ATAS.Strategies.Strategy Class Reference

Base class for implementing trading strategies. More...

Inheritance diagram for ATAS.Strategies.Strategy:

Collaboration diagram for ATAS.Strategies.Strategy:

Public Member Functions
void	Start ()
void	Stop ()
async Task	StartAsync ()
	Starts the strategy, allowing it to execute its trading logic.
async Task	WatchAsync ()
async Task	StartFromWatchAsync ()
async Task	StopAsync ()
	Stops the strategy, terminating its execution and releasing any resources.
async void	OpenOrder (Order order, bool isAutomated=true)
	Îòêðûòü îðäåð.
async Task	OpenOrderAsync (Order order, bool isAutomated=true)
	Îòêðûòü îðäåð.
async void	ModifyOrder (Order order, Order neworder, bool isAutomated=true)
	Èçìåíèòü îðäåð.
async Task	ModifyOrderAsync (Order order, Order neworder, bool isAutomated=true)
	Èçìåíèòü îðäåð.
async void	CancelOrder (Order order, bool isAutomated=true)
	Îòìåíèòü îðäåð.
async Task	CancelOrderAsync (Order order, bool isAutomated=true)
	Îòìåíèòü îðäåð.
Task	StartAsync ()
	Starts the strategy, allowing it to execute its trading logic.
Task	StopAsync ()
	Stops the strategy, terminating its execution and releasing any resources.

Protected Member Functions
	Strategy ()
void	SetState (StrategyStates state)
	Set strategy state.
void	SetErrorState (StrategyErrorTypes type, string[] errorDescriptions)
	Set StrategyStates.Error state.
void	ResetErrorState ()
	Reset error state.
void	RaisePropertyChanged (string propertyName)
	Raises the PropertyChanged event with the specified property name.
void	RaiseShowNotification (string message, string title=null, bool isError=false)
	Raises the ShowNotification event with the specified message, title, and error flag.
bool	SetProperty< TValue > (ref TValue storage, TValue newValue, string propertyName, Action< TValue, TValue > onChanged=null)
	Sets the property with the specified name to the new value and raises the PropertyChanged event if the value has changed.
string	GetOCOGroup ()
	Generates a unique OCO (One-Cancels-the-Other) group identifier based on the current timestamp.
bool	CanProcess (Order order)
	Checks if the specified order can be processed by this strategy.
ICollection< MyTrade >	FilterMyTrades (IEnumerable< MyTrade > trades)
	Filters and returns the collection of MyTrade that belong to the current portfolio and security and have occurred after the latest trade time.
void	UpdateCurrentPosition ()
	Update thr CurrentPosition and AveragePrice values.
virtual Task	OnStarted ()
	Called when the strategy is started from StrategyStates.Stopped state.
virtual Task	OnStartedFromWatch ()
	Called when the strategy is started from StrategyStates.Watch state.
virtual Task	OnStopping ()
	Called when the strategy is stopping.
virtual Task	OnStopped ()
	Called when the strategy is stopped.
virtual Task	OnOpenOrder (Order order, bool isAutomated)
	Called when a new order is opened.
virtual Task	OnModifyOrder (Order order, Order newOrder, bool isAutomated)
	Called when an existing order is modified.
virtual Task	OnCancelOrder (Order order, bool isAutomated)
	Called when an order is canceled.
virtual void	OnMarketDepth (IEnumerable< MarketDepth > depths)
	Called when market depth data is received.
virtual void	OnBestBidAsk (MarketDepth depth)
	Called when the best bid or ask market depth data is received.
virtual void	OnNewTrade (Trade trade)
	Called when a new trade occurs.
virtual void	OnNewPortfolio (Portfolio portfolio)
	Called when a new portfolio is added.
virtual void	OnNewPosition (Position position)
	Called when a new position is added.
virtual void	OnPositionChanged (Position position)
	Called when an existing position is changed.
virtual void	OnPnLChanged (int ticks)
	Called when the profit and loss (PnL) changes.
virtual void	OnNewOrder (Order order)
	Called when a new order is added.
virtual void	OnOrderChanged (Order order)
	Called when an existing order is changed.
virtual void	OnOrderRegisterFailed (Order order, string message)
	Called when an order registration fails.
virtual void	OnOrderCancelFailed (Order order, string message)
	Called when an order cancellation fails.
virtual void	OnOrderModifyFailed (Order order, Order newOrder, string message)
	Called when an order modification fails.
virtual void	OnNewMyTrade (MyTrade myTrade)
	Called when a new trade is added to the collection of MyTrade.
virtual void	OnCurrentPositionChanged ()
	Called when the volume of the current position changes.
virtual void	OnUpdateStrategyState ()
	Called when the strategy state needs to be updated.
virtual bool	CanProcess ()
	Checks if the strategy can process operations in the current state.
virtual bool	CanUpdateCurrentPosition (Position position)
	Checks if the current position can be updated with the specified position.
virtual void	LogParameters ()
	Log current parameters.

