Strategy

StockSharp.Algo.Strategies

The base class for all trade strategies.

继承自: BaseLogReceiver

实现: INotifyPropertyChangedEx, INotifyPropertyChanged, IMarketRuleContainer, ILogReceiver, ILogSource, IDisposable, ICloneable<Strategy>, ICloneable, IMarketDataProvider, ISubscriptionProvider, ISecurityProvider, ISecurityMessageProvider, ITransactionProvider, IScheduledTask, ICustomTypeDescriptor, ITimeProvider, IPortfolioProvider, IPositionProvider, IReportSource

构造函数

Strategy()

Initializes a new instance of the Strategy.

属性

AggregationInterval : TimeSpan

Time interval for aggregation. Orders/trades within the same interval are grouped together. Default is 1 hour. Set to Zero to disable time-based grouping.

CancelOrdersWhenStopping : bool

To cancel active orders at stop. Is On by default.

ChildStrategies : INotifyList<Strategy>

Subsidiary trade strategies.

CommentMode : StrategyCommentModes

Set Comment by Name or Id.

Commission : decimal?

Total commission.

Connector : Connector

Connection to the trading system.

CurrentTime : DateTime

Current UTC time.

DisposeOnStop : bool

Automatically to clear resources, used by the strategy, when it stops (state ProcessState becomes equal to Stopped).

Environment : SettingsStorage

Strategy environment parameters.

ErrorState : LogLevels

The state of an error.

HideSecurityAndPortfolioParameters : bool

Make Security and Portfolio as non-browsable.

HistoryCalculated : TimeSpan?

Calculated from code version of HistorySize.

HistorySize : TimeSpan?

History to initialize the strategy on Live trading.

Id : Guid

Strategy ID.

Indicators : INotifyList<IIndicator>

All indicators used in strategy. Uses in default implementation of IsFormed.

IndicatorSource : Level1Fields?

Default source for indicators when Source is not set.

IsBacktesting : bool

Determines Connector is HistoryEmulationConnector.

IsFormed : bool

Strategy fully formed.

IsOnline : bool

True means that strategy is started and all of its subscriptions are in online state.

IsRulesSuspended : bool

Is rules execution suspended.

KeepStatistics : bool

Keep trading statistics (orders, trades, profit etc.) after restart.

LastError : Exception

The last error that caused the strategy to stop.

Latency : TimeSpan?

Total latency.

LogLevel : LogLevels

The level to perform this rule logging.

MaxOrdersBeforeAggregation : int

Maximum number of orders before automatic aggregation is triggered. Default is 10000. Set to 0 to disable automatic aggregation.

MaxTradesBeforeAggregation : int

Maximum number of trades before automatic aggregation is triggered. Default is 10000. Set to 0 to disable automatic aggregation.

MyTrades : IEnumerable<MyTrade>

Trades, matched during the strategy operation.

Name : string

Strategy name.

NameGenerator : StrategyNameGenerator

The generator of strategy name.

OrderBookSources : IEnumerable<IOrderBookSource>

All possible IOrderBookMessage sources that can be received via OrderBookDrawing.

OrderLookup : Subscription

Get global subscription on Order lookup. Can be .

Orders : IEnumerable<Order>

Orders, registered within the strategy framework.

OrdersKeepTime : TimeSpan

The time for storing Orders in memory. By default it equals to 2 days. If value is set in Zero, orders will not be deleted.

Parameters : StrategyParameterDictionary

Strategy parameters.

PnL : decimal

The aggregate value of profit-loss without accounting commission Commission.

PnLManager : IPnLManager

The profit-loss manager.

Portfolio : Portfolio

Portfolio.

PortfolioLookup : Subscription

Get global subscription on Portfolio lookup. Can be .

PortfolioProvider : IPortfolioProvider

IPortfolioProvider

Position : decimal

The position aggregate value.

Positions : IEnumerable<Position>

The list of positions.

ProcessState : ProcessStates

The operation state.

ReportSource : ReportSource

Report data source with aggregation support.

RiskFreeRate : decimal

Annual risk-free rate (e.g., 0.03 = 3%).

RiskManager : IRiskManager

The risks control manager.

