Table of Contents

Class VolatilityQuotingStrategy

Namespace
StockSharp.Algo.Strategies.Derivatives
Assembly
StockSharp.Algo.dll

Option volatility quoting.

public class VolatilityQuotingStrategy : BestByPriceQuotingStrategy, IPersistable, INotifyPropertyChangedEx, INotifyPropertyChanged, IMarketRuleContainer, ILogReceiver, ILogSource, IDisposable, ICloneable<Strategy>, ICloneable, IMarketDataProvider, ISubscriptionProvider, ISecurityProvider, ISecurityMessageProvider, ITransactionProvider, IPositionProvider, IPortfolioProvider, IScheduledTask
Inheritance
VolatilityQuotingStrategy
Implements
IPersistable
INotifyPropertyChangedEx
ICloneable<Strategy>
Inherited Members
Extension Methods

Constructors

VolatilityQuotingStrategy(Sides, decimal, Range<decimal>)

Initializes a new instance of the VolatilityQuotingStrategy.

public VolatilityQuotingStrategy(Sides quotingDirection, decimal quotingVolume, Range<decimal> ivRange)

Parameters

quotingDirection Sides

Quoting direction.

quotingVolume decimal

Total quoting volume.

ivRange Range<decimal>

Volatility range.

VolatilityQuotingStrategy(Sides, decimal, Range<decimal>, IExchangeInfoProvider)

Initializes a new instance of the VolatilityQuotingStrategy.

public VolatilityQuotingStrategy(Sides quotingDirection, decimal quotingVolume, Range<decimal> ivRange, IExchangeInfoProvider exchangeInfoProvider)

Parameters

quotingDirection Sides

Quoting direction.

quotingVolume decimal

Total quoting volume.

ivRange Range<decimal>

Volatility range.

exchangeInfoProvider IExchangeInfoProvider

Exchanges and trading boards provider.

Properties

IVRange

Volatility range.

public Range<decimal> IVRange { get; set; }

Property Value

Range<decimal>

Model

public IBlackScholes Model { get; set; }

Property Value

IBlackScholes

Security

Security.

public override Security Security { set; }

Property Value

Security

Methods

NeedQuoting(DateTimeOffset, decimal?, decimal?, decimal)

Should the order be quoted.

protected override decimal? NeedQuoting(DateTimeOffset currentTime, decimal? currentPrice, decimal? currentVolume, decimal newVolume)

Parameters

currentTime DateTimeOffset

Current time.

currentPrice decimal?

The current price. If the value is equal to null then the order is not registered yet.

currentVolume decimal?

The current volume. If the value is equal to null then the order is not registered yet.

newVolume decimal

New volume.

Returns

decimal?

The price at which the order will be registered. If the value is equal to null then the quoting is not required.

NeedQuoting(decimal?, decimal?, decimal)

Should the order be quoted.

protected override decimal? NeedQuoting(decimal? currentPrice, decimal? currentVolume, decimal newVolume)

Parameters

currentPrice decimal?

The current price. If the value is equal to null then the order is not registered yet.

currentVolume decimal?

The current volume. If the value is equal to null then the order is not registered yet.

newVolume decimal

New volume.

Returns

decimal?

The price at which the order will be registered. If the value is equal to null then the quoting is not required.