Properties
Security	Security [get, set]
	Gets or sets the security associated with the strategy.
Portfolio	Portfolio [get, set]
	Gets or sets the portfolio associated with the strategy.
TPlusLimits?	TPlusLimit [get, set]
	Gets or sets the T+ limits for the strategy.
IDataFeedConnector	Connector [get, set]
	Gets or sets the data feed connector for the strategy.
IEnumerable< MyTrade >	MyTrades [get]
IEnumerable< Order >	Orders [get]
Position	Position [get, set]
decimal	CurrentPosition [get]
	Gets the current position volume of the strategy.
decimal	AveragePrice [get]
	Gets the average price of the strategy's trades.
int	OpenTicksPnL [get]
decimal	OpenPnL [get]
	Gets the open profit and loss of the strategy.
decimal	ClosedPnL [get]
	Gets the closed profit and loss of the strategy.
MarketDepth	BestBid [get]
MarketDepth	BestAsk [get]
StrategyStates	State [get, protected set]
	Gets the current state of the strategy.
StrategyStateDescription	StateDescription [get]
string	Name [get, set]
	Gets or sets the name of the strategy.
Properties inherited from ATAS.Strategies.IStrategy
string	Name [get, set]
	Gets or sets the name of the strategy.
StrategyStates	State [get]
	Gets the current state of the strategy.
decimal	CurrentPosition [get]
	Gets the current position volume of the strategy.
decimal	AveragePrice [get]
	Gets the average price of the strategy's trades.
decimal	OpenPnL [get]
	Gets the open profit and loss of the strategy.
decimal	ClosedPnL [get]
	Gets the closed profit and loss of the strategy.
Security	Security [get, set]
	Gets or sets the security associated with the strategy.
Portfolio	Portfolio [get, set]
	Gets or sets the portfolio associated with the strategy.
TPlusLimits?	TPlusLimit [get, set]
	Gets or sets the T+ limits for the strategy.
IDataFeedConnector	Connector [get, set]
	Gets or sets the data feed connector for the strategy.

Events
PropertyChangedEventHandler	PropertyChanged
EventHandler< StrategyStateChangedEventArgs >	StateChanged
EventHandler< StrategyNotificationEventArgs >	ShowNotification
Events inherited from ATAS.Strategies.IStrategy
EventHandler< StrategyStateChangedEventArgs >	StateChanged
	Occurs when the state of the strategy changes.
EventHandler< StrategyNotificationEventArgs >	ShowNotification
	Occurs when the strategy needs to show a notification or alert.

Detailed Description

Base class for implementing trading strategies.

Constructor & Destructor Documentation

Strategy()

ATAS.Strategies.Strategy.Strategy ( )

protected

Member Function Documentation

CancelOrder()

async void ATAS.Strategies.Strategy.CancelOrder	(	Order	order,
		bool	isAutomated = true
	)

Îòìåíèòü îðäåð.

Parameters

order	Îðäåð.
isAutomated	ôëàã, ÿâëÿåòñÿ ëè âûñòàâëÿåìûé îðäåðîì âûñòàâëÿåìûì àâòîìàòè÷åñêè èëè îðäåð ÿâëÿåòñÿ âûñòàâëÿåìûì þçåðîì.