RiskRules : IEnumerable<IRiskRule>

The risk rules.

Rules : IMarketRuleList

The list of commission calculating rules.

Security : Security

Security.

Slippage : decimal?

Total slippage.

StartedTime : DateTime

Strategy start time.

StatisticManager : IStatisticManager

The statistics manager.

StockSharp#Reporting#IReportSource#Commission

StockSharp#Reporting#IReportSource#Latency

StockSharp#Reporting#IReportSource#Name

StockSharp#Reporting#IReportSource#Orders

StockSharp#Reporting#IReportSource#OwnTrades

StockSharp#Reporting#IReportSource#Parameters

StockSharp#Reporting#IReportSource#PnL

StockSharp#Reporting#IReportSource#Position

StockSharp#Reporting#IReportSource#Positions

StockSharp#Reporting#IReportSource#Slippage

StockSharp#Reporting#IReportSource#StatisticParameters

StockSharp#Reporting#IReportSource#TotalWorkingTime

TargetAlgoFactory : Func<Sides, decimal, IPositionModifyAlgo>

Factory to create position modify algorithms for TargetPositionManager. Default creates MarketOrderAlgo.

TargetPositionManager : PositionTargetManager

Target position manager.

TotalWorkingTime : TimeSpan

The total time of strategy operation less time periods, when strategy was stopped.

TradingMode : StrategyTradingModes

Allow trading.

UnrealizedPnLInterval : TimeSpan

The interval for unrealized profit recalculation. The default value is 1 minute.

UnsubscribeOnStop : bool

Unsubscribe all active subscription while strategy become stopping.

Volume : decimal

Operational volume.

WaitAllTrades : bool

Stop strategy only after getting all trades by registered orders.

WaitRulesOnStop : bool

Wait Rules to finish before strategy become into Stopped state.

WorkingTime : WorkingTime

The time boundary, within which candles for give series shall be translated.

方法

Alert(AlertNotifications, string)

Send alert notification with strategy name as caption.

type: Alert type.
message: Alert text.

Alert(AlertNotifications, string, string)

Send alert notification.

type: Alert type.
caption: Signal header.
message: Alert text.

AlertLog(string)

Send log alert notification.

message: Alert text.

AlertPopup(string)

Send popup alert notification.

message: Alert text.

AlertSound(string)

Send sound alert notification.

message: Alert text.

ApplyCommand(CommandMessage)

Apply incoming command.

cmdMsg: The message contains information about command to change state.

BuyLimit(decimal, decimal?, Security) : Order

To create the initialized order object for buy.

price: Price.
volume: The volume. If value is passed, then Volume value is used.
security: The security. If value is passed, then Security value is used.

返回值: The initialized order object.

BuyMarket(decimal?, Security) : Order

To create initialized object of buy order at market price.

volume: The volume. If value is passed, then Volume value is used.
security: The security. If value is passed, then Security value is used.

返回值: The initialized order object.

CanAttach(Order) : bool

Determines the specified order can be owned by the strategy.

order: Order.

返回值: Check result.

CancelActiveOrders(bool?, Portfolio, Sides?, ExchangeBoard, Security, SecurityTypes?, long?)

To cancel all active orders (to stop and regular).

isStopOrder: , if cancel only a stop orders, - if regular orders, - both.
portfolio: Portfolio. If the value is equal to , then the portfolio does not match the orders cancel filter.
direction: Order side. If the value is , the direction does not use.
board: Trading board. If the value is equal to , then the board does not match the orders cancel filter.
security: Instrument. If the value is equal to , then the instrument does not match the orders cancel filter.
securityType: Security type. If the value is , the type does not use.
transactionId: Order cancellation transaction id.

CancelOrder(Order)

Cancel the order.

order: The order which should be canceled.

CancelTargetPosition(Security, Portfolio)

Cancel target position for specified security and portfolio.

security: Security.
portfolio: Portfolio.

CancelTargetPosition()

Cancel target position for the strategy's Security and Portfolio.

CanTrade(Security, Portfolio, Sides, decimal, string) : bool

Check if can trade with order information.

security: Security to trade.
portfolio: Portfolio to trade.
side: Order side.
volume: Order volume.
noTradeReason: Reason why trading is not allowed.

