Quoting Reference

Overview

This section contains a complete reference of the quoting system architecture and components in StockSharp. All available quoting behaviors, action types, and interfaces are described. For a basic introduction, see Quoting Algorithm.

Architecture

QuotingStrategy (Deprecated)

The QuotingStrategy class is deprecated. It is recommended to use QuotingProcessor instead.

Main parameters of the deprecated class:

QuotingSide -- quoting direction (Buy/Sell)
QuotingVolume -- quoting volume
TimeOut -- execution timeout
UseBidAsk -- use order book prices
UseLastTradePrice -- use last trade price

QuotingEngine

QuotingEngine -- the functional core of the quoting system. It calculates remaining volume and timeouts, returning action recommendations without side effects.

QuotingBehaviorAlgo

QuotingBehaviorAlgo -- implementation of the IPositionModifyAlgo interface for algorithmic position management.

Main methods:

Method	Description
`UpdateMarketData(time, price, volume)`	Update market data
`UpdateOrderBook(depth)`	Update order book
`GetNextAction()`	Get the next quoting action

Supports VWAP and TWAP modes.

QuotingProcessor

QuotingProcessor -- the main processor for executing quoting within a strategy. Manages the order lifecycle: placement, modification, cancellation.

QuotingAction Types

The processor returns actions of type QuotingAction:

Type	Description
`None(reason)`	No action required
`PlaceOrder(price, volume)`	Place a new order
`ModifyOrder(price, volume)`	Modify an existing order
`CancelOrder()`	Cancel the order
`Finish(success, reason)`	Finish quoting

Quoting Behaviors

StockSharp provides 10 types of quoting behaviors, each implementing the IQuotingBehavior interface:

#	Class	Description	Key Parameters
1	BestByPriceQuotingBehavior	Best price from order book	BestPriceOffset
2	LastTradeQuotingBehavior	Last trade price	BestPriceOffset
3	LimitQuotingBehavior	Fixed limit price	LimitPrice
4	MarketQuotingBehavior	Market price with offset	PriceOffset, PriceType (Following/Opposite/Middle)
5	VolatilityQuotingBehavior	Option volatility (Black-Scholes)	IVRange, Model
6	TheorPriceQuotingBehavior	Option theoretical price	TheorPriceOffset
7	BestByVolumeQuotingBehavior	Cumulative volume in order book	VolumeExchange
8	LevelQuotingBehavior	Order book depth level	Level (Range<int>), OwnLevel
9	VWAPQuotingBehavior	VWAP -- volume-weighted average	BestPriceOffset
10	TWAPQuotingBehavior	TWAP -- time-weighted average	TimeInterval, PriceBufferSize (default 10)

IQuotingBehavior Interface

The IQuotingBehavior interface defines two key methods:

CalculateBestPrice

Calculates the best price for placing an order:

decimal? CalculateBestPrice(
	Security security,
	IMarketDataProvider provider,
	Sides quotingDirection,
	decimal? bestBid,
	decimal? bestAsk,
	decimal? lastTradePrice,
	decimal? lastTradeVolume,
	IEnumerable<QuoteChange> bids,
	IEnumerable<QuoteChange> asks);

NeedQuoting

Determines whether the current order needs to be updated:

decimal? NeedQuoting(
	Security security,
	IMarketDataProvider provider,
	DateTimeOffset currentTime,
	decimal? currentPrice,
	decimal? currentVolume,
	decimal? newVolume,
	decimal? bestPrice);

Returns null if no update is needed, or the new price for placing the order.

Usage Examples

Market Quoting with Offset

var behavior = new MarketQuotingBehavior
{
	PriceOffset = new Unit(2, UnitTypes.Absolute),
	PriceType = MarketPriceTypes.Following,
	BestPriceOffset = new Unit(0.5m),
};

VWAP Quoting

var behavior = new VWAPQuotingBehavior
{
	BestPriceOffset = new Unit(1),
};

Option Volatility Quoting

var behavior = new VolatilityQuotingBehavior
{
	IVRange = new Range<decimal>(0.2m, 0.3m),
	Model = new BlackScholes(option, connector),
};

Full Example with Processor

// Choose the quoting behavior
var behavior = new BestByPriceQuotingBehavior
{
	BestPriceOffset = new Unit(0.01m),
};

// Create the processor
var processor = new QuotingProcessor(
	behavior,
	Security,
	Portfolio,
	Sides.Buy,
	volume: 10,
	maxOrderVolume: 10,
	timeout: TimeSpan.FromMinutes(5),
	subscriptionProvider: this,
	ruleContainer: this,
	transactionProvider: this,
	timeProvider: this,
	marketDataProvider: this,
	isTradingAllowed: IsFormedAndOnlineAndAllowTrading,
	useBidAsk: true,
	useLastTradePrice: true)
{
	Parent = this,
};

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

processor.Start();