SlippageManagerState

Slippage

public decimal Slippage { get; }

value = slippageManagerState.Slippage

Total accumulated slippage.

AddPlannedPrice

public void AddPlannedPrice(long transactionId, Sides side, decimal price)

slippageManagerState.AddPlannedPrice(transactionId, side, price)

Store planned execution price for an order.

transactionId

Order transaction ID.

side

Order side.

price

Planned price.

AddSlippage

public void AddSlippage(decimal amount)

slippageManagerState.AddSlippage(amount)

Add to accumulated slippage.

amount

Amount to add.

Clear

public void Clear()

slippageManagerState.Clear()

Clear all state.

RemovePlannedPrice

public void RemovePlannedPrice(long transactionId)

slippageManagerState.RemovePlannedPrice(transactionId)

Remove planned price for an order.

transactionId

Order transaction ID.

TryGetBestPrice

public bool TryGetBestPrice(SecurityId securityId, Sides side, decimal price)

result = slippageManagerState.TryGetBestPrice(securityId, side, price)

Try get best price for order side.

securityId

Security ID.

side

Order side (Buy returns ask, Sell returns bid).

price

Best price if found.

Returns: if price found and non-zero.

TryGetPlannedPrice

public bool TryGetPlannedPrice(long transactionId, Sides side, decimal price)

result = slippageManagerState.TryGetPlannedPrice(transactionId, side, price)

Try get planned price without removing.

transactionId

Order transaction ID.

side

Order side if found.

price

Planned price if found.

Returns: if found.

UpdateBestPrices

public void UpdateBestPrices(SecurityId securityId, decimal? bidPrice, decimal? askPrice, DateTime time)

slippageManagerState.UpdateBestPrices(securityId, bidPrice, askPrice, time)

Update best bid/ask prices for a security.

securityId

Security ID.

bidPrice

Best bid price (null to keep existing).

askPrice

Best ask price (null to keep existing).

time

Market data time. If both Level1 and order books are streamed, prices update only when time increases.