TwapAlgo

StockSharp.Algo.PositionManagement

Time-Weighted Average Price (TWAP). Splits the total volume into SliceCount equal slices and sends one child order per slice at the configured interval - slice 1 at start, slice 2 at start + interval, ... - until the time window StartAt .. EndAt elapses. Each slice is a Market order by default (immediate execution). Setting LimitPrice sends every slice as a Limit order at that price, wherever the market is at the time - the algo does not move the price to follow it. Outstanding child orders are tracked by the caller; this algo only emits Register actions when the current slice is due and reports finished once the total volume is exhausted or EndAt has passed. What a slice failed to execute is folded into the slices that are still to come; once every one of them has been dispatched, what is left goes out on its own while the window is still open.

Implements: IPositionModifyAlgo, IDisposable

Constructors

TwapAlgo

public TwapAlgo(Sides side, decimal totalVolume, int sliceCount, DateTime startAt, DateTime endAt, decimal? limitPrice)

twapAlgo = TwapAlgo(side, totalVolume, sliceCount, startAt, endAt, limitPrice)

Initializes a new instance of the TwapAlgo.

side: Order side.
totalVolume: Total volume to execute.
sliceCount: How many slices the volume is cut into.
startAt: When the algo may start.
endAt: When the algo must be done.
limitPrice: Price limit, or to send market orders.

Properties

EndAt

public DateTime EndAt { get; }

value = twapAlgo.EndAt

When the algo must be done.

IsFinished

public bool IsFinished { get; }

value = twapAlgo.IsFinished

Whether the algorithm has finished.

LimitPrice

public decimal? LimitPrice { get; }

value = twapAlgo.LimitPrice

Price limit, or when slices go out as market orders.

RemainingVolume

public decimal RemainingVolume { get; }

value = twapAlgo.RemainingVolume

Remaining volume to execute.

Side

public Sides Side { get; }

value = twapAlgo.Side

Order side.

SliceCount

public int SliceCount { get; }

value = twapAlgo.SliceCount

How many slices the volume is cut into.

StartAt

public DateTime StartAt { get; }

value = twapAlgo.StartAt

When the algo may start.

Methods

Cancel

public void Cancel()

twapAlgo.Cancel()

Cancel the current algo execution.

Dispose

public void Dispose()

twapAlgo.Dispose()

Disposes of items in the pool that implement IDisposable.

GetNextAction

public PositionModifyAction GetNextAction()

result = twapAlgo.GetNextAction()

Get the next action to take. The call advances the algorithm: a returned Register counts as dispatched, so the caller places it and reports back through Decimal), OnOrderFailed or Decimal). An action that is discarded leaves the algorithm waiting for a report that never comes.

OnOrderCanceled

public void OnOrderCanceled(decimal matchedVolume)

twapAlgo.OnOrderCanceled(matchedVolume)

Notify that an order was canceled.

matchedVolume: Volume that traded since the previous notification and before cancellation.

OnOrderFailed

public void OnOrderFailed()

twapAlgo.OnOrderFailed()

Notify that an order failed. Nothing traded.

OnOrderMatched

public void OnOrderMatched(decimal matchedVolume)

twapAlgo.OnOrderMatched(matchedVolume)

Notify that an order was matched.

matchedVolume: Volume that traded since the previous notification for this order: a caller reporting every partial fill passes the increment, one reporting only the end passes the whole traded volume. The same volume is never reported twice.

UpdateMarketData

public void UpdateMarketData(DateTime time, decimal? price, decimal? volume)

twapAlgo.UpdateMarketData(time, price, volume)

Update market data.

time: Current time.
price: Last trade price.
volume: Last trade volume.

UpdateOrderBook

public void UpdateOrderBook(IOrderBookMessage depth)

twapAlgo.UpdateOrderBook(depth)

Update order book data.

depth: Order book.