返回值: True if trading is allowed.

Clone() : Strategy

Creates a deep copy of a DataSeries

ClosePosition(Security, Portfolio) : Order

To close open position by market (to register the order of the type Market).

security: Security. If not passed the value from Security will be obtain.
portfolio: Portfolio. If not passed the value from Portfolio will be obtain.

返回值: The initialized order object.

CopyTo(Strategy)

Copy settings into .

copy: Strategy

CreateChartArea() : IChartArea

Create chart area.

返回值: IChartArea

CreateClone() : Strategy

Create clone object (non-initialized).

返回值: Strategy

CreateOrder(Sides, decimal, decimal?) : Order

To create the initialized order object.

side: Order side.
price: The price. If value is passed, the order is registered at market price.
volume: The volume. If value is passed, then Volume value is used.

返回值: The initialized order object.

CreateTimer(TimeSpan, Action) : ITimerHandler

Create a timer that executes callback at specified intervals.

interval: Timer interval.
callback: Callback to execute.

返回值: ITimerHandler

DisposeManaged()

Release resources.

DrawCandles(IChartArea, Subscription) : IChartCandleElement

Draw candles on chart.

area: IChartArea
subscription: Subscription

返回值: IChartCandleElement

DrawCandles``1(IChartArea, ISubscriptionHandler<T>)

Draw candles on chart.

area: IChartArea
subscription: SubscriptionHandler

返回值: IChartCandleElement

DrawIndicator(IChartArea, IIndicator, Color?, Color?) : IChartIndicatorElement

Draw indicator on chart.

area: IChartArea
indicator: IIndicator
color: Color
additionalColor: AdditionalColor

返回值: IChartIndicatorElement

DrawOrderBook(Subscription, IOrderBookSource, IOrderBookMessage)

Draw IOrderBookMessage.

subscription: Subscription
source: IOrderBookSource
book: IOrderBookMessage

DrawOrderBookOrder(Subscription, IOrderBookSource, Order)

Draw order book order.

subscription: Subscription
source: IOrderBookSource
order: Order.

DrawOrderBookOrderFail(Subscription, IOrderBookSource, OrderFail)

Draw order book order fail.

subscription: Subscription
source: IOrderBookSource
fail: Order fail.

DrawOrders(IChartArea) : IChartOrderElement

Draw orders on chart.

area: IChartArea

返回值: IChartOrderElement

DrawOwnTrades(IChartArea) : IChartTradeElement

Draw trades on chart.

area: IChartArea

返回值: IChartTradeElement

EditOrder(Order, Order)

Edit the order.

order: Order.
changes: Order changes.

EnsureOrderMetadata(Order, DateTime)

Ensures the order has metadata required by strategy surfaces.

order: Order.
fallbackTime: Fallback time.

GetAlertService() : IAlertNotificationService

To get the IAlertNotificationService associated with the passed strategy.

返回值: Alert notification service.

GetChart() : IChart

To get the IChart associated with the passed strategy.

返回值: Chart.

GetOptionDesk() : IOptionDesk

To get the IOptionDesk.

返回值: IOptionDesk.

GetOptionPositionChart() : IOptionPositionChart

To get the IOptionPositionChart associated with the passed strategy.

返回值: Chart.

GetParameters() : IStrategyParam[]

Get parameters.

返回值: Parameters.

GetPortfolio() : Portfolio

Get Portfolio or throw InvalidOperationException if not present.

返回值: Portfolio

GetPositionValue(Security, Portfolio) : decimal?

Get position.

security: Security.
portfolio: Portfolio.

返回值: Position.

GetSecurity() : Security

Get Security or throw InvalidOperationException if not present.

返回值: Security

GetSecurityValue``1(Level1Fields)

To get market data value for the strategy instrument.

field: Market-data field.

返回值: The field value. If no data, the will be returned.

GetStatValue``2(T)

Get the value of a statistic parameter by its type.

fallback: Fallback value if the parameter is not found.

返回值: The parameter value or .

GetTargetPosition(Security, Portfolio) : decimal?

