Rules for Order Books and Trades

Overview

SimpleRulesStrategy is a strategy that demonstrates various ways to create and apply rules in StockSharp. It subscribes to trades and order books, and then establishes various rules for processing the received data.

Main Components

// Main components
public class SimpleRulesStrategy : Strategy
{
}

OnStarted Method

Called when the strategy starts:

• Creates subscriptions to trades and order books
• Demonstrates various ways to create and apply rules

// OnStarted method
protected override void OnStarted(DateTimeOffset time)
{
    var tickSub = new Subscription(DataType.Ticks, Security);
    var mdSub = new Subscription(DataType.MarketDepth, Security);

    //-----------------------Create a rule. Method №1-----------------------------------
    mdSub.WhenOrderBookReceived(this).Do((depth) =>
    {
        LogInfo($"The rule WhenOrderBookReceived №1 BestBid={depth.GetBestBid()}, BestAsk={depth.GetBestAsk()}");
    }).Once().Apply(this);

    //-----------------------Create a rule. Method №2-----------------------------------
    var whenMarketDepthChanged = mdSub.WhenOrderBookReceived(this);

    whenMarketDepthChanged.Do((depth) =>
    {
        LogInfo($"The rule WhenOrderBookReceived №2 BestBid={depth.GetBestBid()}, BestAsk={depth.GetBestAsk()}");
    }).Once().Apply(this);

    //----------------------Rule inside rule-----------------------------------
    mdSub.WhenOrderBookReceived(this).Do((depth) =>
    {
        LogInfo($"The rule WhenOrderBookReceived №3 BestBid={depth.GetBestBid()}, BestAsk={depth.GetBestAsk()}");

        //----------------------not a Once rule-----------------------------------
        mdSub.WhenOrderBookReceived(this).Do((depth1) =>
        {
            LogInfo($"The rule WhenOrderBookReceived №4 BestBid={depth1.GetBestBid()}, BestAsk={depth1.GetBestAsk()}");
        }).Apply(this);
    }).Once().Apply(this);

    // Sending requests for subscribe to market data.
    Subscribe(tickSub);
    Subscribe(mdSub);

    base.OnStarted(time);
}

Logic

Method #1: Creating a Rule

• Creates a rule that triggers when an order book is received
• Logs the best bid and ask
• The rule triggers only once (Once())

Method #2: Creating a Rule

• Demonstrates an alternative way to create a rule
• Functionally identical to Method #1

Rule Inside a Rule

• Creates a rule that triggers when an order book is received
• Inside this rule, another rule is created
• The outer rule triggers once, the inner rule - every time an order book is received

Features

• Demonstrates various ways to create and apply rules in StockSharp
• Uses subscription to trades and order books
• Shows an example of logging information in a strategy using the LogInfo method
• Illustrates the use of Once() to limit rule triggering