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using StockSharp.Algo;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;

namespace AlgoTrading.SpeedTest
{
    public class MarketDepthSkeleton : Strategy
    {
        private Order _order;
        private bool _canProcess = true;
        private readonly object _locker = new object();

        protected override void OnStarted()
        {
            Security
                .WhenMarketDepthChanged()
                .Do(ProcessDepth)
                .Sync(_locker)
                .Apply(this);

            base.OnStarted();
        }

        private void ProcessDepth(MarketDepth depth)
        {
            if (Security.BestAsk == null || Security.BestBid == null)
                return;

            if (_canProcess)
            {
                _canProcess = false;
                var orderDirection = _order == null ? OrderDirections.Buy : _order.Direction.Invert();
                _order = this.CreateOrder(orderDirection, depth.GetCurrentPrice(orderDirection).Value);
                var strategy = new MarketQuotingStrategy(_order, new Unit(1, UnitTypes.Step, Security),
                                                         new Unit(1, UnitTypes.Step, Security)) 
                                                         { Volume = Volume };
                strategy.WhenStopped().Do(() => _canProcess = true).Sync(_locker).Once().Apply(this);
                ChildStrategies.Add(strategy);
            }
        }
    }
}

using System;
using System.Diagnostics;
using System.Threading;
using StockSharp.Algo.Storages;
using StockSharp.Algo.Testing;
using StockSharp.BusinessEntities;
using System.Linq;

namespace AlgoTrading.SpeedTest
{
    [Serializable]
    public class TestRunner
    {
        private IStorageRegistry _storageRegistry;
        private LocalMarketDataDrive _defaultDrive;

        public void Run()
        {
            var startTime = new DateTime(2012, 11, 1);
            var stopTime = new DateTime(2012, 11, 12);

            _storageRegistry = new StorageRegistry();
            _defaultDrive = (LocalMarketDataDrive)_storageRegistry.DefaultDrive;
            _defaultDrive.Path = @"D:\DBs\HydraData\SmartTest";
            var security = Securities.Instance.RtsF;
            using (var waitHandle = new AutoResetEvent(false))
            {
                var rts = security.Clone();
                var portfolio = new Portfolio { Name = "test account", BeginValue = 100000m };
                var trader = new EmulationTrader(
                    new[] { rts },
                    new[] { portfolio },
                    _storageRegistry)
                    {
                        UseMarketDepth = true,
                        StorageRegistry = _storageRegistry,
                    };

                trader.MarketEmulator.Settings.Latency = TimeSpan.FromSeconds(1);
                trader.RegisterMarketDepth(rts);
                trader.Connect();
                trader.StartExport();
                
                var strategy = new MarketDepthSkeleton()
                    {
                        Volume = 1,
                        Security = rts,
                        Portfolio = portfolio,
                        Trader = trader,
                        CommissionManager = rts.GetComissionManager(),
                    };
                var sw = new Stopwatch();

                trader.StateChanged += (oldState, newState) =>
                    {
                        if (trader.State == EmulationStates.Started)
                        {
                            strategy.Start();
                            Console.WriteLine("Стратегия запущена");
                        }
                        else if (trader.State == EmulationStates.Stopped)
                        {
                            sw.Stop();
                            Console.WriteLine("Доходность: {0}", strategy.PnL);
                            Console.WriteLine("Проскальзывание: {0}", strategy.Slippage);
                            Console.WriteLine("Сделок: {0}", strategy.MyTrades.Count());
                            Console.WriteLine("Время выполнения: {0}", sw.Elapsed);
                            waitHandle.Set();
                        }
                    };
                sw.Start();
                trader.Start(startTime, stopTime);
                waitHandle.WaitOne();
            }
        }
    }
}

Доходность: 54507
Проскальзывание: -72840
Сделок: 8127
Время выполнения: 00:00:45.514

Доходность: -114597,79760
Проскальзывание: 35820
Сделок: 21177
Время выполнения: 00:01:02.7461809