One of the key algo functions is to observe the changes in the market and promptly respond to them. When the Algo is launched it uses IAlgoServices to subscribe to the events it needs to operate. Each subscribe call is paired with a matching unsubscribe call, which takes the same argument to unsubscribe.
To subscribe to book updates for the specified security call, use subscribe_book and unsubscribe book.
// Subscribe to book updates for the specified security void IAlgoServices::subscribe_book(SecurityKey); void IAlgoServices::unsubscribe_book(SecurityKey); // You implement virtual void on_book(SecurityKey, Book const &) override;
Get the SecurityKey of the current security using:
services.subscribe_book(SecurityKey(algo_services().security().id()));
If your Algo needs to subscribe to other securities, their keys must be passed as parameters.
To get the details of a security, use:
api::Security const* IBeforeLaunchAlgoServices::lookup_security(SecurityKey k) const = 0;
To handle time-based logic, an Algo can subscribe to a common timer event that is invoked once every 10 milliseconds. Use the TimeStamp class from bts_chrono.h to efficiently handle time calculations.
// Subscribe to a periodic 10ms timer void IAlgoServices::subscribe_timer(); // You implement virtual void on_timer() override;
The status callback is called when the market for this security opens, closes, or has some other state transition.
// Subscribe to trade ticker void IAlgoServices::subscribe_ticker(SecurityKey); // You implement void on_ticker(SecurityKey, TradeVector const&) override;
The status callback is called when the market for this security opens, closes, or has some other state transition.
// Subscribe to security trading status void IAlgoServices::subscribe_status(SecurityKey); // You implement virtual void on_status(SecurityKey, co2::TradingStatus) override;
When an Algo launches a child order, it is subscribed to the changes on that child order automatically. If the Algo unsubscribes from those changes, it can re-subscribe using this method.
// Subscribe to child order updates for the specified child order. void IAlgoServices::subscribe_child_change(OrderKey); // You implement virtual void on_child_change(OrderKey, ChildState const &) override;