VwapAlgo

VwapAlgo

public VwapAlgo(Sides side, decimal totalVolume, DateTime startAt, DateTime endAt, decimal participationRate, decimal minSliceVolume, decimal? limitPrice)

vwapAlgo = VwapAlgo(side, totalVolume, startAt, endAt, participationRate, minSliceVolume, limitPrice)

Initializes a new instance of the VwapAlgo.

side

Order side.

totalVolume

Total volume to execute.

startAt

When the algo may start.

endAt

When the algo must be done.

participationRate

Fraction of the live market volume the algo will take, within (0, 1].

minSliceVolume

Smallest slice worth a round-trip.

limitPrice

Price limit, or to send market orders.

EndAt

public DateTime EndAt { get; }

value = vwapAlgo.EndAt

When the algo must be done.

IsFinished

public bool IsFinished { get; }

value = vwapAlgo.IsFinished

Whether the algorithm has finished.

LimitPrice

public decimal? LimitPrice { get; }

value = vwapAlgo.LimitPrice

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

MinSliceVolume

public decimal MinSliceVolume { get; }

value = vwapAlgo.MinSliceVolume

Smallest slice worth a round-trip.

ParticipationRate

public decimal ParticipationRate { get; }

value = vwapAlgo.ParticipationRate

Fraction of the live market volume the algo will take.

RemainingVolume

public decimal RemainingVolume { get; }

value = vwapAlgo.RemainingVolume

Remaining volume to execute.

Side

public Sides Side { get; }

value = vwapAlgo.Side

Order side.

StartAt

public DateTime StartAt { get; }

value = vwapAlgo.StartAt

When the algo may start.

TotalVolume

public decimal TotalVolume { get; }

value = vwapAlgo.TotalVolume

Total volume to execute.

Cancel

public void Cancel()

vwapAlgo.Cancel()

Cancel the current algo execution.

Dispose

public void Dispose()

vwapAlgo.Dispose()

Disposes of items in the pool that implement IDisposable.

GetNextAction

public PositionModifyAction GetNextAction()

result = vwapAlgo.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)

vwapAlgo.OnOrderCanceled(matchedVolume)

Notify that an order was canceled.

matchedVolume

Volume that traded since the previous notification and before cancellation.

OnOrderFailed

public void OnOrderFailed()

vwapAlgo.OnOrderFailed()

Notify that an order failed. Nothing traded.

OnOrderMatched

public void OnOrderMatched(decimal matchedVolume)

vwapAlgo.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.

SentVolumeAfterFailedSlice

public static decimal SentVolumeAfterFailedSlice(decimal sentVolume, decimal filledVolume)

result = VwapAlgo.SentVolumeAfterFailedSlice(sentVolume, filledVolume)

The sent-volume counter after the current in-flight slice fails. Only the in-flight slice (sent minus filled) is rolled back - subtracting the whole remaining order would erase earlier sends and make the algorithm re-send them, breaching the participation cap.

sentVolume

Volume sent so far.

filledVolume

Volume filled so far.

Devuelve: The sent-volume counter to carry on with.

UpdateMarketData

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

vwapAlgo.UpdateMarketData(time, price, volume)

Update market data.

time

Current time.

price

Last trade price.

volume

Last trade volume.

UpdateOrderBook

public void UpdateOrderBook(IOrderBookMessage depth)

vwapAlgo.UpdateOrderBook(depth)

Update order book data.

depth

Order book.