DecomposedStrategy

StockSharp.Algo.Strategies.Decomposed

The base class for all trade strategies.

Herda de: BaseLogReceiver

Implementa: IStrategyHost, IPositionProvider, INotifyPropertyChangedEx, INotifyPropertyChanged, ITimeProvider

Construtores

DecomposedStrategy()

Initializes a new instance DecomposedStrategy.

DecomposedStrategy(IPnLManager, IStatisticManager)

Initializes a new instance DecomposedStrategy.

pnlManager: PnL manager.
stats: Statistic manager.

Propriedades

CancelOrdersWhenStopping : bool

Cancel active orders when strategy is stopping.

CommentMode : StrategyCommentModes

Comment mode.

Commission : decimal?

Total accumulated commission (from orders + trades).

Connector : IConnector

Connector (via interface for testability).

Engine : StrategyEngine

State machine + message routing.

ErrorState : LogLevels

Error state.

IsFormed : bool

Whether the strategy is formed.

IsOnline : bool

Is online.

Latency : TimeSpan?

Latency.

Orders : OrderPipeline

Order tracking and processing.

OrdersKeepTime : TimeSpan

The time for storing orders in memory.

PnLManager : IPnLManager

PnL manager.

Portfolio : Portfolio

Portfolio.

PortfolioLookup : Subscription

Portfolio lookup subscription.

Position : decimal

Current position (primary security).

Positions : PositionPipeline

Position event handling.

PositionsList : IReadOnlyDictionary<ValueTuple<SecurityId, string>, decimal>

All tracked positions.

ProcessState : ProcessStates

Current process state.

RiskManager : IRiskManager

Risk manager.

Security : Security

Security.

Slippage : decimal?

Total accumulated slippage.

StartedTime : DateTime

Strategy start time.

StatisticManager : IStatisticManager

Statistics manager.

Subscriptions : SubscriptionRegistry

Subscription management.

TotalWorkingTime : TimeSpan

Total working time.

Trades : TradePipeline

Trade processing and PnL.

TradingMode : StrategyTradingModes

Trading mode.

UnsubscribeOnStop : bool

Unsubscribe from market data when strategy is stopping.

Volume : decimal

Default order volume.

WaitAllTrades : bool

Wait for all trades.

Métodos

BuyLimit(decimal, decimal?) : Order

Buy at limit price.

BuyMarket(decimal?) : Order

Buy at market price.

CanAttach(Order) : bool

Whether the order can be attached (tracked) by this strategy.

order: Order to check.

Retorna: if the order belongs to this strategy.

CancelActiveOrders()

Cancel all active orders.

CancelOrder(Order)

Cancel an order via the connector.

CanTrade(Security, Portfolio, Sides, decimal, string) : bool

Check if can trade with order information.

security: Security to trade.
portfolio: Portfolio to trade.
side: Order side.
volume: Order volume.
noTradeReason: Reason why trading is not allowed.

Retorna: True if trading is allowed.

ClosePosition() : Order

Close current position.

CreateOrder(Sides, decimal, decimal?) : Order

Create an initialized order object.

side: Order side.
price: Price. 0 for market order.
volume: Volume. If null, Volume is used.

Retorna: Order.

EditOrder(Order, Order)

Edit an order via the connector.

order: Original order.
changes: Order changes.

GetPositionValue(Security, Portfolio) : decimal

Get position value for specific security and portfolio.

OnCurrentPriceUpdated(SecurityId, decimal, DateTime, DateTime)

Called when current price updated from market data.

OnError(Exception)

Processing of error, occurred as result of strategy operation.

error: Error.

OnNewMessage(Message, CancellationToken) : ValueTask

Handle new outgoing message from connector.

OnNewMyTrade(MyTrade)

Called when new trade received.

trade: New trade.

OnNewPosition(Position)

Called when new position appears.

position: New position.

OnOrderCancelFailReceived(Subscription, OrderFail)

Handle order cancellation failure from connector.

OnOrderChanged(Order)

Called when order state changed.

order: Changed order.

OnOrderEditFailReceived(Subscription, OrderFail)

Handle order edit failure from connector.

OnOrderReceived(Subscription, Order)

Handle order received from connector.

OnOrderRegistered(Order)

Called when order registered (transitioned from Pending to Active/Done).

order: Registered order.

OnOrderRegisterFailed(OrderFail)

Called when order registration fails.

fail: Order failure info.

OnOrderRegisterFailReceived(Subscription, OrderFail)

Handle order registration failure from connector.

