SecurityState

SecurityState

public SecurityState(SecurityId securityId)

securityState = SecurityState(securityId)

Per-security state for matching engine. Contains order book, order manager, and security definition.

Definition

public SecurityMessage Definition { get; }

value = securityState.Definition

The definition the venue stated for this security, or when it has stated none. What the engine matches against is derived from it; whoever has to answer what the venue lists reads it here rather than keeping a second copy.

HasDepthSubscription

public bool HasDepthSubscription { get; }

value = securityState.HasDepthSubscription

Whether depth subscription is active.

IsMarketClosed

public bool IsMarketClosed { get; private set; }

value = securityState.IsMarketClosed
securityState.IsMarketClosed = value

Whether the market of this security is closed: its book holds only the orders resting in it, and an open position is valued at the quotes the market closed with.

LastTradePrice

public decimal? LastTradePrice { get; private set; }

value = securityState.LastTradePrice
securityState.LastTradePrice = value

The price the instrument last traded at, or when the venue has stated none. This is the price a stop is measured against, so it is also what a distance stated as a percent of the market is resolved from.

OrderBook

public OrderBook OrderBook { get; }

value = securityState.OrderBook

Order book for this security.

OrderManager

public OrderLifecycleManager OrderManager { get; }

value = securityState.OrderManager

Active order manager.

PriceStep

public decimal PriceStep { get; }

value = securityState.PriceStep

Price step from security definition or auto-detected.

SecurityId

public SecurityId SecurityId { get; }

value = securityState.SecurityId

Security identifier.

TradingState

public SecurityStates? TradingState { get; private set; }

value = securityState.TradingState
securityState.TradingState = value

Trading state as the venue last stated it, or when it never has.

VolumeStep

public decimal VolumeStep { get; }

value = securityState.VolumeStep

Volume step from security definition or auto-detected.

CloseMarket

public void CloseMarket()

securityState.CloseMarket()

Close the market of this security: what the market offered leaves the book and the orders resting in it stay, while open positions keep the value of the best quotes it had until it quotes again.

ForgetBook

public void ForgetBook()

securityState.ForgetBook()

Forgets the book stated so far, so an incremental feed has to state a whole one again before its increments mean anything. What the engine currently holds is left standing.

ProcessMarketData

public void ProcessMarketData(MarketDataMessage msg)

securityState.ProcessMarketData(msg)

Process market data subscriptions (depth only).

ProcessQuoteChange

public void ProcessQuoteChange(QuoteChangeMessage msg, List<Message> results)

securityState.ProcessQuoteChange(msg, results)

Process quote change (snapshot) — update order book.

ProcessSecurity

public void ProcessSecurity(SecurityMessage msg)

securityState.ProcessSecurity(msg)

Process security definition message.

ProcessTradePrice

public void ProcessTradePrice(decimal price)

securityState.ProcessTradePrice(price)

Record the price the venue reports the instrument traded at.

price

Traded price.

ProcessTradingState

public void ProcessTradingState(SecurityStates state)

securityState.ProcessTradingState(state)

Record the trading state the venue reports for this security.

state

Trading state.

ReopenMarket

public void ReopenMarket()

securityState.ReopenMarket()

The market of this security quotes again: its book values open positions from now on.

TryGetClosePrice

public decimal? TryGetClosePrice(Sides closeSide)

result = securityState.TryGetClosePrice(closeSide)

The price a position in this security can be closed at by an order of : the best quote on the side that order takes from, or the one the market closed with while it is closed.

closeSide

Side of the order that would close the position.

Returns: The price, or when the market has not named one.

UpdateSteps

public void UpdateSteps(decimal price, decimal? volume)

securityState.UpdateSteps(price, volume)

Takes the steps from what the market quotes, for an instrument whose venue never stated them.

price

Quoted price.

volume

Quoted volume.