Table of Contents

Price Rounding

Introduction

The ShrinkPrice method in StockSharp is an essential tool for correctly rounding prices according to market requirements. This ensures that submitted orders comply with exchange or broker rules.

Purpose

The primary goal of ShrinkPrice is to round prices to allowable values, considering:

  1. The instrument's price step (Security.PriceStep)
  2. The number of decimal places (Security.Decimals)

Importance of Usage

Using ShrinkPrice is crucial for:

  • Preventing order rejection by the exchange or broker due to incorrect prices
  • Ensuring accuracy in calculations and trading operations
  • Complying with the rules and restrictions of specific markets or instruments

Operation Principle

  1. If Security.PriceStep is set:
    • The price is rounded to the nearest value multiple of the price step.
  2. If Security.Decimals is set:
    • The price is rounded to the specified number of decimal places.
  3. If both parameters are set:
    • More stringent rounding is applied (usually to the price step).

Example Usage

// Create a Security object with specified parameters
var security = new Security
{
    PriceStep = 0.01m,  // Price step of 0.01
    Decimals = 2        // Two decimal places
};

// Examples of using ShrinkPrice

// Example 1: Rounding to the price step
decimal price1 = 10.234m;
decimal shrunkPrice1 = price1.ShrinkPrice(security);
Console.WriteLine($"Original price: {price1}, After ShrinkPrice: {shrunkPrice1}");
// Output: Original price: 10.234, After ShrinkPrice: 10.23

// Example 2: Rounding a price that already matches the step
decimal price2 = 10.22m;
decimal shrunkPrice2 = price2.ShrinkPrice(security);
Console.WriteLine($"Original price: {price2}, After ShrinkPrice: {shrunkPrice2}");
// Output: Original price: 10.22, After ShrinkPrice: 10.22

// Example 3: Rounding a price with more decimal places
decimal price3 = 10.2345678m;
decimal shrunkPrice3 = price3.ShrinkPrice(security);
Console.WriteLine($"Original price: {price3}, After ShrinkPrice: {shrunkPrice3}");
// Output: Original price: 10.2345678, After ShrinkPrice: 10.23

// Example 4: Using ShrinkPrice when creating an order
var order = new Order
{
    Security = security,
    Price = 10.237m.ShrinkPrice(security)  // Round the price before creating the order
};
Console.WriteLine($"Order price: {order.Price}");
// Output: Order price: 10.24

Application

ShrinkPrice should be used before submitting any orders or performing calculations that require precise price compliance with market conditions.

Conclusion

Proper use of ShrinkPrice helps avoid errors when placing orders and ensures that trading algorithms operate correctly according to market requirements.

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