The automated-trading surface: the Strategy base class and its context, parameter and indicator declarations, the managed-order and ATM layers, the host-side seams, the catalog, and the performance analytics.

Strategy & context: SabrTrader.Pipeline.Strategies

Derive from Strategy, declare parameters and indicators in OnInitialize, and act in OnBar through the protected helpers. Every helper reads from or writes to the IStrategyContext the runner binds before the first callback. Quantity units are explained under Instrument metadata & sizing.

Order-flow-aware strategies

The host loads per-bar order flow for a run when the strategy implements IOrderFlowAwareStrategy and returns true, or declares an indicator marked [RequiresOrderFlow]. TryGetOrderFlowBar then returns data. The host calls RequiresOrderFlow on a throwaway instance before OnInitialize, passing the run's parameter overrides (null or empty means defaults); it must be free of side effects, must not throw, and should return false for a configuration that needs no order flow. See Order flow and the order book.

public interface IOrderFlowAwareStrategy
{
    bool RequiresOrderFlow(IReadOnlyDictionary<string, object>? parameterValues);
}

Live data connection

DataConnection is the state of the market-data connection that feeds the run's instrument: the data venue behind the chart, which is not necessarily the broker the orders go to. It follows that venue through drops and reconnects, including when the platform replaces the session. IsDataConnected is true only while it is Connected.

OnDataConnectionChanged(DataConnectionStatus status) runs on a live run when that state changes. Inside the call, DataConnection already returns status. It runs on the strategy's callback queue like OnBar, never at the same time as another callback, and a throw faults the run. Quick flips are coalesced, so you always end on the current status but may skip one in between. It does not fire for the status the run starts with (read DataConnection in OnStart), and it never fires in a backtest.

The callback is for you to react on top of the host's own policy, which still stops the run or holds new managed entries (IStrategyContext.IsPaused) on a lost feed. A typical use is cancelling a working entry order while prices are stale.

C#protected override void OnDataConnectionChanged(DataConnectionStatus status)
{
    // Flat means every working order is an entry; a position's stop and target stay put.
    if (IsFlat && status is (DataConnectionStatus.ConnectionLost or DataConnectionStatus.Reconnecting))
    {
        foreach (Order order in WorkingOrders)
            CancelOrder(order.Id);
        Log("Data feed " + status + ": cancelled working entry orders.");
    }
}

Decision models: SabrTrader.Pipeline.Decisions

A strategy asks a connected decision model through Decisions.Ask(request, state) and gets the answer in OnDecision. A decision provider plugs in as a venue plugin with VenueCategory.Decisions. The guide, with a full strategy and a full provider, is Decision models. This is the type list.

Recorded order book in backtests

An EveryTickReal run with a recorded MBO or L2 tape for the instrument attaches a private IOrderBook to the strategy and streams the tape into it in timestamp order with the ticks. Read it through TryGetOrderBook(out book); book.DepthMode is PerOrder for an MBO tape and Aggregated for an L2 tape. The book is private to the run.

Three hooks fire, all after the book has been updated and never during warmup bars:

Outside a run, RecordedDepth (IRecordedDepthCatalog?, null when the host records nothing) opens the same tapes directly: see IRecordedDepthCatalog.

Parameters & indicators

Parameters are typed, optionally optimizable, and convert implicitly to their value. A declared indicator returns a handle whose Instance the runner builds, backfills and updates each bar. See Parameters and Using indicators.

Managed orders & ATM

The Strategy base class routes its managed and ATM helpers through two interfaces it obtains from IStrategyContext. Strategy code uses the helpers; a custom host implements these interfaces to change how intent becomes orders or how brackets are managed.

Host seams

These types connect a strategy to the runner that hosts it. Plugin strategies use none of them directly; they matter for a custom host and for unit tests.

Catalog: SabrTrader.Pipeline.Strategies.Catalog

Decorate a strategy with [StrategyMetadata] for a friendly name and description. The host discovers strategies by reflection and shows that name and description in its strategy lists. See Discovery & metadata.

Performance analytics

The host reports a finished backtest's figures as a PerformanceReport (namespaces SabrTrader.Pipeline.Analytics and SabrTrader.Pipeline.Analytics.Metrics). Nullable ratios are null when undefined. See Reading the result.

The replay resolution and intra-bar tie-break of a backtest are settings of the host's Strategy Analyzer, described under Replay resolution & tie-break.