Provides liquidation orders stream for securities. More...

Inheritance diagram for ATAS.DataFeedsCore.ILiquidationFeed:

Collaboration diagram for ATAS.DataFeedsCore.ILiquidationFeed:

Public Member Functions
void	SubscribeToLiquidationData (IEnumerable< Security >? securities=null)
	Subscribes to liquidation order stream.

void	UnsubscribeFromLiquidationData (IEnumerable< Security >? securities=null)
	Removes subscription for liquidation orders.

Public Member Functions inherited from ATAS.DataFeedsCore.IDataFeedConnector
bool?	IsMarketDataSubscribed (Security security, SubscriptionType subscriptionType)
	Whether the connector currently counts a market data subscription of the type for the security. Counted subscriptions are restored by the connector after a reconnect; a subscription the broker rejected is no longer counted. `null` for connectors that do not track their subscriptions.

void	Connect ()

void	Disconnect ()

Task	ConnectAsync ()

Task	DisconnectAsync ()

Task	RegisterOrderAsync (Order order)

Task	ModifyOrderAsync (Order order, Order newOrder)

Task	CancelOrderAsync (Order order)

void	CancelOrder (Order order)

void	RegisterOrder (Order order)

void	ModifyOrder (Order order, Order neworder)
	Modifies the price of an order.

Order	TryGetOrder (long extId)

Position	GetPosition (Portfolio portfolio, Security security, TPlusLimits? tPlusLimit)

Task	ClosePositionAsync (Position position)

Task	ClosePositionsAsync (Portfolio portfolio)

Task	GoFlatAsync (Portfolio portfolio)
	Cancels all active orders and liquidates all open positions for the portfolio in a single atomic operation.

void	SubscribeToMarketData (IEnumerable< Security > securities, SubscriptionType subscriptionTypes)

void	SubscribeToMarketData (Security security, SubscriptionType subscriptionTypes)
	Subscribes to market data for a security.

void	UnsubscribeFromMarketData (IEnumerable< Security > securities, SubscriptionType subscriptionTypes)

void	UnsubscribeFromMarketData (Security security, SubscriptionType subscriptionTypes)
	Unsubscribes from market data for a security.

void	SearchSecurities (SecurityFilter filter)
	Searches for securities matching the specified filter.

Task< IEnumerable< Security > >	SearchSecuritiesAsync (SecurityFilter filter)

IEnumerable< string >	GetRoutes (Security security)

IEnumerable< Portfolio >	GetPortfolios (Security security)

Portfolio	GetTradingPortfolio (Portfolio portfolio, Security security)
	Resolves the portfolio that actually holds orders and positions for the specified security. Some connectors (e.g. CQG) route trading data to a currency-specific sub-portfolio of the selected account portfolio; for such connectors this method returns that sub-portfolio. For all other connectors the same portfolio is returned.

Task	ChangeMarginParametersAsync (Position position, bool? isolated=null, decimal? leverage=null)
	Switches position margin mode (isolated/cross) and/or trading leverage for it.

Task	ChangeIsolatedMarginAsync (Position position, decimal value)
	Adds or removes to isolated margin of a position. This method does not apply for crossed margin mode This method works only if Position.Risk property is not null.

decimal?	CalcLiquidationPrice (Position position, decimal margin)
	Allows to estimate Liquidation Price change for a margin.

decimal?? decimal maxRemovable	CalcIsolatedMarginChangeRange (Position position)

decimal	ConvertCurrency (Security security, string currencyFrom, string currencyTo, decimal volume, decimal? limitPrice=null, bool roundToLotSize=true)
	Converts volume from one currency to another Used for Notional value calculation.

decimal?	CalcMaxOrderVolume (OrderTypes orderType, Security security, Portfolio portfolio, OrderDirections direction, decimal? limitPrice=null)
	Gets max possible volume for the order This function is always return null if IsSupportedMaxOrderCalculation is false.

decimal?	CalcOrderCost (OrderTypes orderType, Security security, Portfolio portfolio, OrderDirections direction, decimal? limitPrice, decimal volume, out object? detailing, bool giveDetailing=false)
	Calculates total order cost including commissions and initial margin and everything else This function is always return null if IsSupportedMaxOrderCalculation is false.

