Class ItchOrderLogMarketDepthBuilder
Order log to order book builder for ITCH data.
Implements
Inherited Members
Namespace: StockSharp.ITCH
Assembly: StockSharp.ITCH.dll
Syntax
public class ItchOrderLogMarketDepthBuilder : IOrderLogMarketDepthBuilderConstructors
ItchOrderLogMarketDepthBuilder(QuoteChangeMessage)
Initializes a new instance of the ItchOrderLogMarketDepthBuilder.
Declaration
public ItchOrderLogMarketDepthBuilder(QuoteChangeMessage depth)Parameters
| Type | Name | Description |
|---|---|---|
| QuoteChangeMessage | depth | Market depth. |
ItchOrderLogMarketDepthBuilder(SecurityId)
Initializes a new instance of the ItchOrderLogMarketDepthBuilder.
Declaration
public ItchOrderLogMarketDepthBuilder(SecurityId securityId)Parameters
| Type | Name | Description |
|---|---|---|
| SecurityId | securityId | Security ID. |
Methods
Update(ExecutionMessage)
Process order log item.
Declaration
public QuoteChangeMessage Update(ExecutionMessage item)Parameters
| Type | Name | Description |
|---|---|---|
| ExecutionMessage | item | Order log item. |
Returns
| Type | Description |
|---|---|
| QuoteChangeMessage | Market depth. |
Explicit Interface Implementations
IOrderLogMarketDepthBuilder.get_Snapshot()
Declaration
QuoteChangeMessage IOrderLogMarketDepthBuilder.get_Snapshot()Returns
| Type | Description |
|---|---|
| QuoteChangeMessage |