CancelOrderAsync()

async Task ATAS.Strategies.Strategy.CancelOrderAsync	(	Order	order,
		bool	isAutomated = true
	)

Îòìåíèòü îðäåð.

Parameters

order	Îðäåð.
isAutomated	ôëàã, ÿâëÿåòñÿ ëè âûñòàâëÿåìûé îðäåðîì âûñòàâëÿåìûì àâòîìàòè÷åñêè èëè îðäåð ÿâëÿåòñÿ âûñòàâëÿåìûì þçåðîì.

CanProcess() [1/2]

virtual bool ATAS.Strategies.Strategy.CanProcess ( )

protectedvirtual

Checks if the strategy can process operations in the current state.

Returns

true if the strategy can process; otherwise, false.

CanProcess() [2/2]

bool ATAS.Strategies.Strategy.CanProcess ( Order  order )

protected

Checks if the specified order can be processed by this strategy.

Parameters

order

The order to be processed.

Returns

true if the order can be processed; otherwise, false.

CanUpdateCurrentPosition()

virtual bool ATAS.Strategies.Strategy.CanUpdateCurrentPosition ( Position  position )

protectedvirtual

Checks if the current position can be updated with the specified position.

Parameters

position

The position to be compared with the current position.

Returns

true if the current position can be updated; otherwise, false.

Reimplemented in ATAS.Strategies.ATM.ATMStrategy< TStrategy >.

FilterMyTrades()

ICollection< MyTrade > ATAS.Strategies.Strategy.FilterMyTrades ( IEnumerable< MyTrade >  trades )

protected

Filters and returns the collection of MyTrade that belong to the current portfolio and security and have occurred after the latest trade time.

Parameters

trades

The collection of MyTrade to be filtered.

Returns

The filtered collection of MyTrade.

GetOCOGroup()

string ATAS.Strategies.Strategy.GetOCOGroup ( )

protected

Generates a unique OCO (One-Cancels-the-Other) group identifier based on the current timestamp.

Returns

A unique OCO group identifier.

LogParameters()

virtual void ATAS.Strategies.Strategy.LogParameters ( )

protectedvirtual

Log current parameters.

Reimplemented in ATAS.Strategies.ATM.ATMStrategy< TStrategy >.

ModifyOrder()

async void ATAS.Strategies.Strategy.ModifyOrder	(	Order	order,
		Order	neworder,
		bool	isAutomated = true
	)

Èçìåíèòü îðäåð.

Parameters

order	Îðäåð, êîòîðûé ìîäèôèöèðóåòñÿ.
neworder	Îðäåð ñ íîâûìè ïàðàìåòðàìè.
isAutomated	ôëàã, ÿâëÿåòñÿ ëè âûñòàâëÿåìûé îðäåðîì âûñòàâëÿåìûì àâòîìàòè÷åñêè èëè îðäåð ÿâëÿåòñÿ âûñòàâëÿåìûì þçåðîì.

ModifyOrderAsync()

async Task ATAS.Strategies.Strategy.ModifyOrderAsync	(	Order	order,
		Order	neworder,
		bool	isAutomated = true
	)

Èçìåíèòü îðäåð.

Parameters

order	Îðäåð, êîòîðûé ìîäèôèöèðóåòñÿ.
neworder	Îðäåð ñ íîâûìè ïàðàìåòðàìè.
isAutomated	ôëàã, ÿâëÿåòñÿ ëè âûñòàâëÿåìûé îðäåðîì âûñòàâëÿåìûì àâòîìàòè÷åñêè èëè îðäåð ÿâëÿåòñÿ âûñòàâëÿåìûì þçåðîì.

OnBestBidAsk()

virtual void ATAS.Strategies.Strategy.OnBestBidAsk ( MarketDepth  depth )

protectedvirtual

Called when the best bid or ask market depth data is received.

Parameters

depth

The best bid or ask market depth data.

