOrder(sell_order);
                    sell_order = null;
                }
            }
        }

	
	}
}