IcebergAlgo

StockSharp.Algo.PositionManagement

Iceberg - keep one resting limit order with only DisplayVolume visible. When the displayed slice fills, the algo emits the next slice at the same price (until total volume is exhausted or it is cancelled). Pure venue-agnostic implementation: the algo doesn't ask the venue for native iceberg support; it manages the slicing itself by re-registering after each fill. Native-iceberg venues stay compatible (the algo simply runs one slice end-to-end and then is finished if the venue accepted the bulk size - but most regulated venues now ban naked icebergs, so client-side slicing is the portable path).

Implementa: IPositionModifyAlgo, IDisposable

Constructores

IcebergAlgo

public IcebergAlgo(Sides side, decimal totalVolume, decimal displayVolume, decimal limitPrice)

icebergAlgo = IcebergAlgo(side, totalVolume, displayVolume, limitPrice)

Initializes a new instance of the IcebergAlgo.

side: Order side.
totalVolume: Total volume to execute.
displayVolume: How much of the total is shown at a time.
limitPrice: Price every slice rests at.

Propiedades

DisplayVolume

public decimal DisplayVolume { get; }

value = icebergAlgo.DisplayVolume

How much of the total is shown at a time.

IsFinished

public bool IsFinished { get; }

value = icebergAlgo.IsFinished

Whether the algorithm has finished.

LimitPrice

public decimal LimitPrice { get; }

value = icebergAlgo.LimitPrice

Price every slice rests at.

RemainingVolume

public decimal RemainingVolume { get; }

value = icebergAlgo.RemainingVolume

Remaining volume to execute.

Side

public Sides Side { get; }

value = icebergAlgo.Side

Order side.

TotalVolume

public decimal TotalVolume { get; }

value = icebergAlgo.TotalVolume

Total volume to execute.

Métodos

Cancel

public void Cancel()

icebergAlgo.Cancel()

Cancel the current algo execution.

Dispose

public void Dispose()

icebergAlgo.Dispose()

Disposes of items in the pool that implement IDisposable.

GetNextAction

public PositionModifyAction GetNextAction()

result = icebergAlgo.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)

icebergAlgo.OnOrderCanceled(matchedVolume)

Notify that an order was canceled.

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

OnOrderFailed

public void OnOrderFailed()

icebergAlgo.OnOrderFailed()

Notify that an order failed. Nothing traded.

OnOrderMatched

public void OnOrderMatched(decimal matchedVolume)

icebergAlgo.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)

icebergAlgo.UpdateMarketData(time, price, volume)

Update market data.

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

UpdateOrderBook

public void UpdateOrderBook(IOrderBookMessage depth)

icebergAlgo.UpdateOrderBook(depth)

Update order book data.

depth: Order book.