OnCancelOrder()

virtual Task ATAS.Strategies.Strategy.OnCancelOrder ( Order  order, bool  isAutomated  )

protectedvirtual

Called when an order is canceled.

Parameters

order	The order to be canceled.
isAutomated	A flag indicating whether the order was canceled automatically.

Reimplemented in ATAS.Strategies.ATM.BaseStopProfitStrategy< TStrategy, TSettings >.

OnCurrentPositionChanged()

virtual void ATAS.Strategies.Strategy.OnCurrentPositionChanged ( )

protectedvirtual

Called when the volume of the current position changes.

Reimplemented in ATAS.Strategies.ATM.BaseStopProfitStrategy< TStrategy, TSettings >.

OnMarketDepth()

virtual void ATAS.Strategies.Strategy.OnMarketDepth ( IEnumerable< MarketDepth >  depths )

protectedvirtual

Called when market depth data is received.

Parameters

depths

The collection of MarketDepth data.

OnModifyOrder()

virtual Task ATAS.Strategies.Strategy.OnModifyOrder ( Order  order, Order  newOrder, bool  isAutomated  )

protectedvirtual

Called when an existing order is modified.

Parameters

order	The original order.
newOrder	The modified order with new parameters.
isAutomated	A flag indicating whether the order was modified automatically.

Reimplemented in ATAS.Strategies.ATM.BaseStopProfitStrategy< TStrategy, TSettings >.

OnNewMyTrade()

virtual void ATAS.Strategies.Strategy.OnNewMyTrade ( MyTrade  myTrade )

protectedvirtual

Called when a new trade is added to the collection of MyTrade.

Parameters

myTrade

The newly added MyTrade.

OnNewOrder()

virtual void ATAS.Strategies.Strategy.OnNewOrder ( Order  order )

protectedvirtual

Called when a new order is added.

Parameters

order

The newly added order.

Reimplemented in ATAS.Strategies.ATM.BaseStopProfitStrategy< TStrategy, TSettings >.

OnNewPortfolio()

virtual void ATAS.Strategies.Strategy.OnNewPortfolio ( Portfolio  portfolio )

protectedvirtual

Called when a new portfolio is added.

Parameters

portfolio

The newly added portfolio.

OnNewPosition()

virtual void ATAS.Strategies.Strategy.OnNewPosition ( Position  position )

protectedvirtual

Called when a new position is added.

Parameters

position

The newly added position.

OnNewTrade()

virtual void ATAS.Strategies.Strategy.OnNewTrade ( Trade  trade )

protectedvirtual

Called when a new trade occurs.

Parameters

trade

The newly occurred trade.

OnOpenOrder()

virtual Task ATAS.Strategies.Strategy.OnOpenOrder ( Order  order, bool  isAutomated  )

protectedvirtual

Called when a new order is opened.

Parameters

order	The newly opened order.
isAutomated	A flag indicating whether the order was opened automatically.

OnOrderCancelFailed()

virtual void ATAS.Strategies.Strategy.OnOrderCancelFailed ( Order  order, string  message  )

protectedvirtual

Called when an order cancellation fails.

Parameters

order	The order that failed to cancel.
message	The error message.

OnOrderChanged()

virtual void ATAS.Strategies.Strategy.OnOrderChanged ( Order  order )

protectedvirtual

Called when an existing order is changed.

Parameters

order

The changed order.

Reimplemented in ATAS.Strategies.ATM.BaseStopProfitStrategy< TStrategy, TSettings >.

OnOrderModifyFailed()

virtual void ATAS.Strategies.Strategy.OnOrderModifyFailed ( Order  order, Order  newOrder, string  message  )

protectedvirtual

Called when an order modification fails.

Parameters

order	The order that failed to modify.
newOrder	The modified order with new parameters.
message	The error message.

OnOrderRegisterFailed()

virtual void ATAS.Strategies.Strategy.OnOrderRegisterFailed ( Order  order, string  message  )

protectedvirtual

Called when an order registration fails.

Parameters

order	The order that failed to register.
message	The error message.

