Order Rule Strategy

Overview

SimpleOrderRulesStrategy is a strategy that demonstrates the use of rules for processing order-related events in StockSharp. It subscribes to trades and creates rules for handling order registration.

Main Components

// Main components
public class SimpleOrderRulesStrategy : Strategy
{
}

OnStarted Method

Called when the strategy starts:

Subscribes to trades
Creates two sets of rules for processing order registration events

// OnStarted method
protected override void OnStarted(DateTimeOffset time)
{
    var sub = this.SubscribeTrades(Security);

    sub.WhenTickTradeReceived(this).Do(() =>
    {
        var order = this.BuyAtMarket(1);
        var ruleReg = order.WhenRegistered(this);
        var ruleRegFailed = order.WhenRegisterFailed(this);

        ruleReg
            .Do(() => this.AddInfoLog("Order №1 Registered"))
            .Once()
            .Apply(this)
            .Exclusive(ruleRegFailed);

        ruleRegFailed
            .Do(() => this.AddInfoLog("Order №1 RegisterFailed"))
            .Once()
            .Apply(this)
            .Exclusive(ruleReg);

        RegisterOrder(order);
    }).Once().Apply(this);

    sub.WhenTickTradeReceived(this).Do(() =>
    {
        var order = this.BuyAtMarket(10000000);
        var ruleReg = order.WhenRegistered(this);
        var ruleRegFailed = order.WhenRegisterFailed(this);

        ruleReg
            .Do(() => this.AddInfoLog("Order №2 Registered"))
            .Once()
            .Apply(this)
            .Exclusive(ruleRegFailed);

        ruleRegFailed
            .Do(() => this.AddInfoLog("Order №2 RegisterFailed"))
            .Once()
            .Apply(this)
            .Exclusive(ruleReg);

        RegisterOrder(order);
    }).Once().Apply(this);

    base.OnStarted(time);
}

Working Logic

First Set of Rules

Creates a market buy order for 1 unit when a tick is received
Sets up rules for handling successful registration and registration failure
The rules are mutually exclusive and trigger only once

Second Set of Rules

Creates a market buy order for 10,000,000 units when the next tick is received
Similarly sets up rules for handling successful registration and registration failure
The rules are also mutually exclusive and trigger only once

Features

Demonstrates the creation of rules for handling order registration events
Uses the mechanism of mutually exclusive rules (Exclusive)
Shows an example of logging information about order events
Illustrates the use of Once() to limit rule triggering
Creates orders with different volumes to demonstrate various scenarios (successful registration and registration failure)

Table of Contents