ISecurityTradingOptions?	GetSecurityTradingOptions (Security security)
	Gets possible TimeInForce for order and optional flags that may be passed when order is created If null default behaviour is expected: TimeInForce = DAY, GTC, FOK No order flags

Task< IEnumerable< MyTrade > >	GetMyTradesAsync (Portfolio portfolio, Security security, DateTime from, DateTime to)
	Get a list of my trades.

Events
Action< IEnumerable< Order > >	NewLiquidations
	Fires when new liquidation comes from exchange.

Events inherited from ATAS.DataFeedsCore.IDataFeedConnector
ConnectorEventHandler< ConnectionStateEventArgs >?	ConnectionStateChanged

ConnectorEventHandler?	Connected

ConnectorEventHandler?	Disconnected

ConnectorEventHandler< IEnumerable< MyTrade > >?	NewMyTrades

ConnectorEventHandler< IEnumerable< Order > >?	NewOrders

ConnectorEventHandler< IEnumerable< Position > >?	NewPositions

ConnectorEventHandler< IEnumerable< Portfolio > >?	NewPortfolios

ConnectorEventHandler< IEnumerable< Security > >?	NewSecurities

ConnectorEventHandler< IEnumerable< Security > >?	RemoveSecurities

ConnectorEventHandler< Order >?	OrderChanged

ConnectorEventHandler< string, Order >?	OrdersRegisterFailed

ConnectorEventHandler< string, Order >?	OrdersCancelFailed

ConnectorEventHandler< Order, Order, string >?	OrderModifyFailed

ConnectorEventHandler< IEnumerable< Portfolio > >?	PortfoliosChanged

ConnectorEventHandler< IEnumerable< Position > >?	PositionsChanged

ConnectorEventHandler< MarketDepth >?	BestBidAskUpdates

ConnectorEventHandler< IEnumerable< MarketDepth > >?	MarketDepthsUpdate

ConnectorEventHandler< Security >?	MarketDepthsReset
	Raised when the connector's order book for the security is rebuilt from scratch (e.g. a fresh snapshot after a reconnect). Consumers must drop all accumulated depth state for the security before applying the updates that follow, because removals for levels of the previous book generation are never sent.

ConnectorEventHandler< Security >?	MarketByOrdersReset
	Raised when the connector's by-order book for the security is rebuilt from scratch (a fresh image after a reconnect or on subscription). Consumers must drop every order they hold for the security before applying the updates that follow: deletes for orders of the previous book generation are never sent. Independent of MarketDepthsReset, so a market-by-order-only subscription gets it too.

ConnectorEventHandler< MarketByOrder >	MarketByOrderChanged

ConnectorEventHandler< IEnumerable< Trade > >?	NewTrades

ConnectorEventHandler< Trade >?	NewMboTrade
	Raised for every trade of a security with an active market-by-order subscription, carrying the passive/aggressor exchange order ids and the match event id when the connector could attribute the trade to its book fill. Unlike NewTrades, delivery may lag the tape by the connector's attribution hold.

ConnectorEventHandler< Security >?	SecurityChanged

ConnectorEventHandler< SecuritySummary >?	SecuritySummaryChanged

ConnectorEventHandler< Exception >?	Error
	Raised when an error occurs.

ConnectorEventHandler< SecurityFilter, Exception?, IEnumerable< Security > >?	SearchSecuritiesResult

ConnectorEventHandler< Security, Exception?>?	RegisterSecurityResult

ConnectorEventHandler< News >?	NewNews

ConnectorEventHandler< RebateResult >?	RebateReceived

Additional Inherited Members
Public Attributes inherited from ATAS.DataFeedsCore.IDataFeedConnector
decimal?	maxAddable
	Calculates possible changes of the isolated margin of a position (only for leveraged trading)

Properties inherited from ATAS.DataFeedsCore.IDataFeedConnector
Guid	Id `[get]`

bool	IsSupportedServerOCO `[get]`
	Indicates whether the connector supports server-side OCO orders.

bool	IsSupportedStopOrders `[get]`
	Indicates whether the connector supports stop orders.

bool	IsSupportedTradingFunctions `[get]`
	Indicates whether the connector supports trading functions.

bool	IsConnected `[get]`

ConnectionStates	ConnectionState `[get]`
	Current connection state of the connector.

