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.)
Edit this page