OnPnLChanged()

virtual void ATAS.Strategies.Strategy.OnPnLChanged ( int  ticks )

protectedvirtual

Called when the profit and loss (PnL) changes.

Parameters

ticks

The number of ticks by which the PnL changes.

OnPositionChanged()

virtual void ATAS.Strategies.Strategy.OnPositionChanged ( Position  position )

protectedvirtual

Called when an existing position is changed.

Parameters

position

The changed position.

OnStarted()

virtual Task ATAS.Strategies.Strategy.OnStarted ( )

protectedvirtual

Called when the strategy is started from StrategyStates.Stopped state.

Reimplemented in ATAS.Strategies.ATM.BaseStopProfitStrategy< TStrategy, TSettings >.

OnStartedFromWatch()

virtual Task ATAS.Strategies.Strategy.OnStartedFromWatch ( )

protectedvirtual

Called when the strategy is started from StrategyStates.Watch state.

Reimplemented in ATAS.Strategies.ATM.BaseStopProfitStrategy< TStrategy, TSettings >.

OnStopped()

virtual Task ATAS.Strategies.Strategy.OnStopped ( )

protectedvirtual

Called when the strategy is stopped.

OnStopping()

virtual Task ATAS.Strategies.Strategy.OnStopping ( )

protectedvirtual

Called when the strategy is stopping.

Reimplemented in ATAS.Strategies.ATM.BaseStopProfitStrategy< TStrategy, TSettings >.

OnUpdateStrategyState()

virtual void ATAS.Strategies.Strategy.OnUpdateStrategyState ( )

protectedvirtual

Called when the strategy state needs to be updated.

OpenOrder()

async void ATAS.Strategies.Strategy.OpenOrder	(	Order	order,
		bool	isAutomated = true
	)

Îòêðûòü îðäåð.

Parameters

order	Îðäåð.
isAutomated	ôëàã, ÿâëÿåòñÿ ëè âûñòàâëÿåìûé îðäåðîì âûñòàâëÿåìûì àâòîìàòè÷åñêè èëè îðäåð ÿâëÿåòñÿ âûñòàâëÿåìûì þçåðîì

OpenOrderAsync()

async Task ATAS.Strategies.Strategy.OpenOrderAsync	(	Order	order,
		bool	isAutomated = true
	)

Îòêðûòü îðäåð.

Parameters

order	Îðäåð.
isAutomated	ôëàã, ÿâëÿåòñÿ ëè âûñòàâëÿåìûé îðäåðîì âûñòàâëÿåìûì àâòîìàòè÷åñêè èëè îðäåð ÿâëÿåòñÿ âûñòàâëÿåìûì þçåðîì

RaisePropertyChanged()

void ATAS.Strategies.Strategy.RaisePropertyChanged ( string  propertyName )

protected

Raises the PropertyChanged event with the specified property name.

Parameters

propertyName

The name of the property that changed.

RaiseShowNotification()

void ATAS.Strategies.Strategy.RaiseShowNotification ( string  message, string  title = null, bool  isError = false  )

protected

Raises the ShowNotification event with the specified message, title, and error flag.

Parameters

message	The notification message.
title	The notification title (optional).
isError	A flag indicating whether the notification is an error.

ResetErrorState()

void ATAS.Strategies.Strategy.ResetErrorState ( )

protected

Reset error state.

SetErrorState()

void ATAS.Strategies.Strategy.SetErrorState ( StrategyErrorTypes  type, string[]  errorDescriptions  )

protected

Set StrategyStates.Error state.

Parameters

type	Error type.
errorDescriptions	Error descriptions.

SetProperty< TValue >()

bool ATAS.Strategies.Strategy.SetProperty< TValue > ( ref TValue  storage, TValue  newValue, string  propertyName, Action< TValue, TValue >  onChanged = null  )

protected

Sets the property with the specified name to the new value and raises the PropertyChanged event if the value has changed.

Template Parameters

TValue

The type of the property value.

Parameters

storage	A reference to the storage for the property value.
newValue	The new value of the property.
propertyName	The name of the property.
onChanged	An optional action to execute when the property value changes.

