StockSharp Messages Library

The Messages project contains the essential message definitions shared across the StockSharp (S#) trading framework. Messages are the contracts used by connectors, adapters and other services for all interactions such as connecting to brokers, requesting market data or placing orders.

Overview

• Message Types Enumeration – MessageTypes lists every supported message kind.
• Base Classes – classes like Message, BaseConnectionMessage and BaseSubscriptionMessage provide common fields and behaviour.
• Asynchronous Processing – MessageAdapter and AsyncMessageProcessor handle messages asynchronously.
• Utility Helpers – classes such as ReConnectionSettings control reconnection and subscription options.

Core Messages

The library defines messages for all major trading activities:

• Connection – ConnectMessage, DisconnectMessage, ConnectionLostMessage and ConnectionRestoredMessage.
• Security Information – SecurityMessage, BoardMessage and BoardStateMessage.
• Market Data – MarketDataMessage, Level1ChangeMessage, QuoteChangeMessage, TimeFrameCandleMessage and related candle messages.
• Orders and Trades – OrderRegisterMessage, OrderReplaceMessage, OrderCancelMessage, OrderGroupCancelMessage, OrderStatusMessage and ExecutionMessage.
• Portfolio and Positions – PortfolioMessage, PortfolioLookupMessage and PositionChangeMessage.
• Service Messages – TimeMessage, NewsMessage, ErrorMessage and others.

The project targets .NET Standard 2.0 and .NET 6.0 for cross-platform compatibility.

Usage Example

Below is a minimal example of creating a market data subscription message:

using StockSharp.Messages;

var mdMessage = new MarketDataMessage
{
    DataType2 = DataType.Ticks,
    IsSubscribe = true,
    TransactionId = 1,
    SecurityId = new SecurityId
    {
        SecurityCode = "AAPL",
        BoardCode = "NASDAQ"
    }
};

Such messages are passed to an adapter, which forwards them to the broker or data provider.

Documentation

Further details on messages and architecture can be found in the StockSharp documentation.