MarketDepthGenerator

MarketDepthGenerator

protected MarketDepthGenerator(SecurityId securityId)

marketDepthGenerator = MarketDepthGenerator(securityId)

The order book generator using random method.

securityId

The identifier of the instrument, for which data shall be generated.

DataType

public override DataType DataType { get; }

value = marketDepthGenerator.DataType

Market data type.

GenerateDepthOnEachTrade

public bool GenerateDepthOnEachTrade { get; set; }

value = marketDepthGenerator.GenerateDepthOnEachTrade
marketDepthGenerator.GenerateDepthOnEachTrade = value

Shall order books be generated after each trade. The default is .

GenerateOrdersCount

public bool GenerateOrdersCount { get; set; }

value = marketDepthGenerator.GenerateOrdersCount
marketDepthGenerator.GenerateOrdersCount = value

Generate OrdersCount.

MaxAsksDepth

public int MaxAsksDepth { get; set; }

value = marketDepthGenerator.MaxAsksDepth
marketDepthGenerator.MaxAsksDepth = value

The maximal depth of offers.

MaxBidsDepth

public int MaxBidsDepth { get; set; }

value = marketDepthGenerator.MaxBidsDepth
marketDepthGenerator.MaxBidsDepth = value

The maximal depth of bids.

MaxGenerations

public int MaxGenerations { get; set; }

value = marketDepthGenerator.MaxGenerations
marketDepthGenerator.MaxGenerations = value

The maximal number of generations after last occurrence of source data for the order book.

MaxSpreadStepCount

public int MaxSpreadStepCount { get; set; }

value = marketDepthGenerator.MaxSpreadStepCount
marketDepthGenerator.MaxSpreadStepCount = value

The maximal value of spread between the best quotes in units of price increments number. The spread value will be selected randomly between MinSpreadStepCount and MaxSpreadStepCount.

MinSpreadStepCount

public int MinSpreadStepCount { get; set; }

value = marketDepthGenerator.MinSpreadStepCount
marketDepthGenerator.MinSpreadStepCount = value

The minimal value of spread between the best quotes in units of price increments number. The spread value will be selected randomly between MinSpreadStepCount and MaxSpreadStepCount.

UseTradeVolume

public bool UseTradeVolume { get; set; }

value = marketDepthGenerator.UseTradeVolume
marketDepthGenerator.UseTradeVolume = value

To use to generate best quotes in the order book volume of history trades.

CopyTo

protected void CopyTo(MarketDepthGenerator destination)

marketDepthGenerator.CopyTo(destination)

Copy the message into the .

destination

The object, to which copied information.

CreateQuote

protected QuoteChange CreateQuote(decimal startPrice, Sides side)

result = marketDepthGenerator.CreateQuote(startPrice, side)

To create the quote using random method.

startPrice

The initial price, based on which a quote price shall be got using random method.

side

The quote direction.

Returns: The random quote.

Init

public override void Init()

marketDepthGenerator.Init()

To initialize the generator state.