Returns

true if the property value has changed; otherwise, false.

SetState()

void ATAS.Strategies.Strategy.SetState ( StrategyStates  state )

protected

Set strategy state.

Parameters

state

New state.

Start()

void ATAS.Strategies.Strategy.Start

(

)

StartAsync()

async Task ATAS.Strategies.Strategy.StartAsync

(

)

Starts the strategy, allowing it to execute its trading logic.

Implements ATAS.Strategies.IStrategy.

StartFromWatchAsync()

async Task ATAS.Strategies.Strategy.StartFromWatchAsync

(

)

Stop()

void ATAS.Strategies.Strategy.Stop

(

)

StopAsync()

async Task ATAS.Strategies.Strategy.StopAsync

(

)

Stops the strategy, terminating its execution and releasing any resources.

Implements ATAS.Strategies.IStrategy.

UpdateCurrentPosition()

void ATAS.Strategies.Strategy.UpdateCurrentPosition ( )

protected

Update thr CurrentPosition and AveragePrice values.

WatchAsync()

async Task ATAS.Strategies.Strategy.WatchAsync

(

)

Property Documentation

AveragePrice

decimal ATAS.Strategies.Strategy.AveragePrice

get

Gets the average price of the strategy's trades.

Implements ATAS.Strategies.IStrategy.

BestAsk

MarketDepth ATAS.Strategies.Strategy.BestAsk

get

BestBid

MarketDepth ATAS.Strategies.Strategy.BestBid

get

ClosedPnL

decimal ATAS.Strategies.Strategy.ClosedPnL

get

Gets the closed profit and loss of the strategy.

Implements ATAS.Strategies.IStrategy.

Connector

IDataFeedConnector ATAS.Strategies.Strategy.Connector

getset

Gets or sets the data feed connector for the strategy.

Implements ATAS.Strategies.IStrategy.

CurrentPosition

decimal ATAS.Strategies.Strategy.CurrentPosition

get

Gets the current position volume of the strategy.

Implements ATAS.Strategies.IStrategy.

MyTrades

IEnumerable<MyTrade> ATAS.Strategies.Strategy.MyTrades

get

Name

string ATAS.Strategies.Strategy.Name

getset

Gets or sets the name of the strategy.

Implements ATAS.Strategies.IStrategy.

OpenPnL

decimal ATAS.Strategies.Strategy.OpenPnL

get

Gets the open profit and loss of the strategy.

Implements ATAS.Strategies.IStrategy.

OpenTicksPnL

int ATAS.Strategies.Strategy.OpenTicksPnL

get

Orders

IEnumerable<Order> ATAS.Strategies.Strategy.Orders

get

Portfolio

Portfolio ATAS.Strategies.Strategy.Portfolio

getset

Gets or sets the portfolio associated with the strategy.

Implements ATAS.Strategies.IStrategy.

Position

Position ATAS.Strategies.Strategy.Position

getset

Security

Security ATAS.Strategies.Strategy.Security

getset

Gets or sets the security associated with the strategy.

Implements ATAS.Strategies.IStrategy.

State

StrategyStates ATAS.Strategies.Strategy.State

getprotected set

Gets the current state of the strategy.

Implements ATAS.Strategies.IStrategy.

StateDescription

StrategyStateDescription ATAS.Strategies.Strategy.StateDescription

get

TPlusLimit

TPlusLimits? ATAS.Strategies.Strategy.TPlusLimit

getset

Gets or sets the T+ limits for the strategy.

Implements ATAS.Strategies.IStrategy.

Event Documentation

PropertyChanged

PropertyChangedEventHandler ATAS.Strategies.Strategy.PropertyChanged

ShowNotification

EventHandler<StrategyNotificationEventArgs> ATAS.Strategies.Strategy.ShowNotification

StateChanged

EventHandler<StrategyStateChangedEventArgs> ATAS.Strategies.Strategy.StateChanged

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The documentation for this class was generated from the following file:

• Strategy.cs