Table of Contents

Quoting Strategy

Overview

MqStrategy is a strategy that uses a quoting mechanism to manage market positions. It creates a quoting processor based on the current position, allowing it to adaptively respond to market condition changes.

Main Components

public class MqStrategy : Strategy
{
    private readonly StrategyParam<MarketPriceTypes> _priceType;
    private readonly StrategyParam<Unit> _priceOffset;
    private readonly StrategyParam<Unit> _bestPriceOffset;

    private QuotingProcessor _quotingProcessor;
}

Strategy Parameters

The strategy allows customizing the following parameters:

  • PriceType - market price type for quoting (default Following)
  • PriceOffset - price offset from the market price
  • BestPriceOffset - minimum deviation for quote update (default 0.1%)

Strategy Initialization

In the OnStarted method, the strategy subscribes to market time changes:

protected override void OnStarted(DateTimeOffset time)
{
    base.OnStarted(time);

    // Subscribe to market time changes for quote updates
    Connector.CurrentTimeChanged += Connector_CurrentTimeChanged;
    Connector_CurrentTimeChanged(default);
}

Managing the Quoting Processor

The Connector_CurrentTimeChanged method is called when the market time changes and manages the creation and update of the quoting processor:

private void Connector_CurrentTimeChanged(TimeSpan obj)
{
    // Create a new processor only if the current one is stopped or doesn't exist
    if (_quotingProcessor != null && _quotingProcessor.LeftVolume > 0)
        return;

    // Release resources of the old processor if it exists
    _quotingProcessor?.Dispose();
    _quotingProcessor = null;

    // Determine quoting side based on current position
    var side = Position <= 0 ? Sides.Buy : Sides.Sell;

    // Create new quoting behavior
    var behavior = new MarketQuotingBehavior(
        PriceOffset,
        BestPriceOffset,
        PriceType
    );

    // Calculate quoting volume
    var quotingVolume = Volume + Math.Abs(Position);

    // Create and initialize the processor
    _quotingProcessor = new QuotingProcessor(
        behavior,
        Security,
        Portfolio,
        side,
        quotingVolume,
        Volume, // Maximum order volume
        TimeSpan.Zero, // No timeout
        this, // Strategy implements ISubscriptionProvider
        this, // Strategy implements IMarketRuleContainer
        this, // Strategy implements ITransactionProvider
        this, // Strategy implements ITimeProvider
        this, // Strategy implements IMarketDataProvider
        IsFormedAndOnlineAndAllowTrading, // Check trading permission
        true, // Use order book prices
        true  // Use last trade price if the order book is empty
    )
    {
        Parent = this
    };

    // Subscribe to processor events for logging
    _quotingProcessor.OrderRegistered += order =>
        this.AddInfoLog($"Order {order.TransactionId} registered at price {order.Price}");

    _quotingProcessor.OrderFailed += fail =>
        this.AddInfoLog($"Order failed: {fail.Error.Message}");

    _quotingProcessor.OwnTrade += trade =>
        this.AddInfoLog($"Trade executed: {trade.Trade.Volume} at {trade.Trade.Price}");

    _quotingProcessor.Finished += isOk => {
        this.AddInfoLog($"Quoting finished with success: {isOk}");
        _quotingProcessor?.Dispose();
        _quotingProcessor = null;
    };

    // Start the processor
    _quotingProcessor.Start();
}

Resource Release

In the OnStopped method, the strategy releases resources:

protected override void OnStopped()
{
    // Unsubscribe to prevent memory leaks
    Connector.CurrentTimeChanged -= Connector_CurrentTimeChanged;

    // Release resources of the current processor if it exists
    _quotingProcessor?.Dispose();
    _quotingProcessor = null;

    base.OnStopped();
}

Trading Logic

  • The strategy responds to market time changes
  • Quoting direction is determined based on the current position:
    • If position <= 0, a Buy quote is created
    • If position > 0, a Sell quote is created
  • Quoting volume is calculated as the base volume plus the absolute value of the current position
  • QuotingProcessor with MarketQuotingBehavior is used for quoting

Features

  • Uses modern quoting processor instead of legacy quoting strategies
  • Adaptively responds to position changes by changing quoting direction
  • Supports configuration of various quoting parameters (price type, offset, minimum deviation)
  • Includes detailed logging of quoting processor events
  • Properly manages resources when stopping the strategy and creating new processors
  • Supports working with different types of market prices (Following, Best, Opposite, etc.)
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