Get target position for specified security and portfolio.

security: Security.
portfolio: Portfolio.

返回值: Target position, or null if not set.

GetTargetPosition() : decimal?

Get target position for the strategy's Security and Portfolio.

返回值: Target position, or null if not set.

GetWorkingPortfolios() : IEnumerable<Portfolio>

Get all portfolios required for strategy.

返回值: Portfolios.

GetWorkingSecurities() : IEnumerable<ValueTuple<Security, DataType>>

Get all securities required for strategy.

返回值: Securities.

InitStartValues()

Init.

IsFormedAndOnline() : bool

IsFormed and IsOnline.

返回值: Check result.

IsFormedAndOnlineAndAllowTrading(StrategyTradingModes) : bool

IsFormedAndOnline and TradingMode.

required: Required action.

返回值: Check result.

IsOrderEditable(Order) : bool?

Determines the specified order can be edited by Order).

order: Order.

返回值: if the order is editable, order cannot be changed, means no information.

IsOrderReplaceable(Order) : bool?

Determines the specified order can be replaced by Order).

order: Order.

返回值: if the order is replaceable, order cannot be replaced, means no information.

Load(SettingsStorage)

Load settings.

storage: Settings storage.

LookupByIdAsync(SecurityId, CancellationToken) : ValueTask<Security>

To get the instrument by the identifier.

id: Security ID.
cancellationToken: CancellationToken

返回值: The got instrument. If there is no instrument by given criteria, is returned.

OnError(Strategy, Exception)

Processing of error, occurred as result of strategy operation.

strategy: Strategy.
error: Error.

OnOrderReceived(Order)

Order received.

order: Order

OnOrderRegistered(Order)

To call the event OrderRegistered.

order: Order.

OnOrderRegisterFailed(OrderFail, bool)

The method, called at strategy order registration error.

fail: Error registering order.
calcRisk: Invoke risk manager.

OnOrderRegistering(Order)

To call the event OrderRegistering.

order: Order.

OnOrderReRegistering(Order, Order)

To call the event OrderReRegistering.

oldOrder: Cancelling order.
newOrder: New order to register.

OnOwnTradeReceived(MyTrade)

Own trade received.

trade: MyTrade

OnPositionReceived(Position)

Position received.

position: Position

OnReseted()

It is called from the Reset method.

OnStarted(DateTimeOffset)

The method is called when the Start method has been called and the ProcessState state has been taken the Started value.

OnStarted()

The method is called when the Start method has been called and the ProcessState state has been taken the Started value.

OnStarted2(DateTime)

The method is called when the Start method has been called and the ProcessState state has been taken the Started value.

OnStopped()

The method is called when the ProcessState process state has been taken the Stopped value.

OnStopping()

The method is called when the ProcessState process state has been taken the Stopping value.

Param``1(string, T)

Initializes a new instance of the StrategyParam.

id: Parameter identifier.
initialValue: The initial value.

返回值: The strategy parameter.

Prepare()

Prepare data for report generation. Call this before accessing any data to ensure all values are up-to-date.

ProcessOrder(Order, bool)

To add the order to the strategy.

order: Order.
isChanging: The order came from the change event.

RaiseLog(LogMessage)

RaiseParametersChanged(string)

To call events ParametersChanged and PropertyChanged.

name: Parameter name.

RaiseProcessStateChanged(Strategy)

To call the event ProcessStateChanged.

strategy: Strategy.

RaiseReseted()

To call the event Reseted.

RegisterOrder(Order)

order: Registration details.

ReRegisterOrder(Order, Order)

Reregister the order.

oldOrder: Cancelling order.
newOrder: New order to register.

Reset()

To re-initialize the trade algorithm. It is called after initialization of the strategy object and loading stored parameters.

SafeGetConnector() : IConnector

To get the strategy getting Connector. If it is not initialized, the exception will be discarded.

返回值: Connector.

Save(SettingsStorage, bool, bool)

Save settings.

storage: SettingsStorage
saveStatistics: KeepStatistics
saveSystemParameters: Save system parameters.

Save(SettingsStorage)

Save settings.

storage: Settings storage.

