TWAPQuotingBehavior
StockSharp.Algo.Strategies.Quoting
Quoting behavior based on Time-Weighted Average Price (TWAP) with configurable time interval.
Implements: IQuotingBehavior
Constructors
TWAPQuotingBehavior
public TWAPQuotingBehavior(TimeSpan timeInterval, int priceBufferSize)tWAPQuotingBehavior = TWAPQuotingBehavior(timeInterval, priceBufferSize)Quoting behavior based on Time-Weighted Average Price (TWAP) with configurable time interval.
- timeInterval
- Time interval between order placements.
- priceBufferSize
- Number of prices to average.