StockSharp Adds TWAP, VWAP, Iceberg, and NBBO Algorithmic Orders

StockSharp now includes a dedicated algorithmic order execution module. It accepts a parent order configured for TWAP, VWAP, Iceberg, or NBBO, splits it into child orders, and sends them through the common execution router. A parent order defines the total volume, side, price limit, start and end times, along with algorithm-specific settings such as the displayed quantity or number of slices.

The module subscribes to Level 1 and order book data for the selected instrument. Market data is passed to the algorithm, while execution results from child orders update its state and average execution price. Subscriptions are recreated after a connection is restored. The parent order is retained until execution begins, and canceling it stops the processing of its child orders.

The conditional-order format uses AlgoCode to distinguish a conventional stop-loss or take-profit from algorithmic execution. Timing and parameter fields are carried through the server protocol and documented in the SbeStopCondition API reference.