SellLimit(decimal, decimal?, Security) : Order

To create the initialized order object for sell.

price: Price.
volume: The volume. If value is passed, then Volume value is used.
security: The security. If value is passed, then Security value is used.

返回值: The initialized order object.

SellMarket(decimal?, Security) : Order

To create the initialized order object of sell order at market price.

volume: The volume. If value is passed, then Volume value is used.
security: The security. If value is passed, then Security value is used.

返回值: The initialized order object.

SetAlertService(IAlertNotificationService)

To set a IAlertNotificationService for the strategy.

service: Alert notification service.

SetChart(IChart)

To set a IChart for the strategy.

chart: Chart.

SetOptionDesk(IOptionDesk)

To set the IOptionDesk.

desk: IOptionDesk.

SetOptionPositionChart(IOptionPositionChart)

To set a IChart for the strategy.

chart: Chart.

SetPositionValue(Security, Portfolio, decimal, DateTime)

Set position.

security: Security.
portfolio: Portfolio.
value: Position.
time: Timestamp to assign into LocalTime and ServerTime if position is created anew.

SetTargetPosition(decimal)

Set target position for the strategy's Security and Portfolio.

target: Target position value.

SetTargetPosition(Security, Portfolio, decimal)

Set target position for specified security and portfolio.

security: Security.
portfolio: Portfolio.
target: Target position value.

Start()

To start the trade algorithm.

StartProtection(Unit, Unit, bool, TimeSpan?, TimeSpan?, bool, bool)

Start position protection.

takeProfit: Take offset.
stopLoss: Stop offset.
isStopTrailing: Whether to use a trailing technique.
takeTimeout: Time limit. If protection has not worked by this time, the position will be closed on the market.
stopTimeout: Time limit. If protection has not worked by this time, the position will be closed on the market.
useMarketOrders: Whether to use market orders.
isLocalStop: Force local stop processing regardless of adapter capabilities.

StartTimer(TimeSpan, Action) : ITimerHandler

Create a timer that executes callback at specified intervals and starts it immediately.

interval: Timer interval.
callback: Callback to execute.

返回值: ITimerHandler

Stop()

To stop the trade algorithm.

Stop(Exception)

To stop the trade algorithm by error reason.

error: Error.

Subscribe(Subscription)

Subscribe.

subscription: Subscription.

SubscribeCandles(Subscription) : ISubscriptionHandler<ICandleMessage>

Subscribe to candles.

subscription: Subscription

返回值: SubscriptionHandler

SubscribeCandles(DataType, bool, Security) : ISubscriptionHandler<ICandleMessage>

Subscribe to candles.

dt: DataType
isFinishedOnly: IsFinishedOnly
security: Security. If security is not passed, then Security value is used.

返回值: SubscriptionHandler

SubscribeCandles(TimeSpan, bool, Security) : ISubscriptionHandler<ICandleMessage>

Subscribe to candles.

tf: Time-frame.
isFinishedOnly: IsFinishedOnly
security: Security. If security is not passed, then Security value is used.

返回值: SubscriptionHandler

SubscribeLevel1(Subscription) : ISubscriptionHandler<Level1ChangeMessage>

Subscribe to Level1.

subscription: Subscription

返回值: SubscriptionHandler

SubscribeLevel1(Security) : ISubscriptionHandler<Level1ChangeMessage>

Subscribe to Level1.

security: Security. If security is not passed, then Security value is used.

返回值: SubscriptionHandler

SubscribeOrderBook(Subscription) : ISubscriptionHandler<IOrderBookMessage>

Subscribe to MarketDepth.

subscription: Subscription

返回值: SubscriptionHandler

SubscribeOrderBook(Security) : ISubscriptionHandler<IOrderBookMessage>

Subscribe to MarketDepth.

security: Security. If security is not passed, then Security value is used.

返回值: SubscriptionHandler

SubscribeTicks(Subscription) : ISubscriptionHandler<ITickTradeMessage>

Subscribe to Ticks.

subscription: Subscription

返回值: SubscriptionHandler

SubscribeTicks(Security) : ISubscriptionHandler<ITickTradeMessage>

Subscribe to Ticks.

security: Security. If security is not passed, then Security value is used.

