Order book: algorithms
Order books in the S# are presented by the MarketDepth data type. A number of operations on the data in the order book can be performed with this type. For example, you can sparse or, vice versa, groupe the data by price levels.
The creating of sparse order book from the normal one is carried out through the TraderHelperSparse method:
MarketDepth depth = ....; var sparseDepth = depth.Sparse();
To combine the sparse order book with the original one (to connect the real and sparse quotations), you must call the TraderHelperJoin(MarketDepth, MarketDepth) method:
var joinedDepth = sparseDepth.Join(depth);
The grouping of the order book by price levels is carried out through the TraderHelperGroup(MarketDepth, Unit) method:
MarketDepth depth = ....; // grouping of the order book by 10 points price levels var grouppedDepth = depth.Group(10.Points(depth.Security));
The result of the grouping will be the MarketDepth order book, consisting of quotations of the AggregatedQuote type. Through the AggregatedQuoteInnerQuotes property the real order book quotations can get, on which the grouping by price level was done.
Sometimes you need to check the data in the order book to reveal data collisions. For example, the check of downloaded order books from external sources, or tracing the correctness of the exchange operation during the abnormal (the crisis, stop trading) period. To do this you can use the special MarketDepthVerify method, which checks whether bids and offers are mixed among themselves.