NbboAlgo

StockSharp.Algo.PositionManagement

NBBO peg - keep one resting limit order at the National Best Bid (for buys) or National Best Ask (for sells). On every top-of-book move the algo cancels the working order and re-pegs at the new best. Used to provide passive liquidity at the touch without crossing the spread. The slice size SliceVolume is constant per round-trip; after a fill (or partial fill on cancel) the algo resumes with whatever volume is left until it reaches TotalVolume. "NBBO" historically refers to the consolidated SIP feed in US markets; here it is the best price the configured market-data feed reports, so the caller is responsible for pointing the feed at the right consolidator (or single venue for non-US instruments). A crossed book (best bid above best ask) is quoted like any other: the slice goes to the best price on the side the algo works, which is the only touch it has. While the side it works carries no quote at all no new slice is sent, and an order already resting keeps its place until a best shows up again.

实现: IPositionModifyAlgo, IDisposable

构造函数

NbboAlgo

public NbboAlgo(Sides side, decimal totalVolume, decimal sliceVolume)

nbboAlgo = NbboAlgo(side, totalVolume, sliceVolume)

Initializes a new instance of the NbboAlgo.

side: Order side.
totalVolume: Total volume to execute.
sliceVolume: Size of a single resting slice.

属性

CurrentBestPrice

public decimal? CurrentBestPrice { get; }

value = nbboAlgo.CurrentBestPrice

Best price last seen on the side the algo pegs to, or before any book arrived.

IsFinished

public bool IsFinished { get; }

value = nbboAlgo.IsFinished

Whether the algorithm has finished.

RemainingVolume

public decimal RemainingVolume { get; }

value = nbboAlgo.RemainingVolume

Remaining volume to execute.

Side

public Sides Side { get; }

value = nbboAlgo.Side

Order side.

SliceVolume

public decimal SliceVolume { get; }

value = nbboAlgo.SliceVolume

Size of a single resting slice.

TotalVolume

public decimal TotalVolume { get; }

value = nbboAlgo.TotalVolume

Total volume to execute.

方法

Cancel

public void Cancel()

nbboAlgo.Cancel()

Cancel the current algo execution.

Dispose

public void Dispose()

nbboAlgo.Dispose()

Disposes of items in the pool that implement IDisposable.

GetNextAction

public PositionModifyAction GetNextAction()

result = nbboAlgo.GetNextAction()

Get the next action to take. The call advances the algorithm: a returned Register counts as dispatched, so the caller places it and reports back through Decimal), OnOrderFailed or Decimal). An action that is discarded leaves the algorithm waiting for a report that never comes.

OnOrderCanceled

public void OnOrderCanceled(decimal matchedVolume)

nbboAlgo.OnOrderCanceled(matchedVolume)

Notify that an order was canceled.

matchedVolume: Volume that traded since the previous notification and before cancellation.

OnOrderFailed

public void OnOrderFailed()

nbboAlgo.OnOrderFailed()

Notify that an order failed. Nothing traded.

OnOrderMatched

public void OnOrderMatched(decimal matchedVolume)

nbboAlgo.OnOrderMatched(matchedVolume)

Notify that an order was matched.

matchedVolume: Volume that traded since the previous notification for this order: a caller reporting every partial fill passes the increment, one reporting only the end passes the whole traded volume. The same volume is never reported twice.

UpdateMarketData

public void UpdateMarketData(DateTime time, decimal? price, decimal? volume)

nbboAlgo.UpdateMarketData(time, price, volume)

Update market data.

time: Current time.
price: Last trade price.
volume: Last trade volume.

UpdateOrderBook

public void UpdateOrderBook(IOrderBookMessage depth)

nbboAlgo.UpdateOrderBook(depth)

Update order book data.

depth: Order book.