返回值: SubscriptionHandler

ToReportValue(object) : object

To convert parameter value to report value.

value: The parameter value.

返回值: The report value.

TryAddMyTrade(MyTrade) : bool

Try add own trade.

trade: MyTrade

返回值: Operation result.

UnSubscribe(Subscription)

Unsubscribe.

subscription: Subscription.

事件

BoardReceived : Action<Subscription, ExchangeBoard>

ExchangeBoard received.

CandleReceived : Action<Subscription, ICandleMessage>

ICandleMessage received.

CommissionChanged : Action

Commission change event.

ConnectorChanged : Action

The event of strategy connection change.

CurrentTimeChanged : Action<TimeSpan>

Server time changed CurrentTime. It passed the time difference since the last call of the event. The first time the event passes the value Zero.

DataTypeReceived : Action<Subscription, DataType>

DataType received.

Error : Action<Strategy, Exception>

The event of error occurrence in the strategy.

IsOnlineChanged : Action<Strategy>

The event of strategy online state change.

LatencyChanged : Action

Latency change event.

Level1Received : Action<Subscription, Level1ChangeMessage>

Level1ChangeMessage received.

NewMyTrade : Action<MyTrade>

Own trade received.

NewsReceived : Action<Subscription, News>

News received.

OrderBookDrawing : Action<Subscription, IOrderBookSource, IOrderBookMessage>

IOrderBookMessage).

OrderBookDrawingOrder : Action<Subscription, IOrderBookSource, Order>

Order).

OrderBookDrawingOrderFail : Action<Subscription, IOrderBookSource, OrderFail>

OrderFail).

OrderBookReceived : Action<Subscription, IOrderBookMessage>

IOrderBookMessage received.

OrderCancelFailed : Action<OrderFail>

Order cancellation error event.

OrderCancelFailReceived : Action<Subscription, OrderFail>

OrderFail cancellation event.

OrderCanceling : Action<Order>

The event of sending order for cancelling.

OrderChanged : Action<Order>

Order changed (cancelled, matched).

OrderEdited : Action<long, Order>

Order) success result event.

OrderEditFailed : Action<long, OrderFail>

Order) error result event.

OrderEditFailReceived : Action<Subscription, OrderFail>

OrderFail edition event.

OrderLogReceived : Action<Subscription, IOrderLogMessage>

IOrderLogMessage received.

OrderReceived : Action<Subscription, Order>

Order received.

OrderRegistered : Action<Order>

The event of order successful registration.

OrderRegisterFailed : Action<OrderFail>

Order registration error event.

OrderRegisterFailReceived : Action<Subscription, OrderFail>

OrderFail registration event.

OrderRegistering : Action<Order>

The event of sending order for registration.

OrderReRegistering : Action<Order, Order>

The event of sending order for re-registration.

OwnTradeReceived : Action<Subscription, MyTrade>

MyTrade received.

ParametersChanged : Action

Parameters change event.

PnLChanged : Action

PnL change event.

PnLReceived : Action<Subscription>

PnL change event.

PnLReceived2 : Action<Subscription, Portfolio, DateTime, decimal, decimal?, decimal?>

PnL change event.

PortfolioReceived : Action<Subscription, Portfolio>

Portfolio received.

PositionChanged : Action

Position change event.

PositionReceived : Action<Subscription, Position>

Position received.

ProcessStateChanged : Action<Strategy>

ProcessState change event.

PropertyChanged : PropertyChangedEventHandler

The diagram element properties value change event.

Reseted : Action

The event of the strategy re-initialization.

SecurityReceived : Action<Subscription, Security>

Security received.

SlippageChanged : Action

Slippage change event.

SubscriptionFailed : Action<Subscription, Exception, bool>

Subscription is failed.

SubscriptionOnline : Action<Subscription>

Subscription is online.

SubscriptionReceived : Action<Subscription, object>

Value received.

SubscriptionStarted : Action<Subscription>

Subscription is started.

SubscriptionStopped : Action<Subscription, Exception>

Subscription is stopped.

TickTradeReceived : Action<Subscription, ITickTradeMessage>

ITickTradeMessage received.