OrderBookSpreadWidener

StockSharp.Algo

Symmetric spread widener for QuoteChangeMessage. Collapses every raw level inside the new (wider) spread onto the new visible best; outer levels pass through. Reads current raw book state from an OrderBookSnapshotHolder the caller maintains and emits Increment frames after the initial SnapshotComplete.

Constructors

public OrderBookSpreadWidener(decimal percent)

orderBookSpreadWidener = OrderBookSpreadWidener(percent)

Initializes a new instance of the OrderBookSpreadWidener class.

percent: Half-spread widening, in percent. Non-positive disables widening.

Properties

IsEnabled

public bool IsEnabled { get; }

value = orderBookSpreadWidener.IsEnabled

if Percent is positive and widening is applied.

Percent

public decimal Percent { get; }

value = orderBookSpreadWidener.Percent

Half-spread widening, in percent.

Methods

Apply

public QuoteChangeMessage Apply(QuoteChangeMessage msg, OrderBookSnapshotHolder holder, decimal? priceStep)

result = orderBookSpreadWidener.Apply(msg, holder, priceStep)

Reads the current raw book from (the caller must have applied to the holder first) and rewrites it as either a full SnapshotComplete (first call for this security) or an Increment carrying only the changes against the previously-emitted collapsed view.

msg: Incoming order book change message.
holder: Holder of the current raw order book state.
priceStep: Price step of the security, so the widened best lands on a price that can be traded. when the step is unknown, and the widened price is then left as the arithmetic produced it.

Returns: Collapsed message; the original message when widening is disabled or no raw snapshot is available; or if is .

Collapse

public QuoteChangeMessage Collapse(SecurityId securityId, OrderBookSnapshotHolder holder, decimal? priceStep)

result = orderBookSpreadWidener.Collapse(securityId, holder, priceStep)

Returns the current collapsed view of as a fresh SnapshotComplete. Pure read — does not touch the diff-state used by Decimal}). Useful for replying to a new subscriber without re-emitting deltas from before their subscription.

securityId: Security to build the collapsed snapshot for.
holder: Holder of the current raw order book state.
priceStep: Price step of the security, so the widened best lands on a price that can be traded. when the step is unknown, and the widened price is then left as the arithmetic produced it.

Returns: Collapsed snapshot, or when widening is disabled or no raw snapshot is available for .

Diff

private static QuoteChange[] Diff(Dictionary<decimal, QuoteChange> prev, QuoteChange[] new, Dictionary<decimal, QuoteChange> next)

result = OrderBookSpreadWidener.Diff(prev, new, next)

One walk produces both the changes against and the state to keep for the next call, so the emitted view is never built twice.

ResetSnapshot

public void ResetSnapshot(SecurityId securityId)

orderBookSpreadWidener.ResetSnapshot(securityId)

Drops the diff-state used to emit increments, forcing the next Decimal}) to emit a fresh SnapshotComplete.

securityId: Security to reset, or to reset all securities.

Snap

private static decimal Snap(decimal price, decimal? priceStep, bool down)

result = OrderBookSpreadWidener.Snap(price, priceStep, down)

Moves the widened price onto the step grid, away from the market: down for a bid, up for an ask. Rounding to the nearest step instead would move it the other way half the time and quote a spread tighter than the one asked for, which is the thing widening exists to stop.