IOrderBook

StockSharp.MatchingEngine

Interface for order book management.

Eigenschaften

AskLevels : int

Number of ask levels.

BestAsk : ValueTuple?<decimal, decimal>

Get best ask price and volume.

BestBid : ValueTuple?<decimal, decimal>

Get best bid price and volume.

BidLevels : int

Number of bid levels.

SecurityId : SecurityId

Security ID.

TotalAskVolume : decimal

Total volume of all asks.

TotalBidVolume : decimal

Total volume of all bids.

Methoden

AddQuote(EmulatorOrder)

Add a quote to the order book.

order: Order or market quote to add. If TransactionId is default, it is treated as a market quote.

Clear(Sides)

Clear all quotes for a specific side.

side: Side to clear.

Clear()

Clear all quotes.

GetLevels(Sides) : IEnumerable<OrderBookLevel>

Get quotes for a side, ordered by price (best first).

side: Side to retrieve levels for.

GetOrdersAtPrice(Sides, decimal) : IEnumerable<EmulatorOrder>

Get all user orders at a specific price level.

side: Side to query.
price: Price level to query.

GetTotalVolume(Sides) : decimal

Get total volume for a side.

side: Side to get total volume for.

GetVolumeAtPrice(Sides, decimal) : decimal

Get volume at a specific price level.

side: Side to query.
price: Price level to query.

HasLevel(Sides, decimal) : bool

Check if there's a quote at the specified price.

side: Side to check.
price: Price level to check.

RemoveLevel(Sides, decimal) : IEnumerable<EmulatorOrder>

Remove entire level at price.

side: Side to remove level from.
price: Price level to remove.

Rückgabe: Removed orders that were present at that level.

RemoveQuote(long, Sides, decimal) : bool

Remove a quote from the order book.

transactionId: Transaction id of the order to remove.
side: Side (buy/sell) where the order is placed.
price: Price level of the order.

Rückgabe: True if removed, false if not found.

SetSnapshot(IEnumerable<QuoteChange>, IEnumerable<QuoteChange>)

Set the order book from a snapshot (replaces all non-user quotes).

bids: Sequence of bid quote changes to set.
asks: Sequence of ask quote changes to set.

ToMessage(DateTime, DateTime) : QuoteChangeMessage

Create a QuoteChangeMessage from current state.

localTime: Local time to set on the generated message.
serverTime: Server time to set on the generated message.

TrimToDepth(Sides, int) : IEnumerable<EmulatorOrder>

Remove worst levels that exceed max depth.

side: Side to trim.
maxDepth: Maximum allowed depth to keep.

Rückgabe: Removed orders from trimmed levels.

UpdateLevel(Sides, decimal, decimal)

Update volume at a price level (for market quotes).

side: Side to update.
price: Price level to update.
volume: New market volume at the level.