MarketDataDelayPeriods	MarketDataDelayPeriod `[get, set]`
	Gets or sets delay period for market data.

bool	IsSupportedRussianMarket `[get]`
	Indicates whether the connector supports Russian market instruments.

bool	IsSupportedAmericanFutures `[get]`
	Indicates whether the connector supports American futures.

bool	IsSupportedAmericanStocks `[get]`
	Indicates whether the connector supports American stocks.

bool	IsSupportedCrypto `[get]`
	Indicates whether the connector supports crypto instruments.

bool	IsSupportedCfd `[get]`
	Indicates whether the connector supports CFD instruments.

bool	IsSupportedMaxOrderCalculation `[get]`
	Does connector support max order calculation for the instrument This feature enables percentage slider under the volume input box Affects CalcMaxOrderVolume and CalcOrderCost methods.

bool	IsSupportedServerTime `[get]`
	Does connector supports getting exchange server time.

bool	MarketDataStreamEnabled `[get, set]`
	Indicates whether to raise market data through BestBidAskUpdates, MarketDepthsUpdate, and NewTrades events.

bool	AllowUpdatePositionsPnL `[get, set]`

IEntityFactory	Factory `[get, set]`
	Factory used to create Security, Portfolio, and other entity objects.

ITimeSyncManager?	DefaultTimeSyncManager `[get, set]`
	Default ITimeSyncManager to get time difference with NTP server.

IConnectorExchangeInfoProvider	ExchangeInfoProvider `[get, set]`
	Gets or sets the provider used to retrieve exchange information for the securities.

string	DataPath `[get, set]`

IConnectorLatencyManager	LatencyManager `[get]`
	Latency manager.

SubscriptionStatistics?	SubscriptionStatistics `[get]`
	Market data subscription load of the connector: subscribed instruments by security type and the number of subscribe/unsubscribe requests sent to the broker. `null` for connector wrappers that do not own the subscriptions themselves.

bool	IsFullLicense `[get, set]`
	License type.

bool	NeedRebatesCheck `[get, set]`
	Has rebate check feature.

bool	IsSupportedGoFlat `[get]`
	Indicates whether the connector supports atomic go-flat (cancel all orders and liquidate all positions).

IEnumerable< Security >	Securities `[get]`

IEnumerable< Portfolio >	Portfolios `[get]`

IEnumerable< MyTrade >	MyTrades `[get]`

IEnumerable< Order >	Orders `[get]`

IEnumerable< Position >	Positions `[get]`

TimeOnly?	RefreshSecuritiesTime `[get, set]`

bool	HasPendingActions `[get]`

bool	ServerMode `[get, set]`

bool	ReconnectOnFirstConnect `[get, set]`
	Reconnect after a failed first connect instead of failing ConnectAsync. Set only by the unattended server hosts (DataSender, DataRepeater), and it means more than the name says: the host has nobody to fix the settings, so a connection refusal (see ConnectionRefusalReason) keeps reconnecting too instead of stopping and reporting to the user as it does on the platform.

Detailed Description

Provides liquidation orders stream for securities.

Member Function Documentation

◆ SubscribeToLiquidationData()

void ATAS.DataFeedsCore.ILiquidationFeed.SubscribeToLiquidationData ( IEnumerable< Security >? securities = null )

Subscribes to liquidation order stream.

Parameters

securities An optional list of securities to subscribe, null will subscribe to all available securities

◆ UnsubscribeFromLiquidationData()

void ATAS.DataFeedsCore.ILiquidationFeed.UnsubscribeFromLiquidationData ( IEnumerable< Security >? securities = null )

Removes subscription for liquidation orders.

Parameters

securities

Event Documentation

◆ NewLiquidations

Action<IEnumerable<Order> > ATAS.DataFeedsCore.ILiquidationFeed.NewLiquidations

Fires when new liquidation comes from exchange.

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

ILiquidationFeed.cs

Public Member Functions