OnPositionChanged(Position)

Called when position changes.

position: Changed position.

OnPositionReceived(Subscription, Position)

Handle position received from connector.

OnStateChanged(ProcessStates)

Called when process state changes.

state: New state.

OnTradeReceived(Subscription, MyTrade)

Handle trade received from connector.

RegisterOrder(Order)

ReRegisterOrder(Order, Order)

Re-register (cancel + register new) an order via the connector.

oldOrder: Order to cancel.
newOrder: New order to register.

Reset()

Reset all state (orders, trades, positions, PnL, subscriptions).

SellLimit(decimal, decimal?) : Order

Sell at limit price.

SellMarket(decimal?) : Order

Sell at market price.

Start()

Start the strategy.

StartAsync(CancellationToken) : ValueTask

Start the strategy.

StartProtection(Unit, Unit, bool, TimeSpan?, TimeSpan?, bool, bool)

Start position protection.

takeProfit: Take offset.
stopLoss: Stop offset.
isStopTrailing: Whether to use a trailing technique.
takeTimeout: Time limit. If protection has not worked by this time, the position will be closed on the market.
stopTimeout: Time limit. If protection has not worked by this time, the position will be closed on the market.
useMarketOrders: Whether to use market orders.
isLocalStop: Force local stop processing regardless of adapter capabilities.

Stop()

Stop the strategy.

StopAsync(CancellationToken) : ValueTask

Stop the strategy.

StopAsync(Exception, CancellationToken) : ValueTask

Stop the strategy with error.

error: The error that caused the stop.
cancellationToken: Cancellation token.

Eventos

BoardReceived : Action<Subscription, ExchangeBoard>

Board value received.

CandleReceived : Action<Subscription, ICandleMessage>

Candle value received.

CommissionChanged : Action

Commission changed event.

ConnectorChanged : Action

Connector changed event.

DataTypeReceived : Action<Subscription, DataType>

Data type value received.

Error : Action<Exception>

Error event.

IsOnlineChanged : Action<DecomposedStrategy>

Online state changed.

LatencyChanged : Action

Latency changed event.

Level1Received : Action<Subscription, Level1ChangeMessage>

Level1 value received.

NewsReceived : Action<Subscription, News>

News value received.

OrderBookReceived : Action<Subscription, IOrderBookMessage>

Order book value received.

OrderCancelFailed : Action<OrderFail>

Order cancellation failed.

OrderCancelFailReceived : Action<Subscription, OrderFail>

Order cancel failure.

OrderCanceling : Action<Order>

Order is about to be canceled.

OrderEdited : Action<long, Order>

Order edited.

OrderEditFailed : Action<long, OrderFail>

Order edit failed.

OrderEditFailReceived : Action<Subscription, OrderFail>

Order edit failure.

OrderLogReceived : Action<Subscription, IOrderLogMessage>

Order log value received.

OrderReceived : Action<Subscription, Order>

Order value received.

OrderRegisterFailed : Action<OrderFail>

Order registration failed.

OrderRegisterFailReceived : Action<Subscription, OrderFail>

Order registration failure.

OrderRegistering : Action<Order>

Order is about to be registered.

OrderReRegistering : Action<Order, Order>

Order is about to be re-registered.

OwnTradeReceived : Action<Subscription, MyTrade>

Own trade value received.

ParametersChanged : Action

Strategy parameters changed event.

PnLChanged : Action

PnL changed event.

PnLReceived : Action<Subscription>

PnL received event.

PnLReceived2 : Action<Subscription, Portfolio, DateTime, decimal, decimal?, decimal?>

PnL received event.

PortfolioReceived : Action<Subscription, Portfolio>

Portfolio value received.

PositionChanged : Action

Position changed.

PositionReceived : Action<Subscription, Position>

Position value received.

PropertyChanged : PropertyChangedEventHandler

The diagram element properties value change event.

Reseted : Action

Strategy reset event.

SecurityReceived : Action<Subscription, Security>

Security value received.

SlippageChanged : Action

Slippage changed event.

SubscriptionFailed : Action<Subscription, Exception, bool>

Subscription failed.

SubscriptionOnline : Action<Subscription>

Subscription is online.

SubscriptionReceived : Action<Subscription, object>

Subscription value received.

SubscriptionStarted : Action<Subscription>

Subscription is started.

SubscriptionStopped : Action<Subscription, Exception>

Subscription is stopped.

TickTradeReceived : Action<Subscription, ITickTradeMessage>

Tick trade value received.